Daily Quotations List (DQL)
|
|
- Silas Hood
- 7 years ago
- Views:
Transcription
1 Daily Quotations List (DQL) FMDQ DQL Methodology Version 1.0 January 2014 FMDQ Daily Quotations List (DQL) 1.
2 Contents 1.0 Introduction Valuation of Sovereign Bonds (FGN Bonds) Trading Sovereign Bonds Non Trading Sovereign Bonds Standards Valuation of Non Sovereign Bonds (Agency, State Government, Corporate & Supra National Bonds) Trading Non Sovereign Bonds Non Trading Non Sovereign Bonds Risk Premium Valuation of Treasury Bills & Foreign Exchange (FX) Treasury Bills Foreign Exchange (FX) Standards Money Market Fixings NIBOR, NITTY & NIFEX Definition of Terms and Abbreviations... 6 FMDQ Daily Quotations List (DQL) 2.
3 1.0 Introduction FMDQ OTC PLC (FMDQ) is an over the counter (OTC) securities exchange with a mission to empower the OTC financial markets to be innovative and credible, in support of the Nigerian economy. This mission would be achieved by providing the secondary market with world class market governance and market development service to the benefit of market participants and in support of the objectives of the financial services regulators. FMDQ launched the FMDQ Daily Quotations List (DQL) on November 7, 2013 to upgrade the market transparency in the OTC markets. FMDQ DQL covers USD/Naira products, Federal Government of Nigeria (FGN) bonds, Supra national bonds, Agency bonds, State government bonds, Corporate bonds, Nigerian Treasury bills (T.bills) and other money market instruments e.g. Commercial Papers. The DQL provides closing prices for all products trading and model prices of non trading fixed income securities calculated by applying a derived risk premium on the sovereign risk free yield curve. The DQL also provides market indicative rates/prices for products trading but with low liquidity. FMDQ DQL will equally be the official source for the Nigerian OTC market indexes and fixings, namely the Nigerian Inter bank Offered Rate (NIBOR), Nigerian Inter bank Treasury Bills True Yields (NITTY) and Nigerian Inter bank Foreign Exchange Fixings (NIFEX). Articulated below are the construction rules (assumptions and market standards) applied in the closing prices, model prices and the market indicative rates/prices contained in the FMDQ DQL. FMDQ Daily Quotations List (DQL) 3.
4 2.0 Valuation of Sovereign Bonds (FGN Bonds) 2.1 Trading Sovereign Bonds The closing price of a trading security is the mode of the sample quotes. Where the quotes indicate a dual modal price, the better bid (i.e. the higher of the two quotes) is selected as the closing bid price. The offer price is derived by adding a spread on the bid. 2.2 Non Trading Sovereign Bonds Yields are derived by interpolating for the corresponding Term to Maturities (TTMs) off the FGN bond theoretical spot rate curve. TTMs are derived based on the underlying features of the bond as follows: Bullet Principal Repayment: TTM = Bond Maturity Date Valuation Date Amortising Principal Repayment: TTM = Weighted Average Life 2.3 Standards Benchmark 2Y, 3Y, 5Y, 7Y, 10Y & 20Y *Spread <1Y 3Y >3Y 0.50% 0.15% 0.30% *Above spreads are applied for trading and non trading bonds. 3.0 Valuation of Non Sovereign Bonds (Agency, State Government, & Corporate Supra national Bonds) 3.1 Trading Non Sovereign Bonds Closing prices are derived by taking the mode of the sample of firm bid quotes shown by FMDQ Bond Specialists. Firm quotes are bid prices maintained for at least thirty (30) minutes during trading hours. Where the selection indicates a dual modal price, the better bid (i.e. the higher of the two quotes) is selected as the closing bid price. 3.2 Non Trading Non Sovereign Bonds Non trading Agency, State Government & Corporate bond prices are model prices derived from a modelled yield. The modelled yield is calculated by adding a risk premium to the valuation yield (corresponding TTM yield interpolated off the FGN bond theoretical spot rate curve). This is used to calculate the bond bid price Risk Premium Yields on non sovereign bonds are typically higher than the yields demanded by investors of sovereign bonds due to the higher risks on non sovereign bonds. The methodology appreciates the need to factor a risk premium due to the higher credit and liquidity risks in the calculation of the model prices on bonds. The methodology for the derivation and order of application of risk premium for all model prices of non sovereign bonds is detailed below: First choice: apply risk spread on latest acceptable trade for the respective bonds i.e. determine the spread between the bond yield on the latest acceptable trade and the FGN bond spot rate of comparable TTM. Latest acceptable trades are transactions of N25.00mm minimum trade size for bonds with outstanding values of N20.00bn and above or 0.10% trade size for bonds of outstanding values below N20bn. FMDQ Daily Quotations List (DQL) 4.
5 Second choice: apply risk spread at issuance i.e. determine the spread between the bond yield at issuance and the FGN bond spot rate of comparable TTM. However, where the risk spread at issuance is less than 1% (100 basis points), a base risk premium of 100 basis points is applied. 4.0 Valuation of Treasury Bills & Foreign Exchange (FX) 4.1 Treasury Bills These are closing prices based on a modal selection process (ref sec 2.1) *Bills with seven (7) days to maturity (DTM) are delisted from the T.bills valuation template which implies that the bill has stopped trading on a two way quote basis. **Non trading T.bills (outstanding value less than N50bn) are not listed on the DQL. 4.2 Foreign Exchange (FX) Spot rates are closing rates based on a modal selection process (ref sec 2.1), while FX Forwards closing rates are derived by taking a simple average of the market indicative quotes obtained. 4.3 Standards o Benchmark: Product T.bills FX Forwards Benchmark 1M, 3M, 6M & 12M 7D, 14D, 21D, 1M, 2M, 3M, 6M, 1Y o Spreads: T.bills FX Tenor All Tenors Spot Spread (%) Money Market Money Market and Repo closing rates are derived by taking a simple average of market quotes obtained. 6.0 Fixings NIBOR, NITTY & NIFEX All fixings are derived by sorting quotes obtained from the pre selected reference banks in descending order. Outliers are thereafter eliminated (highest and lowest 20% of quotes) and a simple average of the resultant 60% quote is determined. The result for each fixing is derived in four decimal places. FMDQ Daily Quotations List (DQL) 5.
6 7.0 Definition of Terms and Abbreviations D DQL FGN FX M NIBOR NIFEX NITTY T.bills TTM USD Valuation Yield Weighted Average Life Y Day Daily Quotations list Federal Government of Nigeria Foreign Exchange Month Nigerian Inter bank Offered Rate Nigerian Inter bank Foreign Exchange Fixings Nigerian Inter bank Treasury Bills True Yields Treasury Bills Term to Maturities United State Dollars Valuation yields are derived by interpolating for the corresponding TTMs off the FGN bond theoretical spot rate curve The average number of years for which unpaid principal remains outstanding derived using the amortisation schedule extracted from the bond indenture Year FMDQ Daily Quotations List (DQL) 6.
FGN Bond Index. FMDQ Methodology Paper Version 1.0 January 2014. FMDQ FGN Bond Index 1.
FGN Bond Index FMDQ Methodology Paper Version 1.0 January 2014 FMDQ FGN Bond Index 1. Contents 1.0 Introduction... 3 2.0 FMDQ FGN Bond Index Characteristics... 4 2.1 Inception Date... 4 2.2 Index Rebalancing...
More informationDeveloping the Fixed Income Market in Nigeria. September 2010
Developing the Fixed Income Market in Nigeria September 2010 Contents 1. Evolution Where we are coming from 2. Status Quo Where we are 3. Constraints Challenges to be overcome 4. The Future How to develop
More informationIntroduction to Fixed Income (IFI) Course Syllabus
Introduction to Fixed Income (IFI) Course Syllabus 1. Fixed income markets 1.1 Understand the function of fixed income markets 1.2 Know the main fixed income market products: Loans Bonds Money market instruments
More informationNewsletter Edition 4 February 2015
FMDQ SPOTLIGHT Newsletter Edition 4 February 2015 Contents New Stories o FMDQ e-markets Launch o Nigeria s FX Market Changes to Order-Based 2-Way Quote System o Registration Members Visibility o FMDQ Presents
More informationNewsletter Edition 10 August 2015
FMDQ SPOTLIGHT Newsletter Edition 10 August 2015 Contents New Stories o FMDQ Releases e-discovery 2.0 o FMDQ Unveils its Proprietary Market Information Data Centre FMDQ e- MarketData FMDQ Turnover and
More informationCentral Bank of Nigeria GUIDELINES FOR FX DERIVATIVES AND MODALITIES FOR CBN FX FORWARDS
Central Bank of Nigeria GUIDELINES FOR FX DERIVATIVES AND MODALITIES FOR CBN FX FORWARDS 1.0 Introduction Development of the Nigerian financial markets and assurance of financial system stability are two
More informationVALUATION POLICY FOR SCHEMES OF UTI MUTUAL FUND Introduction :
VALUATION POLICY FOR SCHEMES OF UTI MUTUAL FUND Introduction : SEBI vide Gazette Notification no. LAD-NRO/GN/2011-12/38/4290, dated February 21, 2012 amended Regulation 25, 47 and the Eighth Schedule titled
More informationEUROBOND TRANSACTIONS CONCLUDED IN APRIL AND MAY 2014: SEVENTH VOLUNTARY DEBT EXCHANGE OFFER & NEW CASH ISSUANCE AND PRIVATE PLACEMENT WITH AUDI BANK
EUROBOND TRANSACTIONS CONCLUDED IN APRIL AND MAY 2014: SEVENTH VOLUNTARY DEBT EXCHANGE OFFER & NEW CASH ISSUANCE AND PRIVATE PLACEMENT WITH AUDI BANK A Brief Note I. SEVENTH VOLUNTARY DEBT EXCHANGE OFFER
More informationFutures Price d,f $ 0.65 = (1.05) (1.04)
24 e. Currency Futures In a currency futures contract, you enter into a contract to buy a foreign currency at a price fixed today. To see how spot and futures currency prices are related, note that holding
More informationFinancing government s borrowing requirement
7 Financing government s borrowing requirement In brief Government s net borrowing requirement is expected to be R173.1 billion in 2015/16, decreasing to R155.5 billion in 2017/18. South Africa s deep
More informationTreasury Floating Rate Notes
Global Banking and Markets Treasury Floating Rate Notes DATE: April 2012 Recommendation summary The USD 7trn money market should support significant FRN issuance from the Treasury. This would diversify
More informationAlternative Asset Classes for Pension Funds
International Finance Corporation and National Pension Commission of Nigeria Alternative Asset Classes for Pension Funds Impediments to Corporate Bond Development in Nigeria Patricia M c Kean & David White
More informationDevelopment of the South African Local Currency Bond Market
Development of the South African Local Currency Bond Market G-24 Technical Group Meeting Washington DC 21 and 22 March 2013 Dr D. Bradlow Head, International Economics Relations and Policy Department South
More informationOffice of Debt Management. Treasury Debt Management Strategy
Office of Debt Management Treasury Debt Management Strategy Overview Treasury may borrow on the credit of the United States Government amounts necessary for expenditures authorized by law and may issue
More informationFixed-Income Securities. Assignment
FIN 472 Professor Robert B.H. Hauswald Fixed-Income Securities Kogod School of Business, AU Assignment Please be reminded that you are expected to use contemporary computer software to solve the following
More informationDEBT MARKET. Mark to Market Valuation Rules. Page 1 of 19
DEBT MARKET Mark to Market Valuation Rules 2014 JSE Limited Reg No: 2005/022939/06 Member of the World Federation of Exchanges JSE Limited I 2014 Page 1 of 19 Table of Contents 1. Executive Summary...
More informationIntroduction to Government Bond, Corporate Bond and Money Markets
Introduction to Government Bond, Corporate Bond and Money Markets Fixed income market in India can be categorized into five segments, Money Market, Government Bond Market, Corporate Bond Market, Interest
More informationCentral Bank. Authorized Repo Primary Dealers. Background * Objectives * BOT run REPO. Bilateral Repo. Borrower. Lender
29 October 2007 Private REPURCHASE AGREEMENT (REPO) ธ รกรรมการขายโดยม ส ญญาว าจะซ อค นภาคเอกชน TOPICS Session 1 1. 1. Definition 2. 2. Background & Objectives 3. 3. BOT run REPO VS VS Bilateral Repo 4.
More informationCURRENT STANDARDS ON FIXED INCOME
CURRENT STANDARDS ON FIXED INCOME PRICING FIXED INCOME SECURITIES AGAINST AN INTEREST SWAP CURVE December 2012 CNO Association régie par la loi du 1 er juillet 1901 8 rue du Mail 75002 Paris http://www.cnofrance.org
More informationNASAA Investment Adviser Competency Exam (Series 65) Exam Specifications and Outline (Effective 1/1/2010)
NASAA Investment Adviser Competency Exam (Series 65) Exam Specifications and Outline (Effective 1/1/2010) CONTENT AREA # of Items 1. Economic Factors and Business Information 19 (14%) A. Basic economic
More informationBuy = Pay Fixed, Receive Float -or- Pay Float +/- Spread, Receive Float Sell = Receive Fixed, Pay Float -or- Receive Float +/- Spread, Pay Float
VIA Electronic Submission Office of the Secretariat Commodity Futures Trading Commission Three Lafayette Centre 1155 21 st Street, N.W. Washington, DC 20581 Re: Javelin SEF, LLC To Whom It May Concern,
More informationCountry Background Sri Lanka. Investor-Country Conference Cairo, Egypt March 26-27, 2010
Country Background Sri Lanka Investor-Country Conference Cairo, Egypt March 26-27, 2010 Macro Economic data 2000 2001 2002 2003 2004 2005 2006 2007 2008 GDP growth 6.0 (1.5) 4.0 5.9 5.4 6.2 7.7 6.8 6.0
More informationTenor Adjustments for a Basis Swap
Tenor Adjustments for a Basis Swap by Chandrakant Maheshwari Praveen Maheshwari Table of Contents 1. Introduction 3 2. Tenor Adjustment Methodology for a Basis Swap 3 3. Why this Tenor Spread so important
More informationThe Nigerian Debt Capital Markets (DCM) Workshop
The Nigerian Debt Capital Markets (DCM) Workshop Towards a Brighter Future 27 October 2015 Debt Capital Market Exploring Opportunities for the Nigerian Mortgage Industry By: Sonnie Ayere Chairman/ CEO
More informationWhen firms need to raise capital, they may issue securities to the public by investment bankers.
CHAPTER 3. HOW SECURITIES ARE TRADED When firms need to raise capital, they may issue securities to the public by investment bankers. Primary market is a market for new securities. Secondary market is
More informationUniversity of Illinois Debt Policy December 2, 2011
University of Illinois Debt Policy December 2, 2011 A. Objectives: Prudent utilization of debt to provide a low cost source of capital to fund longterm capital investments in order to achieve the University
More informationThe new ACI Diploma. Unit 2 Fixed Income & Money Markets. Effective October 2014
The new ACI Diploma Unit 2 Fixed Income & Money Markets Effective October 2014 8 Rue du Mail, 75002 Paris - France T: +33 1 42975115 - F: +33 1 42975116 - www.aciforex.org The new ACI Diploma Objective
More informationDEBT MANAGEMENT POLICY
Page 1 of 5 DEBT LIMITS Credit Ratings The school district seeks to maintain the highest possible credit ratings for all categories of short- and long-term debt that can be achieved without compromising
More informationChapter 4 Valuing Bonds
Chapter 4 Valuing Bonds MULTIPLE CHOICE 1. A 15 year, 8%, $1000 face value bond is currently trading at $958. The yield to maturity of this bond must be a. less than 8%. b. equal to 8%. c. greater than
More informationFIXED-INCOME SECURITIES. Chapter 10. Swaps
FIXED-INCOME SECURITIES Chapter 10 Swaps Outline Terminology Convention Quotation Uses of Swaps Pricing of Swaps Non Plain Vanilla Swaps Terminology Definition Agreement between two parties They exchange
More informationIXED INCOME TRADING OCAL CURRENCY BOND MARKET WORLD BANK GOVERNMENT BOND CONFERENCE WILL OBERUCH GLOBAL PRODUCT MANAGER, FIXED INCOME TRADING
IXED INCOME TRADING OCAL CURRENCY BOND MARKET WORLD BANK GOVERNMENT BOND CONFERENCE WILL OBERUCH GLOBAL PRODUCT MANAGER, FIXED INCOME TRADING MARCH// 13 // 2014 DEVELOPMENT OF DOMESTIC BOND MARKET 2 Singapore
More informationECONOMIC REVIEW(A Monthly Issue) March, April, 2015 2014
ECONOMIC REVIEW(A Monthly Issue) March, April, 2015 2014 Economics & Strategic Planning Department http://www.bochk.com Effects The of Reasons CNH Exchange Why the Rate Singapore on Offshore Economy RMB
More informationRecommended. Conventions for the Norwegian Certificate and Bond Markets. May 2001 www.finansanalytiker.no
Recommended Conventions for the Norwegian Certificate and Bond Markets May 2001 www.finansanalytiker.no 2 Preface Recently, the Norwegian Society of Financial Analysts (NFF) has become increasingly aware
More informationThe corporate bond market in Thailand
The corporate bond market in Thailand Pongpen Ruengvirayudh and Sakkapop Panyanukul 1 Bank of Thailand Brief introduction to Thailand s bond market Prior to the Asian economic crisis in 1997, the function
More informationFinancial Markets And Financial Instruments - Part I
Financial Markets And Financial Instruments - Part I Financial Assets Real assets are things such as land, buildings, machinery, and knowledge that are used to produce goods and services. Financial assets
More informationHow To Invest In Stocks And Bonds
Review for Exam 1 Instructions: Please read carefully The exam will have 21 multiple choice questions and 5 work problems. Questions in the multiple choice section will be either concept or calculation
More informationANALYSIS OF FIXED INCOME SECURITIES
ANALYSIS OF FIXED INCOME SECURITIES Valuation of Fixed Income Securities Page 1 VALUATION Valuation is the process of determining the fair value of a financial asset. The fair value of an asset is its
More informationN200 BILLION INTERVENTION FUND FOR RE-FINANCING AND RESTRUCTURING OF BANKS LOANS TO THE MANUFACTURING SECTOR
N200 BILLION INTERVENTION FUND FOR RE-FINANCING AND RESTRUCTURING OF BANKS LOANS TO THE MANUFACTURING SECTOR 1.0 Introduction CENTRAL BANK OF NIGERIA GUIDELINES The Central Bank of Nigeria in a bid to
More informationChapter Review and Self-Test Problems. Answers to Chapter Review and Self-Test Problems
236 PART THREE Valuation of Future Cash Flows Chapter Review and Self-Test Problems 7.1 Bond Values A Microgates Industries bond has a 10 percent coupon rate and a $1,000 face value. Interest is paid semiannually,
More informationIndustry-leading Credit Risk Solutions
Industry-leading Credit Risk Solutions About Us Fitch Solutions provides a range of industry-leading products and professional development services to the global financial community. In addition to offering
More informationNISM-Series-I: Currency Derivatives Certification Examination (NISM-Series-I: CD Examination)
NISM-Series-I: Currency Derivatives Certification Examination (NISM-Series-I: CD Examination) Test Objectives [new syllabus effective 21 st February 2012] Unit 1: Introduction to Currency Markets 1.1 Brief
More informationDerivatives, Measurement and Hedge Accounting
Derivatives, Measurement and Hedge Accounting IAS 39 11 June 2008 Contents Derivatives and embedded derivatives Definition Sample of products Accounting treatment Measurement Active market VS Inactive
More informationOver-the-counter (OTC) options market conventions
Over-the-counter (OTC) options market conventions This article details the conventions used for Over the Counter options1. These conventions are important; as a very substantial amount of traded derivatives
More informationRAFI Bonds US High Yield 1-10 CAD Hedged Index
Index Methodology & Standard Treatment REVISED: 8.31.2013 RAFI Bonds US High Yield 1-10 CAD Hedged Index A Research Affiliates Fundamental Index Strategy as designed by Ryan ALM, Inc. Index Division DISCLAIMER:
More informationLPFA Taxable Student Loan Backed Bonds Series 2011A - FFELP 2016 Annual Disclosure Report to Investors (All Information is as of 03/31/2016)
LPFA Taxable Student Loan Backed Bonds Series 2011A - FFELP 2016 Annual Disclosure Report to Investors (All Information is as of 03/31/2016) CHARACTERISTICS OF THE FINANCED STUDENT LOANS As of March 31,
More informationBonds, Preferred Stock, and Common Stock
Bonds, Preferred Stock, and Common Stock I. Bonds 1. An investor has a required rate of return of 4% on a 1-year discount bond with a $100 face value. What is the most the investor would pay for 2. An
More informationDevelopment of the government bond market and public debt management in Singapore
Development of the government bond market and public debt management in Singapore Monetary Authority of Singapore Abstract This paper describes the growth of the Singapore Government Securities (SGS) market.
More informationINCOME VALUE: An industry solution to assessing the fair market value of Income Annuities. Frequently Asked Questions and Answers
INCOME VALUE: An industry solution to assessing the fair market value of Income Annuities Q&A Frequently Asked Questions and Answers Section 1: What is it? What is INCOME VALUE? INCOME VALUE is the fair
More informationi T-bill (dy) = $10,000 - $9,765 360 = 6.768% $10,000 125
Answers to Chapter 5 Questions 1. First, money market instruments are generally sold in large denominations (often in units of $1 million to $10 million). Most money market participants want or need to
More information7 th OECD Forum on Africa Public Debt Management
BUILDING BLOCKS FOR LIQUID PRIMARY AND SECONDARY MARKETS CASE OF KENYAN MARKET 7 th OECD Forum on Africa Public Debt Management Cape Town, South Africa 26-28, June 2013 By Mwenda Marete, Assistant Director,
More informationRules and Regulations Governing the Activities of the Treasury Securities Dealer as of 27 August 2009. I. General provisions
Rules and Regulations Governing the Activities of the Treasury Securities Dealer as of 27 August 2009 I. General provisions 1. These Rules and Regulations determine the principles governing the activities
More informationBOND FUTURES. 1. Terminology... 2 2. Application... 11. FINANCE TRAINER International Bond Futures / Page 1 of 12
BOND FUTURES 1. Terminology... 2 2. Application... 11 FINANCE TRAINER International Bond Futures / Page 1 of 12 1. Terminology A future is a contract to either sell or buy a certain underlying on a specified
More informationFINANCIAL MATHEMATICS MONEY MARKET
FINANCIAL MATHEMATICS MONEY MARKET 1. Methods of Interest Calculation, Yield Curve and Quotation... 2 1.1 Methods to Calculate Interest... 2 1.2 The Yield Curve... 6 1.3 Interpolation... 8 1.4 Quotation...
More informationNMRC AND THE NIGERIAN MORTGAGE MARKET:
NMRC AND THE NIGERIAN MORTGAGE MARKET: An Intermediate Step to a full Secondary Mortgage Market 2014 CAPITAL MARKET COMMITTEE (CMC) RETREAT & CONFERENCE Sonnie Ayere Interim CEO, NMRC Chairman, Dunn Loren
More informationGlobal high yield: We believe it s still offering value December 2013
Global high yield: We believe it s still offering value December 2013 02 of 08 Global high yield: we believe it s still offering value Patrick Maldari, CFA Senior Portfolio Manager North American Fixed
More informationEnhanced Money Market Funds Reporting
January 20, 2016 Enhanced Money Market Funds Reporting Schwab Money Funds are making important changes to their reporting features to comply with the new Securities and Exchange (SEC) regulations. More
More informationAfrican Bond Market Conference November 7 8, 2011 Nairobi, Kenya
African Bond Market Conference November 7 8, 2011 Nairobi, Kenya Credit Ratings: Opportunities and Challenges The Nigerian Experience Vivien Shobo Chief Executive Officer, Agusto & Co Limited Agenda Introduction
More informationMultifamily MBS Update: Yield Maintenance Using the Constant Maturity Treasury Rate
Multifamily Mortgage-Backed Securities Multifamily MBS Update: Yield Maintenance Using the Constant Maturity Treasury Rate Each Fannie Mae multifamily loan may have a voluntary prepayment protection provision.
More informationYield-bearing Financial Assets
Yield-bearing Financial Assets (YBFAs) The quiet market (until lately) (c) 2009-2013, Gary R. Evans. May be used only for non-profit educational purposes only without permission of the author. Primary
More informationPrimary Dealer in Danish Government Bonds. Contract
Primary Dealer in Danish Government Bonds Contract The Danish Government Debt Management at Danmarks Nationalbank, agent of the Ministry of Finance, herein subsequently referred to as Government Debt Management,
More informationHow To Understand A Rates Transaction
International Swaps and Derivatives Association, Inc. Disclosure Annex for Interest Rate Transactions This Annex supplements and should be read in conjunction with the General Disclosure Statement. NOTHING
More informationTERMS OF REFERENCE. Domestic Debt Expert: To develop an E-Learning Course for Introduction to Domestic Debt Management
TERMS OF REFERENCE Domestic Debt Expert: To develop an E-Learning Course for Introduction to Domestic Debt Management 1. Background The Debt Management Section (DMS) which implements the Commonwealth Secretariat
More informationRigensis Bank AS Information on the Characteristics of Financial Instruments and the Risks Connected with Financial Instruments
Rigensis Bank AS Information on the Characteristics of Financial Instruments and the Risks Connected with Financial Instruments Contents 1. Risks connected with the type of financial instrument... 2 Credit
More informationReview for Exam 1. Instructions: Please read carefully
Review for Exam 1 Instructions: Please read carefully The exam will have 20 multiple choice questions and 5 work problems. Questions in the multiple choice section will be either concept or calculation
More informationCONSUMER PRICE INDEX (CPI) INDEXED GOVERNMENT BONDS
REPUBLIC OF TURKEY PRIME MINISTRY UNDERSECRETARIAT OF TREASURY CONSUMER PRICE INDEX (CPI) INDEXED GOVERNMENT BONDS INVESTORS GUIDE DECEMBER 2009 TABLE OF CONTENTS I. GENERAL ISSUES... 1 II. TERMS OF THE
More informationRepublic of Italy Borrowing Strategy 30-yr Syndicated BTP. Public Debt Department Italian Treasury
Republic of Italy Borrowing Strategy 30-yr Syndicated BTP Public Debt Department Italian Treasury September 2003 2 Introduction Strengthened Public Finance Framework The Republic of Italy has focused on
More informationBest Practice framework EGB Market
Best Practice framework EGB Market Mathieu Gaveau ECB Bond Market Contact Group, 21 October 2014 EGBs: Primary Dealership Secure System The system of Primary Dealerships supports security, stability and
More informationAdditional Practice Questions for Midterm I
1 Finance 333 Investments Additional Practice Questions for Midterm I Winter 2004 Professor Yan 1. Financial assets. A) directly contribute to the country's productive capacity *B) indirectly contribute
More informationExamination II. Fixed income valuation and analysis. Economics
Examination II Fixed income valuation and analysis Economics Questions Foundation examination March 2008 FIRST PART: Multiple Choice Questions (48 points) Hereafter you must answer all 12 multiple choice
More informationDCF and WACC calculation: Theory meets practice
www.pwc.com DCF and WACC calculation: Theory meets practice Table of contents Section 1. Fair value and company valuation page 3 Section 2. The DCF model: Basic assumptions and the expected cash flows
More informationSYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008)
SYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008) Examination delivered in ENGLISH and GERMAN The ACI Dealing Certificate is a foundation programme that allows candidates to acquire a working
More informationBonds Market Development Plan. Ministry of Investment November 2009
Bonds Market Development Plan Ministry of Investment November 2009 1 Financial Sector Reform Program Phase I: 2005 2008 Phase II: 2009-2012 2 Financial Sector Reform Program Reform Objective Phase I: 2005-2008
More informationIFRS Practice Issues for Banks:
IFRS Practice Issues for Banks: Fair value measurement of derivatives the basics September 2012 kpmg.com/ifrs Contents Highlighting the path to fair value for derivatives 1 1. Introduction 2 2. How are
More informationProblems and Solutions
Problems and Solutions CHAPTER Problems. Problems on onds Exercise. On /04/0, consider a fixed-coupon bond whose features are the following: face value: $,000 coupon rate: 8% coupon frequency: semiannual
More informationTerminology of Convertable Bonds
Bellerive 241 P.o. Box CH-8034 Zurich info@fam.ch www.fam.ch T +41 44 284 24 24 Terminology of Convertable Bonds Fisch Asset Management Terminology of Convertible Bonds Seite 2 28 ACCRUED INTEREST 7 ADJUSTABLE-RATE
More informationHot Topics in Financial Markets Lecture 1: The Libor Scandal
Hot Topics in Financial Markets Lecture 1: The Libor Scandal Spot and Forward Interest Rates Libor Libor-Dependent Financial Instruments The Scandal 2 Spot Interest Rates Bond Market The yield on a bond
More informationECO 4368 Instructor: Saltuk Ozerturk. Bonds and Their Valuation
ECO 4368 Instructor: Saltuk Ozerturk Bonds and Their Valuation A bond is a long term contract under which a borrower (the issuer) agrees to make payments of interest and principal on speci c dates, to
More informationThe Money Market. Juan Barragan ECP January 2009
The Money Market Juan Barragan ECP January 2009 The Money Market Central Banks They drive the Money Market. They make funds available to commercial banks. They ensure liquidity. Funds available for a short
More informationInvestment Education Series
Investment Education Series Types of Investment Funds Introduction Investment fund basically refers to a pool of funds, but our focus in this edition of GTBAM education series is to highlight the features,
More informationStatement of Financial Condition
Financial Report for the 14th Business Year 5-1, Marunouchi 1-Chome, Chiyoda-ku, Tokyo Citigroup Global Markets Japan Inc. Rodrigo Zorrilla, Representative Director, President and CEO Statement of Financial
More informationContent. 15 An Example of FX Option Trade. 3 About 4 Fast, Transparent, Liquid ve Secure Investment Environment. 16 An Example of FX Option Trade
FX DERIVATIVES Content 3 About 4 Fast, Transparent, Liquid ve Secure Investment Environment 5 When Trading a FX Contract, One Buys/ Sells the Amount of Contract Size 6 In, Contract Expiry Months Are Standard
More informationVALUATION OF FIXED INCOME SECURITIES. Presented By Sade Odunaiya Partner, Risk Management Alliance Consulting
VALUATION OF FIXED INCOME SECURITIES Presented By Sade Odunaiya Partner, Risk Management Alliance Consulting OUTLINE Introduction Valuation Principles Day Count Conventions Duration Covexity Exercises
More informationUK DMO Consultation on issuance of ultra-long gilt instruments
UK DMO Consultation on issuance of ultra-long gilt instruments Arnaud Marès 18 February 2005 First international conference on longevity risk and capital market solutions Launch of the UK DMO consultation
More information15.433 INVESTMENTS Class 14: The Fixed Income Market Part 2: Time Varying Interest Rates and Yield Curves. Spring 2003
15.433 INVESTMENTS Class 14: The Fixed Income Market Part 2: Time Varying Interest Rates and Yield Curves Spring 2003 Time-Varying Interest Rates 12 10 T-Bill Rates (monthyly, %) 8 6 4 2 0 Jun-85 Jun-86
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2015 Condensed Interim Consolidated Balance Sheet As at December 31, 2015 (CAD millions) As at December
More informationSolutions 2. 1. For the benchmark maturity sectors in the United States Treasury bill markets,
FIN 472 Professor Robert Hauswald Fixed-Income Securities Kogod School of Business, AU Solutions 2 1. For the benchmark maturity sectors in the United States Treasury bill markets, Bloomberg reported the
More informationFORWARD RATE AGREEMENT (FRA)
FORWARD RATE AGREEMENT (FRA) 1. Terminology... 3 2. Hedging with FRAs... 9 3. Determination of Forward Interest Rates (FRA)... 11 3.1 The Principle of Forward Interest Rates... 11 3.2 Highest and Lowest
More informationUsing Derivatives in the Fixed Income Markets
Using Derivatives in the Fixed Income Markets A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all figures are based in USD. 1 Introduction While derivatives may have a
More informationCHAPTER 2. Asset Classes. the Money Market. Money market instruments. Capital market instruments. Asset Classes and Financial Instruments
2-2 Asset Classes Money market instruments CHAPTER 2 Capital market instruments Asset Classes and Financial Instruments Bonds Equity Securities Derivative Securities The Money Market 2-3 Table 2.1 Major
More informationCHAPTER 8 INTEREST RATES AND BOND VALUATION
CHAPTER 8 INTEREST RATES AND BOND VALUATION Solutions to Questions and Problems 1. The price of a pure discount (zero coupon) bond is the present value of the par value. Remember, even though there are
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board September 30, 2015 Condensed Interim Consolidated Balance Sheet As at September 30, 2015 As at September 30,
More informationNote on New Products in F&O Segment. 2. Options Contracts with Longer Life/Tenure. 6. Exchange-traded Currency (Foreign Exchange) F&O Contracts
Note on New Products in F&O Segment Contents 1. Mini Contracts in Equity Indices 2. Options Contracts with Longer Life/Tenure 3. Volatility Index and F&O Contracts 4. Options on Futures 5. Bond Index and
More informationRULES CONCERNING PUBLICATION, ETC. OF OVER-THE-COUNTER QUOTATION OF CORPORATE BONDS, ETC. FOR RETAIL CUSTOMERS
RULES CONCERNING PUBLICATION, ETC. OF OVER-THE-COUNTER QUOTATION OF CORPORATE BONDS, ETC. FOR RETAIL CUSTOMERS (Purpose) (February 19, 2003) Article 1 The purpose of the Rules Concerning Publication, etc.
More informationUnderstanding the changes to the Private Equity Valuation Guidelines.
Understanding the changes to the Private Equity Valuation Guidelines. 17 December 2012 Checked and checked again. A revised version of the International Private Equity and Venture Capital Valuation Guidelines
More informationCall provision/put provision
Call provision/put provision Call put provision refers to the embedded options offered in some bonds. (see embedded options). They can provide the bond issuer lots of flexibility. As such, the structuring
More informationYIELD CURVE GENERATION
1 YIELD CURVE GENERATION Dr Philip Symes Agenda 2 I. INTRODUCTION II. YIELD CURVES III. TYPES OF YIELD CURVES IV. USES OF YIELD CURVES V. YIELD TO MATURITY VI. BOND PRICING & VALUATION Introduction 3 A
More informationA Primer on Valuing Common Stock per IRS 409A and the Impact of FAS 157
A Primer on Valuing Common Stock per IRS 409A and the Impact of FAS 157 By Stanley Jay Feldman, Ph.D. Chairman and Chief Valuation Officer Axiom Valuation Solutions 201 Edgewater Drive, Suite 255 Wakefield,
More informationValuation of debt instruments
Valuation of debt instruments Csaba Ilyés 1 and László Lakatos 2 Last decade in Hungary the securities market developed very rapidly. During this period the amount of securities increased by more than
More informationDisclosure of European Embedded Value (summary) as of March 31, 2012
May 25, 2012 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of 2012 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life Insurance
More informationNATIONAL PENSION COMMISSION
NATIONAL PENSION COMMISSION REGULATION ON INVESTMENT OF PENSION FUND ASSETS National Pension Commission Page 1 of 15 REGULATION ON INVESTMENT OF PENSION FUND ASSETS 1. INSTITUTIONAL FRAMEWORK 2. AUTHORISED
More information