1 Capital Markets Notes n. 1 - January 2002 INVESTMENT GRADE FINANCIAL CORPORATE BONDS: TERM STRUCTURE ESTIMATION AND RELATIVE VALUE Enrico Bernini Dean Fantazzini
3 IntesaBci 1 INTRODUCTION The corporate bond market in the euro area is constantly increasing as a proportion of the international debt market. The main industry represented in the corporate debt market is still financial services with a net issued amount of almost EUR 140bln in Apart from the increasing number of financial bonds issued by many institutions like other non financial firms the development in the liquidity of these securities as actively traded bonds in secondary markets is also remarkable. Because of this, the issue of pricing has become relevant for traded corporate debt. For this purpose it is essential to be able to calculate a fair value that can be compared to the spot market price of a corporate bond. That is, to be able to calculate a fair curve that can be compared to the spot market prices of a set of corporate bonds of the same credit class but with different times to maturity The aim of this paper is twofold. On one hand we estimate a fair credit spread curve for every investment grade class of financial corporate bonds listed in the euro area. On the other hand we provide a relative value framework: a rich-cheap analysis tool that allows us to discern if a listed corporate bond presents a premium instead of a discount or a fair price. In addition, we are interested in assessing the critical factors an analyst has to consider in order to read, interpret and correctly evaluate the results of this model. The paper is composed as follows. In section 2 we shall discuss the estimation methodology we apply to obtain corporate spread fair curves. In section 3 we present the relative values of corporate bonds for every investment grade class in the euro area. Section 4 states the conclusions we have reached. THE ESTIMATION OF TERM STRUCTURES The term structure estimation is the starting point of what is often called rich-cheap analysis namely the relative valuation of an asset with respect to a comparable fair value. The object of the term structure estimation is to establish the discount factor function, which provides a reliable zero-coupon rate for any given maturity of a bond. We shall consider several term structures, one for each investment grade corporate rating class, plus the government curve. The last one provides a basis to which the corporate rates are compared. 2 The German government bond (i.e. Bund) are assumed to be the risk-free rate securities 1 Source: IntesaBci elaborations on CapitalData Bondware data. 2 On this point it is important to state how much delicate is this necessary assumpion. Referring to a government curve we ask for a credit spread no biasing condition. Most of benchmarks in the government bond market are rich. The direct effect would be to produce higher corporate spread levels, ceteris paribus. As a consequence we select government bonds that may be either benchmark for their maturity or not, in order to obtain a reliable curve for our corporate spread evalutation purposes.
4 2 IntesaBci for the whole euro area financial market. The zero curve for these securities is estimated by third order basis spline functions (i.e. 3 rd Order B-splines). The sample The selection criteria In order to be representative as a sample, it is a strict requirement that the issues under consideration are liquid. Considering that not all of them are listed on a debt market in Europe it is essential to define a selection criterium to identify the most liquid corporate bonds. For each credit class the bonds are selected according to the following set of criteria: i) age: namely, how much time has passed from the date of issue; ii) bid-ask spread: the higher the uncertainty on its fair price, the higher its bid-ask spread; iii) amount issued: the greater the issued debt amount on the primary market, the greater should be its active trading on the secondary market, whatever that market is (i.e. over-thecounter or a listed stock exchange). This therefore acts as a reasonable and effective proxy of its liquidity. In particular: the term to maturity is never less than a year and the age is never less than three years; no bid-ask spread constraints are applied to the selection; 500bln euro is the minimum amount required for Standard&Poor s AAA and AA credit ratings, while a reduced size of 100bln euro for A and BBB. This is in order to collect a sufficient and effective number of issues for each credit class. For the last two classes an exception is made: these samples also consider European bonds issued in euros in Great Britain. 3 These filter conditions together eliminate most of the illiquid issues on the euro area financial corporate bond market, as an effective requirement to obtain a robust and significant estimation for every credit spread curve we obtain. The sample definition The whole investment grade bond sample is composed of the four main traditional rating classes on issues, reported here per credit class referring to their Standard&Poor s Credit Ratings. 4 3 E.g. Imperial Tobacco Finance, UK domicile. 4 S&P Rating Services and Moody s Investors Service: AAA-Aaa, AA-Aa, A-A and BBB-Baa.
5 IntesaBci 3 When an S&P rating was not available on any considered issues the Moody s Investor s Service ratings have been used to allocate the bond into its homogeneous credit class. In order to raise a sufficient number of corporate bonds for each class, single credit subclasses are considered together. This allows us to obtain a consistent and reliable estimation of the zero curve and relative value results. 5 The bonds considered in the analysis belong to the Banking or Financial Services sectors, as classified by Reuters3000 Fixed Income. Our other sources of data were Bloomberg Corporate 6, JPMorgan Bond Indices and Merrill Lynch EMU Financial Index. Every bond in our sample is listed by Reuters Composite, which has provided listing and homogeneity of data for all the securities considered. A complete list of the collected securities is in Appendix 1 The Sample Securities. 7 The sample of bonds for each credit class also includes four Euribor contracts with maturities of 1, 3, 6 and 12 months in order to provide regularity to the zero curve we obtain in the time-to-maturity domain. This is due to the low liquidity level of corporate bonds with time-to-maturity of less than one year. 8 The presence of these securities allows us to greatly improve the robustness and signficance of estimated spline coefficients, reducing their statistical standard errors. The 55 AAA corporate bonds collected in the sample span a time period of over twelve years, from Osterreicheische Postparka 5 1 / 4 % coupon with maturity at 11 November 2002 to BNG 4 1 / 2 % coupon, with maturity at 10 March The 30 AA corporate bonds collected in the sample also span a time period of over twelve years, from Bayerische Hypo 5 7 / 8 % coupon with maturity at 10 October 2002 to Generali Finance 4 3 / 4 % 12 May The 41 A corporate bonds collected in the sample cover a period of over fourteen years, from Reiffeiesen Zentralbank 4 7 / 8 % 27 March 2003 to Fortis Lux Finance 6 3 / 8 % coupon, with maturity at 16 February The 33 BBB corporate bonds collected in the sample cover a time period of almost ten years, from Credit Lyonnais 8 3 / 4 % 6 November 2002 to BCP Finance Bank Ltd 6 1 / 4 % 29 March This investment grade class has a shorter time-to-maturity due to the increased credit risk associated with these issues. As a result of this it has been difficult to find bonds in this credit class with a longer maturity. 5 As a consequence, the ten individual sub-classes are not analysed in this work. But with the growing of the corporate bond market in the euro area, specific term structure estimation will early become a reality and interesting results are already available by the authors. 6 On Bloomberg: MER Go, then Corporate Go to start with. 7 Other kinds of data such as Liquidation Status and Redemption, relevant in rich-cheap analysis have been collected for further analysis. A part from sub-class splitting, other researches have to be addressed towords other features of corporate and financial bonds such as Liquidation Status and Redemption, on which a fair price might be conditional to. 8 Such illiquidity would produce a strong short term swing in the curve. For details on this point, cf. Bernini E. and Fantazzini D., 2001, Stima di Strutture a Termine: il Caso dei Corporate Spread Finanziari, Collana Ricerche 01/01 IntesaBci, September (p.39-40).
6 4 IntesaBci The data presented in this paper were last updated on 30 November Estimation of zero curves Since the credit spread curves usually present a more regular shape in relation to the bond yield-to-maturity curve, we have reduced the order of the used splines by a lower grade of their degree of freedom. As a result, a quadratic spline (rather than a cubic one) has been chosen to estimate the spread zero curve. As quadratic spline functions require fewer nodes this has improved the estimation. 9 The advantage of this approach is that it has reduced the root mean squared errors, i.e. a better estimation of the sample data. The estimated zero curve functions we obtain are regular and they are showed in figure 1. Figure 1 SPREAD ZERO CURVES Investment Grade Financial Corporate Spreads: AAA - AA - A - BBB Ratings Spread mag-02 ago-02 nov-02 feb-03 mag-03 ago-03 nov-03 feb-04 mag-04 ago-04 nov-04 feb-05 mag-05 ago-05 nov-05 feb-06 mag-06 Maturity BBB ago-06 nov-06 feb-07 mag-07 ago-07 nov-07 feb-08 mag-08 ago-08 nov-08 feb-09 mag-09 ago-09 nov-09 On the base of these curves every single rating class has been estimated in prices and yield-to-maturity. The root mean squared error (RMSE) between theoretical and market yield-to-maturity is a measure that gauges the ability of the proposed model to accomodate any single sample of data. The same measure of dispersion has been considered with regard to prices. A AA AAA Table 1 summarises the root mean squared error we obtained for each credit class, confirming (as expected) monotony in its values: the higher the credit stance, the lower the 9 Cf. Bernini E. and Fantazzini D., 2001, Op.Cit.
7 IntesaBci 5 dispersion of data (and consequently the RMSE). Table 1 ROOT MEAN SQUARED ERRORS (IN BASIS POINTS) ROOT MEAN SQUARED ERROR 45,00 40,00 35,00 30,00 25,00 20,00 15,00 10,00 5,00 0,00 AAA AA A BBB RELATIVE VALUE ANALYSIS The curve estimation of the zero-coupon rates allows to calculate the so-called fair price of a security, enabling a rich-cheap analysis: if the market price is higher than the fair price then the security is rich, otherwise it is cheap. Similarly, we define the fair yield-to-maturity as that corresponding to the fair price for a given maturity. A corporate bond is rich if its yield to maturity is lower than the fair yield-tomaturity, and cheap otherwise. The corporate premium or discount is defined by the difference π = [(ytm fair ) (ytm real)] where, ytm fair = ytm real = yield to maturity correspondent to the estimated fair price yield to maturity that corresponds to the real market price such that: if π is positive (i.e. ytm fair > ytm real) the corporate is rich because of its lower yield to maturity with respect to its fair one. This corresponds to the simple fact that the corporate bond price is higher than the estimated fair price. Similarly, if π is negative (i.e. ytm fair < ytm real) the corporate is cheap on the basis of the same reasoning. This convention allows us to recognise positive premia and negative discount factors π, and therefore whether a considered security is rich or cheap.
8 6 IntesaBci Figure 3 YIELD TO MATURITY CURVE CORPORATE FINANCIAL AAA Curva dei rendimenti a scadenza - Titoli AAA 7,00% 6,50% 6,00% 5,50% 5,00% 4,50% 4,00% 3,50% 3,00% DEXIA MUNICIPAL AGENCY OESTERREICHISCHE POSTSPARKA. DSL FINANCE HYPOTHENKEN IN ESSEN RABOBANK NEDERLAND RABOBANK NEDERLAND DEXIA MUNICIPAL AGENGY BAYERISCHE LANDESBANK ALLGEMEINE HYPO BNG DEUTSCHE POST BANK DEUTSCHE POST BANK OESTERREICHISCHE KONTROLLB. WESTDEUTSCHE LANDESBANK DEUTSCHE GENOSSENSCHAFTS-HYPO WUERTTEMBERGISCGE BFG HYPOTHEKENBANK MUENCHENER HYPO LANDWIRTSCHAFTLICHE R.BANK DEUTSCHE GENOSSENSCHAFTS-HYPO LANDESBANK BADEN-WUERTTEMBERG WESTFAELISCHE LANDSCHAFT-BOD. NEDERLANDSE WATERSCHAPSBANK NV CRH DEUTSCHE HYPO DEPFA DEUTSCHE PFANDBRIEF. BNG BNG Figure 4 YIELD TO MATURITY CURVE CORPORATE FINANCIAL AA Curva dei rendimenti a scadenza - Titoli A 7.00% 6.50% 6.00% 5.50% 5.00% 4.50% 4.00% 3.50% 3.00% RAIFFEISEN ZENTRALBANK DRESDNER BANK FORTIS FINANCE NV BAYERISCHE HYPO UND VEREINSB. LINDE FINANCE SNS BANK NEDERLAND BAYERISCHE HYPO UND VEREINSB. FORTIS FINANCE NV UNIBAIL UNIBAIL INTERNATIONAL ENDESA NUERNBERGER HYPO SOCIETE GENERALE LINDE FINANCE ING BANK SNS BANK NEDERLAND NUERNBERGER HYPO CCCI ROYAL BANK OF SCOTLAND BNP PARIBAS ALLGEMEINE HYPO ING BANK FORTIS FINANCE NV BSCH ISSUANCE BAYERISCHE HYPO UND VEREINSB. BANK OF IRELAND CCCI BSCH ISSUANCE COMMERZBANK UNICREDITO ITALIANO CCCI NATWEST BANK CCCI BNP PARIBAS SOCIETE GENERALE SOCIETE GENERALE FORTIS LUX FINANCE Corporate spread dynamics The corporate spread dynamics over time matter in valuation. Benchmark corporate bonds are usually rich in price, due to their liquidity premium. Market prices tend to be higher than their fair prices over time: their difference is almost always positive and it tends to fluctuate around a positive constant delta defined as the average of
9 IntesaBci 7 these differences over a period in time. New issued corporate bonds tend to be rich when they are issued, because of their large tradable outstanding, becoming cheap after varying periods of time. These and other features, such as liquidation status and redemption for example, constitute relevant variables to be considered in relative value analysis. This is the analysis that we suggest could be adopted by traders and practitioners in this field. CONCLUSIONS In this paper we have estimated the term structure of government, corporate and credit spreads and explained how it is possibile to define relative values for euro investment grade financial corporate bonds, with respect to the relevant yield curve. For this purpose two factors were important: the yield curve estimation methodology we have employed and the sample we have defined for this purpose. On one hand we considered the B-spline methodology to achieve reliable term structures, i.e. likelihood, smooth and regular curves. On the other hand we have defined five distinct and independent sets of data as the bond sample dataset: one for government debt and one for each investment grade credit rating class. With respect to the considered methodology, the introduction of a multi-curve model, based on the joint estimation of term structures, has allowed us to make a parsimonious estimation of the curves due to a larger set of available data (as opposed to a single-curve estimation alternative). Regarding the whole sample of data we built an updated dataset composed of the four main investment grade corporate bonds plus a euro area government bond set. This was because of their liquidity and because they are commonly used for credit spread estimation. Robust and stable results on curve estimations were achieved for every single investment grade class in this work. The estimation of zero-coupon rate curves has allowed us to evaluate the corporate bond fair prices, making rich-cheap analysis feasibile. For every rating class curve it was possible to evaluate the relative price of a bond with respect to its fair curve, and also to define a global dispersion property of a set of bonds with the same credit rating. This means that a credit spread curve provides an ideal model that can effectively explain collective bond prices dynamic behaviour over time. Features like liquidation status, redemption, debt seniority and prices dynamic behaviour, constitute new relevant variables to be considered in further relative value researches.
10 8 IntesaBci APPENDICES Appendix 1 : The sample securities Table 1 FINANCIAL CORPORATE BONDS: AAA CREDIT RATING CLASS REUTERS RIC TITOLO MATURITY CEDOLA OGGI EURIBOR AAA 1 MESI EURIBOR AAA 3 MESI EURIBOR AAA 6 MESI EURIBOR AAA 12 MESI AT = OESTERREICHISCHE POSTSPARKA. 11-nov-02 5,25 DE = DSL FINANCE 05-dic-02 5,125 DE = DSL FINANCE 04-feb-03 4,5 NL = RABOBANK NEDERLAND 05-mag-03 4,5 DE257463= HYPOTHENKENBANK IN ESSEN 16-lug-03 4,5 DE243351= DSL BANK 17-giu-04 3,5 FR048638= DEXIA MUNICIPAL AGENGY 21-giu-04 4,5 DE215826= MUENCHENER HYPO 01-lug-04 5 NL = RABOBANK NEDERLAND 12-lug-04 3,625 DE343814= WUERTTEMBERGISCGE HYPO 16-ago-04 4,25 NL = RABOBANK NEDERLAND 13-ott-04 4,75 DE226453= DEXIA HYPOTHEKENBANK AG 24-gen-05 4,75 FR049742= DEXIA MUNICIPAL AGENGY 26-apr-05 5 AT = OESTERREICHISCHE KONTROLLB. 08-ago-05 7 DE = BAYERISCHE LANDESBANK 19-gen-06 4,875 DE335656= NUERNBERGER HYPO 23-gen-06 6 DE202783= ALLGEMEINE HYPO 01-feb-06 5,25 AT = OESTERREICHISCHE KONTROLLB. 21-feb-06 6,375 NL = BNG 28-feb-06 4,75 DE251560= BAYERISCHE HYPO UND VEREINS 01-mar-06 4,75 DE = DSL BANK 20-apr-06 3,875 FR049979= DEXIA MUNICIPAL AGENGY 26-apr-07 5,375 DE = DSL BANK 13-ago-07 5,625 DE253803= DEUTSCHE HYPO 06-set-07 5 AT = OESTERREICHISCHE KONTROLLB. 12-set-07 5,75 DE222008= BAYERISCHE HYPO UND VEREINS 15-gen-08 5,5 DE307505= WESTDEUTSCHE LANDESBANK 08-feb-08 5,25 AT = OESTERREICHISCHE KONTROLLB. 25-apr-08 5,25 DE232115= DEUTSCHE GENOSSENSCHAFTS-HYPO 19-giu-08 4,75 DE276476= KREDITANSTALT FUER WIEDERAUFBAU 01-set-08 5,625 DE343738= WUERTTEMBERGISCGE HYPO 02-ott-08 4,25 FR048564= COMPAGNIE DE FINANCEMENT FONCIER 25-ott-08 5,125 DE308150= BFG HYPOTHEKENBANK 06-nov-08 5 DE276078= KREDITANSTALT FUER WIEDERAUFBAU 04-gen-09 5 DE101552= MUENCHENER HYPO 15-gen-09 5 DE309083= LANDWIRTSCHAFTLICHE R.BANK 23-mar-09 5 DE = LANDWIRTSCHAFTLICHE R.BANK 30-apr-09 4,125 DE350904= DEUTSCHE GENOSSENSCHAFTS-HYPO 13-ago-09 5,25 DE236652= DEUTSCHE GENOSSENSCHAFTS-HYPO 01-apr-10 5,5 FR018656= CRH 25-apr-10 5,75 DE102381= LANDESBANK BADEN-WUERTTEMBERG 06-lug-10 5,5 DE276080= KREDITANSTALT FUER WIEDERAUFBAU 11-ago-10 4,75 DE340216= WESTFAELISCHE LANDSCHAFT-BOD. 13-ott-10 5,25 NL = BNG 25-ott-10 5,625 NL = NEDERLANDSE WATERSCHAPSBANK NV 19-apr-11 5,125 DE215860= MUENCHENER HYPO 19-apr-11 4,25 FR018624= CAISSE DE REFINANCEMENT HYPO. 25-apr-11 4,2 NL = BNG 04-lug-11 5,25 DE253795= DEUTSCHE HYPO 14-feb-12 6 DE315955= RHEINBODEN HYPOTHEKENBANK 24-ago-12 5 DE247536= DEPFA DEUTSCHE PFANDBRIEF. 15-gen-13 5,5 FR048572= COMPAGNIE DE FINANCEMENT FONCIER 02-mar-13 5,375 NL = BNG 05-giu-13 5,375 DE276079= KREDITANSTALT FUER WIEDERAUFBAU 17-giu-13 5,125 NL = BNG 10-mar-14 4,5 Table 2 FINANCIAL CORPORATE BONDS: AA CREDIT RATING CLASS
11 IntesaBci 9 REUTERS RIC TITOLO MATURITY CEDOLA OGGI EURIBOR AA 1 MESI EURIBOR AA 3 MESI EURIBOR AA 6 MESI EURIBOR AA 12 MESI DE = BAYERISCHE HYPO 10-ott-02 5,875 FR = BNP 29-set-03 6,5 DE = BAYERISCHE HYPO 20-nov-03 5,375 AT = BANK AUSTRIA 23-apr-04 3,5 DE = DEUTSCHE FINANCE (NETHERL.) 28-apr-04 3,5 DE = DEUTSCHE FINANCE (NETHERL.) 19-mag-05 5 DE = DRESDNER FINANCE BV 25-mag-05 5 NL = ING GROEP NV 03-mag-06 5 DE = DRESDNER FINANCE BV 19-gen-07 4 NL = ING GROEP NV 01-ago-07 6 DE259986= DEUTSCHE HYPOTHEKENBANK 21-set-07 5,25 FR = CAISSE NATIONAL DES CAISSES 31-gen-08 5,25 DE = RWE FINANCE 18-apr-08 5,375 FR = CREDIT LOCAL DE FRANCE 25-apr-08 5,25 DE = DRESDNER FINANCE BV 04-gen-09 5,25 DE = DEUTSCHE FINANCE (NETHERL.) 04-gen-09 5 NL = ING BANK 29-gen-09 4,25 FR = CREDIT LOCAL DE FRANCE 25-apr-09 4,75 IT = INA 28-mag-09 4,5 NL = ABN AMRO BANK 24-giu-09 4,75 DE = DEUTSCHE FINANCE (NETHERL.) 28-lug-09 4,25 DE = DEUTSCHE BAHN FINANCE 15-giu-10 6 DE = WESTDEUTSCHE LANDESBANK 04-apr-11 5,25 NL = ABN AMRO BANK 16-mag-11 5,625 DE = DEUTSCHE FINANCE (NETHERL.) 18-mag-11 5,5 DE273822= DGZ-DEKABANK 06-giu-11 5,5 FR = CREDIT LOCAL DE FRANCE 20-ago-12 5,75 DE = DEUTSCHE FINANCE (NETHERL.) 20-ago-13 5,125 DE229459= DEPFA DEUTSCHE PFANDBR. 15-gen-14 4,5 IT = GENERALI FINANCE 12-mag-14 4,75
12 10 IntesaBci Table 3 FINANCIAL CORPORATE BONDS: A CREDIT RATING CLASS REUTERS RIC TITOLO MATURITY CEDOLA EURIBOR A 1 MESI EURIBOR A 3 MESI EURIBOR A 6 MESI EURIBOR A 12 MESI AT = RAIFFEISEN ZENTRALBANK 27-mar-03 4,875 DE = DRESDNER BANK 01-apr-03 6,75 NL = FORTIS FINANCE NV 17-ott-03 5,75 DE = BAYERISCHE HYPO UND VEREINSB. 02-feb-04 5,25 DE = LINDE FINANCE 27-feb-04 4,875 NL = SNS BANK NEDERLAND 21-set-04 4,75 DE = BAYERISCHE HYPO UND VEREINSB. 12-lug-05 5,5 NL = FORTIS FINANCE NV 19-set-05 5,75 FR = UNIBAIL 30-gen-06 5,625 FR = UNIBAIL 15-giu-06 4,375 ES = INTERNATIONAL ENDESA 08-nov-06 5,75 DE335694= NUERNBERGER HYPO 23-gen-07 5 FR = SOCIETE GENERALE 12-mar-07 6 DE = LINDE FINANCE 14-giu-07 6,375 NL = ING BANK 01-ott-07 6 NL = SNS BANK NEDERLAND 15-ott-07 5,875 DE335667= NUERNBERGER HYPO 11-feb-08 5,25 FR = CCCI 25-apr-08 5,25 GB = ROYAL BANK OF SCOTLAND 22-lug-08 5,25 FR = BNP PARIBAS 07-ago-08 5,625 DE202931= ALLGEMEINE HYPO 15-set-08 5,75 NL = ING BANK 23-feb-09 4,625 NL = FORTIS FINANCE NV 07-apr-09 4,625 ES = BSCH ISSUANCE 06-lug-09 5,125 DE = BAYERISCHE HYPO UND VEREINSB. 15-gen-10 5,625 IE = BANK OF IRELAND 10-feb-10 6,45 FR = CCCI 26-apr-10 6,25 ES = BSCH ISSUANCE 05-lug-10 6,375 DE = COMMERZBANK 12-lug-10 6,5 IT = UNICREDITO ITALIANO 16-mar-11 6 FR = CCCI 25-apr-11 4,5 GB = NATWEST BANK 30-giu-11 5,125 FR = CCCI 16-ott-12 6,125 FR018709=PA BNP PARIBAS 30-ott-12 5,8 FR018712=PA SOCIETE GENERALE 05-nov-12 5,65 FR = SOCIETE GENERALE 27-apr-15 6,625 NL = FORTIS LUX FINANCE 16-feb-16 6,375
13 IntesaBci 11 Table 4 FINANCIAL CORPORATE BONDS: BBB CREDIT RATING CLASS REUTERS RIC TITOLO MATURITY CEDOLA EURIBOR BBB 1 MESI EURIBOR BBB 3 MESI EURIBOR BBB 6 MESI EURIBOR BBB 12 MESI FR = CREDIT LYONNAIS 06-nov FR = BANQUE WORMS SA 24-feb IT = FIAT FINANCE AND TRADE LTD 17-ott IT = PARMALAT FINANCE CORP BV 08-dic-03 6 IT109327=MI BANCA NAZIONALE DEL LAVORO 15-mar GB = IMPERIAL TOBACCO FINANCE 15-mar IT = FIAT FINANCE AND TRADE LTD 31-mar IT = PARMALAT FINANCE CORP BV 23-giu CH = METRO FINANCE BV 12-lug-04 5 PL = TPSA EUROFINANCE BV 27-ott FR = CREDIT LYONNAIS 16-set IT = PARMALAT FINANCE CORP BV 07-feb DE = METALLGESELLSCHAFT FINANCE BV 25-lug IT = FIAT FINANCE AND TRADE LTD 01-ago GB = ALLIED DOMECQ FINANCIAL SERVICES 14-dic IT = PARMALAT FINANCE CORP BV 06-feb-06 6 ES = SOL MELIA EUROPE BV 09-feb PL = TPSA EUROFINANCE BV 01-mar CH = METRO FINANCE BV 09-mar GB = ALLIED DOMECQ FINANCIAL SERVICES 18-apr IT = FIAT FINANCE AND TRADE LTD 25-mag GB = IMPERIAL TOBACCO FINANCE 27-set IT = FIAT FINANCE AND TRADE LTD 13-dic DE = HEIDELBERGER ZEMENT FINANCE BV 22-feb PL = TPSA EUROFINANCE BV 13-mar IT = PARMALAT FINANCE CORP BV 23-ott-07 7 IT = PARMALAT FINANCE CORP BV 25-lug IT = PARMALAT FINANCE CORP BV 30-mar DE = HEIDELBERGER ZEMENT FINANCE BV 09-apr IT = FIAT FINANCE AND TRADE LTD 24-feb PT = BCP FINANCE BANK LTD 29-mar
15 IntesaBci 13 Appendix 2 : Rich-Cheap Analysis Values Figure 5 Rich Aaa Rich AAA Financial Corporate Bonds (Real vs Fair YTM) 16,00 14,00 12,00 10,00 8,00 6,00 4,00 2,00 0,00-2,00 HYPOTHENKEN IN ESSEN 16/07/03 LANDWIRTSCHAFTLICHE R.BANK 30/04/09 KREDITANSTALT FUER WIEDERAUFBAU 17/06/13 DEUTSCHE HYPO 06/09/07 DEXIA MUNICIPAL AGENGY 26/04/05 BFG HYPOTHEKENBANK 06/11/08 LANDWIRTSCHAFTLICHE R.BANK 23/03/09 OESTERREICHISCHE KONTROLLB. 12/09/07 LANDESBANK BADEN-WUERTTEMBERG 06/07/10 WESTFAELISCHE LANDSCHAFT-BOD. 13/10/10 OESTERREICHISCHE KONTROLLB. 25/04/08 DEUTSCHE POST BANK 17/06/04 COMPAGNIE DE FINANCEMENT FONCIER 02/03/13 DEUTSCHE HYPO 14/02/12 DEPFA DEUTSCHE PFANDBRIEF. 15/01/13 BNG 28/02/06 MUENCHENER HYPO 19/04/11 KREDITANSTALT FUER WIEDERAUFBAU 01/09/08 RABOBANK NEDERLAND 13/10/04 NEDERLANDSE WATERSCHAPSBANK NV 19/04/11 DEUTSCHE POST BANK 20/04/06 BAYERISCHE LANDESBANK 19/01/06 BNG 25/10/10 KREDITANSTALT FUER WIEDERAUFBAU 04/01/09 BNG 04/07/11 RABOBANK NEDERLAND 12/07/04 KREDITANSTALT FUER WIEDERAUFBAU 11/08/10 Figure 6 CHEAP AAA Cheap AAA Financial Corporate Bonds (Real vs Fair Spreads) 0,00 CRH 25/04/11 BNG 10/03/14 BNG 05/06/13 RABOBANK NEDERLAND 05/05/03 DEUTSCHE GENOSSENSCHAFTS-HYPO 13/08/09 DEUTSCHE POST BANK 13/08/07 MUENCHENER HYPO 15/01/09 DEUTSCHE GENOSSENSCHAFTS-HYPO 01/04/10 BAYERISCHE HYPO UND VEREINS 15/01/08 NUERNBERGER HYPO 23/01/06 BAYERISCHE HYPO UND VEREINS 01/03/06 ALLGEMEINE HYPO 01/02/06 DEUTSCHE GENOSSENSCHAFTS-HYPO 19/06/08 DSL FINANCE 04/02/03 OESTERREICHISCHE KONTROLLB. 08/08/05 OESTERREICHISCHE KONTROLLB. 21/02/06 DEXIA MUNICIPAL AGENCY 21/06/04 MUENCHENER HYPO 01/07/04 DSL FINANCE 05/12/02 DEXIA HYPOTHEKENBANK AG 24/01/05 WUERTTEMBERGISCGE HYPO 02/10/08 WESTDEUTSCHE LANDESBANK 08/02/08 WUERTTEMBERGISCGE HYPO 16/08/04 RHEINBODEN HYPOTHEKENBANK 24/08/12 DEXIA MUNICIPAL AGENGY 26/04/07 COMPAGNIE DE FINANCEMENT FONCIER 25/10/08 OESTERREICHISCHE POSTSPARKA. 11/11/02 CRH 25/04/10-10,00-20,00-30,00-40,00-50,00-60,00
16 14 IntesaBci Figure 7 RICH AA Rich AA Financial Corporate Bonds (Real vs Fair YTM) 30,00 25,00 20,00 15,00 10,00 5,00 0,00 CREDIT LOCAL DE FRANCE 25/04/09 DEUTSCHE FINANCE (NETHERL.) 28/07/09 DRESDNER FINANCE BV 25/05/05 ING GROEP NV 01/08/07 DEUTSCHE FINANCE (NETHERL.) 18/05/11 ING GROEP NV 03/05/06 DRESDNER FINANCE BV 19/01/07 BNP 29/09/03 DEUTSCHE FINANCE (NETHERL.) 19/05/05 BAYERISCHE HYPO 20/11/03 BANK AUSTRIA (*) 23/04/04 CREDIT LOCAL DE FRANCE 20/08/12 WESTDEUTSCHE LANDESBANK 04/04/11 CREDIT LOCAL DE FRANCE 25/04/08 DEUTSCHE HYPOTHEKENBANK 21/09/07 DGZ-DEKABANK 06/06/11 DEPFA DEUTSCHE PFANDBR. 15/01/14 FIGURE 8 CHEAP AA Cheap AA Financial Corporate Bonds (Real vs Fair YTM) CAISSE DEUTSCHE DEUTSCHE NATIONAL DEUTSCHE DEUTSCHE GENERALI FINANCE BAYERISCHE BAHN DRESDNER DES FINANCE FINANCE RWE FINANCE FINANCE (NETHERL.) HYPO 10/10/02 ABN AMRO FINANCE FINANCE BV CAISSES (NETHERL.) ING BANK ABN AMRO (NETHERL.) 0 INA 28/05/09 18/04/08 12/05/14 20/08/13 Special BANK 24/06/09 15/06/10 04/01/09 31/01/08 04/01/09 29/01/09 BANK 16/05/11 28/04/
17 IntesaBci 15 Figure 9 RICH A Richest A Financial Corporate Bonds (Real YTM wrt Fair YTM) 50,00 45,00 40,00 35,00 30,00 25,00 20,00 15,00 10,00 5,00 0,00 BNP PARIBAS 30/10/12 INTERNATIONAL ENDESA 08/11/06 BANK OF IRELAND 10/02/10 RAIFFEISEN ZENTRALBANK 27/03/03 SNS BANK NEDERLAND 21/09/04 SNS BANK NEDERLAND 15/10/07 CCCI 26/04/10 FORTIS FINANCE NV 17/10/03 CCCI 16/10/12 BAYERISCHE HYPO UND VEREINSB. 02/02/04 BAYERISCHE HYPO UND VEREINSB. 12/07/05 CCCI 25/04/11 NATWEST BANK 30/06/11 FORTIS FINANCE NV 07/04/09 BAYERISCHE HYPO UND VEREINSB. 15/01/10 ALLGEMEINE HYPO 15/09/08 FORTIS FINANCE NV 19/09/05 NUERNBERGER HYPO 11/02/08 NUERNBERGER HYPO 23/01/07 Figure 10 CHEAP A Cheapest A Finacial Corporate Bonds (Real YTM wrt Fair YTM) 0,00 BSCH ISSUANCE 06/07/09 BSCH ISSUANCE 05/07/10 UNIBAIL 30/01/06 UNIBAIL 15/06/06 COMMERZBANK 12/07/10 LINDE FINANCE 14/06/07 BNP PARIBAS 07/08/08 LINDE FINANCE 27/02/04 SOCIETE GENERALE 27/04/15 ROYAL BANK OF SCOTLAND 22/07/08 UNICREDITO ITALIANO 16/03/11 SOCIETE GENERALE 12/03/07 ING BANK 01/10/07 ING BANK 23/02/09 DRESDNER BANK 01/04/03 FORTIS LUX FINANCE 16/02/16 SOCIETE GENERALE 05/11/12 CCCI 25/04/08-10,00-20,00-30,00-40,00-50,00-60,00-70,00
18 16 IntesaBci Figure 11 RICH BBB Rich BBB Financial Corporate Bonds (Real vs Fair YTM) 80,00 70,00 60,00 50,00 40,00 30,00 20,00 10,00 0,00 HEIDELBERGER ZEMENT FINANCE BV 09/04/09 HEIDELBERGER ZEMENT FINANCE BV 22/02/07 IMPERIAL TOBACCO FINANCE 15/03/04 METRO FINANCE BV 12/07/04 FIAT FINANCE AND TRADE LTD 13/12/06 BANCA NAZIONALE DEL LAVORO 15/03/04 BCP FINANCE BANK LTD 29/03/11 ALLIED DOMECQ FINANCIAL SERVICES 14/12/05 IMPERIAL TOBACCO FINANCE 27/09/06 ALLIED DOMECQ FINANCIAL SERVICES 18/04/06 CREDIT LYONNAIS 16/09/04 METRO FINANCE BV 09/03/06 Figure 12 CHEAP BBB Cheap BBB Financial Corporate Bonds (Real vs Fair YTM) 0,00 TPSA EUROFINANCE BV 01/03/06 PARMALAT FINANCE CORP BV 08/12/03 TPSA EUROFINANCE BV 27/10/04 TPSA EUROFINANCE BV 13/03/07 PARMALAT FINANCE CORP BV 30/03/09 PARMALAT FINANCE CORP BV 06/02/06 FIAT FINANCE AND TRADE LTD 17/10/03 FIAT FINANCE AND TRADE LTD 01/08/05 SOL MELIA EUROPE BV 09/02/06 FIAT FINANCE AND TRADE LTD 31/03/04 METALLGESELLSCHAFT FINANCE BV 25/07/05 FIAT FINANCE AND TRADE LTD 25/05/06 PARMALAT FINANCE CORP BV 23/06/04 PARMALAT FINANCE CORP BV 23/10/07 FIAT FINANCE AND TRADE LTD 24/02/10 CREDIT LYONNAIS 06/11/02 PARMALAT FINANCE CORP BV 07/02/05 PARMALAT FINANCE CORP BV 25/07/08 BANQUE WORMS SA 24/02/03-10,00-20,00-30,00-40,00-50,00-60,00-70,00-80,00
19 IntesaBci 17 Appendix 3 : Nodes And Estimated Coefficients Table 6 B-SPLINE NODES IN THE TIME-TOMATURITY DOMAIN: BUND B-Splines GOVERNMENT Start End NODO NODO NODO NODO NODO NODO NODO NODO NODO NODO NODO NODO NODO Table 7 B-SPLINE NODES IN THE TIME TO-MATURITY DOMAIN: AAA B-Splines SPREAD AAA Start End NODO NODO NODO NODO NODO NODO NODO Table 8 B-SPLINE NODES IN THE TIME-TOMATURITY DOMAIN: AA B-Splines SPREAD AA Start End NODO NODO NODO NODO NODO NODO NODO
20 18 IntesaBci Table 9 B-SPLINE NODES IN THE TIME TO MATURITY DOMAIN: A B-Splines SPREAD A Start End NODO NODO NODO NODO NODO NODO NODO Table 10 B-SPLINE NODES IN THE TIME TO-MATURITY DOMAIN: BBB B-Splines SPREAD BBB Start End NODO NODO NODO NODO NODO NODO NODO Table 11 ESTIMATED COEFFICIENTS FOR SPLINE FUNCTIONS Coefficienti Std. Error(HAC) P-VALUE GOVT AAA AA A BBB
ACTIVE 100 FUND 24-feb-14 CHALLENGE Emerging Market Equity Fund - Classe Mediolanum L* 433.511 08-dic-14 Mediolanum Specialities SICAV - SIF Equity Income Fund* 195.839 11-nov-14 CHALLENGE North American
Chapter 3 Fixed Income Securities Road Map Part A Introduction to finance. Part B Valuation of assets, given discount rates. Fixed-income securities. Stocks. Real assets (capital budgeting). Part C Determination
NewEuroMTS Overview October 2005 1 NewEuroMTS Rationale Driven by accession to the EU by 10 new countries in 2004 in compliance with Maastricht Criteria Expected convergence with Euro-Zone interest rates
Bonds and Yield to Maturity Bonds A bond is a debt instrument requiring the issuer to repay to the lender/investor the amount borrowed (par or face value) plus interest over a specified period of time.
INDEX OF EU CREDIT S, BY COUNTRY OF ORIGIN, WHICH HAVE NOTIFIED THE CENTRAL BANK OF CYPRUS OF THEIR INTEREST TO OPERATE ON A CROSS-BORDER BASIS IN CYPRUS IN ACCORDANCE WITH THE PROVISIONS OF THE BANKING
Meteor Asset Management Counterparty Credit Default Swap Rates 27 th January 2012 This information is for professional investors only and should not be presented to, or relied upon by, private investors.
FTSE Global Bond Index Series FTSE GLOBAL BOND INDEX SERIES The FTSE Global Bond Index Series is a series of fixed income indices covering the principal government bond markets and selected corporate markets.
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
Alpha Fund S.I.F. Specialized Investment Fund LIFE SETTLEMENT FUND OF FUNDS Pag 1 di 29 Life Settlements Alternative asset class, investing in life insurance contracts of aged U.S. citizen. Return widely
Profile Key Information as of June 30th 205 The invests in companies that are listed on the Amsterdam stock exchange. These companies often operate internationally. The also selects companies with good
US COLLECTION 03-ott-14 Health Care Select Sector SPDR Fund 4.986.027 27-mar-14 Legg Mason Global Funds PLC - ClearBridge U.S. Aggressive Growth Fund 4.831.202 27-mar-14 Legg Mason Global Funds PLC - Royce
Answers to Review Questions 1. The real rate of interest is the rate that creates an equilibrium between the supply of savings and demand for investment funds. The nominal rate of interest is the actual
FINANCIAL MARKETS AND EUROZONE CRISIS GENERAL OVERVIEW MARCELLO MINENNA A SINGLE CURRENCY, A SINGLE CURVE Trend of the 10 year interest rates over the period 1993 2007 Choice of countries participating
Bond Valuation Chapter 7 Bonds, Bond Valuation, and Interest Rates Valuing the cash flows (1) coupon payment (interest payment) = (coupon rate * principal) usually paid every 6 months (2) maturity value
3. EMISSIONS PUBLIQUES NON CONTINUES DE TITRES DE DETTE EN BELGIQUE 8.336.249 3.1 Obligations 7.799.858 3.1.1 Sociétés belges 1.537.026 3.1.2 Sociétés étrangères 6.262.832 3.2 Titres de dette avec risque
Interest Rates and Bond Valuation Chapter 6 Key Concepts and Skills Know the important bond features and bond types Understand bond values and why they fluctuate Understand bond ratings and what they mean
Introduction Analyzing Risk in an Investment Portfolio October 16, 2012 PUBLIC TRUST ADVISORS Neil Waud, CFA Director Portfolio Management firstname.lastname@example.org (303) 244-0468 Matthew Tight
Bond Valuation 1 Topics in Chapter Key features of bonds Bond valuation Measuring yield Assessing risk 2 Determinants of Intrinsic Value: The Cost of Debt Net operating profit after taxes Free cash flow
FIN 472 Fixed-Income Securities Corporate Debt Securities Professor Robert B.H. Hauswald Kogod School of Business, AU Corporate Debt Securities Financial obligations of a corporation that have priority
FIN 302 Class Notes Chapter 5: Valuing Bonds What is a bond? A long-term debt instrument A contract where a borrower agrees to make interest and principal payments on specific dates Corporate Bond Quotations
CREATING A CORPORATE BOND SPOT YIELD CURVE FOR PENSION DISCOUNTING I. Introduction DEPARTMENT OF THE TREASURY OFFICE OF ECONOMIC POLICY WHITE PAPER FEBRUARY 7, 2005 Plan sponsors, plan participants and
THE JOURNAL OF FINANCE VOL. LVI, NO. 1 FEBRUARY 2001 Explaining the Rate Spread on Corporate Bonds EDWIN J. ELTON, MARTIN J. GRUBER, DEEPAK AGRAWAL, and CHRISTOPHER MANN* ABSTRACT The purpose of this article
National Asset-Liability Management Europe Case study: Making the move into investment grade corporates Tomas Garbaravičius 3 March 2016 London Outline The reasoning behind the decision to corporate bonds
CHAPTER 9 DEBT SECURITIES by Lee M. Dunham, PhD, CFA, and Vijay Singal, PhD, CFA LEARNING OUTCOMES After completing this chapter, you should be able to do the following: a Identify issuers of debt securities;
Understanding Fixed Income 2014 AMP Capital Investors Limited ABN 59 001 777 591 AFSL 232497 Understanding Fixed Income About fixed income at AMP Capital Our global presence helps us deliver outstanding
3. EMISSIONS PUBLIQUES NON CONTINUES DE TITRES DE DETTE EN BELGIQUE 11.085.823 3.1 Obligations 10.870.112 3.1.1 Sociétés belges 5.608.274 3.1.2 Sociétés étrangères 5.261.838 3.2 Titres de dette avec risque
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
and Bond Valuation 1 Bonds Debt Instrument Bondholders are lending the corporation money for some stated period of time. Liquid Asset Corporate Bonds can be traded in the secondary market. Price at which
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,
Markit iboxx Bond Indices Content. Valuations. Processing. Distribution. www.markit.com. Introduction Markit is the leading independent fixed income index provider committed to open and transparent markets.
Strategy Municipal Bond Market Weekly Bottom Line: The U.S. Treasury yields rose sharply on a hawkishly-perceived interpretation of the FOMC meeting statement. Municipal yields hung on and the 10-yr AAA
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
Long Term Debt Overview Unsecured debt with maturities from 1-30 years "This document contains "forward-looking statements" within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking
Term Structure Estimation for U.S. Corporate Bond Yields Jerry Yi Xiao RiskMetrics Group email@example.com RiskMetrics has developed a methodology for estimating the term structures of U.S. corporate
FACTORS AFFECTING THE VALUATION OF CORPORATE BONDS by Edwin J. Elton,*, Martin J. Gruber,* Deepak Agrawal*** and Christopher Mann**** February 3, 2002 * Nomura Professors of Finance, New York University
Risk Control and Equity Upside: The Merits of Convertible Bonds for an Insurance Portfolio In a survey of insurance company Chief Investment Officers conducted by Eager, Davis & Holmes 1 in May 2009, 43%
Quarterly Asset Class Report Institutional Presentation To: Presented By: canterburyconsulting.com September 30, 015 Role in the Canterbury Consulting recommends and communicates asset-class strategy with
IN WEGING België Belgium Government Bond 10.141.109 EUR 16.033.195 0,42% Belgium Government Bond 15.000.000 EUR 15.641.250 0,41% Belgium Government Bond 11.350.000 EUR 14.527.546 0,38% Belgium Government
NATIONAL STOCK EXCHANGE OF INDIA LIMITED Capital Market FAQ on Corporate Bond Date : September 29, 2011 1. What are securities? Securities are financial instruments that represent a creditor relationship
REVIEW We ve used the DCF method to find present value. We also know shortcut methods to solve these problems such as perpetuity present value = C/r. These tools allow us to value any cash flow including
Ranking of Top 100 World Banks Total Assets The Bankers' Almanac Reed Business Information, West Sussex, United Kingdom These are the largest commercial banks in the world and are provided for reference
Annex A Forecast of interest rates as at September 2015 The table below shows Capita Asset Services forecast of the expected movement in medium term interest rates: NOW Sep-15 Dec-15 Mar-16 Jun-16 Sep-16
FIN 472 Fixed-Income Securities Debt Instruments Professor Robert B.H. Hauswald Kogod School of Business, AU The Most Famous Bond? Bond finance raises the most money fixed income instruments types of bonds
Debt Issuance Programs Debt Issuance Programs are covering several issues on a roll over basis. The contractual program amount of such a program may not necessarily be identical with the current utilization.
Implicit subsidies for a sample of EU banks in 2013 This study was commissioned by the Greens/EFA group in the European Parliament and researched and written by Alexander Kloeck, independent consultant.
UNLOCKING VALUE IN EUROPEAN HIGH YIELD 26 March 2015 Mike Della Vedova T. Rowe Price European High Yield Portfolio Manager About T. Rowe Price As of 31 December 2014 Figures Shown in Euros T. ROWE PRICE:
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
Opportunities and risks in credit Michael Korber Head of Credit August 2009 Overview Fixed income assets, characteristics and risks Where the current opportunity is in fixed income markets How to access
Risk and Return in the Canadian Bond Market Beyond yield and duration. Ronald N. Kahn and Deepak Gulrajani (Reprinted with permission from The Journal of Portfolio Management ) RONALD N. KAHN is Director
Danmarks Nationalbank Danish Government Debt Management Policy Strategy 2nd half of 2008 2008 Published 20 June 2008 Translation 2 Key issues, 2 nd half of 2008 In the years to come, continuing government
Goals Bonds: Fixed Income Securities History Features and structure Bond ratings Economics 71a: Spring 2007 Mayo chapter 12 Lecture notes 4.3 Bond Returns Two Parts Interest and capital gains Stock comparison:
Designing The Ideal Investment Policy Presented To The Actuaries Club of the Southwest & the Southeastern Actuarial Conference Presented by: Greg Curran, CFA & Michael Kelch, CFA AAM - Insurance Investment
Public Debt Management Guidelines Analysis of debt management in 2008 Debt Management Guidelines Analysis of 2008 Introduction This document, as announced in the public debt management guidelines for 2009,
Cost of Capital, Valuation and Strategic Financial Decision Making By Dr. Valerio Poti, - Examiner in Professional 2 Stage Strategic Corporate Finance The financial crisis that hit financial markets in
Market Shares by Stock Exchange Turnover in structured Securities Change at the top Deutsche Bank pushes down Commerzbank from its leading position with capital protection (100 %) Capital Protection Products
Bank of Israel Foreign Exchange Activity Department Assets and Liabilities Unit Factors Affecting Credit (Yield) Spreads August 2005 *Yehiel Rehavi *Asher Weingarten * Foreign Exchange Activity Department,
Spread Why high-yield municipal bonds may be attractive in today s market environment February 2014 High-yield municipal bonds may be attractive given their: Historically wide spreads Attractive prices
Navigating Rising Rates with Active, Multi-Sector Fixed Income Management With bond yields near 6-year lows and expected to rise, U.S. core bond investors are increasingly questioning how to mitigate interest
CREDIT RISK PREMIUMS James A. Gentry Professor Emeritus of Finance and University Distinguished Teacher Scholar University of Illinois firstname.lastname@example.org Frank K. Reilly Bernard J. Hank Professor of
1 Money market portfolio April 11 Management of Norges Bank s money market portfolio Report for the fourth quarter 1 Contents 1 Key figures Market value and return 3 3 Market risk and management guidelines
EUR - Selection Auto and Telecom Sorted by Workout Date SCHATZ FUT 2 YR -0.23 BOBL FUT 5 YR 0.08 BUND FUT 10 YR 0.69 BUND FUT 30 YR 1.38 Auto 3 to 5 years XS0729046218 EUR 3.250 BMW FINANCE NV 14.01.2019
Top 10 Mutual Fund Rankings March 2014 AF Advisors is part of the A Fortiori Group Content Introducing AF Advisors AF Advisors Top 10 rankings Process Asset classes Global Large Cap Equity Global Emerging
CREDIT AGRICOLE - CREDIT LYONNAIS CREDIT AGRICOLE - CREDIT LYONNAIS The emergence of a major European banking group A historic vocation as a full service bank A strong ambition to develop all its businesses
Contents 1. What Is A Bond? 2. Who Issues Bonds? Government Bonds Corporate Bonds 3. Basic Terms of Bonds Maturity Types of Coupon (Fixed, Floating, Zero Coupon) Redemption Seniority Price Yield The Relation
CLS: Its context and value in volatile markets Lynn Mathews CLS Services www.cls-group.com CLS and the CLS Logo are registered trademarks of CLS UK Intermediate Holdings Ltd 2008 CLS UK Intermediate Holdings
The Slope of the Credit Yield Curve for Speculative-Grade Issuers by Jean Helwege and Christopher M. Turner * This version: June 1998 The Slope of the Credit Yield Curve for Speculative-Grade Issuers ABSTRACT
Prof. Alex Shapiro Lecture Notes 12 Bonds and the Term Structure of Interest Rates: Pricing, Yields, and (No) Arbitrage I. Readings and Suggested Practice Problems II. Bonds Prices and Yields (Revisited)
Ministry of Finance Debt and Financial Assets Management Department Debt Portfolio Management Quarterly Report First Half of 2015 17 July 2015 Ministry of Finance Debt Portfolio Management Quarterly Report
FIN-672 Securities Analysis & Portfolio Management Professor Michel A. Robe Practice Set #2 and Solutions. What to do with this practice set? To help MBA students prepare for the assignment and the exams,
Equity Derivatives and Structured Retail: Success Through Innovation November 2010 Agenda The Royal Bank of Scotland Structured Product Trends Integrated Approach Product Segments Client Engagement Online
91. A high yield bond fund states that through active management, the fund s return has outperformed an index of Treasury securities by 4% on average over the past five years. As a performance benchmark
REPORT ON BOND EXCHANGES AND DEBT BUY-BACKS A SURVEY OF PRACTICE BY EC DEBT MANAGERS In June 2001 a questionnaire covering the practices followed by debt managers implementing bond exchange or buy-back
DANMARKS NATIONALBANK DANISH GOVERNMENT DEBT MANAGEMENT POLICY Strategy 2nd half of 2014 Published 24 June 2014 - Translation KEY ISSUES, 2ND HALF OF 2014 The strategy for the central government debt policy
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
Bond Snapshot with Kathy Jones The Year of the Taper Kathy Jones, Vice President Fixed Income Strategist Schwab Center for Financial Research February 2014 Overview of Topics Tapering Implications Where
European Credit: Seeking Symmetry From Senior to Subordinated Vianney Hocquet, Corporate Portfolio Manager For Boston Investment Conference 2016 Attendees Only and Not to be Distributed to the Public Yield
Premier UK Money Market Fund Fund Update - First Quarter 2013 MONEY MARKET The Premier UK Money Market Fund Need to know The Fund s Four Essential Characteristics: Aims to maximise returns from money market
February 2013 Fixed income benchmarks Time to think again? There are a number of drawbacks to the use of traditional fixed income benchmarks. As a consequence, some fixed income managers are reappraising
Analysis of Deterministic Cash Flows and the Term Structure of Interest Rates Cash Flow Financial transactions and investment opportunities are described by cash flows they generate. Cash flow: payment
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
Staying alive: Bond strategies for a normalising world Dr Peter Westaway Chief Economist, Europe Vanguard Asset Management November 2013 This document is directed at investment professionals and should