tradeweb markets activity report · other mortgage derivatives and other asset-backed securities....
TRANSCRIPT
PRODUCT CATEGORIES INCLUDEU.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.
VOLUMESVolumes 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.
1 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 Daily Volumes and Trades have been revised lower in Q4 to accurately reflect the day count in the U.S. Equity Calendar, increased by 1 day in Q4 2017 and 2 days in Q4 2016.
1©2018 Tradeweb Markets LLC. All rights reserved. The information contained herein: (1) is proprietary; (2) may not be copied or
redistributed without written permission; (3) and is not offered as investment, tax or legal advice or an offer to buy or sell securities.
TRADEWEB MARKETS – SINGLE COUNT Q4 2017 Q3 2017 Q4 2016 QoQ YoY
Business Product ADV (USD mm) Volume (USD mm) ADV (USD mm) Volume (USD mm) ADV (USD mm) Volume (USD mm) ADV ADV
Rates U.S. Government Bonds1 57,904 3,590,031 51,768 3,261,374 46,862 2,858,601 11.85% 23.56%
European Government Bonds 15,129 968,242 13,812 897,796 13,624 871,906 9.53% 11.05%
Mortgages 133,031 8,247,940 121,663 7,664,761 130,084 7,935,112 9.34% 2.27%
Other Government Bonds 1,498 94,506 1,512 96,471 1,485 91,636 -0.92% 0.86%
Derivatives 72,555 4,533,031 64,070 4,078,435 48,007 2,960,847 13.24% 51.13%
Credit U.S. High-Grade 1,285 79,674 1,098 69,195 622 37,933 17.00% 106.65%
U.S. High-Yield 201 12,451 146 9,229 137 8,363 37.09% 46.48%
European Credit 1,017 65,066 915 59,452 704 45,049 11.15% 44.44%
Municipal Bonds 300 18,610 279 17,603 341 20,786 7.43% -11.91%
Other Credit Bonds 77 4,823 68 4,312 65 4,031 13.77% 18.25%
Derivatives 3,784 237,753 6,219 396,577 3,209 199,086 -39.15% 17.95%
Money Markets Repurchase Agreements (Repo) 125,054 7,772,412 109,124 6,887,128 87,003 5,309,687 14.60% 43.74%
Other Money Markets 20,236 1,257,230 19,851 1,254,323 19,062 1,167,633 1.93% 6.16%
Equities U.S. ETFs2 2,750 173,248 1,770 111,479 2,103 132,494 55.41% 30.76%
European ETFs 716 45,856 678 44,094 659 42,164 5.62% 8.76%
Derivatives2 2,779 175,793 1,567 99,578 2,041 129,035 77.35% 36.14%
ADV (USD mm) Average Daily Trades ADV (USD mm) Average Daily Trades ADV (USD mm) Average Daily Trades
Total 438,315 33,972 394,541 33,236 356,007 32,974
TRADEWEB MARKETSQ4 2017 Q3 2017 Q4 2016 QoQ YoY
Volume (USD mm) Trades Volume (USD mm) Trades Volume (USD mm) Trades
Product Type ADV Total% of
Reported ADT Trades % of
Reported ADV Total% of
Reported ADT Trades % of
Reported ADV Total% of
Reported ADT Trades % of
Reported ADV ADT ADV ADT
U.S. High-Grade Electronically Processed 883 54,774 4.7% 124 7,662 0.3% 761 47,915 4.0% 105 6,646 0.3% 361 22,016 2.0% 62 3,764 0.2% 16.16% 17.15% 144.78% 100.28%
Fully Electronic 500 31,005 2.6% 7,636 473,456 19.2% 436 27,452 2.3% 7,408 466,688 19.9% 350 21,361 2.0% 6,888 420,171 19.1% 14.77% 3.09% 42.80% 10.86%
Total 1,384 85,779 7.3% 7,760 481,118 19.5% 1,196 75,367 6.3% 7,513 473,334 20.2% 711 43,377 4.0% 6,950 423,935 19.3% 15.65% 3.28% 94.56% 11.66%
U.S. High-Yield Electronically Processed 110 6,811 1.4% 30 1,884 0.2% 86 5,425 1.2% 25 1,596 0.2% 76 4,639 0.9% 22 1,342 0.2% 27.57% 19.95% 44.45% 38.12%
Fully Electronic 106 6,601 1.3% 1,664 103,177 13.5% 78 4,920 1.1% 1,670 105,220 14.5% 80 4,868 0.9% 1,869 114,013 14.5% 36.34% -0.36% 33.40% -10.96%
Total 216 13,412 2.7% 1,695 105,061 13.8% 164 10,345 2.3% 1,695 106,816 14.7% 156 9,508 1.8% 1,891 115,355 14.7% 31.74% -0.06% 38.79% -10.39%
Municipal Bonds1 Total 448 28,236 3.7% 8,113 511,115 21.1% 423 26,660 4.5% 8,069 508,336 22.3% 478 30,088 3.9% 8,857 557,999 21.5% 5.91% 0.55% -6.15% -8.40%
REPORTED MARKETQ4 2017 Q3 2017 Q4 2016 QoQ YoY
Volume (USD mm) Trades Volume (USD mm) Trades Volume (USD mm) Trades
Product ADV Total ADT Trades ADV Total ADT Trades ADV Total ADT Trades ADV ADT ADV ADT
U.S. High-Grade (TRACE) 18,913 1,172,583 39,704 2,461,638 18,971 1,195,152 37,258 2,347,274 17,719 1,080,855 36,059 2,199,593 -0.31% 6.56% 6.74% 10.11%
U.S. High-Yield (TRACE) 7,994 495,637 12,283 761,574 7,293 459,428 11,511 725,220 8,502 518,641 12,851 783,931 9.62% 6.71% -5.98% -4.42%
Municipal Bonds (MSRB) 12,046 758,897 38,464 2,423,225 9,337 588,241 36,239 2,283,053 12,205 768,890 41,128 2,591,056 29.01% 6.14% -1.30% -6.48%
2©2018 Tradeweb Markets LLC. All rights reserved. The information contained herein: (1) is proprietary; (2) may not be copied or
redistributed without written permission; (3) and is not offered as investment, tax or legal advice or an offer to buy or sell securities.
FOOTNOTESNumbers 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.
1 Municipal Bonds Average Daily Volumes and Trades have been revised lower in Q4 to accurately reflect the day count for MSRB reporting days, increased by 1 day in Q4 2017 and 2 days in Q4 2016. – 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)
U.S. CORPORATE AND MUNICIPAL BONDS USING MARKET REPORTING STANDARDS
TRADEWEB MARKETSQ4 2017 Q3 2017 Q4 2016 QoQ YoY
Volume (USD mm) DV01 (USD mm) Volume (USD mm) DV01 (USD mm) Volume (USD mm) DV01 (USD mm)
Product ADV Total% of
ReportedAvg
Daily Total % of
Reported ADV Total% of
ReportedAvg
Daily Total % of
Reported ADV Total% of
ReportedAvg
Daily Total % of
Reported ADVAD
DV01 ADVAD
DV01
Rates Derivatives (SEF) 61,903 4,023,675 23.5% 26 1,688 33.0% 57,282 3,723,302 23.4% 24 1,558 34.0% 40,461 2,629,977 20.3% 24 1,578 34.0% 8.07% 8.35% 52.99% 6.97%
Credit Derivatives (SEF) 2,737 177,876 11.6% - - - 4,896 318,212 15.8% - - - 2,734 177,685 12.8% - - - -44.10% - 0.11% -
Mortgages1 133,180 8,257,157 54.7% - - - 121,828 7,675,144 53.8% - - - 130,236 7,944,426 52.8% - - - 9.32% - 2.26% -
U.S. ETFs 2,750 173,248 3.9% - - - 1,770 111,479 2.7% - - - 2,103 132,494 2.7% - - - 55.41% - 30.76% -
REPORTED MARKETQ4 2017 Q3 2017 Q4 2016 QoQ YoY
Volume (USD mm) DV01 (USD mm) Volume (USD mm) DV01 (USD mm) Volume (USD mm) DV01 (USD mm)
Product ADV TotalAvg
Daily Total ADV TotalAvg
Daily Total ADV TotalAvg
Daily Total ADVAD
DV01 ADVAD
DV01
Rates Derivatives (SEF) 263,904 17,153,777 79 5,115 244,691 15,904,923 71 4,588 199,275 12,952,857 71 4,642 7.85% 11.49% 32.43% 10.19%
Credit Derivatives (SEF) 23,589 1,533,278 - - 30,909 2,009,117 - - 21,315 1,385,488 - - -23.68% - 10.67% -
Mortgages (TRACE)1 243,533 15,099,017 - - 226,581 14,274,628 - - 246,769 15,052,881 - - 7.48% - -1.31% -
U.S. ETFs (CBOE) 69,961 4,407,558 - - 64,540 4,066,015 - - 77,636 4,891,050 - - 8.40% - -9.89% -
FOOTNOTESNumbers include all activity executed on Tradeweb, Dealerweb and Tradeweb Direct.
Swaps
– All volumes converted to U.S. Dollars.
– DV01 (dollar value of 1 basis point) is calculated at time of trade based on internal model.
– Volumes and DV01s 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.
– Total (notional) volumes from Cboe Global Markets.
1 TRACE mortgage total Volumes and ADVs, as well as Tradeweb mortgage ADVs, have been adjusted to resolve a calculation error.
3©2018 Tradeweb Markets LLC. All rights reserved. The information contained herein: (1) is proprietary; (2) may not be copied or
redistributed without written permission; (3) and is not offered as investment, tax or legal advice or an offer to buy or sell securities.
DERIVATIVES, MORTGAGES AND U.S. ETFS USING MARKET REPORTING STANDARDS
TOTAL SEF VOLUMES AND DV01 (EXCLUDING FRAS) FROM
DISCLOSURES
4
ABOUT TRADEWEB MARKETS LEGAL & COMPLIANCE STATEMENTThis 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 http://www.tradeweb.com/About-Us/Disclosures/.
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 dealer-
to-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 www.tradeweb.com.
©2018 Tradeweb Markets LLC. All rights reserved. The information contained herein: (1) is proprietary; (2) may not be copied or redistributed without written permission; (3) and is not offered as investment, tax or legal advice or an offer to buy or sell securities.
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