TRADEWEB MARKETS ACTIVITY REPORT

Transcription

1 TREWEB MARKETS ACTIVITY REPORT Q 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 72,566 4,426,550 57,904 3,590,031 52,505 3,255, % 38.21% European Government Bonds 19,848 1,250,451 15, ,242 14, , % 41.12% Mortgages 138,382 8,441, ,031 8,247, ,804 7,613, % 12.69% Other Government Bonds 2, ,624 1,498 94,506 1,463 91, % 39.82% Derivatives 106,732 6,575,145 72,555 4,533,031 57,256 3,570, % 86.41% Credit U.S. High-Grade 1, ,135 1,285 79, , % % U.S. High-Yield , , , % 30.83% European Credit 1, ,885 1,017 65, , % 67.56% Municipal Bonds , , , % -6.82% Chinese Bonds , , % Other Credit Bonds 89 5, , , % 21.05% Derivatives 10, ,515 3, ,753 5, , % % Money Markets Repurchase Agreements (Repo) 140,827 8,622, ,054 7,772, ,312 6,346, % 37.64% Other Money Markets 23,671 1,447,234 20,236 1,257,230 20,910 1,300, % 13.21% Equities U.S. ETFs 4, ,920 2, ,248 1, , % % European ETFs 1,199 75, , , % 60.32% Derivatives 4, ,096 2, ,793 1, , % % V (USD mm) Average Trades V (USD mm) Average Trades V (USD mm) Average Trades 529,048 40, ,654 33, ,400 35,687 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) Chinese Bonds: Chinese Interbank Bond Market (CIBM) instruments government and corporate transacted via Bond Connect Company Limited (BCCL). 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. 1 VOLUMES Volumes include Tradeweb, Dealerweb and Tradeweb Direct. 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.

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 T Trades T Trades V T V T U.S. High-Grade Electronically Processed 1,121 68, % 150 9, % , % 124 7, % , % 71 4, % 26.87% 21.19% % % Fully Electronic , % 9, , % , % 7, , % , % 8, , % 34.76% 23.22% 58.54% 7.80% 1, , % 9, , % 1,384 85, % 7, , % , % 8, , % 29.72% 23.19% 98.97% 8.64% U.S. High-Yield Electronically Processed 160 9, % 43 2, % 110 6, % 30 1, % 144 8, % 34 2, % 46.06% 39.94% 11.33% 26.76% Fully Electronic 103 6, % 1,566 95, % 106 6, % 1, , % 64 3, % 1, , % -2.80% -5.90% 61.66% -8.37% , % 1,608 98, % , % 1, , % , % 1, , % 22.02% -5.08% 26.81% -7.69% Municipal Bond , % 8, , % , % 8, , % , % 9, , % 0.12% 8.79% -5.25% -3.44% 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) 23,338 1,423,632 46,999 2,866,954 18,913 1,172,583 39,704 2,461,638 22,308 1,383,110 42,774 2,651, % 18.37% 4.62% 9.88% U.S. High-Yield (TRACE) 9, ,773 14, ,687 7, ,637 12, ,574 9, ,343 14, , % 15.27% -3.28% -1.24% Municipal Bonds (MSRB) 11, ,498 42,062 2,565,780 12, ,897 38,464 2,423,225 11, ,037 42,304 2,622, % 9.35% 1.71% -0.57% 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. Day counts for corporate bonds reflect all SIFMA trading days. Day counts for municipal bonds reflect all MSRB reporting days. 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+/Ba1/BB+ (but not including other ratings ) then the bond is HY. If 1 of 3 of the bond s ratings are equal to or worse than BB+/Ba1/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+/Ba1/BB+ (but not including other ratings ) then the bond is HG. If 2 of 3 of the bond s ratings are better than BB+/Ba1/BB+ then the bond is HG. If 1 of 3 of the bond s ratings are better than BB+/Ba1/BB+, and none are equal or worse, then the bond is HG. If 1 of 3 of the bond s ratings are better than BB+/Ba1/BB+ and 1 of 3 are equal or worse, then the bond is HG. (i.e. The bond is split rated: 1 HG, 1 HY) 2

4 DERIVATIVES, MORTGAGES AND U.S. ETFS USING MARKET REPORTING STANDARDS TREWEB MARKETS Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Product V V V Rates Derivatives (SEF) 89,488 5,727, % 38 2, % 61,903 4,023, % 26 1, % 48,674 3,114, % 22 1, % 44.56% 45.69% 83.85% 69.55% Credit Derivatives (SEF) 7, , % , , % , , % % % - Mortgages 138,632 8,456, % ,180 8,257, % ,993 7,625, % % % - U.S. ETFs 4, , % , , % , , % % % - REPORTED MARKET Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Volume (USD mm) (USD mm) Product V V V V V Rates Derivatives (SEF) 361,859 23,158, , ,904 17,153, , ,863 20,023, , % 40.83% 15.66% 40.06% Credit Derivatives (SEF) 48,924 3,131, ,589 1,533, ,031 1,857, % % - Mortgages (TRACE) 251,009 15,311, ,533 15,099, ,698 14,551, % % - U.S. ETFs (CBOE) 111,022 6,772, ,961 4,407, ,825 4,453, % % - FOOTNOTES Numbers include all activity executed on Tradeweb, Dealerweb and Tradeweb Direct. Swaps All volumes converted to U.S. Dollars. (dollar value of 1 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 3

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