Italian bonds have largest single-day trading volume since 2011.
Italian government bond1 trading volumes and yields rose significantly on Tradeweb's European Government Bond marketplace on the last day of trading in September. Volumes of approximately EUR 5.5 billion represented the single largest day on the platform since 2011 and exceeded recent record volumes set in May. Volumes spiked and yields rose sharply as market volatility once again increased around political news in Italy, coupled with typical month-end dynamics. The record volume was 144% greater than the average daily volume (ADV) for Italian bonds in 2018 so far.
Friday's Italian bonds trading volume was 80% higher than this month's ADV, compared to an average 32% volume premium for month-end trading since January 2017. The last time a single trading day had volumes so high relative to the month was in September 2015. Similarly, Friday saw volumes 167% higher than the average of the previous four trading days in the week; this was a greater increase than we saw May 16th of this year, when volumes rose 113% from the previous four days.
Volumes were also noticeably higher in other government bonds across the continent: Spanish government bond volumes had their largest single day since May, German bunds had their largest single day since June, and UK Gilts had their largest single day since July.
Italian 10-Year BTPs ended the month at 3.148% and a spread of 267.4 basis points (bp) wider than the German Bund; they were 27 basis points higher and 32 basis points wider than they closed on Thursday. This was the largest single day increase in Italian yields since May 29th. However, despite this move, yields and spreads still remain below the levels at which they had started the month.
Yield of the Italian 10Y Benchmark Bond and Spread to German 10Y Bund since 1Q17
The Tradeweb European Government Bond marketplace is a leader in D2C OTC electronic trading of nominal bonds, inflation-linked bonds, treasury bills, strips and CCTs from more than 20 countries in Europe. Launched in 2000, the platform provides buy-side firms with access to liquidity from 36 of the world's largest dealers in EUR, GBP, DKK, SEK, NOK, CHF and HUF issues. Clients also benefit from enhanced pre-trade information and analysis to meet "best execution" requirements, thanks to 3,000+ live axes posted directly by European government bond liquidity providers. Furthermore, Tradeweb's automated trading tool enables buy-side traders to define parameters that determine how to execute different profiles of orders, thus enhancing trading efficiency and capacity to focus on larger size transactions.
1 Nominal bonds, STRIPS and Inflation-Linked Bonds