AMCC Bond Market Liquidity Working Party - Member questionnaire on corporate bond market micro-structures and behaviours

Sell-side Questionnaire

This questionnaire is targeted at market-makers and other liquidity providers for corporate bonds.

Note that all responses will be aggregated and treated with full anonymity.

Respondent details

Firm
Title/Position
Respondent name
Contact email
Location

Relevant region

North America (US &/or Canada) Europe (incl. UK) Japan Brazil Other

On average what percentage of the following investor types constitute your corporate bond secondary market flow business (in terms of notional value):

Pension Funds
Insurance Funds
Bank Treasuries (including Development Banks)
Central Banks
Institutional Fund Managers (Passive)
Institutional Fund Managers (Active)
Retail Fund Managers (Passive)
Retail Fund Managers (Active)
Hedge Funds (Credit)
Hedge Funds (other)
ETF APs/Market-Makers
Corporate Treasuries
Direct Retail/PWM
Credit Market-Makers/IDBs
Other
Please Specify (Other):

Under stressed market conditions (such as during the Mar-April 2020 turmoil), based on observation, how do these counterparties change their behavior?

Pension Funds More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Insurance Funds More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Bank Treasuries (including Development Banks) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Central Banks More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Institutional Fund Managers (Passive) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Institutional Fund Managers (Active) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Retail Fund Managers (Passive) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Retail Fund Managers (Active) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Hedge Funds (Credit) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Hedge Funds (other) More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
ETF APs/Market-Makers More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Corporate Treasuries More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Direct Retail/PWM More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Credit Market-Makers/IDBs More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand
Other More active sellers More active buyers More active generally (sell & buy) Less active generally No material change in demand

Under stressed market conditions (such as during the Mar-April 2020 turmoil), how are you likely to alter trading/quoting protocols?

Voice (incl. move-to-venue) Increase Remain the same Decrease N/A
Electronic RFQ (D2C) Increase Remain the same Decrease N/A
RFQ All-to-All Increase Remain the same Decrease N/A
Streaming/CTT Increase Remain the same Decrease N/A
CLOB Increase Remain the same Decrease N/A
Auction Increase Remain the same Decrease N/A
Matching engines/information networks Increase Remain the same Decrease N/A
Portfolio trading Increase Remain the same Decrease N/A
Other Increase Remain the same Decrease N/A

What are the key drivers of the change in behavior with regards to use of secondary trading venues/platforms?

What are the key drivers of the change in behavior with regards to primary markets?

Compared to normal circumstances, what was your experience in terms of trading volumes and your inventory (balance sheet) allocation to Investment grade (IG) corporate bonds? (e.g. significant increase in trading activity and corresponding increase in inventories, no increase in trading volumes but material increase in inventories, significant increase in trading activity but no material impact on inventories, other - please specify)

Compared to normal circumstances, what was your experience in terms of trading volumes and your inventory (balance sheet) allocation to High-Yield (HY) corporate bonds? (e.g. significant increase in trading activity and corresponding increase in inventories, no increase in trading volumes but material increase in inventories, significant increase in trading activity but no material impact on inventories, other - please specify)

How did your firm manage risks regarding trading volumes and inventories during the stress? (e.g. allocating capacity mainly to key clients, managing risks through bid-offer spreads, adjusting trading and inventory limits)