BrokerTec EU repo ADNV jumps 27% YoY for August
04 September 2026 US
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CME Group’s BrokerTec has revealed EU repo average daily notional value (ADNV) was up 27 per cent year-on-year (YoY) for August, generating US$356.4 billion.
BrokerTec's overall ADNV for the month was US$1.059 trillion, up 16 per cent YoY.
The figure represents volumes across benchmark cash US Treasuries, European government bonds, as well as US and EU repo on its dealer-to-dealer central limit order book and dealer-to-client request-for-quote platforms.
In terms of US repo, volumes increased 3 per cent YoY to €390 billion in ADNV, as traders adjusted to changing rate expectations across the yield curve.
For US Treasuries ADNV, August volumes were up 2 per cent YoY to US$84.1 billion, while volatility — measured by the CME Group US Treasury Volatility Index — declined 7 per cent over the same period.
Customer average collateral balances to meet performance bond requirements for rolling 3-months ending July 2026 were US$147 billion for cash collateral and US$166 billion for non-cash collateral.
Erik Norland, chief economist, CME Group, says: “US Treasury yields fell sharply following the US Treasury’s 19 August decision to double the size of their weekly buyback operations from US$2 billion to US$4 billion.
“This implies that the Treasury could buy an additional US$100 billion per year in 10-year to 30-year US Treasuries and fund those purchases by issuing T-Bills.”
Following this announcement, Norland indicates that 30-year Treasury yields fell by around 10 basis points while shorter term Treasury yields rose. By month end, 2-year and 5-year Treasury yields were around 5bps higher than their end of July levels while 10-year yields rose by 1.5bps and 30-year yield fell by 3bps.
He continues: “The mechanism by which the Treasury buys longer dated bonds is akin to what the Federal Reserve did during ‘operation twist’, an effort to flatten the yield curve back in the mid-2010s.
“Such actions can raise concerns about a potential expansion of the money supply since T-Bills are near cash instruments that have little to no haircut when used as collateral, unlike long-term bonds which carry significant duration risk and often require 3-6 per cent haircuts when posted as collateral.”
In international markets, Japanese, French, German, and Italian bond yields rose.
BrokerTec's overall ADNV for the month was US$1.059 trillion, up 16 per cent YoY.
The figure represents volumes across benchmark cash US Treasuries, European government bonds, as well as US and EU repo on its dealer-to-dealer central limit order book and dealer-to-client request-for-quote platforms.
In terms of US repo, volumes increased 3 per cent YoY to €390 billion in ADNV, as traders adjusted to changing rate expectations across the yield curve.
For US Treasuries ADNV, August volumes were up 2 per cent YoY to US$84.1 billion, while volatility — measured by the CME Group US Treasury Volatility Index — declined 7 per cent over the same period.
Customer average collateral balances to meet performance bond requirements for rolling 3-months ending July 2026 were US$147 billion for cash collateral and US$166 billion for non-cash collateral.
Erik Norland, chief economist, CME Group, says: “US Treasury yields fell sharply following the US Treasury’s 19 August decision to double the size of their weekly buyback operations from US$2 billion to US$4 billion.
“This implies that the Treasury could buy an additional US$100 billion per year in 10-year to 30-year US Treasuries and fund those purchases by issuing T-Bills.”
Following this announcement, Norland indicates that 30-year Treasury yields fell by around 10 basis points while shorter term Treasury yields rose. By month end, 2-year and 5-year Treasury yields were around 5bps higher than their end of July levels while 10-year yields rose by 1.5bps and 30-year yield fell by 3bps.
He continues: “The mechanism by which the Treasury buys longer dated bonds is akin to what the Federal Reserve did during ‘operation twist’, an effort to flatten the yield curve back in the mid-2010s.
“Such actions can raise concerns about a potential expansion of the money supply since T-Bills are near cash instruments that have little to no haircut when used as collateral, unlike long-term bonds which carry significant duration risk and often require 3-6 per cent haircuts when posted as collateral.”
In international markets, Japanese, French, German, and Italian bond yields rose.
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