Hillebrand Martin, Mravlak Marko, Schwendner Peter
XU Exponential University of Applied Sciences, Potsdam, Brandenburg, Germany.
European Stability Mechanism, Luxembourg, 1347, Luxembourg.
Open Res Eur. 2024 Jul 16;3:96. doi: 10.12688/openreseurope.15961.1. eCollection 2023.
The European Financial Stability Facility (EFSF) and the 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.
欧洲金融稳定基金（EFSF）和欧洲稳定机制（ESM）是在欧洲主权债务危机高峰期设立的，旨在发行债券并向当前面临融资压力的国家提供贷款。本研究使用包含统计推断的个人订单数据集，以前所未有的粒度水平分析了2014年至2020年EFSF和ESM银团债券发行中的投资者需求。具体而言，我们从三个主要方面研究订单簿动态：第一，我们确定划分投资者需求的主要因素。第二，我们分析交易中的价格动态及其与投资者需求的关系。第三，我们调查订单簿膨胀的迹象是否可以解释订单簿交易量的增加。我们确定发行批次和期限是投资者需求的主要决定因素，这在名义金额中很大程度上是可预期的。此外，我们注意到ESM正在进行经济定价，在需求较大的市场环境中，新发行溢价往往较低。最后，我们发现订单数量和订单量的增加共同推动了大额订单簿的形成。这证实了在所分析的时间段内没有订单簿膨胀趋势的迹象。
