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COVID-19 Market Updates: Market data & commentary

COVID-19 impact on capital markets and the response
- ICMA Quarterly Report Second Quarter 2020, published 6 April 2020

During the ongoing market volatility and disruptions arising from the global COVID-19 pandemic, ICMA is closely monitoring and documenting market performance over this period. In particular with focus on the European IG credit and sovereign bond secondary markets and the European repo market (sovereign and credit).

Recording and analysing markets during this time will likely prove invaluable in assessing and informing ongoing and future regulatory roll-outs and policy initiatives (e.g. SFTR, CSDR, FRTB).

ICMA’s ability to do this depends wholly on member input, which is synthesised and anonymised. If you wish to contribute relevant comments, observations, or data, please contact the secretariat at the bottom of this page.


Data last updated 6 April 2020:

Podcasts on market developments

8 April 2020: COVID-19 ICMA Asset Management & Investors Council weekly market update with Robert Parker

Robert Parker reviews the market events of the last week, with specific focus on recent economic indicators, implementation of monetary and fiscal stimulus across the globe and the perception by investors of the latest COVID-19 news.

8 April 2020: The impact of COVID-19 on the Chinese capital market and digital economy

Esmond Lee, CEO of Euroclear Bank Hong Kong Branch, discusses in light of COVID-19 the outlook of the Chinese economy and capital market, the measures implemented by Chinese regulators, and some inspirational thoughts on a post COVID-19 world of digital economy.

2 April 2020: Social Bonds on the rise

Social bonds are gaining traction with market participants and are especially relevant in the context of the COVID-19 crisis. Simone Utermarck, Director, Sustainable Finance, ICMA speaks to Denise Odaro, Head of Investor Relations, the International Finance Corporation about key features of social bonds and the Social Bond Principles, next steps in this area and the applicability of social bonds in addressing socioeconomic issues including those arising from COVID-19.  
2 April 2020: Importance of the primary debt market and current conditions under COVID-19

Jean-Marc Mercier, Vice-Chairman of Capital Markets, HSBC and Deputy Chairman, ICMA, discusses the role of the primary markets in providing opportunities for issuers and investors, reviews how they are functioning in the COVID-19 environment, and highlights their importance in financing the real economy.

See more podcast episodes on the ICMA Podcast page.

Key market indicators

ICMA analysis using Bloomberg data (3 April 2020)

Key data points of the week

Last week the story was very much about the sharp increase in oil prices, with the expectation of coordinated supply reductions, and the record-breaking plummet in the US jobs numbers.


ICMA analysis using Bloomberg data (3 April 2020)

US Non-Farm Payrolls

ICMA analysis using Bloomberg data (3 April 2020)

Key indicators as ETFs

Performances of ETFs providing exposure to global sovereign bonds (green), investment grade bonds (orange), high-yield (black), emerging debt (blue) and S&P 500 (red) (as of 4 April 2020):

Source: Bloomberg

Primary Issuance

Corporate issuers seem to have taken advantage of the reduced volatility and more stable operating environment, and last week was one of the best weeks of 2020 for non-financial corporates coming to market. We expect issuance to remain opportunistic and underpinned by central bank corporate bond purchases.

Euro-MTN Issuance (all currencies)

ICMA analysis using Bloomberg data (3 April 2020)

Credit Markets

While credit spreads continued to drift wider over the week, particularly in high yield, there is a sense of normality coming into the market as primary issuance enjoys a strong week and as traders get used to working remotely (with voice still the prominent protocol of choice). There are reports that buyers are coming back into the market to snap up better rated paper, helped by central bank purchases, while looking to offload lower quality credits.

 European credit spreads

Source: ICMA analysis using Bloomberg data (3 April 2020)

ICE Data Services Liquidity Tracker

Source: ICE Data Services (20 March 2020)

iShares iBoxx $ Investment Grade Corporate Bond ETF

Source: ICMA analysis using Bloomberg data (3 April 2020)

Government Bond Markets

Government bond yields have remained relatively range bound the past week, despite oil paring some its losses and pretty shocking US jobs data. In the Eurozone, peripheries continue to edge wider after the sharp tightening following the ECB’s update on the scope of the PEPP the previous week.

Government Bond Yields

Source: ICMA analysis using Bloomberg data (3 April 2020)

Money Markets and Repo

Repo markets continue to ‘normalize’, as the safe haven rush to the very short end reverses, and as the market assimilates hedge fund unwinding and prices in increased supply.

Quarter end was relatively muted across USD, Euroland, and Sterling, with an abundance of cash in the system.

In the US, the short-end focus is very much on credit quality, which can be seen in the relatively wide Libor-OIS spread. The roll-out of the CPFF should go somewhere to help ease this pressure.

In Euroland, while German GC has normalized to trade close to €STR, there has been some marginal cheapening of peripheries in line with widening spreads in the cash market. Meanwhile, trading on venues has returned to normal levels following the shift to trading remotely.

EUR Money Market Rates

Source: ICMA analysis using Bloomberg data (3 April 2020)

GBP Money Market Rates

Source: ICMA analysis using Bloomberg data (3 April 2020)

USD Money Market Rates

Source: ICMA analysis using Bloomberg data (3 April 2020)

FX Basis

Source: ICMA analysis using Bloomberg data (3 April 2020)

Libor vs OIS spread
Historically the 3mth LIBOR vs overnight index swap (OIS) spread has been a barometer of credit pressures in the banking system (effectively a proxy for short-term secured vs unsecured lending rates). Below are the spreads for USD, GBP, and EUR.

Not surprisingly, we see a notable spike over the recent weeks; although some of the differentials between currencies could also reflect the amount of excess reserves sloshing through the banking system.

Source: ICMA analysis using Bloomberg Data (3 April 2020)


Email the secondary markets team

Andy Hill
Senior Director, Market Practice and Regulatory Policy; secretary to the Secondary Market Practices Committee and also responsible for overseeing repo policy.
Direct line: +44 20 7213 0335

Gabriel Callsen
Director, Market Practice and Regulatory Policy
Direct line: +44 20 7213 0334