BrokerTec 2021 Q1 Recap

Coming soon: Efficiently trade the curve for US Treasury benchmarks

Enabled by the migration to Globex, BrokerTec will launch RV Curve in Q1, creating a single place to trade US Treasury benchmark spreads. 

RV Curve merges the implied spreads from the outright order books into true spread orders, with a single-threaded matching engine that ensures there is no legging risk when trading on implied spreads. 

The granularity of the RV Curve bid/offer spread is expected to reduce the cost to trade, while liquidity will be enhanced through working implied orders in the BrokerTec central limit order book. 

Highlights:

  • RV Curve pairs will be available across all benchmark tenors with pre-defined ratio spreads that approximate the DV01 ratio on a per million basis.
  • Trades are executed on yield spread. The yield of the longer tenor is taken from the outright market; the shorter tenor is calculated by adding the executed spread to the yield of the longer.
  • All pairs are available for trading on a yield basis at 1/8th of a basis point.

BrokerTec Stream incentive plan launching

BrokerTec Stream, a robust, relationship-based streaming platform for trading US Treasury markets, will be live for STP following BrokerTec's migration to CME Globex.

Leverage a single CME STP connection for both the BrokerTec order book and BrokerTec Stream.

Through April 30, 2021, clients will trade commission-free on BrokerTec Stream, with an additional incentive program that could provide credits towards BrokerTec order-book commissions, market data, and connectivity. 


BrokerTec Quote live for US repo

BrokerTec Quote is live for US repo trading, bringing an enhanced RFQ capability and efficient means of trading for dealer-to-client US Treasury repo.


3-Year US Treasury Note minimum price increment to be reduced

The tick size for the benchmark 3-year Treasury Note is being reduced to help enhance price discovery and lower the cost of trading. The new minimum price increment (MPI) will be 1/8th of a 32nd. The change, which is expected in late Q1 2021, will also bring alignment with 3-Year futures where open interest has grown to $2.4B since being reintroduced with 1/8th ticks in July 2020.