obligations bonds or other fixed income securities including those for which returns are pegged to indices or similar systems
CAT BONDS AND OTHER RISK-LINKED SECURITIES: STATE OF THE MARKET AND RECENT DEVELOPMENTS pdf
Ngày tải lên :
06/03/2014, 04:20
... the formation of a single purpose reinsurer (SPR) The SPR issues bonds to investors and invests the proceeds in safe, short-term securities such as government bonds or AAA corporates, which are ... conducted on these topics Regulatory Issues Some prior commentators have argued that CAT bonds have mostly been issued offshore for regulatory reasons and that the lack of onshore issuance represents ... unnecessary regulatory impediments in the future.7 Tax Issues According to industry experts, offshore CAT bonds not create taxation problems for sponsors There generally are no income, corporate, withholding,...
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Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies pdf
Ngày tải lên :
29/03/2014, 13:20
... sustainable forestry in which at least two trees are planted for each one used for paper production To Adhara, Antonella, Calypso, Daphn´ , Isabelle and Manon e To our parents and families To our ... and Futures 11.5.1 Forward-Spot Parity or How to Price a Forward Contract? 11.5.2 The Forward Contract Payoff 11.5.3 Relation between Forward and Futures Prices 11.6 Uses of Forwards and Futures ... issuer’s name For example, Bundesrepublik Deutschland for a Treasury bond issued in Germany • The issuer’s type This is mainly the sector it belongs to: for example, the oil sector, if Total Fina...
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fixed income securities and derivatives handbook analysis and valuation
Ngày tải lên :
08/05/2014, 09:53
... rate starting two days forward), one week, one month, two months, and so on, up to one year If a bank or corporate customer wishes to borrow for a nonstandard period, or “odd date,” an interbank ... terms of $1 A discount factor for any term is given by formula (1.11) dn = (1 + r )n (1.11) where n = the period of discount For instance, the five-year discount factor for a rate of percent compounded ... the price formula is modified as (1.17) (for annual-coupon-paying bonds; for bonds with semiannual coupons, r /2 replaces r) 18 Introduction to Bonds EXAMPLE: Calculating Consideration for a U.S...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 1 docx
Ngày tải lên :
14/08/2014, 05:20
... themselves, they are presumably willing to pay something for having it done for them Therefore, when investors want more zeros they are willing to pay a premium for zeros over coupon bonds, and professionals ... CHAPTER 16 Forward Contracts Definitions 325 Forward Price of a Deposit or a Zero Coupon Bond 326 Using Forwards to Hedge Borrowing Costs or Loan Proceeds Forward Price of a Coupon Bond 329 Forward ... author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages For general information on our other...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 2 ppsx
Ngày tải lên :
14/08/2014, 05:20
... short list of bonds spanning the maturity range of interest For reasons to become apparent shortly, bonds best suited for this purpose are those that sell near par and those liquid enough to ... discount factors for years, year, 1.5 years, and so on, cannot be used directly to price this bond, nor can this bond be used directly to derive those discount factors A common but unsatisfactory technique ... matter Discount factors are traded, directly through zero coupon bonds or indirectly through coupon bonds Therefore, it is really discount factors that summarize market prices for money on future...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 3 docx
Ngày tải lên :
14/08/2014, 05:20
... assumed to equal the change in the factor, that is, in the 10-year par rate In more complex formulations there are two or more factors driving changes in interest rates It might be assumed, for example, ... steepening, or some other twist One approach toward solving this problem is to construct a model with more than one factor Say, for example, a short-term rate and a long-term rate were taken as factors ... of a fixed income security by P(y), where y is an interest rate factor Despite the usual use of y to denote a yield, this factor might be a yield, a spot rate, a forward rate, or a factor in one...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 4 docx
Ngày tải lên :
14/08/2014, 05:20
... the investors in the imaginary economy are risk neutral Unlike investors in the true economy, investors in the imaginary economy not penalize securities for risk and, therefore, price securities ... related to the curve As a result, a trade based on I is a pure play on the 20-year sector relative to the 10- and 30-year sectors Unfortunately for the trade’s prospects, however, the 20-year sector ... hedging works well for securities that are similar in cash flow (e.g., coupon bonds with comparable terms) As this example shows, 20- and 30-year coupon bonds may not be similar enough for this...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 5 docx
Ngày tải lên :
14/08/2014, 05:20
... for 5-year bonds to 13.1% for 30-year bonds These values are in the range of historical plausibility Decompositions of the sort described here are useful in forming opinions about which sectors ... perform worse than a less financially sophisticated technique Another important use of arbitrage-free models is to value and hedge derivative securities for the purpose of making markets or for ... accurate hedges for derivative securities The argument for fitting models to market prices is that a good deal of information about the future behavior of interest rates is incorporated into market...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 6 pot
Ngày tải lên :
14/08/2014, 05:20
... site sign to the short-lived factor (or short-factor) This behavior dampens the volatility of short-term rates But, since the long-factor is, by definition, longer-lived than the short-factor, the ... the change in any other rate For some purposes a one-factor analysis might be appropriate Corporations planning to issue long-term debt, for example, might not find it worthwhile to study how the ... that while one factor might be sufficient for some purposes, fixed income professionals are likely to require models with more than one factor More precisely, the percentage of total variance explained...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 7 potx
Ngày tải lên :
14/08/2014, 05:20
... those securities in the repo market At the same time, investors and traders wanting to short the on-the-run securities are willing to pay for the liquidity of shorting these securities when borrowing ... again, borrowing the purchase price to the forward date essentially locks in the cost of the bond as of the forward date To derive a more general expression for the forward price of coupon bonds, ... restricted in order to protect the borrower’s other creditors.1 It is for this reason that participants in the repo market are usually careful to avoid the terms borrowing or lending This chapter,...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 8 pot
Ngày tải lên :
14/08/2014, 05:20
... 5s and Old 5s as of January 17, 2001, Forward to May 8, 2001 Swap Repo Rate to to Forward Forward Bond Swap Forward Forward Forward Swap Spread Forward Forward Coupon Maturity Description Date ... rate Therefore, other financial institutions, corporations, and investors can use fed funds futures to hedge their individual short-term rate risk For example, in October 2001 a corporation discovers ... relevant data for this question Before proceeding with an analysis of the forward trade, it is important to understand exactly how constructing the trade on a forward basis accounts for special...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 9 ppsx
Ngày tải lên :
14/08/2014, 05:20
... one-factor approach in the bond sector may not be sufficient for many applications An obvious solution is to use a twofactor model for both pricing and hedging Another solution is to use a one-factor ... government bonds are important for the longer-maturity part of the market for the same reasons that futures on short-term deposits are important for the short end Futures on bonds are very liquid and ... relative to other bonds makes that bond more likely to be CTD If, for example, the curve steepens, then long-duration bonds (e.g., the 5s of August 15, 2011) are more likely to be CTD On the other...
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Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 10 pptx
Ngày tải lên :
14/08/2014, 05:20
... investor or trader to judge whether the model OAS values are robust enough to justify taking sizable positions relative to government bonds or swaps Second, these sensitivities allow an investor or ... investors In an effort to broaden the appeal of MBS, practitioners have carved up pools of mortgages into different derivatives One example is planned amortization class (PAC) bonds, which are ... underlying mortgage pools are not exceptionally large or exceptionally small In order to comply with this promise, some other derivative securities, called companion or support bonds, absorb the...
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WORKING PAPER SERIES 141 - FORECASTING BONDS YIELDS IN THE BRAZILIAN FIXED INCOME MARKET ppt
Ngày tải lên :
29/03/2014, 06:21
... models for the forecasting of interest rates in Brazil They compare the forecasting accuracy of vector autoregressive (VAR) and vector error correction (VEC) models with naive forecasts from a ... models perform quite well for short-term forecasting In a recent paper Diebold and Li (2006) propose a model, which is based on the Nelson-Siegel exponential framework for the yield curve, to forecast ... that forecasts made with the latter methodology are superior and appear accurate at long horizons when compared to different benchmark forecasts These results are important for policy makers, portfolio...
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fixed income performance attribution
Ngày tải lên :
16/04/2013, 07:52
... Volatility For standard domestic bonds the previous factors are the main drivers For more complex instruments other market variables can add value An important category of bonds is bonds -6- THEORETICAL ... been therefore possible for this particular portfolio CONCLUSION The Fixed Income Performance Attribution analysis (FIPA) is for sure an unbelievable powerful tool to decompose the performance ... ability to analyze credits and pick up the right bonds Unfortunately the history is much too short to perform a robust analysis and we are stuck there We however think that it is a good way for identifying...
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Tài liệu GLOBAL FIXED INCOME doc
Ngày tải lên :
15/02/2014, 13:20
... Introduction Corporate Bonds (All) Global Fixed Income League Tables From Government bonds to High Yield Corporate debt, Bloomberg's Fixed Income league tables are your one-stop International Bonds ... rankings or LALT for legal adviser rankings and then click on the red 'Select a Market' button in the top left of your screen to view a complete range of rankings available for fixed income, ... the top five Euro-MTN was the largest market of issue accounting for 26.4% of total issuance volume and 21.2% of all deals closed U.S Corporate issuance totaling USD 1,128 billion to date for...
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Tài liệu Japan Economics/Fixed Income Weekly doc
Ngày tải lên :
21/02/2014, 01:20
... return average performance in its sector Underperform: Indicates a below-average total-return performer within its sector Bonds in this category have weak or worsening credit trends, or they may be ... information, tools and material presented in this report are provided to you for information purposes only and are not to be used or considered as an offer or the solicitation of an offer to ... offer to sell or to buy or subscribe for securities or other financial instruments CS may not have taken any steps to ensure that the securities referred to in this report are suitable for any particular...
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Financing Supportive Housing with Tax-Exempt Bonds and 4% Low-Income Housing Tax Credits potx
Ngày tải lên :
06/03/2014, 04:20
... consultants, attorneys and tax credit investors to assist in the design of the program For more information, please feel free to contact Brigitt Jandreau-Smith, Managing Director, Project Development ... the California Housing Partnership Corporation (CHPC) on behalf of the Corporation for Supportive Housing CHPC also acted as the Consultant on this project, and the Sponsors are Resources for Community ... HMFA at a meeting of the Corporation for Supportive Housing in NYC 11 12 While the more common approach to meeting the 50% test for 4% credits is to use the bonds prior to construction completion...
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An Introduction to Pension Obligation Bonds and Other Post-Employment Benefits ppt
Ngày tải lên :
06/03/2014, 08:20
... challenge to the tax-exemption of similar bonds) , which is not a risk for most POBs because they are taxable; or (ii) a shock to the security for the bonds (for example, bankruptcy of an important ... rate at which the POBs are sold but also the types of investors to which they are marketed (for example, corporate pension funds, charitable endowments and others not subject to federal income ... and information services Indexed bonds of this type are used primarily to facilitate marketing of POBs outside of the U.S where investors are more accustomed to LIBOR based investments, but are...
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