17
Order book for Retail Bonds Secondary Market Liquidity Report April 2014
Order book for Retail Bonds
Secondary Market Liquidity Report
April 2014
Highlights – March 2014
• March 2014 demonstrated a good trading performance for ORB dedicated issues.
On-book value traded increased month-on-month by 147% with the greatest
value traded in one month since July 2013.
Total value traded (on-book and off-book) increased by 40.26% month-on-
month and 1.4% Year-on-Year
Total number of trades (on-book and off-book) increased by 26% month-on-
month to 4,588
• Average on-book trade size: £24.9k
• Overall average trade size in ORB corporate bonds: £31.7k
Page 2
1.0
Corporate bonds
ORB corporates – overall liquidity
Page 4 Source: London Stock Exchange
-
1,000
2,000
3,000
4,000
5,000
6,000
7,000
£-
£20
£40
£60
£80
£100
£120
£140
£160
£180
Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
Millio
ns
Total value traded and number of trades for all ORB dedicated corporate bond issues
Total (on-book + off-book, left axis)
Total number of trades (right axis)
On-book liquidity
Page 5 Source: London Stock Exchange
-
200
400
600
800
1,000
1,200
1,400
£-
£5
£10
£15
£20
£25
£30
£35
£40
£45
Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
Millio
ns
Total on-book value traded and number of trades (ORB corporate bonds)
On-book value traded (left axis)
Number of trades (right axis)
Value traded – Breakdown by issue
Page 6 Total value traded includes on-book and off-book trades. Source: London Stock Exchange
ISIN Issuer Date listed Amount raised Mar-14
Feb-14 Mar-13
XS1018830270 Paragon Group of Companies 6.125% 30 Jan 2020 30/01/2014 £125.0m £15,699,971 £11,506,301 £ -
XS0997703250 Premier Oil 5% 11 Dec 2020 11/12/2013 £150.0m £7,942,011 £6,322,291 £ -
XS0975865949 A2D Funding 4.75% 18 Oct 2022 21/10/2013 £150.0m £4,415,758 £2,787,680 £ -
XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m £3,125,479 £1,177,559 £ -
XS0942129957 Helical Bar plc 25/06/2013 £80.0m £1,533,622 £1,104,479 £ -
XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £101.5m £6,856,387 £4,338,870 £ -
XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m £2,261,820 £1,660,198 £10,424,573
XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m £1,891,026 £1,905,938 £10,353,862
XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £155.0m £8,280,146 £3,509,556 £11,712,833
XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m £412,045 £766,472 £4,498,795
XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m £2,488,910 £3,341,507 £5,949,920
XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m £3,191,584 £2,963,050 £8,515,941
XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m £1,757,957 £1,974,670 £2,691,385
XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m £12,359,642 £5,308,780 £10,128,267
XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m £1,188,756 £654,435 £2,067,321
XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m £1,553,238 £959,938 £2,919,280
XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m £1,430,850 £3,328,118 £6,087,652
XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m £2,616,228 £2,070,606 £5,689,607
XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m £4,453,013 £5,545,815 £8,501,993
XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m £2,170,109 £2,875,721 £6,478,178
XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m £1,450,822 £1,405,943 £2,457,868
XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m £9,213,967 £6,593,300 £8,109,583
XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m £2,400,722 £1,743,598 £3,873,825
XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m £958,259 £702,898 £1,930,969
XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m £573,407 £183,564 £831,055
XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m £1,447,033 £1,159,696 £1,621,277
GB00B3YYW134 RBS 2% 7 Nov 2018 07/11/2011 £20.0m £ - £5,735 £ -
XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m £5,011,058 £4,369,146 £5,638,041
XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m £2,280,220 £2,207,439 £3,673,055
XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m £779,376 £3,013,190 £1,466,353
XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m £459,865 £5,514,016 £1,466,526
XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m £28,474,120 £7,129,449 £11,141,798
XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m £3,386,903 £2,294,586 £2,970,656
GB00B42SH312 RBS Var 7 Mar 2017 21/02/2011 £10.0m £ - £ - £8,270
GB00B442CZ84 RBS 3.3% 1 Feb 2018 17/01/2011 £15.0m £ - £ - £96,002
GB00B4MTS317 RBS Var 6 Dec 2020 06/12/2010 £35.0m £6,969 £63,332 £1,243
GB00B4RM3T66 RBS Var 1 Nov 2022 01/11/2010 £20.0m £30,633 £11,135 £60,392
GB00B4P95L57 RBS Var 1 Nov 2022 01/11/2010 £35.0m £1,500,680 £295,954 £349,238
XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m £830,642 £1,517,188 £770,509
XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m £230,371 £400,588 £233,319
GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m £772,140 £975,763 £699,451
Most traded bonds (total figures)
Page 7 Source: London Stock Exchange
Top ten “ORB dedicated issues” by total value traded (on-book and off-book
combined). Monthly figures, March 2014
ISIN BOND DETAILS £ VALUE TRADED NUMBER OF TRADES
XS0602217159 EIB 3.25% 7 Dec 2016 £ 28,474,120 4
XS1018830270 Paragon Group of Companies 6.125% 30 Jan 2020 £ 15,699,971 456
XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 £ 12,359,642 371
XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 £ 9,213,967 327
XS0880578728 EnQuest 5.5% 15 Feb 2022 £ 8,280,146 320
XS0997703250 Premier Oil 5% 11 Dec 2020 £ 7,942,011 304
XS0919406800 International Personal Finance 6.125% 8 May 2020 £ 6,856,387 229
XS0678522490 National Grid 1.25% 6 Oct 2021 £ 5,011,058 199
XS0805454872 ICAP 5.5% 31 Jul 2018 £ 4,453,013 134
XS0975865949 A2D Funding 4.75% 18 Oct 2022 £ 4,415,758 154
Most traded bonds on-book
Page 8
All the most heavily traded bonds on the electronic order book are dedicated ORB issues
Source: London Stock Exchange
Top ten ORB bonds by on-book value traded only. Monthly figures, March 2014
ISIN BOND DETAILS £ VALUE TRADED NUMBER OF TRADES
XS1018830270 Paragon Group of Companies 6.125% 30 Jan 2020 £ 1,340,356 55
XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 £ 1,294,536 36
XS0997703250 Premier Oil 5% 11 Dec 2020 £ 875,598 33
XS0880578728 EnQuest 5.5% 15 Feb 2022 £ 865,222 50
XS0678522490 National Grid 1.25% 6 Oct 2021 £ 715,448 17
XS0859261520 Tullett Prebon 5.25% 11 June 2019 £ 499,143 20
XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 £ 497,788 28
XS0805454872 ICAP 5.5% 31 Jul 2018 £ 497,754 18
XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 £ 438,280 6
XS0947705215 Bruntwood Investments 6% 24 July 2020 £ 398,947 14
Spread Analysis
Page 9 Source: London Stock Exchange. The Spread is calculated as the weighted average of the bid-ask spread on each instrument for the month considered.
ISIN Instrument Date Listed Issue Size Feb-14 (bp) Mar-14 (bp)
XS0997703250 Premier Oil 5% 11 Dec 2020 11/12/2013 £150.0m 31.2 30.1
XS1018830270 Paragon Group of Companies 6.125% 30 Jan 2020 30/01/2014 £125.0m 49.4 55.6
XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m 62.7 59.5
XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m 67.7 60.7
XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m 53.7 63.9
GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m 56.6 73.8
XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m 85.9 76.8
XS0975865949 A2D Funding 4.75% 18 Oct 2022 21/10/2013 £150.0m 85.3 77.0
XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m 91.1 77.1
XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m 80.4 79.6
XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m 66.5 80.8
XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m 89.6 82.0
XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m 93.2 85.6
XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m 70.0 86.2
XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m 91.6 87.7
XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m 111.8 88.2
XS0942129957 Helical Bar 6% 24 June 2020 25/06/2013 £80.0m 75.6 89.9
XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m 90.7 90.4
XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m 105.9 92.7
XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m 105.3 100.3
XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m 113.5 109.8
XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m 128.4 112.8
XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £101.5m 128.3 113.3
XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m 120.9 114.2
XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m 125.9 120.6
XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m 131.8 124.3
XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £155.0m 117.3 130.6
XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m 128.2 131.2
XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m 135.1 131.8
XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m 134.6 134.1
XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m 106.1 136.1
XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m 139.8 138.8
XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m 157.7 164.0
XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m 204.2 186.8
XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m 194.6 190.8
Turnover Velocity (1)
Page 10 Source: London Stock Exchange – see next page for details and methodological note
ISIN Security Date Listed Issue Size Avg. Turn. Vel. (since issue) Ann. Turn. Vel. (Mar-14)
XS1018830270 Paragon Group of Companies 6.125% 30 Jan 2020 30/01/2014 £125.0m 126% 151%
XS0997703250 Premier Oil 5% 11 Dec 2020 11/12/2013 £150.0m 106% 64%
XS0975865949 A2D Funding 4.75% 18 Oct 2022 21/10/2013 £150.0m 65% 35%
XS0947705215 Bruntwood Investments 6% 24 July 2020 25/07/2013 £50.0m 86% 75%
XS0942129957 Helical Bar 6% 24 June 2020 25/06/2013 £80.0m 44% 23%
XS0919406800 International Personal Finance 6.125% 8 May 2020 08/05/2013 £101.5m 71% 81%
XS0900863084 Provident Financial 6% 27 Sep 2021 27/03/2013 £65.0m 88% 42%
XS0891023086 Paragon Group of Companies 6% 5 Dec 2020 03/03/2013 £60.0m 76% 38%
XS0880578728 EnQuest 5.5% 15 Feb 2022 15/02/2013 £155.0m 51% 64%
XS0853358801 Alpha Plus 5.75% 18 Dec 2019 18/12/2012 £48.5m 56% 10%
XS0856594642 Unite Group 6.125% 12 June 2020 12/12/2012 £90.0m 64% 33%
XS0859261520 Tullett Prebon 5.25% 11 June 2019 11/12/2012 £80.0m 79% 48%
XS0841076465 St Modwen Properties 6.25% 7 Nov 2019 07/11/2012 £80.0m 51% 26%
XS0846486040 London Stock Exchange Group 4.75% 2 Nov 2021 05/11/2012 £300.0m 55% 49%
XS0832324981 Workspace 6% 9 Oct 2019 10/10/2012 £57.5m 62% 25%
XS0827693663 Beazley 5.375% 25 Sep 2019 25/09/2012 £75.0m 43% 25%
XS0818634668 Intermediate Capital Group 6.25% 19 Sep 2020 20/09/2012 £80.0m 61% 21%
XS0820711215 CLS Holdings 5.5% 31 Dec 2019 12/09/2012 £65.0m 57% 48%
XS0805454872 ICAP 5.5% 31 Jul 2018 31/07/2012 £125.0m 64% 43%
XS0795445823 Primary Health Properties 5.375% 23 Jul 2019 24/07/2012 £75.0m 72% 35%
XS0796078193 Severn Trent 1.3% RPI linked 11 Jul 2022 11/07/2012 £75.0m 43% 23%
XS0780063235 Tesco Personal Finance 5% 21 Nov 2020 21/05/2012 £200.0m 47% 55%
XS0762418993 Provident Financial 7% 4 Oct 2017 04/04/2012 £120.0m 45% 24%
XS0731910765 Places for People 1% RPI linked 31 Jan 2022 31/01/2012 £40.0m 41% 29%
XS0716336325 Intermediate Capital Group 7% 21 Dec 2018 22/12/2011 £35.0m 44% 20%
XS0710391532 Tesco Personal Finance 1% RPI linked 16 Dec 2019 16/12/2011 £60.0m 37% 29%
XS0678522490 National Grid 1.25% 6 Oct 2021 30/09/2011 £282.5m 34% 21%
XS0635014177 Places for People 5% 27 Dec 2016 27/06/2011 £140.0m 39% 20%
XS0605672558 Provident Financial 7.5% 30 Sep 2016 31/03/2011 £50.0m 34% 19%
XS0604804194 Lloyds 5.5% 25 Sep 2016 25/03/2011 £150.0m 23% 4%
XS0602217159 EIB 3.25% 7 Dec 2016 11/03/2011 £350.0m 41% 98%
XS0591029409 Tesco Personal Finance 5.2% 24 Aug 2018 25/02/2011 £125.0m 35% 33%
XS0517466198 Lloyds 5.375% 7 Sep 2015 21/06/2010 £75.0m 11% 13%
XS0496412064 Provident Financial 7% 14 Apr 2020 15/04/2010 £25.2m 25% 11%
GB00B3N3WC23 RBS 5.1% 1 Feb 2020 01/02/2010 £50.0m 22% 19%
Turnover velocity (2)
Page 11
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.
Case Study – Tesco Finance
Page 12
ISIN XS0780063235
Issuer Tesco Personal Finance
Issue date 21 May 2012
Maturity date 21 November 2020
Issue size £200 million
Coupon 5% fixed
Maturity 8 years
Avg value traded £7.9million (monthly, since issue)
Avg turnover velocity 47.5% (since issue)
Avg number of trades 279 (monthly, since issue)
The Tesco Personal Finance 5% fixed retail bond has been a highly liquid ORB security since issue;
it has traded a total value of over £181,923,000 through more than 6,400 trades. Since issue it has
outperformed the market average time weighted spread for each month.
Case Study – Tesco Finance
Page 13
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
160.0
May-12 Jun-12 Jul-12 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 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
Time weighted on-book average spread (bps)
Tesco time-weighted on-book average spread
Average ORB time weighted on-book spread
0
50
100
150
200
250
300
350
400
450
500
-
5
10
15
20
25
30
May-12 Jun-12 Jul-12 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 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
Valu
e t
rad
ed
M
illio
ns
Value traded and number of trades (on-book + off-book)
Total value traded on-book + off-book (left axis)
Total number of trades (right axis)
2.0
Gilts
On-book volumes and trades
Page 15 Source: London Stock Exchange
0
50
100
150
200
250
£-
£10
£20
£30
£40
£50
£60
£70
£80
£90
Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
Millio
ns
On-book value traded and number of trades (ORB gilts)
On-book Value Traded (left axis)
Number of Trades (right axis)
On-book spreads
Page 16 *Undated gilts are excluded. Source: London Stock Exchange
This is calculated over a total of 63 gilts available for trading on ORB. The six undated gilts tradable
on ORB are excluded from the calculation.
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14
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
