27 September 2023

ICMA publishes the third semi-annual report that provides detailed data on EU and UK bond market trading activity

ICMA’s Secondary Market Practices Committee (SMPC) has published its third semi-annual report that provides detailed data on EU and UK bond market trading activity. This report was produced in collaboration with Propellant.digital.

One of the core objectives of MiFID II/MiFIR was to provide greater public transparency of secondary trading activity in the EU and UK markets. As solutions have evolved to consolidate the disperse sources of public data, ICMA has sought to leverage the capabilities of such initiatives to provide a detailed and holistic view of bond market activity in the EU and UK.

The report captures more than 80% of all secondary bond market transactions reported in the EU and UK and is therefore relatively representative of the aggregated bond market data as reported under the MiFID II/MiFIR obligation.

This report, which follows the report published for H2 2023, provides an update after the first full year of bond market data, covering the period of January 2023 through June 2023. Working with Propellant, ICMA believes that this latest data set continues to build an accurate reflection than the previous report.

ICMA commits to updating this report on a semi-annual basis in order to be able to track long-term trends in secondary bond market structure and activity. ICMA also expects that in time both the depth and quality of the underlying data will improve, particularly as reports such as this seek to present a definitive picture of the European bond markets.

This report provides an overview of European trading activity for both the sovereign bond and corporate bond markets,
comparing our latest findings with past performances since January 2022. Specific changes and trends relative to past
reports can be summarised as follows:
• Traded volume for sovereign bonds in H1 2023 has increased by 2.7% compared to H1 2022, representing 53.8% of total traded volume in the full year of 2022;
• In both sovereign and corporate bonds, a decrease in average and median trade sizes is observed;
• The average trade size decrease varied between 10% and 37%, depending on the issuing country for sovereign bonds;
• For corporate bonds, the average trade size decrease from H1 2022 to H1 2023 ranges between 3% and 19%, depending on currency;
• The only subclass where the average trade size seems to have increased were US issued sovereign debt, as well as USD denominated non sovereign debt;
• In terms of number of trades, it is worth noting that trade counts have increased 21% for sovereign bonds and 8% on the credit side;
• In both segments, bonds are mainly traded via systematic internalisers (SI) (59% in sovereign bonds and 56% in corporate bonds, respectively). We also analysed traded notional and trade count across different trade size bins, observing an increase in the proportion of SI trades as trade size increases;
• Contrary to what has been observed on the sovereign bonds side, we could identify an increase in D2C transactions on the credit side, compared to H1, 2022.

full paper

ICMA

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