International Capital Market Features

With respect to sovereign bonds, the report also covers trade count and trade sizes, trade size distribution channels (trading venue or systematic internaliser), trade size distribution by distribution channel, regulatory jurisdiction (EU or UK), deferrals, and the Top 10 traded bonds (EU and non-EU). A special section looks more closely at how the UK gilt market performed following the September mini budget.

Corporate bond volumes

The total notional value of corporate bonds traded in 2022 was €4,845 billion, made up of 5,838,745 transactions in 40,218 discrete ISINs. This is an average daily notional value of €18.6 billion. 59.7% of total traded notional (€2,893 billion) was EUR denominated, with 31.1% (€1,505 billion) USD denominated. GBP denominated corporate volumes made up 6.5% (€313 billion) of the total. Other currencies account of 2.8% of total notional value (€134 billion).

EUR denominated corporate bonds

The total notional value of EUR denominated corporate bonds traded in 2022 was €2,893 billion. This is an average daily notional value of €11.1 billion. In terms of trends, there is a drift lower in daily traded volumes over the course of 2022. While this could be related to the overall trend in credit spread widening during this period, it is notable that volumes decrease sharply during August, during a brief reversal in the widening trend. Volumes pick up again during the OctoberNovember rally, before dropping sharply in December into year-end. This is despite a small uptick in outstanding underlying issuance over the period.

There appears to be no obvious correlation between traded volumes and the size of the market, with outstandings of

EUR corporate bonds steadily increasing over the year. This can also be seen in the estimate of monthly turnover (traded volumes as a percentage of outstanding market size), which trends lower through to August (with a high of 3.5% in March, and a low of 2.1% in August), before picking up from September through November (where it reaches 3.4%), and then moving sharply lower in December (2.0%).

With respect to corporate bonds, the report also includes trade count and trade sizes, trade size distribution, trade distribution channels (venue or SI), trade size distribution by distribution channel, and regulatory jurisdiction.

Contact:

Andy Hill andy.hill@icmagroup.org