- 25 Apr 2024
- By CME Group
Over $20B traded in Butterflies in their first six weeks, with volume seen across the product suite. Our RV offering with curves now accounts for over 2% of UST CLOB volume.
Launched to provide participants with ways to spread trade U.S. Treasuries without legging risk, Butterflies trade in a yield format with a 1/10 of a basis point tick increment. These contracts use pre-defined ratios to maintain DV01 neutrality and currently trade in eight varieties.
Effective Sunday, June 2 (for trade date Monday, June 3), the minimum price increment for 7-Year U.S. Treasury Notes on BrokerTec will change. The current increment - 1/2 of 1/32 - will shift to 1/4 of 1/32 and is currently available for customer testing in New Release.
Want more information about upcoming changes? See the full release for additional details.
Coming soon, corporates and Agency MBS will be available on the BrokerTec Quote platform. The product suite expansion will provide additional choices to participants in the dealer-to-client repo market.
Look for more information and other enhancements to the platform in the months ahead.
The growth trajectory for BrokerTec Quote continues to build in 2024. Volumes have soared 101.6% YoY (March 2024 vs. March 2023) as more clients tap into Quote's robust solutions in market infrastructure and cost-effective offering for both buy- and sell-side customers.
Besides growing volumes, the platform has added several technical innovations, including the release of update 1.102 and integration with more ISVs, bringing the total number to six.
CME Group has a long history of finding new ways to bring capital efficiencies to clients. This continues with the advent of the enhanced CME-FICC Cross-Margining Agreement, which includes U.S. Treasury notes, bonds and repo.
Learn more about the key details of this agreement, and see how it can produce potential margin savings on cash vs. futures basis trades of up to 80%.
All data as of April 11, 2024 unless otherwise noted.
U.S. Repo and EU Repo continue to represent a significant amount of trading activity, with both averaging over 250B (in their respective currencies) in daily trading so far in 2024. U.S. Repo in particular has seen solid growth of about 4% YoY.
Beyond Repo, BTEC Quote has also seen healthy trading volumes, as adoption of electronic execution in the D2C market grows. Nominal volumes are up 46% from the same period a year ago, while the breadth of products supported by the platform continues to grow.
On March 4, BrokerTec with LCH went live with their offering to clear Classic Repo on Spanish government bonds. Customers now can execute trades as Classic Repo or as Buy-Sell-Back with over 50 banks.
Close to 80% of volume has transitioned to Classic in the first few weeks since the program started.
Reference rates provide valuable info about financing costs in money markets, but they can react to changes in central bank policy.
Understanding this relationship is vital for interpreting the potential spread between secured and unsecured reference rates.
Capitalize on the benefits of the initial BrokerTec Quote and Helix Financial Systems, LLC platform integration, which is now in production. This will provide access to those who use both Helix and BrokerTec, further increasing the list of dealers on the overall platform.
The content in this communication has been compiled by CME Group for general purposes only and is not intended to provide, and should not be construed as, advice. Although every attempt has been made to ensure the accuracy of the information within this communication as of the date of publication, CME Group assumes no responsibility for any errors or omissions and will not update it. Additionally, all examples and information in this communication are used for explanation purposes only and should not be considered investment advice or the results of actual market experience. This communication does not (within the meaning of any applicable legislation) constitute a Prospectus or a public offering of securities; nor is it a recommendation to buy, sell or retain any specific investment or service.
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BrokerTec Americas LLC. (“BAL”) is a registered broker-dealer with the U.S. Securities and Exchange Commission, is a member of the Financial Industry Regulatory Authority, Inc. (https://brokercheck.finra.org/), and is a member of the Securities Investor Protection Corporation (www.SIPC.org). BAL offers products and services in relation to U.S. Treasury Benchmark instruments, Repurchase and Reverse Repurchase instruments, including U.S. Treasury, Government of Canada, Corporate and Mortgage-backed products. BAL does not provide services to private or retail customers. All investments involve risk of loss, particularly in terms of fluctuations in value and yield. If an investment is denominated in a currency other than your base currency, exchange rate fluctuations may have a favorable or unfavorable impact. Further, there are risks associated with investing in fixed income asset classes that include, but are not limited to, market risk, interest rate risk, default risk, event risk, credit risk, and government security risk.
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