European fixed income markets : money, bond, and interest rate derivatives PDF
Preview European fixed income markets : money, bond, and interest rate derivatives
European Fixed Income Markets Money, Bond, and Interest Rate Derivatives Jonathan A. Batten Thomas A. Fetherston and Peter G. Szilagyi Copyright(cid:1)C 2004 JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester, WestSussexPO198SQ,England Telephone (+44)1243779777 Email(forordersandcustomerserviceenquiries):[email protected] VisitourHomePageonwww.wileyeurope.comorwww.wiley.com AllRightsReserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording, scanningorotherwise,exceptunderthetermsoftheCopyright,DesignsandPatentsAct1988 orunderthetermsofalicenceissuedbytheCopyrightLicensingAgencyLtd,90Tottenham CourtRoad,LondonW1T4LP,UK,withoutthepermissioninwritingofthePublisher. RequeststothePublishershouldbeaddressedtothePermissionsDepartment,JohnWiley& SonsLtd,TheAtrium,SouthernGate,Chichester,WestSussexPO198SQ,England,oremailed [email protected],orfaxedto(+44)1243770620. 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LibraryofCongressCataloging-in-PublicationData Europeanfixedincomemarkets:money,bond,andinterestrate derivatives/[editedby]JonathanA.Batten,ThomasA.Fetherston, PeterG.Szilagyi. p. cm.–(Wileyfinanceseries) Includesbibliographicalreferencesandindex. ISBN0-470-85053-1(alk.paper) 1.Capitalmarket–Europe. 2.Capitalmarket–EuropeanUnion countries. 3.Fixed-incomesecurities–Europe. 4.Fixed-income securities–EuropeanUnioncountries. I.Batten,Jonathan. II.Fetherston,ThomasA. III.Szilagyi,PeterG.,1976– IV.Series. HG5422.E9844 2003 332(cid:2).041(cid:2)094–dc22 2003021224 BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN0-470-85053-1 Typesetin10/12ptTimesbyTechBooks,NewDelhi,India PrintedandboundinGreatBritainbyAntonyRoweLtd,Chippenham,Wiltshire Thisbookisprintedonacid-freepaperresponsiblymanufacturedfromsustainableforestry inwhichatleasttwotreesareplantedforeachoneusedforpaperproduction. Anya´nak szeretettel, Laci e´s Peti Contents SECTIONI PERSPECTIVEONEUROPEANFIXEDINCOME ANDDERIVATIVEMARKETS 1 1 IntroductiontotheVolume 3 JonathanA.Batten,ThomasA.Fetherston,andPeterG.Szilagyi 1.1 Overview 3 1.2 Chapteroverview 8 References 26 2 TheEuroAreaBondMarket:IntegrationandDevelopmentUnder MonetaryUnion 27 PeterG.Szilagyi 2.1 Introduction 27 2.2 Theoreticalunderpinningsoffinancialintegration 28 2.3 Bondmarketdevelopmentundermonetaryunion 31 2.4 Proposalsandinitiativesforreducingmarketfragmentation 49 2.5 Conclusion 50 References 51 3 PerspectiveontheEmergingEuropeanFinancialMarkets 53 PeterG.Szilagyi,ThomasA.Fetherston,andJonathanA.Batten 3.1 Introduction 53 3.2 FinancialstructuresinemergingEurope 54 3.3 Internationalbankborrowing 56 3.4 Internationaldebtissues 58 3.5 Domesticdebtissues 59 3.6 Conclusion 64 References 65 viii Contents 4 PerspectivesonEuropeanDerivativeMarkets 67 MartinYoung 4.1 IntroductionandabriefhistoryoftheEuropeanderivativemarkets 67 4.2 Europe’smajorderivativemarkets 68 4.3 AnoverviewofthecontractstradedonEUREXandEuronext.Liffe 75 4.4 Europe’sotherderivativemarkets 80 4.5 Whatthefutureholds 83 5 BenchmarkYieldCurvesintheEuroMarket 85 PhilipD.Wooldridge 5.1 Introduction 85 5.2 Characteristicsofbenchmarkyieldcurves 85 5.3 BenchmarktippinginEuropeanbondmarkets 86 5.4 Governmentsecuritiesasbenchmarks 89 5.5 Interestrateswapscompeteforbenchmarkstatus 90 5.6 Prospectsforothernongovernmentbenchmarks 93 References 94 6 SomeFactsonPfandbriefProductsinEurope 97 OrazioMastroeni 6.1 Introduction 97 6.2 Coveredbonds,Pfandbriefproducts,andsecuritization 99 6.3 TheGermantraditionalandjumboPfandbriefmarkets 105 6.4 TheFrench“ObligationsFoncie˙res” 110 6.5 TheSpanish“CedulasHipotecarias” 110 6.6 TheLuxembourg“LettresdeGage” 111 6.7 CommonaspectsofPfandbriefeproducts 112 6.8 Aspectscharacterizingthe“quality”ofPfandbriefproducts 122 6.9 Conclusionsandprospects 127 References 128 SECTIONII COUNTRYSTUDIES 131 7 Austria 133 VanessaSeconninoandAlhamYusuf 7.1 Introduction 133 7.2 Regulation 133 7.3 Creditratings 137 7.4 Taxation 137 7.5 AustrianStockExchange(WienerBo¨rse) 138 7.6 TheAustrianbondmarket 139 7.7 Conclusion 149 References 149 Contents ix 8 Belgium 151 JanAnnaertandMarcJ.K.DeCeuster 8.1 Introduction 151 8.2 HistoryandstructureoftheBelgianpublicdebt 151 8.3 Governmentbonds 153 8.4 Corporatebonds 161 8.5 Derivativeproducts 163 References 164 9 CzechRepublic 167 Guan-ChyeOoiandJonathanA.Batten 9.1 Introduction 167 9.2 Financialmarketregulation 169 9.3 Financialmarketparticipants 171 9.4 Moneyandfixedincomeinstruments 174 9.5 Conclusion 179 References 179 10 Denmark 181 CharlotteChristiansen,TomEngsted,SvendJakobsen,andCarstenTanggaard 10.1 Introduction 181 10.2 HistoryandstructureoftheDanishbondmarket 183 10.3 TheDanishgovernmentbondmarket 184 10.4 ThemarketforDanishmortgage-backedsecurities 186 10.5 Otherfixedincomeinstruments 191 10.6 Marketparticipants,regulation,andtrading 193 References 196 11 AnEmpiricalStudyoftheTermStructureofInterestRates inDenmark(1993–2002) 199 CharlotteChristiansen,TomEngsted,SvendJakobsen,andCarstenTanggaard 11.1 Introduction 199 11.2 TheEHTSanditstestableimplications 200 11.3 EmpiricalresultsforDenmark(1993–2002) 202 11.4 Concludingremarks 208 References 208 12 Finland,Iceland,Norway,andSweden 211 SeppoPynno¨nen 12.1 Introduction 211 12.2 Structureofthemarkets 214 12.3 Finland 217 12.4 Iceland 221 x Contents 12.5 Norway 223 12.6 Sweden 225 12.7 Norexalliance 228 Additionalreading 228 13 France 229 DavidEdwardsandCameronMakepeace 13.1 Introduction 229 13.2 Financialsystemregulation 231 13.3 TheFrenchgovernmentbondmarket 235 13.4 TheFrenchnongovernmentbondmarket 239 References 242 14 Germany 243 NiklasWagner 14.1 Introduction 243 14.2 StructureoftheGermanbondmarket 245 14.3 ParticipantsoftheGermanbondmarket 249 14.4 Themarketforgovernmentbonds 257 14.5 Conclusion 262 References 263 15 Greece 265 ThomasA.Fetherston 15.1 Introduction 265 15.2 TheGreekbondmarket 266 15.3 Marketparticipantsandstructure 267 15.4 TheGreekgovernmentbondmarket 270 15.5 Thenongovernmentbondmarket 273 References 274 16 Hungary 275 No´raNe´methandLa´szlo´ Szila´gyi 16.1 Introduction 275 16.2 HistoryandstructureoftheHungarianfinancialmarket 277 16.3 ParticipantsandstructureoftheHungarianbondmarket 279 16.4 TheHungariangovernmentbondmarket 288 16.5 Semigovernmentandcorporatebondmarkets 293 16.6 Conclusions 296 References 296 17 Italy 299 WalterVecchiato 17.1 Introduction 299 17.2 TheItaliangovernmentbondmarket 300 Contents xi 17.3 ItalianStockExchange(BorsaItaliana) 304 17.4 Conclusion 308 References 309 18 TheNetherlands 311 AlbertMentink 18.1 Introduction 311 18.2 TheNetherlands 312 18.3 Dutchgovernmentbonds 316 18.4 Creditbonds 323 18.5 Categoriesofinvestors 327 18.6 EuronextAmsterdamandOTCmarket 329 18.7 Regulators 330 18.8 Conclusions 333 Appendix:Usefulwebsites 334 References 335 19 Poland 337 PeterG.Szilagyi 19.1 Introduction 337 19.2 HistoryandstructureofthePolishbondmarket 339 19.3 Marketparticipantsandstructure 341 19.4 ThePolishTreasurymarket 348 19.5 Thenongovernmentbondmarket 352 19.6 Conclusion 356 References 356 20 Portugal 357 PeterG.Szilagyi 20.1 Introduction 357 20.2 RecenthistoryandstructureofthePortuguesebondmarket 358 20.3 Marketparticipantsandstructure 360 20.4 ThePortuguesegovernmentbondmarket 366 20.5 Nongovernmentbondmarket 369 References 372 21 Russia 373 LeonidV.PhilosophovandVladimirL.Philosophov 21.1 HistoryoftheRussianbondmarket 373 21.2 TheRussianeconomyinthepostcrisisperiod 375 21.3 RegulationoftheRussianbondmarketanditsparticipants 376 21.4 MarketforRussianstatebonds 382 21.5 Corporatebonds 385 21.6 ThemarketforRussianeurobonds 386 21.7 Conclusion 388 xii Contents 22 Spain 391 PetraPe´nzes 22.1 Introduction 391 22.2 HistoryandstructureoftheSpanishbondmarket 392 22.3 ParticipantsandstructureoftheSpanishbondmarket 395 22.4 TheSpanishgovernmentbondmarket 400 22.5 Semigovernmentandcorporatebondmarkets 405 22.6 Conclusions 409 References 409 23 Switzerland 411 HeinzR.Kubli 23.1 Introduction 411 23.2 SizeandratingsoftheSwissbondmarket 412 23.3 Marketparticipantsandstructure 414 23.4 Marketconventions 418 23.5 Benchmarks 419 23.6 TheSwissfederalbondmarket 421 23.7 Otherbonds 422 23.8 Swissandforeignconvertibleand“cumwarrants”bonds 423 23.9 Foreigncurrencybonds 424 23.10 SWXEurobonds 425 23.11 TheSwissrepomarket 426 23.12 Bankdebentures(cashbondsorkassenobligationen) 426 23.13 InterestratefuturesontheEuropeanExchange(EUREX) 427 23.14 Conclusions 427 References 430 24 Turkey 431 CanerBakirandKymBrown 24.1 Introduction 431 24.2 RecenthistoryandstructureoftheTurkishbondmarket 433 24.3 Marketparticipantsandstructure 435 24.4 TheTurkishgovernmentbondmarket 441 24.5 Nongovernmentbondmarket 445 References 447 25 UnitedKingdom 449 FrankS.Skinner 25.1 Introduction 449 25.2 HistoryandstructureoftheUKbondmarket 452 25.3 Marketparticipantsandstructure 453 25.4 TheUnitedKingdomgovernmentbondmarket 457 Contents xiii 25.5 Corporateandsemigovernmentbondmarkets 463 25.6 Conclusions 466 References 466 Index 467
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