AFME Government Bond Data Report Q4 2020 | AFME

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Data Research
AFME Government Bond Data Report Q4 2020
17 Mar 2021
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Author Julio Suarez Director
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AFME is pleased to circulate its Q4 2020 Government Bond Data Report.


This report provides a comprehensive data source with updated statistics on the Government bond primary and secondary markets in Europe (EU27+UK).


Report highlights include:


  • During Q4 2020, quarterly traded volume remained at EUR 65.2 bn, equal to the volume observed in Q3 2020. Overall, during 2020 full-year, average trading volumes were the highest since 2015 according to MarketAxess.


  • The average bid-cover ratio (demand/amount allocated) was 2.50 in 4Q20, an increase of 12.3% (QoQ) from 3Q20 and an increase of 18.0% from 4Q19 (YoY).


  • During 4Q20 there were 4 long-term credit rating upgrades for European countries and 1 downgrade, bringing the 2020 full year total to 8 upgrades and 4 downgrades.


  • There were 9 exits and 3 entries of banks to the European Primary Dealer system between August 2020 and January 2021, affecting sovereign debt markets in 7 countries. There are now 15 European sovereign issuers, representing two-thirds of European countries which have an active PD system, at the lowest or below the lowest number of Primary Dealers on record.


  • The unprecedented funding demands during 2020 have meant that a record EUR 3,675 bn of bonds and bills were issued throughout 2020 full year, the largest issuance volume of any year on record. Most recently, however, there has been a partial normalisation in issuance volumes of European (EU+UK) bonds and bills issuance with EUR 614.5bn issued throughout 4Q20, which represents a decrease of 37.3% (QoQ) compared to 3Q20, and an increase of 31.0% (YoY) compared to 4Q19.


  • Outstanding amount of EU green government bonds surpassed EUR 75bn during 4Q20 in which EUR 14.5bn of green bonds were issued – the highest quarterly issuance volume of green government bonds in Europe to date. Volumes were driven primarily by the inaugural issuance of the green German bund (EUR 5.0bn), and tap issuance in the French, Belgian and Hungarian green bonds, which raised outstanding volumes of European green government bonds to EUR 75.7bn.


  • There is some degree of evidence of small green premia relating to green bond issues within Belgium, France and Ireland. Green bond yields in jurisdictions and time periods considered in the report have been consistently below that of the conventional yield curve. Auctions of green securities in H2 2020 in Belgium saw enhanced levels of demand, as measured by high relative bid-cover ratios, suggesting investor appetite of green sovereign bonds in Belgium may have increased during the Covid-19 pandemic.