20 Mar 2018

Government Bond Data Report Q4 2017

This report provides a comprehensive data source with updated statistics of the Government bond primary and secondary markets in Europe (EU28).

Report highlights include:

  • 2017 EU government bond trading volume remained very similar to the level seen in 2016, with a slight decrease of 0.3%. This is consistent with the findings on a national level, as of the countries where trading volume data for full year 2017 is available, 6 countries experienced an increase in trading volumes and 6 experienced a decrease.

  • The notable 4Q17 quarterly (78%) and annual (41%) increase in trading volumes for Italian government bonds was likely driven by a combination of the run up to the Italian general election in March 2018 and a credit rating upgrade in October 2017.

  • BOX (found on page 7): Over €178 billion of outstanding government bonds are indexed to EURIBOR, with the Italian Government accounting for over €148 billion. There is some uncertainty over the future treatment of these bonds given the ongoing questions of whether EURIBOR will be complaint with the EU Benchmarks Regulation or sustainable with a quote driven calculation methodology from panel banks.

  • Nine countries saw a quarterly increase (3Q17 to 4Q17) in weighted average years to maturity of outstanding government bonds of greater than 1%, with 5 of these countries from Central and Eastern Europe. 

  • There were 15 upgrades to the credit ratings of EU countries in 2017 compared to 2 downgrades, resulting in an upgrade/downgrade ratio of 7.5. This ratio is significantly higher than the equivalent value of 1.4 in 2016. The 2017 upgrade/downgrade ratio for government bond issuers was also higher than for securitisations and high yield bonds.