The report includes commentary from John Edwards, Global Head of BrokerTec, CME Group; Erik Norland, Chief Economist, CME Group; and Paul Houston, Global Head of FX, CME Group.
CME Group has reported a new average daily volume (ADV) record of 26.5 million contracts for the month of April, up 33% from April 2023, with double-digit growth across all asset classes.
The leading derivatives exchange operator achieves record ADV across several segments, including interest rate, equity index, foreign exchange and options products.
Metals also reached a new April ADV record, including monthly records for metals options, copper futures and options, and silver options. U.S. Treasury options also reached an all-time monthly ADV record.
Terry Duffy, Chairman and Chief Executive Officer at CME Group, said: “With double-digit growth in all asset classes and a number of volume records in individual product lines, CME Group is playing an extremely important role in helping our clients around the world navigate risk across many areas of their businesses.”
EBS Spot FX ADNV increased 16% to $61.2 billion – customer average collateral balances to meet performance bond requirements for 1Q 2024 were $75.7 billion for cash collateral and $158.7 billion for non-cash collateral.
John Edwards, Global Head of BrokerTec, CME Group
“BrokerTec transacted $775B in average daily notional value (ADNV) in April across benchmark cash U.S. Treasuries and U.S. and EU Repo on its dealer-to-dealer CLOB and D2C RFQ and streaming platforms, up 3.5% compared to March 2024.
EU Repo
In EU Repo, liquidity remained robust and volumes on EU Repo were steady during April, with €296B in notional value trading each day. On April 26, the highest notional volume in a single day in 2024 so far was traded, with a value of €329B.
U.S. Repo
In April, U.S. Repo ADNV was up 3% from March and up 5% YoY, with transactions worth $294B trading hands each day. Quantitative easing continued to be a driver for strong repo activity.
U.S. Treasuries
BrokerTec U.S. Treasury April ADNV was $108.2bn, up 18% versus March 2024 and up 18% YoY. Market participants continue to monitor the risk associated with the change in economic conditions, inflation expectations and U.S. Treasury issuance in anticipation of FOMC actions for the rest of the year.
BrokerTec’s overall Treasury RV product produced a $1.9 bn ADNV in April, an increase of 1.5% over April 2023. RV Butterfly activity increased 19% over the same time period. Both products remain a valuable tool in helping BrokerTec traders manage their risk in April’s busier market.”
Erik Norland, Chief Economist, CME Group
“Yields on U.S. Treasuries rose by 35-50bps with the biggest rise coming around the five year area of the curve. Continued strong growth in employment and higher than expected inflation numbers helped to stave off expectations of a Fed interest rate cut, pushing bond yields higher.
Eurozone bond yields rose by 25-30bps as U.S. yields pulled European along with them. That said, Europe’s economic data has been softer, with steady inflation data in April.
The yen continued to weaken in April falling from 151 to 160 versus USD before a suspected intervention by the BoJ on April 29 halted its decline at least temporarily. The euro and the pound fell by about 1% versus USD over the course of April while AUD and CAD edged slightly lower. MXN also paused its uptrend versus USD with a 2% decline following Banco de Mexico’s decision to follow other Latin American central banks in easing policy.”
Paul Houston, Global Head of FX, CME Group
During the month of April, trading volumes within the CME Group FX business remained strong, with $142B of notional value traded each day across FX futures, options and cash markets.
Some highlights include:
Futures and options
· FX futures and options year-to-date (YTD) average daily notional value (ADNV) of $84B (985K contracts), and April ADNV of $81B (988K contracts)
· Futures: Comparing Apr 2024 vs Apr 2023, ADNV grew significantly in the following FX futures currency pairs:
o April was a record volume month for BRL, in which $466M was traded each day (+87%) (24K contracts)
o AUD $7.3B (+48%) (14K contracts)
o MXP $2.4B (+86%) (76K contracts)
· The large open interest holder (LOIH) data provided by the CFTC also shows growing adoption via the number of customers holding ‘large’ open positions in our markets. According to CFTC data on 23 April:
§ Emerging Market LOIH was 292 (+10% YoY), driven by growth in BRL futures, with 81 LOIH (+21% YoY).
§ Of the G7 currency pairs – JPY LOIH was 157 (+35% YoY) and AUD was 103 (+ 24%).
.
· Options : Comparing Apr 2024 vs Apr 2023, we saw strong ADNV growth in the following FX options currency pairs:
o JPY (+122%)
o GBP (+106%)
o CAD (+59%)
· FX Link : YTD ADNV was $2.4B notional – up 32% YoY (26K contracts). We also saw a new single-day contract record in USD/JPY for FX Link of 28,627 contracts on 29 April.
EBS
· EBS ADNV for April rose to $61.2B, up 16% on Apr 23.
o On 29 April, USD/JPY traded $77B across EBS platforms, the highest volume for the currency pair since November 2016.
o On Apr 16, USD/CNH surged to $15.7b ADV and Asian 1-month outright NDF markets traded nearly $11B
FX Volatility
· The CME Group Volatility Index (CVOL) shows that the combined G5 CVOL index averaged 7.1 in Apr 2024, down 19% from Apr 2023 and down 12% from full-year 2023.
