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Fall-02 EMBAF Zvi Wiener Based on Chapter 9 in Fabozzi Bond Markets, Analysis and Strategies Non-US Bonds.

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Presentation on theme: "Fall-02 EMBAF Zvi Wiener Based on Chapter 9 in Fabozzi Bond Markets, Analysis and Strategies Non-US Bonds."— Presentation transcript:

1 Fall-02 http://pluto.mscc.huji.ac.il/~mswiener/zvi.html EMBAF Zvi Wiener Based on Chapter 9 in Fabozzi Bond Markets, Analysis and Strategies Non-US Bonds

2 Zvi WienerFabozzi Ch 9 slide 2 Non-US Bonds national bond markets domestic market Foreign market Yankee USA Samurai Japan bulldog UK Rembrandt Holland matador Spain

3 Zvi WienerFabozzi Ch 9 slide 3 International bond market Eurobond and Euroyen markets Global bond - simultaneous offering Typically registered in Luxembourg, London or Zurich, but traded OTC. Supranationals - IBRD, World Bank, etc.

4 Zvi WienerFabozzi Ch 9 slide 4 Eurobond market Dual currency bonds (coupon in one currency, principal in another). Option currency bond one side can choose the currency. Convertible bonds with warrants - can be converted into another asset. Equity, debt, gold or currency warrant.

5 Zvi WienerFabozzi Ch 9 slide 5 Eurobond market Floating Rate Notes = FRN based on LIBOR or LIBID many are collared some are perpetual

6 Zvi WienerFabozzi Ch 9 slide 6 Comparing Yields bond equivalent yield of Eurodollar bond =2[(1+yield to maturity) 0.5 -1] for example: A Eurodollar bond with 10% yield has the bond equivalent yield of 2[1.10 0.5 -1] = 9.762%

7 Zvi WienerFabozzi Ch 9 slide 7 Japanese Government Bonds JGB short term Treasury bills medium term bonds long term bonds super long term bonds (20 years)

8 Zvi WienerFabozzi Ch 9 slide 8 German Government Bonds U-Schatze discount paper up to 2 years Kassens = federal government notes (2-6 y.) OBLEs = 5 year federal government notes Bunds = federal government bonds (6-30 y.) all coupon payments are annual

9 Zvi WienerFabozzi Ch 9 slide 9 UK Government Bonds Gilts straights = bullet bonds (some callable) convertibles (option to holder to convert to longer gilts) index linked low coupon 2-2.5% irredeemable (perpetual)

10 Zvi WienerFabozzi Ch 9 slide 10 Brady Bonds Argentina, Brazil, Costa Rica, Dominican Republic, Ecuador, Mexico, Uruguay, Venezuela, Bulgaria, Jordan, Nigeria, Philippines, Poland. Partially collateralized by US government securities

11 Zvi WienerFabozzi Ch 9 slide 11 Internet sites www.federalreserve.gov/releases www.tradeweb.com www.bondclick.com www.fxall.com www.atriax.com www.convertbond.com www.bondsonline.com www.bba.org.uk www.streetsoftware.com/data/mpage.htm www.bondmarkets.com

12 Zvi WienerFabozzi Ch 9 slide 12

13 Zvi WienerFabozzi Ch 9 slide 13

14 Zvi WienerFabozzi Ch 9 slide 14

15 Zvi WienerFabozzi Ch 9 slide 15 Questions 9, 16, 21, 22 Home Assignment Chapter 9


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