TRADEWEB MARKETS ACTIVITY REPORT

Transcription

1 TREWEB MARKETS ACTIVITY REPORT Q4 207 CONTACT US tradeweb.com

2 TREWEB MARKETS SINGLE COUNT Business Product V (USD mm) Volume (USD mm) V (USD mm) Volume (USD mm) V (USD mm) Volume (USD mm) V V Rates U.S. Government Bonds 57,904 3,590,03 5,768 3,26,374 46,862 2,858,60.85% 23.56% European Government Bonds 5,29 968,242 3,82 897,796 3,624 87, %.05% Mortgages 33,03 8,247,940 2,663 7,664,76 30,084 7,935,2 9.34% 2.27% Other Government Bonds,498 94,506,52 96,47,485 9, % 0.86% Derivatives 72,555 4,533,03 64,070 4,078,435 48,007 2,960, % 5.3% Credit U.S. High-Grade,285 79,674,098 69, , % 06.65% U.S. High-Yield 20 2, , , % 46.48% European Credit,07 65, , ,049.5% 44.44% Municipal Bonds 300 8, , , % -.9% Other Credit Bonds 77 4, , , % 8.25% Derivatives 3, ,753 6,29 396,577 3,209 99, % 7.95% Money Markets Repurchase Agreements (Repo) 25,054 7,772,42 09,24 6,887,28 87,003 5,309, % 43.74% Other Money Markets 20,236,257,230 9,85,254,323 9,062,67,633.93% 6.6% Equities U.S. ETFs 2 2,750 73,248,770,479 2,03 32, % 30.76% European ETFs 76 45, , , % 8.76% Derivatives 2 2,779 75,793,567 99,578 2,04 29, % 36.4% V (USD mm) Average Trades V (USD mm) Average Trades V (USD mm) Average Trades 438,35 33, ,54 33, ,007 32,974 PRODUCT CATEGORIES INCLUDE U.S. Government Bonds: U.S. Treasury bills, notes and bonds, and Treasury Inflation-protected Securities. Other Government Bonds: Japanese, Australian and New Zealand government bonds, covered bonds (including Pfandbriefe), other government-guaranteed securities, supranational, sub-sovereign and agency bonds/debentures. Mortgages: To-be-announced mortgage-backed securities, specified pools, commercial mortgage-backed securities, other mortgage derivatives and other asset-backed securities. Rates Derivatives: Swaps and swaptions. U.S. High-Grade and High-Yield: All TRACE-reported corporates, excluding convertibles (see page 2 for segmentation methodology) Other Credit Bonds: Other developed market (including non-trace-reported bonds, preferreds and structured notes), developing and emerging market corporate and government bonds. Credit Derivatives: Index and single name credit default swaps. Other Money Markets: Agency discount notes, commercial paper, certificates of deposits (including structured CDs), and deposits. ETF: Exchange traded funds (ETFs), ETF leg of exchange for physicals (EFPs), and net asset value trades. Equity Derivatives: Swaps, options, convertible bonds, futures, and futures leg of EFPs. VOLUMES Volumes include Tradeweb, Dealerweb and Tradeweb Direct, and exclude activity via Bond Connect. Dealerweb trades and riskless principal trades on Tradeweb Direct are single-count. All volumes converted to U.S. Dollars. Volumes for mortgages represent current face value at time of trade. U.S. Government Bonds Volumes and Trades have been revised higher in all quarters to include U.S. Treasury volume for hedging legs of interdealer transactions not previously included. 2 U.S. ETFs and Equity Derivatives Average Volumes and Trades have been revised lower in Q4 to accurately reflect the day count in the U.S. Equity Calendar, increased by day in Q4 207 and 2 days in Q Tradeweb Markets LLC. All rights reserved. The information contained herein: () is proprietary; (2) may not be copied or

3 U.S. CORPORATE AND MUNICIPAL BONDS USING MARKET REPORTING STANDARDS TREWEB MARKETS Product Type V Volume (USD mm) Trades Volume (USD mm) Trades Volume (USD mm) Trades T Trades V T Trades V T Trades V T V T U.S. High-Grade Electronically Processed , % 24 7, % 76 47,95 4.0% 05 6, % 36 22,06 2.0% 62 3, % 6.6% 7.5% 44.78% 00.28% Fully Electronic 500 3, % 7, , % , % 7, , % 350 2,36 2.0% 6, ,7 9.% 4.77% 3.09% 42.80% 0.86%,384 85, % 7,760 48,8 9.5%,96 75, % 7,53 473, % 7 43, % 6, , % 5.65% 3.28% 94.56%.66% U.S. High-Yield Electronically Processed 0 6,8.4% 30, % 86 5,425.2% 25, % 76 4, % 22, % 27.57% 9.95% 44.45% 38.2% Fully Electronic 06 6,60.3%,664 03,77 3.5% 78 4,920.%,670 05, % 80 4, %,869 4,03 4.5% 36.34% -0.36% 33.40% -0.96% 26 3,42 2.7%,695 05,06 3.8% 64 0, %,695 06,86 4.7% 56 9,508.8%,89 5, % 3.74% -0.06% 38.79% -0.39% Municipal Bonds , % 8,3 5,5 2.% , % 8, , % , % 8, , % 5.9% 0.55% -6.5% -8.40% REPORTED MARKET Volume (USD mm) Trades Volume (USD mm) Trades Volume (USD mm) Trades Product V T Trades V T Trades V T Trades V T V T U.S. High-Grade (TRACE) 8,93,72,583 39,704 2,46,638 8,97,95,52 37,258 2,347,274 7,79,080,855 36,059 2,99, % 6.56% 6.74% 0.% U.S. High-Yield (TRACE) 7, ,637 2,283 76,574 7, ,428,5 725,220 8,502 58,64 2,85 783, % 6.7% -5.98% -4.42% Municipal Bonds (MSRB) 2, ,897 38,464 2,423,225 9, ,24 36,239 2,283,053 2, ,890 4,28 2,59, % 6.4% -.30% -6.48% FOOTNOTES Numbers include all activity on Tradeweb, Dealerweb and Tradeweb Direct. Corporate bond volume and trade count numbers reflect all trades reported to TRACE, excluding emerging market and convertible bonds. Monthly average capped volumes for HG and HY applied to capped trades. Municipal bond volume and trade count numbers reflect all trades reported to MSRB. Electronically Processed include voice trades processed electronically on Tradeweb. Segmentation between HG and HY determined using the following methodology and ratings from Standards & Poor s (S&P), Moody s Investor Services and Fitch Ratings: If 2 of 3 of the bond s ratings are equal to or worse than BB+/Ba/BB+ (but not including other ratings ) then the bond is HY. If of 3 of the bond s ratings are equal to or worse than BB+/Ba/BB+, and none are better, then the bond is HY. If the bond is not rated by any agency then the bond is HY. If 3 of 3 of the bond s ratings are better than BB+/Ba/BB+ (but not including other ratings ) then the bond is HG. If 2 of 3 of the bond s ratings are better than BB+/Ba/BB+ then the bond is HG. If of 3 of the bond s ratings are better than BB+/Ba/BB+, and none are equal or worse, then the bond is HG. Municipal Bonds Average Volumes and Trades have been revised lower in Q4 to accurately reflect the day count for MSRB reporting days, increased by day in Q4 207 and 2 days in Q Day counts for corporate bonds reflect all SIFMA trading days. Day counts for municipal bonds reflect all MSRB reporting days. If of 3 of the bond s ratings are better than BB+/Ba/BB+ and of 3 are equal or worse, then the bond is HG. (i.e. The bond is split rated: HG, HY) Tradeweb Markets LLC. All rights reserved. The information contained herein: () is proprietary; (2) may not be copied or

4 DERIVATIVES, MORTGAGES AND U.S. ETFS USING MARKET REPORTING STANDARDS TREWEB MARKETS Product V Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) V V V V Rates Derivatives (SEF) 6,903 4,023, % 26, % 57,282 3,723, % 24, % 40,46 2,629, % 24, % 8.07% 8.35% 52.99% 6.97% Credit Derivatives (SEF) 2,737 77,876.6% ,896 38,22 5.8% ,734 77, % % - 0.% - Mortgages 33,80 8,257, % ,828 7,675, % ,236 7,944, % % % - U.S. ETFs 2,750 73, % - - -,770, % ,03 32, % % % - REPORTED MARKET Product V Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) V V V V Rates Derivatives (SEF) 263,904 7,53, ,5 244,69 5,904, ,588 99,275 2,952, , %.49% 32.43% 0.9% Credit Derivatives (SEF) 23,589,533, ,909 2,009, ,35,385, % % - Mortgages (TRACE) 243,533 5,099, ,58 4,274, ,769 5,052, % - -.3% - U.S. ETFs (CBOE) 69,96 4,407, ,540 4,066, ,636 4,89, % % - FOOTNOTES Numbers include all activity executed on Tradeweb, Dealerweb and Tradeweb Direct. Swaps All volumes converted to U.S. Dollars. (dollar value of basis point) is calculated at time of trade based on internal model. Volumes and s include all reported legs of multiple leg trades. Day counts reflect all SEF trading days. Mortgages Numbers include TBAs, other MBS, and ABS products. Volumes reflect all trades reported to TRACE. Volumes for non-tba securitized products are original par values of the securities. ETFs ETFs include ETFs and the ETF leg of EFP trades. (notional) volumes from Cboe Global Markets. TOTAL SEF VOLUMES AND (EXCLUDING FRAS) FROM TRACE mortgage total Volumes and Vs, as well as Tradeweb mortgage Vs, have been adjusted to resolve a calculation error Tradeweb Markets LLC. All rights reserved. The information contained herein: () is proprietary; (2) may not be copied or

5 DISCLOSURES ABOUT TREWEB MARKETS Tradeweb Markets builds and operates many of the world s most efficient financial marketplaces, providing market participants with greater transparency and efficiency in fixed income and derivatives. Focused on applying technology to enhance efficiency throughout the trade lifecycle, Tradeweb pioneered straight-through-processing in fixed income and now supports marketplaces for more than 20 asset classes with electronic execution, processing, post-trade analysis and market data in an integrated workflow. Tradeweb Markets serves the dealerto-customer markets through the Tradeweb institutional platform, inter-dealer trading through Dealerweb, and the US-based retail fixed income community on Tradeweb Direct. Customers rely on Tradeweb to drive the evolution of fixed income and derivatives through flexible trading architecture and more efficient, transparent markets. For more information, visit LEGAL & COMPLIANCE STATEMENT This report represents certain trades in instruments that have been reported publicly. The report does not necessarily reflect all transactions that were effected on the system. There is the possibility of errors or delays in the trade submission process. The information provided has been obtained from sources deemed to be reliable, however Tradeweb does not guarantee the accuracy of the information contained in this report. This information is intended for general informational purposes only, and should not be used for any investment decisions. None of the information in the report constitutes an offer or solicitation to buy or sell any security or financial product, a recommendation concerning any security, financial product or asset class, or an offer to provide investment advice or any other service. Tradeweb LLC, Tradeweb Direct LLC, and Dealerweb Inc. are broker-dealers registered with the SEC and MSRB and members of FINRA. TW SEF LLC and DW SEF LLC are CFTC registered swap execution facilities. Tradeweb Europe Limited is authorized and regulated by the UK Financial Conduct Authority. Tradeweb maintains additional registrations and permissions in jurisdictions globally. Further information may be found at Tradeweb Markets LLC. All rights reserved. The information contained herein: () is proprietary; (2) may not be copied or 0478