After converging sharply in January, average trade size in euro investment grade (IG) and high yield (HY) has begun to separate again, while bid-ask spreads in both sectors have widened through March.
The new disclosure regime for the European consolidated tape was said to push dealers to trade in larger size to be able to report trades later, but average trade size in Euro investment grade and high yield is starting to move back towards their usual average trade size differential.
At the end of 2025, Euro high yield trades were around €220,000 larger on average than Euro investment grade trades. That gap narrowed sharply at the beginning of 2026 as both markets saw a surge in ticket size. Euro IG average trade size climbed from roughly €370,000 in the week of 28 December to a peak of €937,000 on 11 January. Euro HY rose from around €590,000 to just over €1.04 million over the same period.
The trend of larger IG tickets, possibly driven by dealers seeking to print larger trades and report them later, did not last. By 29 March, Euro IG average trade size had fallen back to about €650,000, while Euro HY was still around €852,000. The difference, just over €200k, is close to what it was, on average, pre consolidated tape in 2025.
Read more: Is Europe’s consolidated tape already shaping trade sizes?
Median bid-ask spreads tightened into February, then widened again through March in conjunction with the dramatic rise in energy prices as the Iran war turns from a strategised short-term, regime-toppling operation to a longer term conflict. In Euro IG, the median spread fell from 10.35bp in the week of 28 December to a low of 5.82bp on 8 February, before rising to 10.92bp by 29 March. Euro HY followed a similar path, tightening from 26.68bp to 17.99bp by late January, then widening back to 25.38bp at the end of March.
If the consolidated tape did alter trading patterns, the effect so far looks more like an opening adjustment period than a permanent re-draw of the market. For now, Euro credit trade sizes appear to be drifting back towards the pre-tape relationship, with high yield still trading in larger clips than investment grade, even after the January squeeze in the gap.
©Markets Media Europe 2025
