The Dutch Government bonds may not always command headlines, but it plays an important role in Europe’s debt markets. In this piece, our Quant Lead - Vidal Mehra, takes a closer look at this often overlooked market, uncovering what the data reveals about volumes and yield curve shifts.
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"Flying back over the North Sea, following a recent trip to Amsterdam, my mind turned to the rarely discussed subject of Dutch Government bonds.
As per usual, prior to take off one of my fairly standard rituals is to check the latest 10 or 30 year yields, but typically my focus is on UK Gilts, US Treasuries or German Bunds. I first wanted to see what percentage of activity (by notional volume) Dutch Government Bonds made up of the EU total.
We can see, by looking at MiFID data that for the YTD has consistency been around the 2-3% mark, with absolute volumes significantly below the likes of Germany, France and Italy.
I also thought it would be interesting to see if the Dutch Government bond curve shifted much, as there has been plenty of media commentary on long end yields in particular, with France, the US and UK all frequently appearing in the news and we can see that the curve has steepened, with the vast majority of activity (unsurprisingly) around the 10 year point."
If you would like to find out more about how to gain insights from MiFID data, please contact Propellant via info@propellant.digital.