A quiet summer has allowed dealer-to-client electronic trading levels in US rates to reach a yearly high, Coalition Greenwich suggests.
Electronic trading dropped by just one percentage point year-on-year (YoY) across the dealer-to-client space in July, representing 63% of notional volumes – the highest figure recorded this year. Coalition Greenwich suggested that this could be linked to reduced volatility, which was down 11% YoY to 86.13, according to the MOVE index. This also marked a 13% decline over the last three months’ average levels.
Report authors Kevin McPartland, market structure and technology head of research at the firm, and Neha Jain commented, “July’s calmer market likely allowed investors to stick with their more-automated trading workflows, with less need to pick up the phone for block size or additional market colour.”
Overall US rates e-trading levels dipped over the month, falling four percentage points YoY to 55% of the total market. Dealer-to-dealer e-trading volumes maintained two-year lows of 49%.
Average daily notional volumes were US$914 billion, up 6% YoY, but down 19% compared to averages over the last three months. This was the result of trading between dealers in on-the-run coupon bonds with 10-year or less durations, Coalition Greenwich stated.
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