Tradeweb and Bloomberg MTF Market Share

  • Thanks to Tradeweb and Bloomberg for providing transparent data for January trading across their MTFs.
  • Our analysis shows a 50/50 market share for D2C IRS trading.
  • We have so far only looked at Interest Rate Swaps.
  • Our analysis shows that 37% of customer EUR IRS trading is happening on-venue.

MIFID Data…but first…

We currently have two sources of reliable data under MIFID II – Tradeweb and Bloomberg. Both of these companies operate both an MTF and an APA.

Today, we will look at their MTF data in Interest Rate Swaps to assess their market shares.

From our work in SEFView, we know that Tradeweb and Bloomberg account for almost all Dealer to Client trading in Interest Rate Swaps that takes place across a SEF (there are of course still plenty trades transacted bilaterally, away from a SEF).

Source: SEFView

January’s data from SEFView shows that;

  • For Rates trades (excluding FRAs), there were three active D2C SEFs.
  • For the market as a whole, 46% of notional traded across a D2C SEF (the rest was on D2D venues).
  • Tradeweb had a 52% market share of D2C notional.
  • Bloomberg 36%.
  • TrueEx a very healthy 12.3%.
  • Some of theis volume is due to compression activity on D2C SEFs. So far, we’re not sure any of this compression is coming through on MTFs.

Bloomberg vs Tradeweb – it’s a draw

Headlines:

  • €80bn notional-equivalent traded across the Bloomberg MTF from 9th to 16th January.
  • €76bn traded across the Tradeweb MTF for the same period.
  • In DV01 terms, €65m (Bloomberg) plays €62m (Tradeweb).
  • Tradeweb traded far fewer tickets (943 versus 1,289 on Bloomberg). Average trade size is therefore 30% larger on Tradeweb.
  • Bloomberg register a 51% market share.
  • Remember this is based on only one week’s worth of data!

Weekly Aggregated Statistics

For Tradeweb;

Tradeweb Summary Stats

And Bloomberg;

Bloomberg Summary Stats

Showing;

  • Broadly similar totals across each platform.
  • 30% higher trade count across the Bloomberg MTF. But only in three currencies.
  • Very similar amounts of risk and notional traded across each platform.
  • Across all currencies, it’s a 51% market share for Bloomberg.

Trade Counts

Time for some charts. Does anything jump out?

Trade Counts of IRDs transacted across each MTF 9th-16th Jan 2018

 

EUR IRS per day

With EUR IRS dominating trading across each platform, it makes sense to drill-down further:

EUR IRS Volumes per day (€ millions DV01)

Showing;

  • Tradeweb traded a total of €54m in DV01 vs €57m at Bloomberg.
  • Notional amounts were €65bn at Tradeweb vs €69bn at Bloomberg.
  • Tradeweb saw higher volumes on 3 days.
  • Bloomberg saw substantially higher volumes on the 9th January (double Tradeweb, +€6.5bn). We need to bear in mind that this was the first Tuesday delayed publication date, so we may have seen some reporting irregularities.
  • Overall, we are calling a 51% market share for Bloomberg in EUR IRS. Bear in mind the small sample size (6 trading days).

The Trading Obligation

We can now update last week’s blog analysis. We know the actual volumes traded across the Bloomberg MTF. Therefore, our “success of the Trading Obligation” now looks like:

MTF Volumes on D2C platforms compared to volumes reported to APAs

Showing;

  • Total EUR IRS volumes reported to APAs (Tradeweb and Bloomberg) versus volumes traded across the D2C MTFs (Tradeweb and Bloomberg MTFs).
  • We only look at tenors subject to the European trading obligation.
  • Due to the ISIN debacle, we can only assume that all swaps are spot-starting.
  • The Tradeweb MTF ADV is €6.8m for EUR IRS in tenors subject to the Trading Obligation.
  • The Bloomberg MTF ADV is €9.3m for EUR IRS in tenors subject to the Trading Obligation.
  • The APA ADV is €28m for EUR IRS reported off-venue in tenors subject to the Trading Obligation.
  • Therefore, 37% of D2C EUR IRS risk subject to the Trading Obligation is actually transacting across a venue.

In Summary

  • The Bloomberg MTF claims a 51% market share in IRS trading. This is extremely concentrated in EUR IRS.
  • For D2C activity in EUR IRS alone, it looks like only 37% of risk traded is actually occurring on a venue.
  • We applaud both Tradeweb and Bloomberg for aiding transparency in European Rates markets.

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