Expected issuance fees and market liquidity

Buis, Boyd; Pieterse-Bloem, Mary; Verschoor, Willem F. C.; Zwinkels, Remco C. J.

doi:10.1016/j.finmar.2019.100514

Cited by 9 publications

(1 citation statement)

References 44 publications

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“…Usually, the price discovery during a syndicated transaction leads to a higher price than that in the secondary market, hence showing a positive new issue premium (NIP). Buis et al (2020) highlight the institutional setting of the European primary and secondary sovereign bond markets.…”

Section: Introductionmentioning

confidence: 99%

Investor demand in syndicated EFSF/ESM bond issuances

Hillebrand¹,

Mravlak²,

Schwendner³

2023

Open Res Europe

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European Financial Stability Facility (EFSF) and European Stability Mechanism (ESM) were set up at the peak of the European sovereign debt crisis to issue bonds and lend to countries under current funding stress. This study analyses investor demand in syndicated bond issuances of EFSF and ESM from 2014 to 2020 on an unprecedented granularity level using a dataset of individual orders with statistical inference. Particularly, we investigate orderbook dynamics for three main aspects: first, we determine the main factors segmenting investor demand. Second, we analyse price dynamics in the transactions and their relation to investor demand. Third, we investigate whether any indications of orderbook inflation might explain the increased volatility in orderbook volume. We identify issuance tranche and tenor as the main determinants of investor demand that are largely anticipated in the notional. Further, we note that ESM is doing economical pricing, where the new issue premium tends to be lower in a market context with larger demand. Lastly, we find a mixture of an increasing number and an increasing volume of orders as drivers of large order books. This confirms that there are no indications of orderbook inflation tendencies in the analysed time period.

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Section: Introductionmentioning

confidence: 99%