US Treasury volumes saw an average daily notional value (ADNV) of US$918 billion in February 2024, Coalition Greenwich’s March Data Spotlight has reported, up 41% YoY.
The month also saw a 3% YoY reduction in volatility and inflation returning to more normal levels. A record-breaking 61% of dealer-to-client (D2C) trading was executed electronically over the month, marking a 6% YoY increase in D2C e-trading and a 4% increase YoY in overall e-trading.
The absolute volume traded electronically each day was $529 billion, another record and a significant portion of the month’s large total market volume. The gap between total market e-trading (trading between dealers and market makers) and D2C e-trading has decreased by 15 percentage points between March 2020 and February 2024.
“Electronic trading in the interdealer market was first launched over 25 years ago, and it has taken nearly that long for the D2C market to fully catch up,” noted report author, Kevin McPartland. Dealer net positions in US Treasuries have increased by 16% month-on-month, averaging $261.4 billion in February, and 43% YoY. While the report noted that “it’s hard to equate this directly to market volume and liquidity”, it affirmed that the figures “talk to the market’s changing sentiment”.
The report stated that new Treasury and repo clearing mandates are becoming a focus point for market participants, despite their full implementation being at least two years away.
©Markets Media Europe 2024
