Government Bond Data Report Q3 2022 | AFME

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Data Research
Government Bond Data Report Q3 2022
16 Nov 2022
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Author Julio Suarez Director
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AFME is pleased to circulate its Q3 2022 Government Bond Data Report.


This report provides a comprehensive data source with updated statistics on the Government bond primary and secondary markets in Europe (EU+UK).


Report highlights include:

  • EU Member States and the UK issued EUR 704 bn in bonds and bills throughout 3Q22, which represents a decrease of 4.6% (QoQ) compared to 2Q22, and a decrease of 9.1% (YoY) compared to 3Q21.

  • During Q3 2022, European quarterly traded volumes decreased 9.0% (QoQ) but increased 19.0% (YoY), according to TraX data from MarketAxess. The traded amount was the highest third-quarter average daily trading volume in European government bonds since records began in 2014.

  • Government bond trading activity in the UK reached a 28-month high in the week commencing 30-Sep, increasing 99% week-on-week, amid heightened volatility and a significant amount of repricing in the UK sovereign sector.

  • Outstanding amount of European ESG government bonds reached EUR 315 bn during 3Q22. Volumes were driven by new issues in Italy (EUR 6.0 bn), Germany (EUR 5.0 bn) and Belgium (EUR 4.5 bn) and tap issuance in the UK (EUR 5.7 bn), Denmark (EUR 0.7 bn) and France (EUR 0.5 bn). Following the latest green issue, Italy now holds the fourth largest amount of outstanding ESG government bonds out of European sovereign issuers.

  • 10Y spot yields continue to rise in 2022 year to date (as of early November). The 10Y spot yield rate in DE, DK, SE, ES, IT and PL reached new 2022 peaks in October 2022 amid the ongoing conflict in Ukraine and rates volatility. Among European countries, 10Y spot yields in Sweden increased by the smallest magnitude from Aug-22 to early Nov-22, rising 30.5bp during this period.

  • During 3Q22 there were 5 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q22, 2 upgrades and no downgrades in 2Q22, bringing the full-year total to 8 upgrades and no downgrades European credit quality has remained resilient throughout and after the pandemic, with sovereign issuers having 15 upgrades in total since 1Q21.

  • The average bid-cover ratio (demand/amount allocated) was 2.3 in 3Q22, an increase of 3.3% (QoQ) from 2Q22 and an increase of 4.3% from 3Q21 (YoY). Weighted average bid-cover ratio for NGEU bond and bill auctions converged to the European average during 3Q22. New NGEU bonds, which are typically brought to the market via syndicated issues, have experienced oversubscription rates significantly above the weighted average European bid-cover ratio since 2Q21.