DOCSLIB.ORG

Bond Markets and Long-Term Interest Rates in European Union Accession Countries

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Bond Markets and Long-Term Interest Rates in European Union Accession Countries ECB EZB EKT BCE EKP BOND MARKETS AND LONG-TERM INTEREST RATES IN EUROPEAN UNION ACCESSION COUNTRIES October 2003 Bond markets and long-term interest rates in EU accession countries October 2003 © European Central Bank, 2003 Address Kaiserstrasse 29 D-60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 D-60066 Frankfurt am Main Germany Telephone +49 69 1344 0 Internet http://www.ecb.int Fax +49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank. ISSN 1725-5414 (print) ISSN 1725-5422 (online) Cover.pmd 4 22.09.03, 12:18 Contents Introduction 7 I National reports of EU accession countries 13 Bulgaria 15 1. Market size 16 2. Activity in the primary and secondary markets 17 3. Calculation of the yield 22 4. Interest rates 22 5. Authorities involved in bond issuance, bond management and securities market supervision 24 Cyprus 25 1. Market size 26 2. Activity in the primary and secondary markets 29 3. Calculation of the yield 35 4. Interest rates 35 5. Authorities involved in bond issuance, bond management and securities market supervision 38 Czech Republic 39 1. Market size 40 2. Activity in the primary and secondary markets 41 3. Calculation of the yield 45 4. Interest rates 45 5. Authorities involved in bond issuance, bond management and securities market supervision 48 Estonia 49 1. Market size 50 2. Activity in the primary and secondary markets 50 3. Calculation of the yield 56 4. Interest rates 58 5. Authorities involved in bond issuance, bond management and securities market supervision 58 Hungary 61 1. Market size 62 2. Activity in the primary and secondary markets 63 3. Calculation of the yield 69 ECB • Bond markets and long-term interest rates in EU accession countries • October 2003 3 4. Interest rates 71 5. Authorities involved in bond issuance, bond management and securities market supervision 73 Latvia 75 1. Market size 76 2. Activity in the primary and secondary markets 77 3. Calculation of the yield 83 4. Interest rates 83 5. Authorities involved in bond issuance, bond management and securities market supervision 84 Lithuania 87 1. Market size 88 2. Activity in the primary and secondary markets 89 3. Calculation of the yield 93 4. Interest rates 93 5. Authorities involved in bond issuance, bond management and securities market supervision 95 Malta 97 1. Market size 98 2. Activity in the primary and secondary markets 98 3. Calculation of the yield 103 4. Interest rates 104 5. Authorities involved in bond issuance, bond management and securities market supervision 106 Poland 107 1. Market size 108 2. Activity in the primary and secondary markets 109 3. Calculation of the yield 114 4. Interest rates 114 5. Authorities involved in bond issuance, bond management and securities market supervision 116 Romania 117 1. Market size 118 2. Activity in the primary and secondary markets 118 3. Calculation of the yield 124 4 ECB • Bond markets and long-term interest rates in EU accession countries • October 2003 4. Interest rates 124 5. Authorities involved in bond issuance, bond management and securities market supervision 124 Slovakia 127 1. Market size 128 2. Activity in the primary and secondary markets 128 3. Calculation of the yield 133 4. Interest rates 134 5. Authorities involved in bond issuance, bond management and securities market supervision 136 Slovenia 137 1. Market size 138 2. Activity in the primary and secondary markets 138 3. Calculation of the yield 143 4. Interest rates 143 5. Authorities involved in bond issuance, bond management and securities market supervision 145 II. Statistical Tables 1 to 4 147 Bulgaria 150 Cyprus 160 Czech Republic 170 Estonia 180 Hungary 188 Latvia 198 Lithuania 206 Malta 214 Poland 222 Romania 232 Slovakia 240 Slovenia 248 ECB • Bond markets and long-term interest rates in EU accession countries • October 2003 5 III. Annexes 257 Annex I - Concepts and definitions 259 Annex 2 - Macroeconomic indicators for the EU accession countries 267 Documents published by the European Central Bank 270 List of contact persons 286 6 ECB • Bond markets and long-term interest rates in EU accession countries • October 2003 Introduction Background The fourth Maastricht criterion2 is based on the level of long-term interest rates (LTIR). The fifth round of European Union (EU) According to Article 4 of Protocol No. 21 of the enlargement is well under way. There are Treaty, compliance with the fourth convergence currently 12 countries in central and eastern criterion shall mean that, observed over a period Europe and in the Mediterranean region that of one year before the examination, a Member have been recognised by the European Council State has had an average nominal LTIR that does as countries for accession to the European not exceed by more than 2 percentage points that Union. Ten of them (the "acceding countries") of, at most, the three best performing Member have been invited to join the European Union States in terms of price stability. Interest rates shall on 1 May 2004, following the signing and be measured on the basis of long-term government subsequent ratification of the Accession Treaty1. bonds or comparable securities, taking into account All these new EU Member States are also aiming differences in national definitions. to eventually adopt the euro, once they have achieved a high degree of sustainable economic Given the need to produce harmonised long- convergence. This is assessed on the basis of the term interest rate series for convergence "Maastricht convergence criteria" set out in reporting purposes, the European Central Bank Article 121 of the Treaty establishing the (ECB) (DG Statistics) and the European European Community ("the Treaty") and further Commission (Eurostat) agreed, together with detailed in a Protocol attached to the Treaty. the national central banks (NCBs) of the accession countries, to work towards the The four criteria specified in the Treaty will identification of representative debt securities apply to the acceding countries joining the that can be used to measure long-term nominal European Union, and there will be a regular interest rates and, if necessary, proxies. The assessment of the Member States' obligations relevant statistics must be available before towards Economic and Monetary Union (EMU). acceding countries join the European Union. Working towards measuring long-term interest rate convergence in EU accession countries The Treaty and Protocol wording had to be preparations for Stage Three of EMU for the interpreted in statistical terms before it could be current EU Member States. These principles are applied for the generation of comparable defined using seven key concepts and their results. associated recommendations. While according to the Protocol the provision of statistics for convergence purposes is the The purpose of these principles is to ensure the responsibility of the European Commission, the comparability of accession country statistics, ECB acts as an intermediary and works with the taking into account developments and accession country NCBs to develop the opportunities in the various national capital conceptual and practical aspects relating to the markets. production of comparable statistics on long- term interest rates. The statistical framework for the definition of 1 For the sake of convenience, all 12 countries will still be the long-term interest rates of accession referred to in this publication as "accession countries". countries closely follows the principles that 2 The fourth indent of Article 121 of the Treaty refers to "the durability of convergence achieved by the Member State were specified and implemented in close liaison and of its participation in the exchange rate mechanism of with the European Commission as part of the the European Monetary System being reflected in the long- term interest rate levels." ECB • Bond markets and long-term interest rates in EU accession countries • October 2003 7 Table 1 Statistical framework for defining the long-term interest rates Ref. Concept Recommendation 1 Bond issuer The bond should be issued by the central government. 2 Maturity The maturity should be as close as possible to ten years’ residual maturity. Any replacement of bonds should minimise maturity drift. 3 Coupon effects No direct adjustment. 4 Taxation Gross of tax. 5 Choice of bonds The applied bonds should be sufficiently liquid. This requirement should determine the choice between benchmark or sample approaches, depending on national market conditions; special feature bonds are to be omitted. 6 Yield formula The “yield to maturity” ISMA formula 6.3 should be applied. 7 Aggregation Where there is more than one bond in the sample, a simple average of the yields should be used to produce the representative rate. Recommendations Bond issuer choosing the maturity, the structural liquidity of the market must also be considered. If the 10- According to the Treaty, the bonds used for the year segment is not sufficiently liquid, it may be calculation of the yield for the purposes of the appropriate to choose a different segment close convergence criterion should be "long-term to the agreed maturity range, if the market for government bonds or comparable securities". this issue is considerably more liquid at that Long-term government bonds should always be point in time. used for the calculation of yields. Alternative solutions may only be considered if these bonds Coupon effects are not available, e.g. bonds issued by other general government, comparable securities or, if There is a positive relationship between coupon necessary, proxies. This approach is based on and price, and an inverse relationship between the economic assumption that government price and yield.
Load more

Recommended publications
  • BASIC BOND ANALYSIS Joanna Place
    Handbooks in Central Banking No. 20 BASIC BOND ANALYSIS Joanna Place Series editor: Juliette Healey Issued by the Centre for Central Banking Studies, Bank of England, London EC2R 8AH Telephone 020 7601 3892, Fax 020 7601 5650 December 2000 © Bank of England 2000 ISBN 1 85730 197 8 1 BASIC BOND ANALYSIS Joanna Place Contents Page Abstract ...................................................................................................................3 1 Introduction ......................................................................................................5 2 Pricing a bond ...................................................................................................5 2.1 Single cash flow .....................................................................................5 2.2 Discount Rate .........................................................................................6 2.3 Multiple cash flow..................................................................................7 2.4 Dirty Prices and Clean Prices.................................................................8 2.5 Relationship between Price and Yield .......................................................10 3 Yields and Yield Curves .................................................................................11 3.1 Money market yields ..........................................................................11 3.2 Uses of yield measures and yield curve theories ...............................12 3.3 Flat yield..............................................................................................12
    [Show full text]
  • Fixed Income 2
    2 | Fixed Income Fixed 2 CFA Society Italy CFA Society Italy è l’associazione Italiana dei professionisti che lavorano nell’industria Fixed finanziaria italiana. CFA Society Italy nata nel 1999 come organizzazione no profit, è affiliata a CFA Institute, l’associazione globale di professionisti degli investimenti che definisce gli Income standard di eccellenza per il settore. CFA Society Italy ha attualmente oltre 400 soci attivi, nel mondo i professionisti certificati CFA® sono oltre 150.000. Assegnato per la prima volta nel 1963, CFA® è la designazione di eccellenza professionale per la comunità finanziaria internazionale. Il programma CFA® offre una sfida educativa davvero globale in cui è possibile creare una conoscenza fondamentale dei principi di investimento, rilevante per ogni mercato mondiale. I soci che hanno acquisito la certificazione CFA® incarnano le quattro virtù che sono le caratteristiche distintive di CFA Institute: Etica, Tenacia, Rigore e Analisi. CFA Society Italia offre una gamma di opportunità educative e facilita lo scambio aperto di informazioni e opinioni tra professionisti degli investimenti, grazie ad una serie continua di eventi per i propri membri. I nostri soci hanno la possibilità di entrare in contatto con la comunità finanziaria italiana aumentando il proprio network lavorativo. I membri di CFA Society Italy hanno inoltre la posibilità di partecipare attivamente ad iniziative dell’associazione, che Guida a cura di Con la collaborazione di consentono di fare leva sulle proprie esperienze lavorative. L’iscrizione e il completamento degli esami del programma CFA®, anche se fortemente raccomandati, non sono un requisito per l’adesione e incoraggiamo attivamente i professionisti italiani del settore finanziario a unirsi alla nostra associazione.
    [Show full text]
  • Introduction to Repo Markets
    Understanding Repo Markets Moorad Choudhry Objectives of the Course g Defining and describing the mechanics of Repo g Understanding market fundamentals and applying knowledge gained to daily work in the repo markets g Introducing trading theory and strategy (c) 2000 The Securities Institute (Services) Ltd 2 Agenda g Introduction and Market Background g Financial Arithmetic g Uses and Economic Functions g Mechanics of Repo g Risks in trading Repo g Legal, Accounting, Tax and Capital g Repo netting g Overseas and Central Bank Repo g Case study - repo trades (c) 2000 The Securities Institute (Services) Ltd 3 Agenda (cont.) g The UK Gilt Repo Market g Trading and Hedging Strategy g Electronic Repo Trading g The Implied Repo Rate and Basis Trading g The Yield Curve TM g Using Bloomberg Screens g Introduction to Equity repo (c) 2000 The Securities Institute (Services) Ltd 4 Introduction (c) 2000 The Securities Institute (Services) Ltd 5 Definition of a Repo g The term “Repo” is from “Sale and Repurchase Agreement” Repo is a money market instrument. There are two usually two parties to a repo transaction. g One party “sells” bonds to the other while simultaneously agreeing to repurchase them or receive them back at a specified future date g One party requires either the cash or the bonds and provides collateral to the other as well as compensation for the temporary use of the desired asset g Although legal title to the collateral is transferred, the seller/lender retains both the economic benefits and the market risk of owning them g If cash
    [Show full text]
  • Bloomberg Integration in Fixed Income
    Bloomberg Integration in Fixed Income Bloomberg for Education Seminar July 21, 2017 San Francisco Paul Fjeldsted, CFA Senior Lecturer Jon M. Huntsman School of Business Utah State University Outline Overview • Rationale • Class Overview • Bloomberg Market Concepts • Problem Sets • Bloomberg In-Class Integration • Investing Practicum Integration Rationale Why Bloomberg? Pros Cons • Connection to practice • Cost • Dynamic • Interface • Robust Rationale Configuration • 9 desktop licenses in dedicated lab for students • 3 Bloomberg Anywhere licenses for professors • Bloomberg Anywhere can be launched in any classroom Fixed Income Course Overview FIN 5300 FIXED INCOME • 20-25 students, masters level course • CFA Curriculum integration – Level 1 and Level 2 Fixed Income volumes Fixed Income Course Overview Grading Exams (4 @ 100 each) 400 Problem Sets 50 Investment Activity 30 In-Class Questions 20 Total 500 Bloomberg Market Concepts Bloomberg Market Concepts • Required within first two weeks of semester • Prerequisite to handing in first problem set • Overview – high level • Brings students up to speed on language of finance Bloomberg Problem Sets Bond Valuation Problem Sets – General Approach • Select a bond in Bloomberg • Model its cashflows in excel • Replicate price • Replicate risk measures Bloomberg Problem Sets Example – US Treasury Note Problem Set • In Bloomberg, select US Treasury note or bond with at least 10 years remaining • Pull up the bond in Bloomberg. Assume $1,000,000 face value • Type "YA" for yield analysis. Download this
    [Show full text]
  • Fixed Rate Bond Valuation and Risk
    Fixed Rate Bond Valuation and Risk FinPricing Fixed Rate Bond Summary ▪ Fixed Rate Bond Introduction ▪ The Use of Fixed Rate Bond ▪ Valuation: Yield-to-Maturity Approach ▪ Valuation: Credit Spread Approach ▪ Practical Guide ▪ A Real World Example Fixed Rate Bond Fixed Rate Bond Introduction ▪ A bond is a debt instrument in which an investor loans money to the issuer for a defined period of time. ▪ The investor will receive coupons paid by the issuer at a predetermined interest rate at specified dates before bond maturity. ▪ The bond principal will be returned at maturity date. ▪ A fixed rate bond is usually a long term paper. ▪ Bonds are usually issued by companies, municipalities, states/provinces and countries to finance a variety of projects and activities. Fixed Rate Bond The Use of Fixed Rate Bond ▪ Fixed rate bonds generally pay higher coupons than interest rates. ▪ An investor who wants to earn a guaranteed interest rate for a specified term can choose fixed rate bonds. ▪ The benefit of a fixed rate bond is that investors know for certain how much interest rate they will earn and for how long. ▪ Due to the fixed coupon, the market value of a fixed rate bond is susceptible to fluctuation in interest rate and therefore has a significant interest rate risk. ▪ The long maturity schedule and fixed coupon rate offers an investor a solidified return. ▪ The real value of a fixed rate bond is also susceptible to inflation rate given its long term Fixed Rate Bond Valuation: Yield-to-Maturity Approach ▪ There are two types of bond valuation approaches in the market: yield-to-maturity approach and credit spread approach.
    [Show full text]
  • Fabozzi Course.Pdf
    Asset Valuation Debt Investments: Analysis and Valuation Joel M. Shulman, Ph.D, CFA Study Session # 15 – Level I CFA CANDIDATE READINGS: Fixed Income Analysis for the Chartered Financial Analyst Program: Level I and II Readings, Frank J. Fabozzi (Frank J. Fabozzi Associates, 2000) “Introduction to the Valuation of Fixed Income Securities,” Ch. 5 “Yield Measures, Spot Rates, and Forward Rates,” Ch. 6 “Introduction to Measurement of Interest Rate Risk,” Ch. 7 © 2002 Shulman Review/The Princeton Review Fixed Income Valuation 2 Learning Outcome Statements Introduction to the Valuation of Fixed Income Securities Chapter 5, Fabozzi The candidate should be able to a) Describe the fundamental principles of bond valuation; b) Explain the three steps in the valuation process; c) Explain what is meant by a bond’s cash flow; d) Discuss the difficulties of estimating the expected cash flows for some types of bonds and identify the bonds for which estimating the expected cash flows is difficult; e) Compute the value of a bond, given the expected cash flows and the appropriate discount rates; f) Explain how the value of a bond changes if the discount rate increases or decreases and compute the change in value that is attributable to the rate change; g) Explain how the price of a bond changes as the bond approaches its maturity date and compute the change in value that is attributable to the passage of time; h) Compute the value of a zero-coupon bond; i) Compute the dirty price of a bond, accrued interest, and clean price of a bond that is between coupon
    [Show full text]
  • Thai Bond Update
    Thai Bond Update Issue 51/2019 Dec 20, 2019 1. Weekly Trading value (Dec 16 - 20, 2019) This Week Previous Week MARKET AT A GLANCE Change (5 days) (4 days) Total Trading Value (THB mln.) 5,429,977.37 4,611,822.76 17.74% Outright 365,730.13 336,605.46 8.65% Financing 5,061,420.38 4,273,223.48 18.45% Others 2,826.86 1,993.82 41.78% Daily Average 1,085,995.47 1,152,955.69 -5.81% Government Bond Index (Clean Price) 116.90 116.80 0.10 Corporate Bond Index (Clean Price) 104.90 104.90 0.00 Trading Value Index Date Outright Fin&Other Total GPrice CPrice 16-Dec-19 39,864.43 954,027.10 993,891.53 118.07 116.77 17-Dec-19 117,476.66 796,106.86 913,583.52 117.22 116.70 18-Dec-19 52,874.40 1,328,669.46 1,381,543.87 117.47 116.94 19-Dec-19 59,821.76 991,559.69 1,051,381.44 117.28 116.74 20-Dec-19 95,692.88 993,884.14 1,089,577.02 117.35 116.90 Total 365,730.13 5,064,247.24 5,429,977.37 2. Weekly Movement 2.1 ThaiBMA Government Bond Yield Curve (Dec 13 & Dec 20, 2019) 2.2 ThaiBMA Interpolation Yield (%) Term This Week Last Week Chg.(bp) 1 YR. 1.23 1.24 -1 2 YR. 1.21 1.25 -4 3 YR. 1.26 1.31 -5 5 YR.
    [Show full text]
  • Handbook on Securities Statistics
    HANDBOOK HANDBOOK ON SECURITIES STATISTICS • • • • • • • • • • • BANK FOR €• INTERNATIONAL SETTLEMENTS EUROPEAN CENTRAL BANK INTERNATIONAL MONETARY FUND EUROSYSTEM 2015 INTERNATIONAL MONETARY FUND © 2015 International Monetary Fund Cataloging-in-Publication Data Joint Bank-Fund Library Handbook on securities statistics/International Monetary Fund, Bank for International Settlements, European Central Bank.—Washington, D.C.: International Monetary Fund, 2015. pages ; cm. Includes bibliographical references. ISBN: 978-1-49838-831-3 1. Securities – Statistics – Handbooks, manuals, etc. 2. Securities – Information services. I. International Monetary Fund. II. Bank for International Settlements. III. European Central Bank. HG4515.3.H35 2015 Please send orders to: International Monetary Fund, Publication Services P.O. Box 92780, Washington, D.C. 20090, U.S.A. Tel.: (202) 623-7430 Fax: (202) 623-7201 E-mail: [email protected] Internet: www.elibrary.imf.org www.imfbookstore.org Contents Foreword ix Preface xi Abbreviations xv 1. Introduction 1 Objective of the Handbook 1 Scope of the Handbook 1 Securities as Negotiable Financial Instruments 1 Debt Securities, Equity Securities and Investment Fund Shares or Units 1 Use of Statistics on Securities for Policy Analysis 2 The Conceptual Framework 3 Presentation Tables 4 The Structure of the Handbook 7 2. Main Features of Securities 9 Debt Securities 9 Equity Securities 11 3. Financial Instruments Classified as Securities 15 Debt Securities 15 Equity Securities 15 Borderline Cases 19 Other Financial
    [Show full text]
  • Florida State University Libraries
    Florida State University Libraries Electronic Theses, Treatises and Dissertations The Graduate School 2010 Stripping the Yield Curve with Maximally Smooth Forward Curves Yaniv Jerassy-Etzion Follow this and additional works at the FSU Digital Library. For more information, please contact [email protected] THE FLORIDA STATE UNIVERSITY COLLEGE OF SOCIAL SCIENCES AND PUBLIC POLICY STRIPPING THE YIELD CURVE WITH MAXIMALLY SMOOTH FORWARD CURVES By YANIV JERASSY-ETZION A Dissertation submitted to the Department of Economics in partial fulfillment of the requirements for the degree of Doctor of Philosophy. Degree Awarded: Spring Semester, 2010 The members of the committee approve the dissertation of Yaniv Jerassy-Etzion defended on January 7, 2010. Paul M. Beaumont Professor Directing Dissertation Gershon Tenenbaum University Representative David Rasmussen Committee Member Stefan Norrbin Committee Member Approved: Bruce Benson, Chair, Department of Economics David Rasmussen, Dean, College of Social Sciences and Public Policy The Graduate School has verified and approved the above-named committee members. ii To Shoshanit, Yael and Noa. iii ACKNOWLEDGEMENTS This work owes to a long line of dedicated individuals who have helped me conduct and finish this research. First in line, and high above the rest, is my advisor, mentor, and friend, Dr. Paul Beaumont. Paul’s wisdom, energy, resourcefulness and above all dedication to the cause, have been a major thrust that enabled me to finish this project. I am forever indebted to him and his wife for the long evening hours and many weekends dedicated to helping me accomplishing this goal. Many thanks are due to my PhD committee members for their service and their contribution to this project.
    [Show full text]
  • Securities Valuation - Ii Strategic Financial Management (Securities Valuation -Ii)
    Revision CA Final STRATEGIC FINANCIAL MANAGEMENT May 2021 SECURITIES VALUATION - II STRATEGIC FINANCIAL MANAGEMENT (SECURITIES VALUATION -II) Chapter 2 : SECURITIES VALUATION - II CHAPTER INDEX Sr No. Contents Page Nos. 1 Introduction 2 – 3 2 Important Terms 4 – 5 3 Bond Value Theorems 6 - 8 4 Duration and Modified Duration 9 - 10 5 Immunisation of Portfolio 11 - 12 STRATEGIC FINANCIAL MANAGEMENT (SECURITIES VALUATION -II) CHAPTER FRAMEWORK The Chapter of “Securities Valuation” is divided into 2 main parts: VALUATION OF PART – I PART – II • Equity Shares • Bonds • Rights 1 STRATEGIC FINANCIAL MANAGEMENT (SECURITIES VALUATION -II) 1. INTRODUCTION 1. A bond is a fixed income instrument issued by a government or a business house. Bonds are issued for variety of purposes. It can be issued by companies for the purpose of raising finance which can be used for the expansion of the business. Bonds can be issued either for a new project or expansion of existing one. 2. Bonds traditionally carry a fixed coupon rate. In current scenario, bonds with floating interest rates are common. 3. Bonds can be traded in the market and hence an investor needs to value a bond before acquiring it. Every bond will have some component of risk which needs to be analysed before making investments. Hence, credit ratings of bonds are extremely important for an investor. 4. Investment in bonds can be done directly or indirectly. An investor can invest in debt oriented mutual funds. Such mutual funds invest in bonds of various companies. An investor can also directly purchase the bonds traded in the market. Investment in bonds can be made through a broker with the help of d- mat account.
    [Show full text]
  • Pre-Issuance Price Maneuvers by Underwriter-Dealers
    Tricks of the Trade? Pre-Issuance Price Maneuvers by Underwriter-Dealers∗ Jun Kyung Auh† You Suk Kim‡ Mattia Landoni§ First version: November 2017. This version: September 2018 Latest version: https://ssrn.com/abstract=3132177 ABSTRACT We study the trading of dealers around new bond issues underwritten by their affiliates using a complete matched record of U.S. bond market trans- actions, bond issue deals, and underwriter ownership structure from 2005 to 2015. Compared to dealers unaffiliated to the lead underwriter, affiliated dealers pay 16–40 basis points more for the issuer’s preexisting bonds—prior to, during, and after the issuance event. We interpret this phenomenon as cross-security price support and, prior to the event, price maneuvers aimed at lowering the reference yield for new issue investors. By examining dealer inventories and profits, we find no support for alternative explanations such as hedging, informed trading, or competitive advantage in market-making. Keywords: Bond underwriting, Dealer market, Corporate bonds, Price sup- port JEL classification: G12, G14, G23, G24 ∗We thank insightful comments from Edith Hotchkiss (WFA session chair), Yesol Huh, Yiming Qian (MFA dis- cussant), Paul Schultz (WFA discussant), and all participants in the 2018 MFA and 2018 WFA meetings, as well as seminar participants at the Shanghai Advanced Institute of Finance, Georgetown University, Southern Methodist University, and Yonsei University. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the staff, by the Board of Governors, or by the Federal Reserve System. †Finance Department, School of Business, Yonsei University.
    [Show full text]
  • Bond Calculator
    Cbonds.ru Ltd. Pirogovskaya nab., 21, St. Petersburg Phone: +7 (812) 336-97-21 https://www.cbonds.com Bond Calculator The bond calculator is designed to calculate analytical parameters used in the assessment of bonds. The tool allows the calculation of prices, accrued coupon interest, various types of bond yields, duration, as well as modified duration, curve and PVBP, making it possible to analyze the volatility of debt market instruments and assess how bond prices changes with yield. The software interface enables the viewing of key bond parameters and for calculation results to be saved as PDF and Excel files. It is also possible not only to analyze traded issues, but also to create user models. USING THE CALCULATOR TERMS AND DEFINITIONS Face Value Lot of Multiplicity Minimum Denomination Methods for Calculating the Number of Days (Day Count Conventions) DESIGNATIONS CALCULATED VALUES Accrued Coupon Interest Yield Simple yield Current yield, flat yield Adjusted current yield Simple Yield to Maturity, including ACI, SY (SYC/SYP) Compound yield Annually compounded yield to maturity, YTM (YTP/YTC) Monthly/quarterly/semi-annually compounded nominal yield, NY (NYP/NYC) Duration, convexity Years to maturity Macaulay Duration (D) Modified duration (MD) Price value of a basis point, basis point value (PVBP, BPV, DV01) Convexity (CONV) Spreads (G-spread, Z-spread) Contact details © Cbonds.ru 1 Using the calculator The Calculator is available on the Bond page by clicking on the "Calculator" button under the main parameters block: As in the case of the Russia, 26219 issue. Calculating Bond Parameters The calculator allows for the computing of analytical parameters either based on the known bond price or based on a given yield.
    [Show full text]