Summary of the Methodologies
Government Bond Data Report
1. Issuance
1.1. – 1.4. Government bond issuance by type, region and currency
The charts aggregate central government gross debt issuance volumes originated by EU28 member states. It excludes debt issued by government agencies and Central Banks.
Issuance data of Eurozone member states are sourced from the European Central Bank (ECB) “Debt securities issued by euro area residents by original maturity; currency and sector of the issuer” report with “Central Government” as the basis of aggregation. The data are available here.
Issuance volumes of non-Eurozone member states are sourced from national Debt Management Offices (DMO), Central Banks and Ministries of Finance depending on data availability. More specifically:
Data are aggregated in Euros by converting the original values of non-Euro volumes using the relevant daily currency pair exchange rate as published by the ECB. Data available here.
For Charts 1.1 and 1.2, “Bills” refer to central government debt securities issued with a tenor of 1 year or less, while “Bonds” relate to central government debt securities issued with a tenor of above 1 year.
1.5. – 1.6. Net sovereign debt issuance
Net issuance relates to gross issuance volumes originated by central governments net of redemptions during the relevant period. As in 1.1-1.4, the data excludes debt securities issued by agencies and other related general government securities.
For Eurozone member states, data are sourced from the ECB’s “Debt securities issued by euro area residents by original maturity; currency and sector of the issuer” report with “Central Government” as the basis of aggregation.
For UK net issuance, data are sourced from the UK Debt Management Office according to the “Monthly Gross and Net Issuance report” available here.
2. Auctions and Primary Dealers
2.1. – 2.7. Bid-cover ratios
Bid-cover ratios data is sourced from Thomson Reuters Eikon for 10 jurisdictions (selected based on overall outstanding debt size and auction data quality). Where the data is not in Euros, it is converted using the relevant exchange rate from the ECB as in 1.1–1.4.
2.8.- 2.10. European Primary Dealers
The number of European primary dealers are sourced from AFME’s Primary Dealers handbooks as published for the relevant period, and from AFME’s regularly updated Primary Dealers list for the counterparty type definitions under the Harmonised Reporting Format (or “HRF table”).
In Belgium, the list also aggregates “Recognised Dealers” in the total number of Primary Dealers.
In Germany, members of the “Bund Issues Auction Group” are aggregated. Technically, there are no primary dealers but banks which are members of the auction group.
In the Netherlands, the list also aggregates “Single Market Specialists” in the total number of Primary Dealers.
3. Outstanding
3.1. Outstanding debt securities issued by central governments
2009-2015 outstanding volumes are sourced from the ECB “Debt securities outstanding (Securities other than shares, excluding financial derivatives). 1Q16 and 2Q16 outstanding volumes are sourced from Thomson Reuters Eikon (see section 3.2-3.6 for the methodology and aggregation basis).
3.2. – 3.8. European Government bonds outstanding
The charts display outstanding central government gross debt volumes originated by EU28 member states. It excludes debt issued by government agencies and Central Banks.
The data is sourced from Thomson Reuters Eikon and is required to have a maturity date, issue date and issue amount in order to be included. The data was sourced with issue amounts in US Dollars and so was converted to Euros using the relevant exchange rate from the ECB as in 1.1–1.4.
The credit ratings used in 3.6 are the long term foreign currency issuer credit ratings and are sourced from Standard and Poor’s as reported by Thomson Reuters Eikon at the end of the relevant quarter.
4. Credit Quality
4.1. – 4.4 Credit ratings in selected European jurisdictions
Charts 4.1-4.4 aggregate the long-term credit rating in foreign currency of EU 28 member states as rated by Standard and Poor’s. Data were retrieved from Thomson Reuters Eikon but primarily sourced from Standard and Poor’s.
4.5.-4.6. Relationship between S&P long-term credit ratings and CDS and OAS
Chart 4.3 illustrates the relationship between S&P long-term credit ratings in foreign currency as described in charts 4.1-4.2, with sovereign Credit Defaults Swap rates.
Credit ratings are sourced from Standard and Poor’s as reported by Thomson Reuters Eikon as of the end of the relevant quarter.
CDS data are sourced from Deutsche Bank’s web-based platform “Sovereign default probabilities online” available here.
For purposes of comparability, the CDS spreads assume a recovery rate of 40% across all jurisdictions.
Chart 4.4 illustrates the relationship between S&P long-term credit ratings in foreign currency and Option-Adjusted spreads (OAS). OAS are sourced from Barclays Capital.
4.7. European rating actions
Rating actions on long-term foreign currency ratings of EU28 member states as rated by Standard and Poor’s, Fitch and Moody’s. Changes to credit outlooks are not aggregated.
The column “rationale” is a summary of the main drivers behind the respective rating actions as per the agencies’ press releases and detailed ratings reports.
5. Trading volumes and turnover ratio
5.1. – 5.19 Trading volumes and turnover ratio
The charts display secondary market daily average trading volumes and turnover ratios for the selected jurisdictions. The turnover ratio is equal to the daily average trading volume divided by the total outstanding debt volume for the country at the time of the trading.
Trading volumes are sourced from Trax, a MarketAxess subsidiary, national Debt Management Offices (DMO), Central Banks and Ministries of Finance depending on data availability.
Trax data includes Government & Sovereign bond volumes for EU28 member states as per the AFME methodology. The volumes are calculated by converting the individual traded securities to EUR using the prevailing exchange rate on the date of each trade. ADV calculated by dividing the total converted volume by the number of UK trading days for quarter. Secondary Market Volumes (please note this is restricted to 2013-Q3 onwards as split not available prior to this date).
Publicly available sources are:
6. Valuations
6.1. Selected European 10Y benchmark yields
The chart aggregates the end-of-month sovereign 10Y benchmark yield rates in selected European jurisdictions (United Kingdom, Sweden, Poland, Spain, Denmark and the Euro zone benchmark). The Euro zone yield rate is sourced from the ECB and relates to the AAA-rated benchmark sovereign interest rate for a 10-year tenor. The yields for the other jurisdictions are sourced from Thomson Reuters Eikon.
6.2. Sovereign spot yield curve
Spot yield curve for jurisdictions for the 1 to 10 years maturities as of the selected period. All data points are sourced from Thomson Reuters Eikon.
6.3. Slope of the sovereign debt yield
The chart aggregates the difference between 1 year and 10-year spot rates in the selected jurisdictions. The slope of the Euro zone curve is sourced from the ECB and relates to the slope of AAA-rated benchmark sovereign yields. The slopes of the other jurisdictions are sourced from Thomson Reuters Eikon.
6.4. Implied inflation expectations in the Euro zone
The chart aggregates the historic market-implied HICP inflation expectation of the Euro zone for 1 and 5 years ahead. Specifically, EUIL1YF1Y=R and EUIL5YF5Y=R contracts retrieved from Thomson Reuters Eikon.
6.5. Overnight index swap (OIS) yield curve
The chart aggregates the OIS yield curve in the respective jurisdictions, illustrating the market-implied expectations of future changes in the central banks’ policy rates. All data points are sourced from Thomson Reuters Eikon and retrieved during the disclosed day.
6.6. 5Y Sovereign Credit Default Swap
The chart aggregates historic 5Y CDS spreads for selected jurisdictions. For purposes of comparability, the CDS spreads assume a recovery rate of 40% across all jurisdictions. Data are sourced from Deutsche Bank’s web-based platform “Sovereign default probabilities online”.