Order book for Retail Bonds - London Stock Exchange · 2020. 1. 30. · GB00B4MTS317 £35.0m RBS...

Order book for Retail Bonds

Secondary Market Liquidity Report

September 2013

Highlights

Source: London Stock Exchange

• Total on-book value traded on ORB securities in August has shown a fourfold increase year on year from August 2012.

Value traded in corporate bonds up 118.6%

Value traded in gilts up 991.7%

• Average trade size on all ORB corporate bonds: £58k

• Average trade size on ORB dedicated issues: £28k

• Average on-book spreads on corporate bonds reduced by 8.8%

• Average on-book spreads on ORB gilts reduced by 8.0%

1.0

Corporate bonds

On-book liquidity


On-book trading values

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Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13

Millio

ns

On-book Value Traded (left axis)

Number of Trades (right axis)

Value traded – Breakdown by issue


ISIN Security Date Listed Issue Size Aug-12 Jul-13 Aug-13

XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m £ - £ 4,723,911 £ 7,725,984

XS0942129957 Helical Bar plc 25/06/2013 £80.0m £ - £ 4,516,536 £ 1,965,987

XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £70.0m £ - £ 3,550,572 £ 5,101,640

XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m £ - £ 4,203,547 £ 2,790,758

XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m £ - £ 1,689,842 £ 1,828,700

XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £145.0m £ - £ 5,805,137 £ 3,273,911

XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m £ - £ 1,544,252 £ 556,351

XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m £ - £ 2,741,490 £ 2,452,166

XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m £ - £ 6,374,004 £ 3,437,615

XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m £ - £ 4,020,742 £ 854,567

XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m £ - £ 9,324,194 £ 6,851,339

XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m £ - £ 2,877,581 £ 6,080,140

XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m £ - £ 2,592,426 £ 1,382,613

XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m £ - £ 2,635,666 £ 2,442,244

XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m £ 553,260 £ 2,947,007 £ 1,577,915

XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m £ 11,751,884 £ 5,659,762 £ 2,622,236

XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m £ 6,278,447 £ 5,053,587 £ 2,479,961

XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m £ 3,192,978 £ 1,268,069 £ 1,159,365

XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m £ 5,547,263 £ 8,185,973 £ 4,045,514

XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m £ 2,969,546 £ 2,256,747 £ 1,422,978

XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m £ 1,187,360 £ 1,413,996 £ 627,452

XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m £ 1,382,330 £ 785,900 £ 430,144

XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m £ 1,019,254 £ 2,891,920 £ 912,671

GB00B3YYW134 RBS 2% 7 Nov 2018 07/11/2011 £20.0m £ - £ - £ 3,566

XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m £ 4,793,250 £ 5,430,264 £ 4,330,118

XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m £ 2,193,262 £ 4,488,179 £ 1,956,762

XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m £ 825,599 £ 2,012,151 £ 788,729

XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m £ 3,064,953 £ 1,138,653 £ 421,463

XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m £ 1,650,487 £ 12,832,276 £ 33,897,852

XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m £ 2,267,169 £ 4,030,543 £ 2,337,969

GB00B42SH312 RBS Var 7 Mar 2017 21/02/2011 £10.0m £ - £ - £ -

GB00B442CZ84 RBS 3.3% 1 Feb 2018 17/01/2011 £15.0m £ - £ - £ 11,622

GB00B4MTS317 RBS Var 6 Dec 2020 06/12/2010 £35.0m £ 225,982 £ 21,172 £ -

GB00B4RM3T66 RBS Var 1 Nov 2022 01/11/2010 £20.0m £ - £ 52,363 £ 15,646

GB00B4P95L57 RBS Var 1 Nov 2022 01/11/2010 £35.0m £ 528,175 £ 871,300 £ 591,958

XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m £ 591,004 £ 656,813 £ 25,657

XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m £ 524,213 £ 1,110,038 £ 337,497

GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m £ 3,413,822 £ 672,617 £ 521,685

On-book most traded bonds

Eight out of ten among the most heavily traded bonds on the electronic order book are “dedicated

ORB issues”


Top ten ORB bonds by on-book value traded only. Monthly figure, August 2013

ISIN BOND DETAILS £ VALUE TRADED NUMBER OF TRADES

XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 £ 1,441,099 29

XS0805454872 ICAP 5.5% 31 Jul 2018 £ 747,131 20

XS0947705215 Bruntwood 6% 24 Jul 2020 £ 674,955 22

XS0832324981 Workspace 6% 9 Oct 2019 £ 411,422 15

XS0678522490 National Grid 1.25% 6 Oct 2021 £ 368,974 14

XS0184639895 Hammerson 6% 23 Feb 2026 £ 367,697 21

XS0052067583 British Telecom 8.625% 26 Mar 2020 £ 270,030 9

XS0900863084 Provident Financial 6% 27 Sep 2021 £ 259,213 10

XS0780063235 Tesco Bank 5% 21 Nov 2020 £ 245,833 12

XS0731910765 Places for People 1% 31 Jan 2022 £ 244,288 9

Spread Analysis

Source: London Stock Exchange. The Average Spread is the weighted average of the bid-ask spread on each instrument since issue.

ISIN Issuer Name Date Listed Issue Size Avg Spr (bp) Aug-13 (bp)

XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m 26.3 25.1

XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m 45.5 71.1

XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m 46.5 71.7

XS0942129957 Helical Bar 6% 24 June 2020 25/06/2013 £80.0m 74.2 82.6

GB00B3YYW134 RBS 2% 7 Nov 2018 07/11/2011 £20.0m 89.4 83.8

GB00B442CZ84 RBS 3.3% 1 Feb 2018 17/01/2011 £15.0m 92.7 85.1

XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m 68.6 87.3

GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m 79.4 88.7

XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m 66.3 94.5

XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m 67.9 95.2

GB00B4MTS317 RBS Var 6 Dec 2020 06/12/2010 £35.0m 102.3 96.5

GB00B42SH312 RBS Var 7 Mar 2017 21/02/2011 £10.0m 118.6 97.1

GB00B4RM3T66 RBS Var 1 Nov 2022 01/11/2010 £20.0m 100.8 97.6

XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m 73.9 99.4

XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m 67.0 101.2

GB00B4P95L57 RBS Var 1 Nov 2022 01/11/2010 £35.0m 105.5 101.8

XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m 65.3 104.2

XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m 102.3 116.2

XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m 125.4 119.6

XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m 78.8 123.9

XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m 93.0 130.4

XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m 57.1 131.6

XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m 75.2 133.0

XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m 82.3 136.0

XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £70.0m 112.7 138.6

XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £145.0m 93.6 144.3

XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m 69.9 146.8

XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m 93.4 148.4

XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m 149.1 158.7

XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m 96.5 171.2

XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m 85.6 171.6

XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m 102.6 172.5

XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m 98.7 176.3

XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m 88.3 184.2

XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m 79.7 190.0

XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m 129.7 193.4

XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m 127.1 207.2

XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m 136.9 214.0

Turnover Velocity (1)

Source: London Stock Exchange – see next page for details and methodological note

ISIN Issuer Name Date Listed Issue Size Avg.Turn.Vel. (since issue) Ann.Turn.Vel. (Jul-13)

XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m 149% 185%

XS0942129957 Helical Bar 6% 24 June 2020 25/06/2013 £80.0m 80% 29%

XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £70.0m 120% 87%

XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m 146% 52%

XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m 107% 37%

XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £145.0m 68% 27%

XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m 74% 14%

XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m 86% 33%

XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m 99% 52%

XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m 64% 13%

XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m 68% 27%

XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m 88% 127%

XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m 56% 22%

XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m 76% 37%

XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m 67% 29%

XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m 75% 25%

XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m 81% 40%

XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m 53% 19%

XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m 51% 24%

XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m 52% 14%

XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m 47% 19%

XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m 52% 15%

XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m 54% 18%

GB00B3YYW134 RBS 2% 7 Nov 2018 07/11/2011 £20.0m 2% 0%

XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m 38% 18%

XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m 41% 17%

XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m 35% 19%

XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m 20% 3%

XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m 42% 116%

XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m 37% 22%

GB00B42SH312 RBS Var 7 Mar 2017 21/02/2011 £10.0m 1% 0%

GB00B442CZ84 RBS 3.3% 1 Feb 2018 17/01/2011 £15.0m 1% 1%

GB00B4MTS317 RBS Var 6 Dec 2020 06/12/2010 £35.0m 4% 0%

GB00B4RM3T66 RBS Var 1 Nov 2022 01/11/2010 £20.0m 6% 1%

GB00B4P95L57 RBS Var 1 Nov 2022 01/11/2010 £35.0m 43% 20%

XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m 9% 0%

XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m 28% 16%

GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m 24% 13%

Turnover velocity (2)

Turnover Velocity (value traded as a percentage of issue size) figures show

that, although there is clearly a relationship between issue size and liquidity of

ORB bonds, this relationship tends to become weaker when relative value is

taken into account.

Methodological Note. The average turnover velocity is calculated as value traded as a percentage of

the issue size. Data shown are annualized and take into consideration the period from 1st September

2011 (or issue date, if later) to 31st May 2013. To summarize, the Average Turnover Velocity has been

calculated as below:

𝑛𝑖𝑉𝑎𝑙𝑢𝑒 𝑇𝑟𝑎𝑑𝑒𝑑

𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒 ∗12

𝑛, n = number of months taken into consideration

N.B. Trade volumes tend to be significantly higher in the first two to three months after issue, thus

comparisons tend to work better between bonds issued in similar periods.

Case Study – Tesco Bank


Tesco Personal Finance’s retail bond has consistently been one of the most liquid ORB securities

since issue. While the monthly average value traded has decreased in 2013 YTD compared to

2012, the number of trades has increased, showing an increasing retail participation.

ISIN CODE XS0780063235

Issuer Tesco Personal Finance plc

Issue date 21 May 2012

Maturity date 21 November 2020

Issue size £200 million

Coupon 5%, fixed

Maturity 8.5 year

Avg value traded £8.5 million (monthly, since issue)

Avg turnover velocity 51% (since issue)

Avg number of trades 289 (monthly, since issue)

Case Study – Tesco Bank


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Value Traded and Number of Trades (on-book and off-book combined)

Value Traded (left axis)

Number of trades (right axis)

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Time-weighted on-book average spread (bps)

2.0

Gilts

On-book volumes and trades


On-book value traded in August 2013 was almost ten times higher than August 2012.

A new market maker (Jefferies International) started to provide liquidity on ORB gilts in August.

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On-book Value Traded (left axis)

Number of Trades (right axis)

On-book spreads

*Undated gilts are excluded. Source: London Stock Exchange

The above chart aggregates data from all the conventional and index-linked gilts available on ORB,

and gives an idea of the prevailing trend of spread tightening.

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Time-weighted on-book average spread on all gilts* (bps)

Contact us Order book for Retail Bonds

Fixed Income Team

Email: [email protected]

Tel: +44 (0)20 7797 3921

Order book for Retail Bonds - London Stock Exchange · 2020. 1. 30. · GB00B4MTS317 £35.0m RBS...

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