Government Bond Data Report Q2 2022 | AFME

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Data Research
Government Bond Data Report Q2 2022
17 Oct 2022
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Author Julio Suarez Director
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AFME is pleased to circulate its Q2 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:


  • European (EU+UK) bonds and bills issuance continue above pre-pandemic levels with EUR 742 bn issued throughout 2Q22, which represents a decrease of 4.4% (QoQ) compared to 1Q22, and a decrease of 16.9% (YoY) compared to 2Q21.


  • During Q2 2022, European quarterly traded volumes decreased 4.9% (QoQ) but increased 10.0% (YoY), according to TraX data from MarketAxess. The traded amount was the highest second-quarter average daily trading volume in European government bonds since records began in 2013.


  • Outstanding amount of European ESG government bonds reached EUR 294 bn during 2Q22. Volumes were driven primarily by 2 syndicated issues by the European Commission (combined volume of EUR 11.0bn), a new French green bond (EUR 4.0bn) and tap issuance in the Netherlands (EUR 5.0bn) and Germany (EUR 4.0bn). Austria issued an inaugural EUR 4.0bn green bond during Q2 2022 bringing the total amount of sovereign issuers in European ESG markets to 18.


  • There was a net increase of 2 primary dealers in Europe during January 2022-September 2022. There were 6 entries and 4 exits of banks to the European primary dealer system during this period, affecting sovereign debt markets in 7 countries. The positive net increase in PDs marks a new direction for European sovereign markets with the median number of PDs in Europe rising for the first time since September 2013.


  • 10Y spot yields continue to rise during Q2 and Q3 2022 amid the ongoing conflict in Ukraine and rates volatility. Across European countries, 10Y spot yields continue to rise. In the UK, yields increased sharply at the end of September as political uncertainty in the UK affected prices and volatility in the sovereign sector. In Poland, 10Y spot yields peaked at 8.1% on 20 June, since recovering 110bp to 7.0% as of 28-September, which is significantly above levels in Jan-22.


  • During 2Q22 there were 2 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q22, bringing the full-year total to 7 upgrades and no downgrades (there were 4 further upgrades in 3Q22). Croatia experienced a boost in credit quality during July 2022, receiving 3 rating upgrades (1 from each credit rating agency), which were linked to the formalisation of Croatia’s adoption of the euro.


  • The average bid-cover ratio (demand/amount allocated) was 2.23 in 2Q22, a decrease of 1.4% (QoQ) from 1Q22 and a decrease of 0.4% from 2Q21 (YoY).