CME Group witnessed a surge in global bond markets last month, particularly in U.S. Treasuries and repo markets, as investors braced for major shifts in central bank policies. BrokerTec reported a significant $824 billion in average daily notional value (ADNV) across its platforms, reflecting heightened market activity in the wake of central bank decisions.

U.S. Treasury trading on BrokerTec hit $119 billion in ADNV, marking a 19% year-on-year (YoY) increase — the highest level since the regional banking turmoil in March 2023. Market participants positioned themselves ahead of the Federal Reserve’s policy decision on September 18, which saw a 50-basis point rate cut. Liquidity remained resilient during this period of volatility, with the 5-year note’s depth increasing by 35% YoY, highlighting strong investor demand.

Additionally, BrokerTec’s relative value (RV) product suite hit a new record, with an average daily volume (ADV) of $2.7 billion in September, up 40% from the previous quarter. This indicates growing interest in relative value trading strategies as market participants navigated interest rate changes.

U.S. repo activity also saw growth, with September’s ADNV reaching $306 billion, up 4% from both the previous month and the same period last year. The Federal Reserve’s 50-basis point rate reduction left rates at a new range of 5%-4.75%, driving increased activity in repo markets. Much of the boost came from new U.S. Treasury issuances and continued quantitative tightening (QT) of $60 billion per month. Money market funds also hit a new record of $6.424 trillion, further supporting repo market volumes.

In Europe, repo volumes bounced back following the traditional summer slowdown. BrokerTec’s European repo market saw a 6% increase from August, reaching €287 billion in ADNV. Central bank decisions once again played a pivotal role, with the European Central Bank (ECB) reducing its deposit rate by 25 basis points on September 12. This was followed by the Fed’s 50 basis point cut, keeping global bond markets in focus.

CME’s FX market sees September surge in with growth across futures, options and emerging markets

Daily average notional value (ADNV) reached a staggering $183 billion across CME Group’s FX futures, options, and cash markets last month.

According to Paul Houston, Global Head of FX at CME Group, the FX market saw “significant growth in both trading volumes and open interest, indicating strong momentum and investor confidence.”

FX futures and options showed remarkable growth. Year-to-date (YTD), average daily notional value stood at $90 billion, an 11.6% increase from 2023. In September alone, ADNV hit $115 billion, marking a 7.3% rise compared to September 2023. Certain currency pairs, particularly those involving emerging markets, drove much of this growth. Notably, Swiss franc (CHF) futures surged by 52%, while the Chinese renminbi (CNH) soared 118%, setting a monthly volume record of 4,567 contracts.

Other standout performances included the Japanese yen (JPY) with a 29% increase and the South African rand (ZAR) with a 112% boost. This surge in activity was supported by record-breaking open interest, particularly for ZAR and Norwegian krone (NOK) futures, further highlighting the growing investor interest in these currencies.

The FX options market also demonstrated robust growth. September saw significant increases in options trading for the Australian dollar (AUD), Swiss franc (CHF), and Japanese yen (JPY), with CHF options leading the pack with a remarkable 230% year-on-year (YoY) increase. Emerging markets remained a focal point, with the Commodity Futures Trading Commission (CFTC) data showing a 7% YoY rise in the number of large open interest holders (LOIH). Brazil’s real (BRL) saw a notable 18% YoY increase in LOIH, indicating growing investor interest in emerging market currencies.

On the electronic brokerage side, EBS reported a 27% YoY rise in ADNV, reaching $68 billion in September. However, despite these volume increases, FX volatility remains lower than previous years. CME Group’s Volatility Index (CVOL) for the G5 currencies averaged 7.6 in September, down 15% from 2023, suggesting that markets, while active, are relatively stable.

Source: CME