Rating of European sovereign bonds and its impact on credit default swaps (CDS) and government bond yield spreads
|
|
- Percival Dixon
- 6 years ago
- Views:
Transcription
1 Rating of European sovereign bonds and its impact on credit default swaps (CDS) and government bond yield spreads Supervised by: Prof. Günther Pöll Diploma Presentation Plass Stefan B.A. 21 th October 2013 JKU Linz
2 Table of Contents - Structure Objectives of Diploma Thesis Objective Do Rating-Downgrades on European States have impact on Credit Default Swaps and Government Bond Yields? Theoretical Framework Theoretical Framework Ratings of dominating Credit Agencies (CRAs) Function and Rating influencing factors Credit Default Swaps (CDS) Function, Pricing and Market of Sovereign CDS (SCDS) European Government Bonds Function, Pricing and Market of Government Bonds Empirical Analysis Empirical Analysis Panel Data Description Methodical Analysis - Regression
3 General Connectivity Long Term Issuers Debt Rating Sovereign Credit Default Swaps (CDS) Government s Credit Standing Government Bond Yield (Spreads) Long Term Issuers Debt Rating
4 I. Government Issuer Ratings Main purpose: Evaluate the issuers ability and willingness to repay its debt obligations Minimizing information asymmetry and reducing information costs for potential investors Standard & Poor, Moody and Fitch covering 95% of whole rating market (measured by revenues, Year 2009) Rating of assets classes (and its issuers): Government securities (Mainly government bonds) Asset backed securities Financial Institutions Corporations Insurance Companies 10,98% 8,03% 3,78% 0,80% Government Securities Asset-Backed Securities Financial Institutions Corporations Insurance Companies 76,40% Graph: Amount of rated assets by issuer class Source: Securities and Exchange Comission (SEC), 2012
5 Graph: Rating Scales of S&P, Moody, Fitch Source: Afonso/Furceri/Gomez, 2012
6 Government Issuer Ratings Factors influencing Sovereign Credit Ratings International Organization of Securities Commissions (IOSCO) Credit Rating Agency Reform Act 2006 as Nationally recognized statistical rating organization (NRSRO) GDP per person and GDP growth rate: Level of GDP per person influences Rating of a country, the GDP growth rate indicates the strength of an economy Inflation: Level of inflation indicates structural problems in a country and its ability/willingness to pay back its debt Economic development: The future development of an economy as a mayor influence on a country s rating Balance of trade: Trade surplus and trade deficits effect ratings in a positive or negative way Default history: Defaults (partly of whole default, or negotiations about the terms of credits for the issuers) of a country have strong negative influence on a country s rating National budget balance: Budget deficits affect a country s credit rating in a negative way. Vice versa for budget surpluses.
7 II. Credit Default Swaps (CDS) Function and Purpose Derivative Instrument to hedge against a default of the issuer of an underlying asset OTC traded CDS on Sovereign debt are socalled Sovereign CDS (SCDS) International Swaps and Derivatives Association (ISDA) Function: Source: Noyer et al, 2010 Credit events ( ISDA Credit Definitions Source ): Failure to pay, bankruptcy, Repudiation, Restructuring, Obligation acceleration;
8 Credit Default Swaps Main Types of CDS Single Name CDS: CDS on an (underlying) asset of a single issuer. E.g. CDS on an Austrian bond Multi Name CDS: CDS Index: CDS on a portfolio of (underlying) assets respectively its issuers, E.g. CDS Index for European Sovereigns: Markit itraxx SovX Western Europe Index, CDX for North America; CDS Baskets: single name credit default swaps on individual assets (individual basket of assets) possibility of building individual risky basket! (mainly for trading) E.g. first-to-default swap: if one underlying asset (issuer) of the basket defaults (credit event), protection buyer receives payment for the defaulted issuer Default Correlation: The higher the default correlation between the (underlying) assets (respectively its CDS Spreads) in the basket, the higher is a possible portfolio loss
9 Credit Default Swaps Expected Loss/Probability of Default Main parameter of CDS pricing: Probability of default Models to calculate probability of default: E[l] Structural Models Merton, Black & Scholes Intensity based Models statistical calculation of probability of default = Expected loss (amount) LGD= Loss given default (%) rec = recovery rate (%) p(def ) = probability of default (%) l = loss (amount) E[ l] l * p( def )*(1 rec) (1 rec) LGD
10 Credit Default Swaps Use of CDS Hedging: Hedging against the Default of the Issuer of the Underlying (Government Bond) in the case of a credit event (which is defined by the ISDA). Trading (Speculation) naked position: Going Short on a CDS offers potential gains when the credit-worthiness (Rating) deteriorates (downgrades), vice versa when going Long on a CDS. Arbitrage (Basis Trading): The investor buys a CDS and the underlying Bond when CDS Spread and Bond Yield Spread are not equal. Buying the CDS and the underlying Bond (when the Bond Yield Spread is higher then the CDS Spread) enables to realize profit (= Basis ). Risk diversification: Buying CDS hedges against default risk. Selling CDS enables to finance the costs of buying CDS, and diversifies risk by selling CDS on issuers of other industries.
11 Credit Default Swaps The market for SCDS Credit Default Swaps (CDS) - Notional Amounts Outstanding in Billions USD Main Counterparties of CDS in 2010: ,00% 20,00% 15,00% 10,00% 5,00% 0,00% Rank Counterparty 1 JP Morgan Chase 2 Goldman Sachs 3 Bank of America 4 Morgan Stanley 5 Barclays 6 Deutsche Bank 7 UBS 8 Citigroup 9 BNP Paribas 10 Credit Suisse Multi name total (linke Achse) Single name total (linke Achse) Single name sovereign (linke Achse) Single name sovereign in % of Singe name total (rechte Achse) Source: Fitch Ratings, 2011 Graph: Credit Default Swaps (CDS) Notional Amounts Outstanding Source: BIS, , IMF, 2013
12 in % of GDP in % of GDP III. European Government Bonds Function and Purpose Main purpose of Government Bonds: Financing Public investments, Health costs, infrastructure projects, etc. Government Financial Balances and Marketable Gross Borrowing Requirements 30,00% 0,00% 25,00% 20,00% 15,00% 10,00% 5,00% -1,00% -2,00% -3,00% -4,00% -5,00% -6,00% -7,00% -8,00% 0,00% -9,00% Central government marketable gross borrowing in OECD countries (linke Achse) Central government marketable gross borrowing in euro area (linke Achse) General government financial balance to GDP ratios in euro area (rechte Achse) General government financial balance to GDP ratios in OECD countries (rechte Achse) Source: OECD - Sovereign borrowing outlook, 2013
13 European Government Bonds Pricing / YTM 90% of all Government Bonds in 2013 are plain vanilla bonds (estimation of OECD, 2013) Empirical analysis deals with YTM (yield to maturity) of Government Bonds Typical price calculation for a plain vanilla bond: P 0 C (1 r) C (1 r) Par value relation (plain vanilla bond): 2 C (1 r) 3... C M (1 r) N Par value relation P M C M 1 *[ (1 r r YTM YTM ) n ] (1 1 r YTM ) N P M r C = Price YTM= Yield to maturity = Notional Amount = Coupon payment (in % of Notional amount Coupon interest rate)
14 Bond Yield in % European Government Bonds Yield and Rating Rating and Yields for Greece, Portugal, Spain, Ireland and Italy in 2012: Rating and corresponding Yields of selceted Euopean States BB+ BB Ba3 BBB BBB- BBB+ Ba1 A- BBB+ Baa2 Moody's Fitch S&P 8 10 YR yields 6 4 CCC 3M T-Bill yields 2 C 0 Greece Portugal Spain Ireland Italy Source: OECD, 2013
15 IV. Empirical Analysis Does a Rating downgrade (of a country) effect the CDS premium and Bond Yield (Spread) of the sample? Sample: 27 EU-Member countries Observation period: (Lehman Brothers bankruptcy) Used data: Sources: CDS premiums for the selected time period (5-day week) Government Bond Yield Spreads (Benchmark: Germany) for the selected time period (5-day week) Standard & Poor s Capital IQ for CDS premiums (e.g. Ticker for Austria CDS premium: IQT ) Reuters for Bond Yields (e.g. Ticker for Bond Yield Austria: AT10YT=RR) Ratings History of each country: Reuters Debt Structure Long Term Debt Issuer Ratings
16 Empirical Analysis Data Data preparation: CDS premiums: Using daily average CDS premiums for all 27 EU member countries, scaling of all ratings into numbers (e.g. S&P s AAA Rating equals 17, AA+ = 16, ) Bond Yield Spreads: Using daily average Bond Yield Spreads (Benchmark German Bond Yields), scaling of all ratings into numbers (e.g. S&P s AAA Rating equals 17, AA+ = 16, ) Methodology: High correlation of CDS and Bonds (Spreads) across countries (Longstaff et al, 2011) Linear OLS Time Series Regression for ± 2 days (before and after) = 5 days sample at a rating downgrade announcement Regression Model: y = c + t*x + ε Time Series Regression Software: EViews 6
17 Empirical Analysis Statistical Prerequisites for Regression 1. Prerequisite: Errors ε is normally distributed Zero hypothesis: Errors are normally distributed zero hypothesis not rejected 2. Prerequisite: No systematic Error ε E( ) Zero hypothesis: systematic errors are approximately zero zero hypothesis not rejected 0
18 Empirical Analysis Statistical Prerequisites for Regression 3. Prerequisite: 2 Var const. Errors ε are homoscedastic (white noise) Zero hypothesis: Homoscedasticity in the errors zero hypothesis not rejected 4. Prerequisite: Errors are not correlated i j Zero hypothesis: Errors are normally distributed zero hypothesis not rejected
19 Empirical Analysis Regression Results Rating Announcement Effects on CDS Spreads and Bond Yield Spreads over Germany for all 27 EU-Member Countries Change in bp per day Median Average Credit Default Swap Spreads (10Y) over Germany* Standard & Poor s Moody s Fitch s Change in % per day Median Average Bond Yield Spreads (10Y) over Germany** Standard & Poor s Moody s Fitch s Observation Period: ± 2 days before & after Downgrade Announcement * No data available for Luxembourg, Malta, Cyprus ** No data available for Luxembourg, Malta, Cyprus, Estonia Data: Significance at 90% Confidence Interval Data Sources: S&P Capital IQ, Thomson Reuters
Counterparty Credit Default Swap Rates
Counterparty Credit Default Swap Rates 1 December 2017 This information is for financial advisers only and should not be presented to, or relied upon by, private investors. 1 Credit default swaps Bloomberg/Meteor
More informationCounterparty Credit Default Swap Rates
Counterparty Credit Default Swap Rates 22 June 2018 This information is for financial advisers only and should not be presented to, or relied upon by, private investors. 1 Credit default swaps Bloomberg/Meteor
More informationCounterparty Credit Default Swap Rates
Counterparty Credit Default Swap Rates 20 April 2018 This information is for financial advisers only and should not be presented to, or relied upon by, private investors. 1 Credit default swaps Bloomberg/Meteor
More informationCounterparty Credit Default Swap Rates
Counterparty Credit Default Swap Rates 27 April 2018 This information is for financial advisers only and should not be presented to, or relied upon by, private investors. 1 Credit default swaps Bloomberg/Meteor
More informationCounterparty Credit Default Swap Rates
Counterparty Credit Default Swap Rates 13 April 2018 This information is for financial advisers only and should not be presented to, or relied upon by, private investors. 1 Credit default swaps Bloomberg/Meteor
More informationTrends and opportunities across regions: Europe
Trends and opportunities across regions: Europe Monday, 6 June 2011 Head of Institutional Fixed Income Europe Three themes shaping global opportunities I. Long term: Spheres of influence are shifting among
More informationToward A Bottom-Up Approach in Assessing Sovereign Default Risk
Toward A Bottom-Up Approach in Assessing Sovereign Default Risk Dr. Edward I. Altman Stern School of Business New York University Keynote Lecture Risk Day Conference MacQuarie University Sydney, Australia
More informationCapital Flows, Cross-Border Banking and Global Liquidity. May 2012
Capital Flows, Cross-Border Banking and Global Liquidity Valentina Bruno Hyun Song Shin May 2012 Bruno and Shin: Capital Flows, Cross-Border Banking and Global Liquidity 1 Gross Capital Flows Capital flows
More information1.2 Product nature of credit derivatives
1.2 Product nature of credit derivatives Payoff depends on the occurrence of a credit event: default: any non-compliance with the exact specification of a contract price or yield change of a bond credit
More informationUsing financial market instruments to assess (aggregated) credit default risk of non-financial corporations and households
Meeting of the Task Force on Financial Intermediation Services Indirectly Measured (FISIM) New York, 5-6 July 2011 DC2 Building 16th Floor Conference Room (DC2-1684) Using financial market instruments
More informationEuro, sovereign debt, liquidity and other issues: questions and answers from BNP Paribas
Euro, sovereign debt, liquidity and other issues: questions and answers from BNP Paribas After being asked a number of questions about the bank and the Eurozone, we have decided to publish the answers
More informationDeutsche Bank Credit Overview
Credit Overview As of 30 September 2017 Summary Progress: Wind-down of the non-core unit and resolved a significant number of large litigation items today Successful execution of the strategic measures
More informationDebt Investor Presentation Q2/2012 & H1/2012
Debt Investor Presentation Q2/2012 & H1/2012 OP-Pohjola Group and issuing entities Pohjola Bank plc and OP Mortgage Bank www.pohjola.com > Investor Relations > Debt Investors Contents OP-Pohjola Group
More informationGlobal Economy Journal
Global Economy Journal Volume 11, Issue 4 2011 Article 6 s Unpleasant Arithmetic Containing the Threat to the Global Economy James R. Barth Tong Li Apanard Prabhavivadhana Auburn University and Milken
More informationDeutsche Bank Credit Overview
Credit Overview August 2018 (including reported financials as of 30 June 2018) Summary Right-sizing of our Corporate & Investment Bank to focus on more stable revenue sources New strategic measures Near-term
More informationPRESENTATION BY JACOB A. FRENKEL AT THE FORUM: INTELLIGENCE ON THE WORLD, EUROPE, AND ITALY. Villa d'este, Cernobbio - September 7, 8 and 9, 2012
PRESENTATION BY JACOB A. FRENKEL AT THE FORUM: INTELLIGENCE ON THE WORLD, EUROPE, AND ITALY Villa d'este, Cernobbio - September 7, 8 and 9, 1 Working paper, September 1. Kindly authorized by the Author.
More informationCREDIT RATINGS. Rating Agencies: Moody s and S&P Creditworthiness of corporate bonds
CREDIT RISK CREDIT RATINGS Rating Agencies: Moody s and S&P Creditworthiness of corporate bonds In the S&P rating system, AAA is the best rating. After that comes AA, A, BBB, BB, B, and CCC The corresponding
More informationDeutsche Bank Credit Overview
Credit Overview October 2018 (including reported financials as of 30 September 2018) Summary Strategic adjustments to the franchise now complete Strategic measures Near-term targets of return on tangible
More informationA Guide to Investing In Corporate Bonds
A Guide to Investing In Corporate Bonds Access the corporate debt income portfolio TABLE OF CONTENTS What are Corporate Bonds?... 4 Corporate Bond Issuers... 4 Investment Benefits... 5 Credit Quality and
More informationTempleton Global Bond Fund TAP INTO A WORLD OF OPPORTUNITY
Templeton Global Bond Fund TAP INTO A WORLD OF OPPORTUNITY Franklin Templeton Investments Gain From Our Perspective Franklin Templeton s distinct multi-manager structure combines the specialized expertise
More informationQueensland Treasury Corporation
QTC - 45 Queensland Treasury Corporation ROLE Founded in 1988, Queensland Treasury Corporation (QTC) is a corporation sole, constituted by the Under Treasurer in accordance with the Queensland Treasury
More informationGUIDANCE FOR CALCULATION OF LOSSES DUE TO APPLICATION OF MARKET RISK PARAMETERS AND SOVEREIGN HAIRCUTS
Annex 4 18 March 2011 GUIDANCE FOR CALCULATION OF LOSSES DUE TO APPLICATION OF MARKET RISK PARAMETERS AND SOVEREIGN HAIRCUTS This annex introduces the reference risk parameters for the market risk component
More informationGOLDMAN SACHS BANK (EUROPE) PLC
AS AT 31 DECEMBER 2009 GOLDMAN SACHS BANK (EUROPE) PLC PILLAR 3 DISCLOSURES Table of Contents 1. Overview 1 2. Basel II and Pillar 3 1 3. Scope of Pillar 3 1 4. Capital Resources and Capital Requirements
More informationChapter Six. Bond Markets. McGraw-Hill /Irwin. Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
Chapter Six Bond Markets Overview of the Bond Markets A bond is is a promise to make periodic coupon payments and to repay principal at maturity; breech of this promise is is an event of default carry
More informationThe State of the Credit Markets & Current Opportunities
The State of the Credit Markets & Current Opportunities Ryan Blute, CFA Vice President This presentation contains the current opinions of the manager and such opinions are subject to change without notice.
More informationDeutsche Bank Client & Creditor Presentation
Client & Creditor Presentation December 2018 (including reported financials as of 30 September 2018) Summary Strategic adjustments to the franchise now complete Strategic measures Near-term targets of
More informationFIN 684 Fixed-Income Analysis Corporate Debt Securities
FIN 684 Fixed-Income Analysis Corporate Debt Securities Professor Robert B.H. Hauswald Kogod School of Business, AU Corporate Debt Securities Financial obligations of a corporation that have priority over
More informationCopyright 2004 Pearson Education, Inc. All rights reserved. Bonds
Copyright 2004 Pearson Education, Inc. All rights reserved. Bonds What is a Bond? Debt securities that may pay a rate of interest based upon the face amount or par value of the bond Bond investors receive
More informationInvestment Bank Credit Report Q4 2017
Investment Bank Credit Report Q4 217 We produce a Quarterly Investment Bank Credit Report as part of our continual counterparty due diligence process. The Report includes summaries of the quarterly movements,
More informationExplaining individual firm credit default swap spreads with equity volatility and jump risks
Explaining individual firm credit default swap spreads with equity volatility and jump risks By Y B Zhang (Fitch), H Zhou (Federal Reserve Board) and H Zhu (BIS) Presenter: Kostas Tsatsaronis Bank for
More informationSome Historical Examples of Yield Curves
3 months 6 months 1 year 2 years 5 years 10 years 30 years Some Historical Examples of Yield Curves Nominal interest rate, % 16 14 12 10 8 6 4 2 January 1981 June1999 December2009 0 Time to maturity This
More informationGlobal Financial Systems Chapter 10 Credit Markets
Global Financial Systems Chapter 10 Credit Markets Jon Danielsson London School of Economics 2018 To accompany Global Financial Systems: Stability and Risk http://www.globalfinancialsystems.org/ Published
More informationBy Khader Shaik CDS Market - The Big Picture Copyright 2011 Khader Shaik (ksvali.com) 1
By Khader Shaik 1 CDS Credit Default Swap CDS is an agreement between two parties in reference to an external entity known as Reference Entity, in which one party known as Protection Buyer pays the periodic
More informationINDEX RULES ECPI GLOBAL BOND INDEX FAMILY
INDEX RULES ECPI GLOBAL BOND INDEX FAMILY NOVEMBER 2017 2 TABLE OF CONTENTS INTRODUCTION... 3 SELECTION CRITERIA... 5 PERIODIC REVIEW... 8 INDEX CALCULATION... 9 HEDGED INDICES... 11 INTRA MONTH EVENTS...
More information25 Oct 2010 QIAO Yang SHEN Si
Credit Derivatives: CDS, CDO and financial crisis 25 Oct 2010 QIAO Yang SHEN Si 1 Agenda Historical background: what is Credit Default Swaps (CDS) and Collateralized Default Obligation (CDO) Issue and
More information4. Credit markets. (Chart 28) Corporate bond spreads (Japan) % points 0.6. Aa A Baa
. Credit markets Credit spreads remained at extremely tight levels (Chart 8). The favorable environment for financing through products such as CPs, corporate bonds, syndicated loans and securitized products
More informationRE: Listing Products for Trading by Certification Pursuant to CFTC Rule 40.2
MarketAxess SEF Corporation 299 Park Avenue, 10th Floor New York, NY 10171 September 30, 2013 Submitted Via Email Office of the Secretariat Commodity Futures Trading Commission Three Lafayette Centre 1155
More informationWhat is a credit risk
Credit risk What is a credit risk Definition of credit risk risk of loss resulting from the fact that a borrower or counterparty fails to fulfill its obligations under the agreed terms (because they either
More informationCredit Risk II. Bjørn Eraker. April 12, Wisconsin School of Business
Wisconsin School of Business April 12, 2012 More on Credit Risk Ratings Spread measures Specific: Bloomberg quotes for Best Buy Model of credit migration Ratings The three rating agencies Moody s, Fitch
More informationINTERIM FINANCIAL REPORT 2011 OF KA FINANZ AG
INTERIM FINANCIAL REPORT 2011 OF KA FINANZ AG 1 TABLE OF CONTENTS Interim Management Report 3 Economic framework 3 Development of business in the first half of 2011 3 Support measures by the Republic of
More informationAnnex I to the ESRB risk dashboard. Methodological Annex. 1. Interlinkages and composite measures of systemic risk. Last update: September 2017
1. Interlinkages and composite measures of systemic risk 1.1 Composite indicator of systemic stress Sources: Thomson Reuters, ECB, and ECB calculations Annex I to the ESRB risk dashboard Last update: September
More informationFixed income for your portfolio
Fixed income for your portfolio November 2017 2 Fixed income for your portfolio Defence Fixed income investments such as bonds are widely used in portfolios to enhance income and compliment low risk interest
More informationQuantifying credit risk in a corporate bond
Quantifying credit risk in a corporate bond Srichander Ramaswamy Head of Investment Analysis Beatenberg, September 003 Summary of presentation What is credit risk? Probability of default Recovery rate
More informationUnderstanding Financial Interconnectedness
Understanding Financial Interconnectedness Key Messages Utility Bilateral surveillance Multilateral surveillance Macro-prudential policies Swap Lines England ECB Switzerland United States JAPAN Swap Lines
More informationLiability hedging in a world without risk-free assets
Liability hedging in a world without risk-free assets Anthony MacGuinness & John Thornton Nov 2012 Agenda Liability Driven Investment (LDI) Background & Regulation Environment Liability Hedging: Practitioner's
More informationAdverse Liquidity Effects of the EU Uncovered Sovereign CDS Ban
Research Note Adverse Liquidity Effects of the EU Uncovered Sovereign CDS Ban January 2014 Summary On November 1, 2012, the provisions of Regulation (EU) No 236/2012 of the European Parliament and the
More informationFixed Income Investment
Fixed Income Investment Session 1 April, 24 th, 2013 (Morning) Dr. Cesario Mateus www.cesariomateus.com c.mateus@greenwich.ac.uk cesariomateus@gmail.com 1 Lecture 1 1. A closer look at the different asset
More informationZ-Score History & Credit Market Outlook
Z-Score History & Credit Market Outlook Dr. Edward Altman NYU Stern School of Business CT TMA New Haven, CT September 26, 2017 1 Scoring Systems Qualitative (Subjective) 1800s Univariate (Accounting/Market
More informationBNP Paribas Public Sector SCF
BNP Paribas Public Sector SCF Security Transparency Simplicity Investor Presentation September 2010 Disclaimer This document has been prepared BNP Paribas Public Sector SCF BNP Paribas solely for use in
More informationModeling Sovereign Credit Risk in a. Nihil Patel, CFA Director - Portfolio Research
Modeling Sovereign Credit Risk in a Portfolio Setting Nihil Patel, CFA Director - Portfolio Research April 2012 Agenda 1. Sovereign Risk: New Methods for a New Era 2. Data for Sovereign Risk Modeling 3.
More informationesf securitisation data report Q1:2008
esf securitisation data report Q1:28 June 28 London New York Washington Hong Kong TABLE OF CONTENTS Market Highlights and Commentary 1 1. Issuance 1.1. European Historical Issuance.............. 2 1.2.
More informationThe improvement of peripheral bonds fundamentals has accelerated
Thematic paper I CROSS ASSET Investment Strategy February 18 The improvement of peripheral bonds fundamentals has accelerated RESEARCH STRATEGY & ANALYSIS February 18 I Thematic paper CROSS ASSET The improvement
More informationCredit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence
Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence Jian Yang University of Colorado Denver Yinggang Zhou Chinese University of Hong Kong 1 Motivation
More informationDeterminants of intra-euro area government bond spreads during the financial crisis
Determinants of intra-euro area government bond spreads during the financial crisis by Salvador Barrios, Per Iversen, Magdalena Lewandowska, Ralph Setzer DG ECFIN, European Commission - This paper does
More informationGUARANTEED SENIOR SECURED NOTES PROGRAMME issued by GOLDMAN SACHS INTERNATIONAL
EXECUTION VERSION GUARANTEED SENIOR SECURED NOTES PROGRAMME issued by GOLDMAN SACHS INTERNATIONAL in respect of which the payment and delivery obligations are guaranteed by THE GOLDMAN SACHS GROUP, INC.
More informationThe Universal Institutional Funds, Inc.
Class I Prospectus April 29, 2016 The Universal Institutional Funds, Inc. Emerging Markets Debt Portfolio High total return by investing primarily in fixed income securities of government and government-related
More informationCredit mitigation and strategies with credit derivatives: exploring the default swap basis
Credit mitigation and strategies with credit derivatives: exploring the default swap basis RISK London, 21 October 2003 Moorad Choudhry Centre for Mathematical Trading and Finance Cass Business School,
More informationFederated Institutional High Yield Bond Fund
Prospectus December 31, 2017 Share Class Ticker Institutional FIHBX R6 FIHLX Federated Institutional High Yield Bond Fund A Portfolio of Federated Institutional Trust A mutual fund seeking high current
More informationUBS Investor Day 2004 Fixed Income, Rates & Currencies. Michael Hutchins, Global Head of FIRC
UBS Investor Day 24 Fixed Income, Rates & Currencies Michael Hutchins, Global Head of FIRC Diversified group of businesses Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading
More informationDo you live in a mean-variance world?
Do you live in a mean-variance world? 76 Assume that you had to pick between two investments. They have the same expected return of 15% and the same standard deviation of 25%; however, investment A offers
More informationEMERGING MARKET DEBT INVESTMENT GUIDELINES
APPENDIX 7I This Version: February 14, 2006March 19, 2008 Replaces version: February 14, 2006 EMERGING MARKET DEBT INVESTMENT GUIDELINES The purpose for these performance objectives ( Objectives ) and
More informationThe role of inflation-linked bonds. September 2004
The role of inflation-linked bonds September 2004 Table of contents Who we are & our experience Inflation linked bonds: characteristics Performance and risks Applications in a portfolio Simulations and
More informationAnnouncement: Moody's Reviews Ratings for Banks and Securities Firms with Global Capital Markets Operations
Announcement: Moody's Reviews Ratings for Banks and Securities Firms with Global Capital Markets Operations Global Credit Research - 15 Feb 2012 New York, February 15, 2012 -- Moody's Investors Service
More informationEmerging Market Debt attractive yield with solid fundamentals
For professional use only Not for Public distribution Emerging Market Debt attractive yield with solid fundamentals November 2012 Kevin Daly, Senior Portfolio Manager EMD Aberdeen Asset Management Table
More informationDeutsche Bank Stefan Krause
Deutsche Bank Stefan Krause Chief Financial Officer Goldman Sachs European Financials Conference Frankfurt, 5 June 2009 Agenda 1 Strength through the crisis 2 Well positioned to stay strong 3 and emerge
More informationProspectus. January Pioneer Funds A Luxembourg Investment Fund (Fonds Commun de Placement)
Prospectus January 07 Pioneer Funds A Luxembourg Investment Fund (Fonds Commun de Placement) Pioneer Funds Contents A Word to Potential Investors Definitions The Fund 5 The Sub-Funds 6 SHORT-TERM SUB-FUNDS
More informationRISKS ASSOCIATED WITH INVESTING IN BONDS
RISKS ASSOCIATED WITH INVESTING IN BONDS 1 Risks Associated with Investing in s Interest Rate Risk Effect of changes in prevailing market interest rate on values. As i B p. Credit Risk Creditworthiness
More informationCorporate Credit Risk
Corporate Credit Risk 8 th October 2017 Luca Costantini Specialist Manager @ Thomson Reuters 1 Corporate Credit Risk Fundamental Analysis Issuer Debt Structure Bonds and Loans New issues Ratings Credit
More informationECONOMIC AND MONETARY DEVELOPMENTS
Box 2 RECENT WIDENING IN EURO AREA SOVEREIGN BOND YIELD SPREADS This box looks at recent in euro area countries sovereign bond yield spreads and the potential roles played by credit and liquidity risk.
More informationApril 2014 Investment Report
April 2014 Investment Report EXECUTIVE SUMMARY (April 30, 2014) 30, 2013) Citizens total portfolio market value for April 2014 was $14.62 billion with an average duration of 1.8 years and average credit
More informationUsing CDS spreads as a benchmark for credit risk figures
RABOBANK NEDERLAND & UNIVERSITY OF TWENTE Using CDS spreads as a benchmark for credit risk figures Improving the validation of low-default portfolios Master Thesis: N.M. (Niek) Loohuis 13-6-2013 Investigating
More informationThe case for lower rated corporate bonds
The case for lower rated corporate bonds Marcus Pakenham Fixed income product specialist December 3 Introduction Where should fixed income investors be positioned over the medium term? We expect that government
More informationPricing for Protection Can Margin Expansion Offset Credit Risk
Pricing for Protection Can Margin Expansion Offset Credit Risk Mr. Marinos Yannopoulos, General Manager and Board Member GOLDMAN SACHS EUROPEAN FINANCIALS CONFERENCE FRANKFURT 4 June 2009 A strong franchise
More informationCosts and benefits of "leaning against the wind": an illustration
Costs and benefits of "leaning against the wind": an illustration Net marginal costs of leaning against the wind : Monetary policy vs. macroprudential policy (Cumulative impact after 4 quarters; in percentage
More informationSecond Quarter Results Zurich, 13th August 2003 Peter Wuffli, President Mark Branson, Chief Communication Officer
Second Quarter Results 23 Zurich, 13th August 23 Peter Wuffli, President Mark Branson, Chief Communication Officer Caution regarding forward-looking statements This communication contains statements that
More informationA guide to investing in high-yield bonds
A guide to investing in high-yield bonds What you should know before you buy Are high-yield bonds suitable for you? High-yield bonds are designed for investors who: Can accept additional risks of investing
More informationMarkit itraxx Asia ex- Japan Index Rules
Markit itraxx Asia ex- Japan Index Rules September 2017 Contents Index Overview... 3 itraxx Asia ex-japan Index... 3 Roll Dates... 3 Rule Revision... 4 Maturity... 4 Weighting... 4 Relevant Rating... 4
More informationMarkit itraxx Japan Index Rules
Markit itraxx Japan Index Rules September 2017 Contents Index Overview...3 Markit itraxx Japan Index...3 Administrator...3 Roll Dates...3 Rule Revision...3 Maturity...4 Weighting...4 Relevant Rating...4
More informationDeterminants of the Size of the Sovereign. Credit Default Swap Market
Determinants of the Size of the Sovereign Credit Default Swap Market January 17, 2015 Abstract We analyze the sovereign CDS market for 57 countries, using a novel dataset comprising weekly positions and
More informationReading. Valuation of Securities: Bonds
Valuation of Securities: Bonds Econ 422: Investment, Capital & Finance University of Washington Last updated: April 11, 2010 Reading BMA, Chapter 3 http://finance.yahoo.com/bonds http://cxa.marketwatch.com/finra/marketd
More informationDEPFA ACS BANK. Investor Presentation 31st December 2015
DEPFA ACS BANK Investor Presentation 31st December 2015 Overview of Asset Covered Securities Legislation 1 Irish Asset Covered Securities are governed by the Asset Covered Securities Act 2001. It was amended
More informationInvestors Day. Investment Banking
Investors Day Investment Banking Mehmet Dalman Member of the Board of Managing Directors Frankfurt, September 4, 2002 Investors Day September 4, 2002 1 Contents Background 2002: First half review Future
More informationCounterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II
November 2011 Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II A Review of Monoline Exposures Introduction This past August, ISDA published a short paper
More informationBank Austria Economics and Market Analysis. Xplicit. Austria. Has Austria taken on too much? April 2009
Bank Economics and Market Analysis Xplicit Has taken on too much? April 2009 http://economicresearch-e.bankaustria.at Author: Stefan Bruckbauer Imprint Published by UniCredit Bank AG Economics & Market
More information6th Summit for an Enlarged Europe
6th Summit for an Enlarged Europe 27 / 28 May 2010 Andreas Biewald Treasury Recent developments in the European Repo Market Andreas Biewald Treasury Key events March May 2010. 3 March 2010: Greece unveils
More informationIndian Association of Alternative Investment Funds (IAAIF) Swapnil Pawar Scient Capital
Indian Association of Alternative Investment Funds (IAAIF) Swapnil Pawar Scient Capital Contents Quick introduction to hedge funds and the idea of market inefficiencies Types of hedge funds Background
More informationDeutsche Bank Yankee Bank Bond Conference
Yankee Bank Bond Conference Jonathan Blake, Global Head of Debt Issuance Friedrich Karl Stroedter, Head of Debt IR & Rating Agency Relations New York / Boston / Chicago, 16-18 September 2013 at a glance
More informationCredit Valuation Adjustment
Credit Valuation Adjustment Implementation of CVA PRMIA Credit Valuation Adjustment (CVA) CONGRESS IMPLEMENTATION UND PRAXIS Wolfgang Putschögl Köln, 20 th July 2011 CVA in a nutshell Usually pricing of
More informationCDOs October 19, 2006
2006 Annual Meeting & Education Conference New York, NY CDOs Ozgur K. Bayazitoglu AIG Global Investment Group Keith M. Ashton TIAA-CREF Michael Lamont Deutsche Bank Securities Inc. Vicki E. Marmorstein
More informationThe Greek Bond Market in 2007
The Greek Bond Market in 2007 15 YEAR BENCHMARK ISSUE MAY 2007 MARKET ANALYSIS +30 210 326 2070, marketanalysis@alpha.gr Financial Markets Group Planning Department Please refer to important Disclaimer
More informationThe impact of CDS trading on the bond market: Evidence from Asia
Capital Market Research Forum 9/2554 By Dr. Ilhyock Shim Senior Economist Representative Office for Asia and the Pacific Bank for International Settlements 7 September 2011 The impact of CDS trading on
More informationTrading motivated by anticipated changes in the expected correlations of credit defaults and spread movements among specific credits and indices.
Arbitrage Asset-backed security (ABS) Asset/liability management (ALM) Assets under management (AUM) Back office Bankruptcy remoteness Brady bonds CDO capital structure Carry trade Collateralized debt
More informationDerivatives Questions Question 1 Explain carefully the difference between hedging, speculation, and arbitrage.
Derivatives Questions Question 1 Explain carefully the difference between hedging, speculation, and arbitrage. Question 2 What is the difference between entering into a long forward contract when the forward
More informationAberdeen Asset Management
Aberdeen Asset Management Fixed income overview March 2016 David Lloyd-Nolan, Senior Fixed Income Product Specialist Aberdeen Asset Management For professional investors only Not for public distribution
More informationThe Case for A Rated Issuers
The Case for A Rated Issuers August 31, 2012 PFM Asset Management LLC One Keystone Plaza, Suite 300 N. Front & Market Sts Harrisburg, PA 17101 (717) 232-2723 Contents Tab I Overview of the Corporate Market
More informationThe attached quarterly report provides a summary of outstanding interest rate swaps
Report Office of the CFO Swap Quarterly Report Summary The attached quarterly report provides a summary of outstanding interest rate swaps Purpose In accordance with Resolution No. 8773, as amended, and
More informationCDO Market Overview & Outlook. CDOs in the Heartland. Lang Gibson Director of Structured Credit Research March 25, 2004
CDO Market Overview & Outlook CDOs in the Heartland Lang Gibson Director of Structured Credit Research March 25, 24 23 featured record volumes despite diminishing arbitrage Global CDO Growth: 1995-23 $
More informationHedging CVA. Jon Gregory ICBI Global Derivatives. Paris. 12 th April 2011
Hedging CVA Jon Gregory (jon@solum-financial.com) ICBI Global Derivatives Paris 12 th April 2011 CVA is very complex CVA is very hard to calculate (even for vanilla OTC derivatives) Exposure at default
More informationProspectus February Amundi Funds II A Luxembourg Investment Fund (Fonds Commun de Placement)
Prospectus February 08 Amundi Funds II A Luxembourg Investment Fund (Fonds Commun de Placement) Amundi Funds II Contents A Word to Potential Investors Definitions The Fund 5 The Sub-Funds 6 SHORT-TERM
More informationMacroeconomic overview SEE and Macedonia
Macroeconomic overview SEE and Macedonia Zoltan Arokszallasi Chief Analyst, Macro & FX/FI Research Erste Group Bank Erste Investors Breakfast, 29 September, Skopje 02. Oktober SEE shows mixed performance
More information