Guide to Calculation Methods for the FTSE Fixed Income Indexes V1.8
Total Page:16
File Type:pdf, Size:1020Kb
Load more
Recommended publications
-
How Firms Borrow in International Bond Markets
HOW FIRMS BORROW IN 2016 INTERNATIONAL BOND MARKETS: SECURITIES REGULATION AND MARKET SEGMENTATION Alberto Fuertes and José María Serena Documentos de Trabajo N.º 1603 HOW FIRMS BORROW IN INTERNATIONAL BOND MARKETS: SECURITIES REGULATION AND MARKET SEGMENTATION HOW FIRMS BORROW IN INTERNATIONAL BOND MARKETS: SECURITIES REGULATION AND MARKET SEGMENTATION Alberto Fuertes and José María Serena (*) BANCO DE ESPAÑA (*) The authors acknowledge Mirko Abbritti, Peter Backe, Carmen Broto, Branimir Gruic, Ángel Estrada, Ingo Fender, Ignacio Hernando, Pilar L’Hotellerie-Fallois, Philip Lane, José Manuel Marqués, Luis Molina, Pedro del Río, Carlos Serrano, Liliana Rojas-Suárez, Sergio Schmuckler and Vlad Sushko, and participants at the VIII Emerging Economics Workshop, Banco de España Research Seminar, Oxford University-IFABS Conference on Corporate Finance, and IDB- Financial Stability and Development (FSD) Group Seminar for helpful comments and suggestions; and Ana Arencibia for research assistance. The authors’ views need not coincide with those of the Banco de España or the Eurosystem. Corresponding authors: [email protected], [email protected]. Documentos de Trabajo. N.º 1603 2016 The Working Paper Series seeks to disseminate original research in economics and fi nance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the Internet at the following website: http://www.bde.es. -
Investments 101: Fixed Income & Public Equities
NCPERS Trustee Education Seminar FIXED INCOME 101 May 14, 2016 Steve Eitel Senior Vice President Senior Institutional Client Advisor [email protected] 312-384-8259 What is a bond or fixed income security • A bond represents a loan to a government or business • Fixed income securities are debt obligations promising a series of pre-specified payments at pre-determined points in time Investor Loans $1000 Annual Interest Payments Company XYZ Repayment of Initial $1000 Loan at Maturity What Does the Global Bond Market Look Like? • U.S. makes up a little over a 1/3rd of the global bond market • Global bond market as of June 30, 2014 was approximately $87.2T according to the Bank of International Settlements statistical annex. Types of Bonds Government Bonds • Governments and Instrumentalities issue debt obligations to investors • Proceeds are used to finance the operation of the U.S. government • Types of Government securities include: - U.S. Treasury Bills, Notes, Bonds, Inflation-Protected Securities (TIPs), Zero Coupons - U.S. Agency Obligations/Government Sponsored Entities (GSE’s) - Federal National Mortgage Association (FNMA/Fannie Mae) - Federal Home Loan Mortgage Association (Freddie Mac) - Federal Farm Credit Bank (FFCB) - Federal Home Loan Bank (FHLB) - Tennessee Value Authority (TVA) - Small Business Association (SBA) - Direct U.S. Backed Agency - Government National Mortgage Association (GNMA/Ginnie Mae) - Foreign Government Issuers Types of Bonds Corporate Bonds • Corporations issue fully taxable debt obligations to investors • Proceeds are used to refinance existing bonds, fund expansions, mergers and acquisitions, fund operations, fund research and development • Types of Corporate debt securities include: - Secured Debt: backed by a specific pledged asset/collateral - Unsecured Debt: aka Debentures; backed by good faith and credit of borrower - Yankee bonds: foreign corporations issuing bonds in the U.S. -
Bond Arithmetic
Debt Instruments Set 2 Backus/Octob er 29, 1998 Bond Arithmetic 0. Overview Zeros and coup on b onds Sp ot rates and yields Day count conventions Replication and arbitrage Forward rates Yields and returns Debt Instruments 2-2 1. Why Are We Doing This? Explain nitty-gritty of b ond price/yield calculations Remark: \The devil is in the details" Intro duce principles of replication and arbitrage Debt Instruments 2-3 2. Zeros or STRIPS A zero is a claim to $100 in n p erio ds price = p n t + n t j j Pay p Get $100 n A spot rate is a yield on a zero: 100 p = n n 1 + y =2 n US treasury conventions: { price quoted for principal of 100 { time measured in half-years { semi-annual comp ounding Debt Instruments 2-4 2. Zeros continued A discount factor is a price of a claim to one dollar: p 1 n d = = n n 100 1 + y =2 n Examples US treasury STRIPS, May 1995 MaturityYrs Price $ DiscountFactor Sp ot Rate 0.5 97.09 0.9709 5.99 1.0 94.22 0.9422 6.05 1.5 91.39 0.9139 2.0 88.60 0.8860 6.15 Debt Instruments 2-5 3. Comp ounding Conventions A yield convention is an arbitrary set of rules for computing yields like sp ot rates from discount factors US Treasuries use semiannual comp ounding: 1 d = n n 1 + y =2 n with n measured in half-years Other conventions with n measured in years: 8 n > > 1 + y annual comp ounding > n > > > > > kn > > 1 + y =k \k" comp ounding n > > < ny n e continuous comp ounding k !1 d = n > > > > 1 > > 1 + ny \simple interest" > n > > > > > : 1 ny \discount basis" n All of these formulas de ne rules for computing the yield y from the discount factor d , but of course they're all n n di erent and the choice among them is arbitrary. -
Federal Home Loan Banks Consolidated Bonds and Consolidated Discount Notes (With Maturities of One Day Or Longer)
INFORMATION MEMORANDUM Federal Home Loan Banks Consolidated Bonds and Consolidated Discount Notes (with maturities of one day or longer) The terms “we,” “us” and “our” as used throughout this Information Memorandum mean the Federal Home Loan Banks (the “FHLBanks”), acting by and through the Office of Finance, a joint office of the FHLBanks (together with its successors and assigns, the “Office of Finance”). We may offer consolidated bonds (the “Bonds”) and consolidated discount notes (the “Discount Notes” and, together with the Bonds, the “Securities”) pursuant to this Information Memorandum (as defined herein) and, in the case of the Bonds, a Pricing Supplement or an Offering Notice (each, a “Supplement”) that will contain the specific terms of, and pricing details for, each particular issue (sometimes referred to as “series”) of Bonds. The Securities will constitute joint and several unsecured general obligations of the FHLBanks. No person other than the FHLBanks will have any obligations or liability with respect to the Securities. The Securities will be denominated in U.S. dollars or as may otherwise be specified by us at the time of issue in the applicable Supplement (the “Specified Currencies”). There is no specific limit on the aggregate principal amount of Securities that we may issue. The Securities will have maturities of one day or longer from the date of their original issuance. The Bonds will bear interest as set forth in the applicable Supplement. Principal payments on the Bonds may be made periodically or only at maturity. Any index or formula used to determine the principal or interest payable on the Bonds will be set forth in the applicable Supplement. -
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 -
Emu and Market Conventions: Recent Developments
ISDA International Swaps and Derivatives Association, Inc. EMU AND MARKET CONVENTIONS: RECENT DEVELOPMENTS 1. Introduction On 16th July, 1997, ISDA, along with a number of other trade associations, Cedel and Euroclear, published a joint statement on market conventions for the euro. That joint statement was subsequently supported by both the European Commission and the European Monetary Institute (now the European Central Bank). The joint statement was intended to focus attention on the need to establish a set of market conventions for the euro. Conventions of the type dealt with in the joint statement tend to differ between currencies, largely for historical rather than valid market reasons. It was inconceivable that the new single currency should itself suffer from the mixture of market conventions which apply to the various national currencies that it is due to replace. At the time of publication, the joint statement reflected a broad market consensus view on what standard market practice should be for new euro-denominated transactions entered into after 1st January, 1999. It also advocated that for "legacy" instruments or transactions (those entered into before 1999 in national currency units or the ECU, but maturing after 1st January, 1999) which incorporated the old national currency conventions, no change should be made to update the conventions. The purpose of this memorandum is to bring the issue of harmonised market conventions for the euro up to date in light of developments that have taken place since the publication of the joint statement over a year ago. A summary of the proposed market conventions for the euro financial markets is attached as Exhibit 1. -
Going Global with Bonds: Considerations for Euro Area Investors
Going global with bonds: Considerations for euro area investors Vanguard research March 2013 With euro area bonds making up a modest fraction of the global fixed income marketplace, taking a global approach to fixed income investing Authors allows investors to drastically expand their investment opportunity set. Peter Westaway, PhD The theoretical diversification benefits of adding more markets and Charles Thomas, CFA issuers to a portfolio are clear, yet currency risk presents a particular challenge in a fixed income investment. In this brief we examine global fixed income as an asset class, addressing potential diversification benefits, risks, and hurdles to achieving this exposure, with a specific focus on the role of currency and the trade-offs involved in maintaining some amount of home bias. We conclude that, with currency risk hedged, global bonds represent an attractive investment that can prove beneficial within most investors’ strategic fixed income allocation. For professional investors only. Not to be given to retail investors. The value of investments, and the income from them, may fall or rise and investors may get back less than they invested. Connect with Vanguard > global.vanguard.com 2 Why not go global? What matters for bond returns? Global bonds allow an investor to achieve exposure The level and movement of interest rates within to the interest rate profile, inflation and economic a country or currency area is the main driver of cycles, and political climate of a wide range of its market’s bond returns over time. In most markets outside the euro zone within their fixed developed markets, short-term interest rates are income allocation.1,2 Relative to a more euro- influenced by central bank policy and will fluctuate focused bond investment, some of these “global over time according to policymakers’ views on risk factors” might, at first glance, seem likely to medium-term inflation and economic growth. -
Global Bond Fact Sheet
DoubleLine Global Bond Fund June 2021 | Retail and Institutional Class | No Load Mutual Fund Fund Information Class I (Institutional) Class N (Retail) Portfolio Managers: Benchmark: Ticker: DBLGX Ticker: DLGBX Jeffrey Gundlach FTSE World Government Bond Minimum: $100,000 Minimum: $2,000 CEO & CIO Index (WGBI) Minimum IRA: $5,000 Minimum IRA: $500 William Campbell Inception: 12-17-2015 Inception: 12-17-2015 Portfolio Manager Gross Expense Ratio: 0.56% Gross Expense Ratio: 0.81% Valerie Ho, CFA Portfolio Manager Investment Objective The Fund’s objective is to seek long-term total return. Investment Philosophy The DoubleLine Global Bond Fund seeks to generate strong risk-adjusted returns from the global bond markets. Doubleline’s strategy focuses on selecting securities with attractive valuations in countries with stable to improving structural outlooks and growth trajectories. DoubleLine believes that combining bond and currency investments across countries creates a well-diversified portfolio that can take advantage of different market, business, and economic cycles and will be generally less correlated to other traditional asset classes. Investment Process 1) Monthly Global Asset Allocation meetings chaired by Jeffrey Gundlach and attended by DoubleLine’s portfolio management team. 2) In-depth screenings of regions and countries from the bottom up, including: Fundamentals, Market structure, Liquidity attributes, Economic review 3) Security selection is based on macro outlook and country reviews. DoubleLine identifies the best source of -
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. -
Global Bond Fund
MUTUAL FUND JUNE 30 FACT SHEET 2021 Global Bond Fund MANAGEMENT TEAM BENCHMARK David W. Rolley, CFA Bloomberg Barclays Global Aggregate Index Lynda Schweitzer, CFA Scott M. Service, CFA HIGHLIGHTS • Invests primarily in investment grade fixed income securities worldwide OBJECTIVE • Invests in a broad universe of fixed income securities Seeks high total investment • May invest up to 20% of assets in lower-rated fixed income securities return through a combination of high current income and capital • Potential diversification benefits of owning global fixed income securities appreciation • Access to larger investment universe as more than 50% of the world bond markets are outside of the United States FUND FACTS Share class I R Fund inception 5/10/91 Inception 5/10/91 12/31/96 Total net assets $753.9M Ticker LSGBX LSGLX Morningstar category World Bond CUSIP 543495782 543495774 Average maturity 8.37 yrs Gross expense ratio 0.76% 1.01% Average duration 6.08 yrs Net expense ratio 0.69% 0.94% Turnover (at 9/30/20) 273% Subsidized 30-day SEC yield 1.07% 0.82% Unsubsidized 30-day SEC yield 1.01% 0.77% Additional share classes may be available for certain funds for eligible investors. Performance results will vary based on the share class. PERFORMANCE (%) CUMULATIVE RETURN AVERAGE ANNUALIZED RETURN 3 MO YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR CLASS I 1.59 -2.94 5.80 5.41 3.54 2.45 BENCHMARK 1.31 -3.21 2.63 4.23 2.34 2.05 Institutional Class shares (Class I) CLASS R are available to institutional investors 1.51 -3.04 5.53 5.15 3.28 2.20 only; minimum initial investment of $100,000. -
Corporate Bond Market Trends, Emerging Risks and Monetary Policy
Corporate Bond Market Trends, Emerging Risks and Monetary Policy Corporate Bond Market Trends, Emerging Risks and Monetary Policy Please cite this report as: Çelik, S., G. Demirtaş and M. Isaksson (2020), “Corporate Bond Market Trends, Emerging Risks and Monetary Policy”, OECD Capital Market Series, Paris, www.oecd.org/corporate/Corporate-Bond-Market-Trends-Emerging-Risks-and-Monetary-Policy.htm This report is part of the OECD Capital Market Series. More information about the series is available at: www.oecd.org/corporate/capital-markets Any questions and comments are welcome and should be addressed to: Mr. Mats Isaksson Head of Division Corporate Governance and Corporate Finance Division Directorate for Financial and Enterprise Affairs, OECD [Tel: +33 1 45 24 76 20 | [email protected]] This work is published under the responsibility of the Secretary-General of the OECD. The opinions expressed and arguments employed herein do not necessarily reflect the official views of OECD member countries. This document, as well as any data and any map included herein, are without prejudice to the status of or sovereignty over any territory, to the delimitation of international frontiers and boundaries and to the name of any territory, city or area. © OECD 2020 FOREWORD By the end of 2019, the global outstanding stock of non-financial corporate bonds reached an all-time high of USD 13.5 trillion in real terms. This record amount is the result of an unprecedented build-up in corporate bond debt since 2008 and a further USD 2.1 trillion in borrowing by non-financial companies during 2019, in the wake of a return to more expansionary monetary policies early in the year. -
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