FOREX SEMINAR TRAKOŠĆAN

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FOREX SEMINAR TRAKOŠĆAN 05.12. - 06.12.2002 TRŽIŠTE OBVEZNICA FOREX SEMINAR TRAKOŠĆAN 05.12. - 06.12.2002 Zoran Košćak Raiffeisenbank Austria d.d.

SADRŽAJ 1 . KARAKTERISTIKE OBVEZNICA 2. RIZICI ULAGANJA U OBVEZNICE 3. METODE VREDNOVANJA OBVEZNICA 4. STRUKTURA EUROPSKOG I DOMAĆEG TRŽIŠTA 5. TRGOVANJE OBVEZNICAMA

KARAKTERISTIKE OBVEZNICA IZDAVATELJ DRŽAVNE OBVEZNICE MUNICIPALNE OBVEZNICE OBVEZNICE FINANCIJSKIH INSTITUCIJA KORPORATIVNE OBVEZNICE BONITET IZDAVATELJA (Moody’s) Aaa Aa Investment grade A bonds Baa Ba B Caa “Junk” bonds Ca C

KARAKTERISITKE OBVEZNICA DOSPIJEĆE KRATKOROČNE OBVEZNICE (1 - 5 godina) SREDNJOROČNE OBVEZNICE (5 - 10 godina) DUGOROČNE OBVEZNICE (> 10 godina) OBVEZNICE MOGU SADRŽAVATI ODREĐENE ODREDBE KOJE UTJEĆU NA DOSPIJEĆE Pravo izdavatelja na prijevremenu otplatu (Callable bonds) Pravo ulagatelja na prijevremenu otplatu (Putable bonds) Amortizacija glavnice (Sinking fund bonds)

KARAKTERISTIKE OBVEZNICA KUPON FIXED COUPON OBVEZNICE OBVEZNICE S PROMJENJIVOM KAMATNOM STOPOM MONEY MARKET FLOATERS KUPON SE MIJENJA OVISNO O KRETANJU KAMATA NA NOVČANOM TRŽIŠTU CAPITAL MARKET FLOATERS KUPON SE MIJENJA OVISNO O KRETANJU DUGOROČNIH KAMATA INFLATION LINKED BONDS KUPON SE MIJENJA OVISNO O KRETANJU INFLACIJE ZERO COUPON OBVEZNICE

KARAKTERISTIKE OBVEZNICA STRUKTURIRANE OBVEZNICE STRIPS (Separate Trading of Registered Interest and Principal Securities) Pojedini kuponi i glavnica državne obveznice čine posebne vrijednosne papire CONVERTIBLES Sadrže pravo ulagatelja da konvertira obveznicu u dionice REVERSE CONVERTIBLES Sadrže pravo izdavatelja da glavnicu isplati u dionicama ASSET BACKED BONDS Auto-krediti Kreditne kartice

RIZICI ULAGANJA U OBVEZNICE TRŽIŠNI RIZIK (RIZIK PROMJENA KAMATNIH STOPA) RIZIK REINVESTIRANJA KREDITNI RIZIK RIZIK LIKVIDNOST TRŽIŠTA DEVIZNI RIZIK POLITIČKI ILI PRAVNI RIZIK

PRINOS Tekući prinos Prinos do dospijeća uzima u obzir sve prihode od obveznice (kupon, kapitalna dobit/gubitak i prihodi od reinvestiranja kupona svi budući prihodi diskontiraju se na sadašnju vrijednost, a stopa koja izjednačava diskontirane prihode s tržišnom cijenom je prinos do dospijeća predstavlja prinos koji se ostvaruje ukoliko se obveznica drži do dospijeća polazi od pretpostavke da se budući kuponi reinvestiraju stopi jednakoj prinosu do dospijeća

BASIS POINT VALUE Basis point value je promjena cijene obveznice uslijed promjene tržišne kamate za 1 bps

DURATION MACAULEY DURATION MODIFIED DURATION PROSJEČNO VAGANO DOSPIJEĆE SVIH PRIHODA OBVEZNICE MODIFIED DURATION POSTOTNA PROMJENA CIJENE = MD * PROMJENA PRINOSA * 100 DOLLAR DURATION = MD * CIJENA * 0.01 APSOLUTNA PROMJENA U CIJENI KOD PROMJENE PRINOSA OD 100 BPS

TOTAL RETURN ANALIZA ZA IZRAČUN UKUPNOG PRIHODA OD ULAGANJA U OBVEZNICU POTREBNO JE: ODREDITI INVESTICIJSKI HORIZONT PROCIJENITI KAMATNU STOPU ZA REINVESTIRANJE KUPONA PROCIJENITI PRINOS PO KOJEM ĆE SE OBVEZNICA TRGOVATI NA KRAJU INVESTICIJSKOG HORIZONTA

RAČUNANJE PUTEM EXCEL-A ADD INN - ANALYSIS TOOLPAK NAJVAŽNIJE FORMULE YIELD PRICE ACCRUED DURATION MDURATION

Euroland tržište STRUKTURA PO ZEMLJAMA Njemačka još uvijek Benchmark STRUKTURA PO IZDAVATELJIMA Dominacija državnih i bankarskih obveznica Volumen korporativnih obveznica EUR 370 mrd STRUKTURA PO ZEMLJAMA Njemačka još uvijek Benchmark Francusko i talijansko tržište sve značajnije

Struktura hrvatskog duga Obveznice izdane na europskom tržištu (Eurobonds) Obveznice izdane na japanskom tržištu (Samurai) Domaće obveznice Nedostatak municipalnih i korporativnih obveznica

BULL MARKET - DO KADA?

KRIVULJE PRINOSA

Hrvatske obveznice

KRIVULJE PRINOSA

HRVATSKE DRŽAVNE OBVEZNICE

LIKVIDNOST DOMAĆEG TRŽIŠTA

RELATIVNA VRIJEDNOST OBVEZNICA VRIJEDNOST OBVEZNICE U ODNOSU NA REFERENTNU OBVEZNICA (BENCHMARK) BENCHMARK OBVEZNICE SU za obveznice u EUR GERMAN BUND za obveznice u USD US TREASURY RELATIVNA VRIJEDNOST ODRAŽAVA SE U SPREAD-U PRINOSA U ODNOSU NA BENCHMARK PRINOS ANALIZA POVIJESNOG KRETANJA SPREAD-A, TE USPOREDBA SA SPREAD-OM SLIČNIH IZDAVATELJA

Razvoj hrvatskog kreditnog rizika

CASE STUDY - SPREAD TRADE KOMBINACIJA LONG I SHORT POZICIJE U DVIJE OBVEZNICE LONG CROATIA - SHORT BUND SLIČNOG DOSPIJEĆA IZLOŽENOST TRŽIŠNOM RIZIKU ISKLJUČENA ILI LIMITIRANA PERFORMANCE TRADE-A ISKLJUČIVO OVISI O KRETANJU KREDITNOG SPREAD-A HRVATSKE

ANALIZA KRETANJA CIJENE OBVEZNICE RH 2012

TRADING BOOK LIMITI maksimalna izloženost prema jednom izdavatelju KREDITNI LIMIT maksimalna izloženost prema jednom izdavatelju BASIS POINT LIMIT maksimalna izloženost portfelja prema tržišnom riziku LIMIT LIKVIDNOSTI maksimalna izloženost prema pojedinačnim vrijednosnim papirima STOP LOSS LIMIT TRADER LIMITS COUNTERPARTY LIMIT

PRAVILA TRGOVANJA NAMIRA JE U PRAVILU T + 3 BANKE “NEFORMALNI” MARKET MAKERI ZA SVE HRVATSKE OBVEZNICE U PRAVILU TRGOVANJE PUTEM TELEFONA ILI BLOOMBERG-a KOTACIJA CIJENA JE UVIJEK “CLEAN PRICE” UKUPNI IZNOS PLAĆANJA UVEĆAVA SE ZA DOSPIJELU KAMATU Kupac plaća prodavatelju kamatu za period od zadnje isplate kupona do dana namire. Metode izračuna act/act NAMIRA JE U PRAVILU T + 3

PRAVILA TRGOVANJA Euro-obveznice: Domaće obveznice Trgovanje nije regulirano domaćim zakonima Isplata kupona jednom godišnje Namira u EUR Domaće obveznice Regulirano Zakonom o tržištu vrijednosnih papira Isplata kupona dvaputa godišnje Namira trgovanja u HRK po srednjem tečaju HNB-a na dan trgovanja Isplata kupona i glavnice u HRK po srednjem tečaju na dan isplate

SUSTAV PRIJEBOJA I NAMIRE Euro-obveznice: Prijeboj i namira vrši se kroz CEDEL i EUROCLEAR Investitori stoga nužno moraju imati otvoren skrbnički račun kod banke koja je spojena na navedene clearing institucije SETTLEMENT INSTRUKCIJE Delivery versus payment (DVP) Free delivery Free receive Account/Account

SUSTAV PRIJEBOJA I NAMIRE Domaće obveznice: Prijeboj i namira vrši se kroz Središnju depozitarnu agenciju ID Trade putem terminala Dostavljanjem ugovorne dokumentacije u SDA Nepostojanje DVP namire - sistemski rizik Transakcije s institucionalnim klijentima namiruju se uz FD i FR uz plaćanje putem HSVP-a ili NKS-a

Bloomberg ticket

Bloomberg ticket

TRADING SCREEN

ZA SVA PITANJA ZORAN KOŠĆAK Tel: 01/4560-839 Fax; 01/4566-490 ZAMJENIK IZVRŠNOG DIREKTORA SEKTOR RIZNICE & INVESTICIJSKOG BANKARSTVA RAIFFEISENBANK AUSTRIA D.D. Tel: 01/4560-839 Fax; 01/4566-490 Email: zoran.koscak@rba-zagreb.raiffeisen.at