Electronic trading platforms have reported a bumper November for fixed income trading, with CME reporting interest rate average daily volume (ADV) up by 42%; MarketAxess reporting credit volumes up 9.3% year-on-year (YoY) and 13.4% month-on-month (MoM); and Tradeweb reporting average daily notional volume across all assets classes up 59.2% collectively YoY.
CME
Derivatives and US Treasury market operator CME Group, reported an average daily volume (ADV) of 28.3 million contracts during the month, an increase of 21% over 2022 and the company’s highest-ever November ADV on record. Within that it saw interest rate ADV of 16.8 million contracts, including 5-Year US Treasury Note futures ADV of 2,740,659 contracts; 2-Year US Treasury Note futures ADV of 1,464,550 contracts; Ultra 10-Year US Treasury Note futures ADV of 851,802 contracts; Ultra US Treasury Bond futures ADV of 571,506 contracts.
SOFR futures ADV was up 70% to 4 million contracts and SOFR options ADV up 92% to 1.8 million contracts and interest rate options ADV increased 31% to 3.1 million contracts.
In its cash market, the BrokerTec US platform reported US Treasury average daily notional value (ADNV) up 4% to US$108 billion.
According to recent Morgan Stanley analysis, 81% of CME revenue is based on transactional services.
MarketAxess
MarketAxess saw a reported record of US$303.3 billion in total credit trading volume. US investment grade (IG) ADV of US$6.5 billion, up 11.2% from the prior year, and up 9% versus October 2023. US high-grade estimated market ADV increased 10.7%, compared to the prior year, and was up 7.8% versus October 2023.
Chris Concannon, CEO of MarketAxess, said, “We delivered record total credit trading volume in November, driven by strong growth across all credit products. The adoption of MarketAxess X-Pro continues to expand, with 30% of our portfolio trading volume executed over the X-Pro platform quarter-to-date, up from 18% in third quarter 2023. We believe that the continued improvement in the market backdrop, and the high levels of client engagement with X-Pro, our unique proprietary data products, and our automated trading solutions, position us for growth in the coming quarters.”
The firm reported a US high-yield ADV of US$1.9 billion, up 2.5% compared to the prior year, and up 17.9% from October 2023 levels. US high-yield estimated market ADV increased 16.5% versus the prior year, and increased 16% compared to October 2023.
MarketAxess notes a decrease in US high-yield estimated market share year-over-year, driven principally by lower levels of credit spread volatility, resulting in an estimated 8.1% decrease in ETF market maker activity on the platform. ETF market maker activity increased an estimated 17.1% from October 2023 levels.
In emerging markets (EM) ADV was US$3.3 billion, up 7.6% from the prior year, and up 18.5% from October 2023 levels. The YoY increase was principally due to a 21.8% increase in local currency trading ADV. The MoM increase was driven by strong growth across both hard and local currency markets trading ADV.
Emerging markets estimated market ADV increased 15.2%, compared to the prior year, and increased 21.1% compared to October 2023.
Eurobonds ADV US $2 billion was up 13.7% from the prior year, and up 16.5% from October 2023.
Municipal bond ADV of was at a reported record of US$601 million, up 9.9% from the prior year, and up 13.0% from October 2023. Estimated market share of 6%, up from 5.3% in the prior year and 5.1% in October 2023. Estimated market ADV down 3.6% compared to the prior year, and down 4.1% compared to October 2023.
Order and execution workflow solution, AxessIQ, designed for wealth management and private banking clients, achieved a reported record ADV of US$157 million, up 63.5% from the prior year, and up 35.3% from October 2023 levels.
The firm saw a US$13.2 billion in total portfolio trading volume, up 56.7% from November 2022, but down 13.1% from record levels in October 2023. Quarter-to-date, approximately $7.5 billion, or 29.6%, of its portfolio trading volume was executed over MarketAxess X-Pro, the firm’s new trading platform, compared to approximately US$4.8 billion, or 18.2%, in Q3 2023.
All-to-all trading accounted for a 35% share of total credit trading volume via Open Trading, down from 38% in the prior year, but in line with October 2023 levels.
Total rates ADV of US$14.5 billion, was down 24.1% versus the prior year, and down 28.5% from October 2023 levels. US Treasury ADV on the platform in November was negatively impacted by an outage at ICBC, the third-party the Company was then using for US Treasury settlement services.
Tradeweb
Multi-asset market operator, Tradeweb, reported total trading volume for November 2023 of US$38.2 trillion, with average daily volume (ADV) for the month at a reported record of US$1.8 trilion, an increase of 59.2% YoY.
Rates trading saw US government bond ADV up 19.5% YoY to US$163.7 billion, while European government bond ADV was up 30.5% YoY to US$44.8 billion. With US volumes reportedly were supported by growth across all client sectors, increased adoption across a diverse set of trading protocols on the institutional platform and sustained rates market volatility, while higher interest rates drove trading in the retail market. In Europe government bond volumes were supported by sustained rates market volatility and strong volumes by hedge fund accounts.
Mortgage trading ADV was up 16.7% YoY to US$188.3 billion, with to-be-announced (TBA) contract volumes driven by increased participation from hedge fund accounts as well as elevated roll activity. Specified pool activity increased >200% YoY with an uptick in origination trading on the platform according to the firm.
Swaps/swaptions ≥ 1-year ADV was up 178.4% YoY to $580.8bn and total rates derivatives ADV was up 132.6% YoY to $795.1bn, driven in part for swaptions by increased client activity and a 242% YoY increase in compression activity, which carries a lower fee per million. Quarter-to-date compression activity is reportedly running higher than 3Q23. Robust volumes were also driven by strong activity in global inflation swaps, the request-for-market (RFM) protocol and emerging market swaps.
In credit, fully electronic US credit ADV was up 32% YoY to US$6.1 billion and European credit ADV was up 29.7% YoY to US$2.3 billion, with volumes reflecting continued client adoption in taking protocols, including request-for-quote (RFQ), as well as record adoption in Tradeweb AllTrade® and portfolio trading. Tradeweb’s share of fully electronic U.S. High Grade and U.S. High Yield TRACE was 16.7%, and 7.0%, respectively. Record European credit volumes were supported by strong activity in portfolio trading and Tradeweb Automated Intelligent Execution (AiEX).
Municipal bonds ADV was down 0.2% YoY to US$475 million which Tradeweb noted was driven by muted retail municipal bond activity against a broader backdrop of lower yields, while a ‘robust’ tax lost harvesting month by institutional asset managers kept flows in this part of the market significantly more positive.
In credit derivatives ADV was down 7.8% YoY to US$9.8 billion as tighter credit spreads led to lower overall swap execution facility (SEF) market activity.
Institutional client engagement in U.S. ETFs remained robust, with a 4.5% increase in platform volumes YoY to $7 billion while European ETFs were up 10% to US$2.6 billion as broader market volumes remained relatively flat.
In money markets repurchase agreement (repo) ADV was up 35.2% YoY to US$534.7 billion and Tradeweb noted that increased client adoption of its electronic trading solutions drove record global repo activity; US market conditions shifted demand from the Federal Reserve’s reverse repo facility to money markets. Retail money markets activity continued to be strong as interest rates remained elevated.
©Markets Media Europe 2023
