Monday, March 25, 2013

Celent Report on Electronic Trading in US Corporate Bonds

Here are some statistics from the recent Celent report on US Corporate bond trading.

  • As of January 2013, holdings of corporate bond inventories at the 21 dealers that trade with the Federal Reserve have declined by 74% to $56.4 billion since the 2007 peak. 
  • Only 30 bonds a day have more than five trades on either side in institutional size with names changing all the time due to new issues, according to MarketAxess. 
  • According to ITB, since 2009 odd lots/super-odd lots notional (US$100K$1M) have seen an increase in daily notional volume of 33%. 
  • There has been only a modest increase in ADV (up 6%) for trade size US$1M$25M since 2009. 
  • Average trade size on RFQ platforms (i.e., MarketAxess) has been declining 56% per year.
  • Average trade size on MarketAxess high grade is now ~$400K. 
  • In the US, corporate bonds volumes compiled with TRACE data are only slightly up year on year at just under $12 billion of average daily volume, and it has been rather stable for the past four years 

I've integrated some platform specific statistics from Celent into the listing of electronic venues