Cash used for software development and other investing activities totaled 1,6 million de dollars for both the premier quart de et The Convertible Notes were issued pursuant to an indenture, dated as of March 18, the "Indenture" , by and between the Company and U. Bank National Association , as trustee. The Convertible Notes have an interest rate of 0. Additionally, some of the proceeds were used to payoff the revolving credit facility borrowings.
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The Company expects to use the remainder of the net proceeds for general corporate purposes, which may include redeeming the remaining Existing Convertible Notes, share repurchases or acquisitions. The Company may not redeem the Notes prior to September 20, No sinking fund is provided for the Convertible Notes. Other debt obligations — Certain of our subsidiaries also have available credit lines and overdraft facilities to generally supplement short-term working capital requirements.
Holders of the Existing Convertible Notes may surrender their notes for conversion into shares of the Company's common stock at any time prior to the close of business on the business day immediately preceding the Redemption Date. In accordance with the Existing Indenture, the Company has the right to settle the redemption in cash and shares or all shares. These capital expenditures were made primarily for the purchase of ATMs to expand our independent ATM network in Europe, the purchase and installation of ATMs in key under-penetrated markets, the purchase of POS terminals for the epay and Money Transfer Segments, and office, data center and company store computer equipment and software.
At current and projected cash flow levels, we anticipate that cash generated from operations, together with cash on hand and amounts available under our Credit Facility and other existing and potential future financing sources, will be sufficient to meet our debt, leasing and capital expenditure obligations. However, we can offer no assurances that we will be able to obtain favorable terms for the refinancing of any of our debt or other obligations or for the issuance of additional equity. Generally, the countries in which we operate have experienced low and stable inflation in recent years.
Therefore, the local currency in each of these markets is the functional currency. Currently, we do not believe that inflation will have a significant effect on our results of operations or financial position. We continually review inflation and the functional currency in each of the countries where we operate. On occasion, we grant guarantees of the obligations of our subsidiaries and we sometimes enter into agreements with unaffiliated third parties that contain indemnification provisions, the terms of which may vary depending on the negotiated terms of each respective agreement.
Our liability under such indemnification provisions may be subject to time and materiality limitations, monetary caps and other conditions and defenses. See also Note 12, Commitments, to the unaudited consolidated financial statements included elsewhere in this report.
Interest expense for these notes, including accretion and amortization of deferred debt issuance costs, has a weighted average interest rate of 4. These arrangements generally are due within one year and accrue interest at variable rates. Our excess cash is invested in instruments with original maturities of three months or less or in certificates of deposit that may be withdrawn at any time without penalty; therefore, as investments mature and are reinvested, the amount we earn will increase or decrease with changes in the underlying short-term interest rates.
We are particularly vulnerable to fluctuations in exchange rates of the U. Additionally, we have other non-current, non-U. These items primarily represent goodwill and intangible assets recorded in connection with acquisitions in countries other than the U. For the fluctuations described above, a strengthening U. We believe this quantitative measure has inherent limitations and does not take into account any governmental actions or changes in either customer purchasing patterns or our financing or operating strategies.
Because a majority of our revenues and expenses is incurred in the functional currencies of our international operating entities, the profits we earn in foreign currencies are positively impacted by a weakening of the U. Additionally, our debt obligations are primarily in U. We use derivatives to minimize our exposures related to changes in foreign currency exchange rates and to facilitate foreign currency risk management services by writing derivatives to customers.
Derivatives are used to manage the overall market risk associated with foreign currency exchange rates; however, we do not perform the extensive record-keeping required to account for the derivative transactions as hedges. Due to the relatively short duration of the derivative contracts, we use the derivatives primarily as economic hedges. Since we do not designate foreign currency derivatives as hedging instruments pursuant to the accounting standards, we record gains and losses on foreign exchange derivatives in earnings in the period of change.
A majority of our consumer-to-consumer money transfer operations involves receiving and disbursing different currencies, in which we earn a foreign currency spread based on the difference between buying currency at wholesale exchange rates and selling the currency to consumers at retail exchange rates. We enter into foreign currency forward and cross-currency swap contracts to minimize exposure related to fluctuations in foreign currency exchange rates.
The changes in fair value related to these contracts are recorded in Foreign currency exchange loss gain, net on the Consolidated Statements of Income. For derivative instruments our HiFX operations write for customers, we aggregate the foreign currency exposure arising from customer contracts, and hedge the resulting net currency risks by entering into offsetting contracts with established financial institution counterparties as part of a broader foreign currency portfolio.
The changes in fair value related to the total portfolio of positions are recorded in Revenues on the Consolidated Statements of Income. We use longer-term foreign currency forward contracts to mitigate risks associated with changes in foreign currency exchange rates on certain foreign currency denominated other asset and liability positions. Based on this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that the design and operation of these disclosure controls and procedures were effective as of such date to provide reasonable assurance that information required to be disclosed in our reports under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures.
Effective January 1, , the Company implemented certain new internal controls related to the required adoption of the new lease accounting standard Topic The Company is, from time to time, a party to legal or regulatory proceedings arising in the ordinary course of its business. The discussion regarding contingencies in Part I, Item 1 — Financial Statements unaudited , Note 13, Litigation and Contingencies, to the unaudited consolidated financial statements in this report is incorporated herein by reference. Currently, there are no legal or regulatory proceedings that management believes, either individually or in the aggregate, would have a material adverse effect on the Company's consolidated financial condition or results of operations.
GAAP, we record a liability when it is both probable that a liability has been incurred and the amount of the loss can be reasonably estimated. These liabilities are reviewed at least quarterly and adjusted to reflect the impacts of negotiations, settlements, rulings, advice of legal counsel, and other information and events pertaining to a particular case or proceeding. Visa and Mastercard have each established rules for the acceptance of cards bearing their logos on ATM networks. Visa and Mastercard have a stated interest in reducing the amount of cash in circulation in order to promote card transactions and we believe they promote the interests of card issuers over acquirers of transactions such as ATM networks.
These rules negatively impact our business; for example, by limiting the levels of interchange fees we receive, prohibiting direct access fees in many markets and limiting our ability to offer DCC transactions. Visa has recently adopted a rule, applicable in July , that would prohibit direct access fees on euro denominated cards in the eurozone. The following table provides information with respect to shares of the Company's Common Stock that were purchased by the Company during the three months ended March 31, Repurchases under either program may take place in the open market or in privately negotiated transactions, including derivative transactions, and may be made under a Rule 10b plan.
Indenture, dated March 18, , between the Company and U. Bank National Association, as trustee filed as Exhibit 4. Form of 0. The following materials from Euronet Worldwide, Inc. The agreements have been filed to provide investors with information regarding their respective terms. The agreements are not intended to provide any other factual information about the Company or its business or operations.
In particular, the assertions embodied in any representations, warranties and covenants contained in the agreements may be subject to qualifications with respect to knowledge and materiality different from those applicable to investors and may be qualified by information in disclosure schedules not included with the exhibits.
These disclosure schedules may contain information that modifies, qualifies and creates exceptions to the representations, warranties and covenants set forth in the agreements. Moreover, certain representations, warranties and covenants in the agreements may have been used for the purpose of allocating risk between the parties, rather than establishing matters as facts. In addition, information concerning the subject matter of the representations, warranties and covenants may have changed after the date of the respective agreement, which subsequent information may or may not be fully reflected in the Company's public disclosures.
Accordingly, investors should not rely on the representations, warranties and covenants in the agreements as characterizations of the actual state of facts about the Company or its business or operations on the date hereof. Pursuant to the requirements of the Securities Exchange Act of , the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Site web. Aller au contenu. Rechercher pour :. Inscrivez-vous maintenant, c'est gratuit! Delaware Etat ou autre juridiction Employeur I.
Poursuite judiciaire 41 Point 1A. Facteurs de risque 42 Point 2 Ventes non inscrites de titres de participation et utilisation du produit 42 Point 6. Expositions 43 Des signatures The following table presents the Company's revenues disaggregated by segment and region. Sales and usage-based taxes are excluded from revenues. The Company believes disaggregation by segment and region best depicts how the nature, amount, timing, and uncertainty of revenue and cash flows are affected by economic factors.
The disaggregation of revenues by segment and region is based on management's assessment of segment performance together with allocation of financial resources, both capital and operating support costs, on a segment and regional level. Both segments and regions benefit from synergies achieved through concentration of operations and are influenced by macro-economic, regulatory and political factors in the respective segment and region. To provide further perspective on the impact of foreign currency exchange rates, the following table shows the changes in values relative to the U.
Exhibit La description 4. Weller Directeur financier. Etat ou autre juridiction. Employeur I. Leawood, Kansas. Code postal. Titre de chaque classe. Symbole commercial. Actions ordinaires. Objet 1. Point 2. Point 3. Point 4. Poursuite judiciaire. Point 1A. Facteurs de risque. Ventes non inscrites de titres de participation et utilisation du produit. Point 6. Des signatures. Le total des actifs courants. Droit de bail d'exploitation actif. Total des actifs. Comptes fournisseurs.
Part courante du passif des contrats de location simple. Taxes payable sur le revenu. Capitaux propres de Total Euronet Worldwide, Inc. Total des capitaux propres. Total du passif et des capitaux propres. Les revenus. Salaires et avantages.
Total des charges d'exploitation. Produit d'exploitation. Gain de change net.
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Autres gains. Autres charges nettes. Revenu net. De base. Ajustement de la traduction. Revenu global. Nombre de Actions Exceptionnel. Commun Stock. Rachat d'actions. Solde au 31 mars Autre perte globale. Cumul Autre Perte globale. Variation du fonds de roulement, nette des montants acquis:.
Variations d'actifs et de passifs non courants. Autre, net. Acquis Intangible Les atouts. Total Intangible Les atouts. Augmente diminue :. Autres principalement variations des taux de change. Partie courante des obligations des contrats de location-acquisition. Dette convertible:. Autres obligations. Total des dettes. Valeur comptable de la dette. Foreign currency exchange contracts — Ria Operations and Corporate In the United States, the Company's Ria operations use short-duration foreign currency forward contracts, generally with maturities up to 14 jours , to offset the fluctuation in foreign currency exchange rates on the collection of money transfer funds between initiation of a transaction and its settlement.
Foreign currency exchange contracts — HiFX Operations HiFX writes derivative instruments, primarily foreign currency forward contracts and cross-currency swaps, mostly with counterparties comprised of individuals and small-to-medium size businesses and derives a currency margin from this activity as part of its operations. Balance Sheet Presentation The following table summarizes the fair value of the derivative instruments as recorded in the Consolidated Balance Sheets as of the dates below:.
Asset Derivatives. Liability Derivatives. Fair Value. Balance Sheet Location. Derivatives not designated as hedging instruments. Foreign currency exchange contracts. Prepaid expenses and other current assets. Accrued expenses and other current liabilities. These options are not mutually exclusive, so a bond may have several options embedded. Callable bond: allows the issuer to buy back the bond at a predetermined price at a certain time in future. The holder of such a bond has, in effect, sold a call option to the issuer.
Callable bonds cannot be called for the first few years of their life. This period is known as the lock out period. Puttable bond: allows the holder to demand early redemption at a predetermined price at a certain time in future. The holder of such a bond has, in effect, purchased a put option on the bond. Convertible bond: allows the holder to demand conversion of bonds into the stock of the issuer at a predetermined price at a certain time period in future. Exchangeable bond: allows the holder to demand conversion of bonds into the stock of a different company, usually a public subsidiary of the issuer, at a predetermined price at certain time period in future.
The option value is then added to the straight bond price if the optionality rests with the buyer of the bond; it is subtracted if the seller of the bond i. European Put options on zero coupon bonds can be seen to be equivalent to suitable caplets, i. See for example Brigo and Mercurio , who also discuss bond options valuation with different models.
A futures contract with an underlying instrument that pays interest. An interest rate future is a contract between the buyer and seller agreeing to the future delivery of any interest-bearing asset. The interest rate future allows the buyer and seller to lock in the price of the interest-bearing asset for a future date. An interest rate future is a financial derivative a futures contract with an interest-bearing instrument as the underlying asset.
It is a particular type of interest rate derivative. Interest rate futures are used to hedge against the risk of that interest rates will move in an adverse direction, causing a cost to the company. For example, borrowers face the risk of interest rates rising. Futures use the inverse relationship between interest rates and bond prices to hedge against the risk of rising interest rates. A borrower will enter to sell a future today. Then if interest rates rise in the future, the value of the future will fall as it is linked to the underlying asset, bond prices , and hence a profit can be made when closing out of the future i.
Treasury futures are contracts sold on the Globex market for March, June, September and December contracts. As pressure to raise interest rates rises, futures contracts will reflect that speculation as a decline in price. Price and yield will always be in an inversely correlated relationship. When one enters into an interest rate futures contract like a bond future , the trader has ability to eventually take delivery of the underlying asset. In the case of notes and bonds this means the trader could potentially take delivery of a bunch of bonds if the contract is not cash settled.
The bonds which the seller can deliver vary depending on the futures contract. The seller can choose to deliver a variety of bonds to the buyer that fit the definitions laid out in the contract. The futures contract price takes this into account, therefore prices have less to do with current market interest rates, and more to do with what existing bonds in the market are cheapest to deliver to the buyer. A short-term interest rate STIR future is a futures contract that derives its value from the interest rate at maturation.
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This value is calculated as minus the interest rate. Both Liffe and CME allow direct exchange trading in calendar spreads the order book for spreads is separate from that of the underlying futures , which are quoted in terms of implied prices price differences between futures of different expiries.
Exchange-traded futures spreads greatly reduce execution risk and slippage, allowing traders to place guaranteed limit orders for entire spreads, otherwise impossible when entering into spreads via two separate futures orders. When the term is over it can be withdrawn or it can be held for another term. Generally speaking, the longer the term the better the yield on the money. In its strict sense, certificate deposit is different from that of time deposit in terms of its negotiability: CDs are negotiable and can be rediscounted when the holder needs some liquidity, while time deposits must be kept until maturity.
The rate of return is higher than for savings accounts because the requirement that the deposit be held for a prespecified term gives the bank the ability to invest it in a higher-gain financial product class. However, the return on a time deposit is generally lower than the long-term average of that of investments in riskier products like stocks or bonds. A time deposit is an interest-bearing bank deposit that has a specified date of maturity. A deposit of funds in a savings institution is made under an agreement stipulating that a the funds must be kept on deposit for a stated period of time, or b the institution may require a minimum period of notification before a withdrawal is made.
Rather, eurodollars are time deposits denominated in U. A time deposit is simply an interest-yielding bank deposit with a specified date of maturity. As a result of being outside U. As eurodollars are not subject to U. The name eurodollars was derived from the fact that initially dollar-denominated deposits were largely held in European banks. At first these deposits were known as eurobank dollars. However, U. Similarly, the term eurocurrency is used to describe currency deposited in a bank that is not located in the home country where the currency was issued.
For example, Japanese yen deposited at a bank in Brazil would be defined as eurocurrency. Contributing factors included the increased level of imports to the United States and economic aid to Europe as a result of the Marshall Plan. The eurodollar market traces its origins to the Cold War era of the s. During this period, the Soviet Union started to move its dollar-denominated revenue, derived from selling commodities such as crude oil, out of U. This was done to prevent the U. Since then, eurodollars have become one of the largest short-term money markets in the world and their interest rates have emerged as a benchmark for corporate funding.
The eurodollar futures contract was launched in by the Chicago Mercantile Exchange CME , marking the first cash-settled futures contract. On expiration, the seller of cash settled futures contracts can transfer the associated cash position rather than making a delivery of the underlying asset. Eurodollar futures were initially traded on the upper floor of the Chicago Mercantile Exchange in its largest pit, which accommodated as many as 1, traders and clerks. However, the majority of eurodollar futures trading now takes place electronically.
The open outcry eurodollar contract symbol is ED and the electronic contract symbol is GE. Electronic trading of eurodollar futures takes place on the CME Globex electronic trading platform, Sunday through Friday from p. The expiration months are March, June, September and December, as with other financial futures contracts. The tick size minimum fluctuation is one-quarter of one basis point 0.
Eurodollars have grown to be the leading contract offered the CME in terms of average daily volume and open interest. The price of eurodollar futures reflect the interest rate offered on U. Dollar denominated deposits held in banks outside the United States. More specifically, the price reflects the market gauge of the 3-month U. Eurodollar futures prices are expressed numerically using minus the implied 3-month U.
Eurodollar futures provide an effective means for companies and banks to secure an interest rate for money it plans to borrow or lend in the future. The Eurodollar contract is used to hedge against yield curve changes over multiple years into the future. By short selling the December contract, the company profits from upward movement in interest rates, reflected in correspondingly lower December eurodollar futures prices. In this way, the company was able to offset the rise in interest rates, effectively locking in the anticipated LIBOR for December as it was reflected in the price of the December Eurodollar contract at the time it made the short sale in September.
As an interest rate product, the policy decisions of the U. Federal Reserve have a major impact on the price of eurodollar futures. A change in Federal Reserve policy towards lowering or raising interest rates can take place over a period of years. Eurodollar futures are impacted by these major trends in monetary policy. The long term trending qualities of eurodollar futures make the contract an appealing choice for traders using trend following strategies.
Consider the following chart between and , where the eurodollar trended upwards for 15 consecutive months and later trended lower for 27 consecutive months. Figure 1: Eurodollars have historically shown long periods of trending price movement in between long periods of trading sideways. Traders using this non-directional strategy place orders on the bid and offer simultaneously, attempting to capture the spread.
More sophisticated strategies such as arbitrage and spreading against other contracts are also used by traders in the eurodollar futures market. The TED spread is the price difference between interest rates on three-month futures contracts for U. Treasuries and three-month contracts for Eurodollars with the same expiration months. This spread is an indicator of credit risk; an increase or decrease in the TED spread reflects sentiment on the default risk level of interbank loans.
However, the deep level of liquidity and long term trending qualities of the eurodollar market present interesting opportunities for small and large futures traders alike. A eurodollar contract is designed so that a basis point 0. Short-term interest rates are the interest rates on loans or debt instruments such as Treasury bills , bank certificates of deposit or commercial paper , that have maturities of less than one year. Short term interest rate futures STIR futures are one of the largest financial markets in the world. The two main contracts, the Eurodollar and Euribor regularly trade in excess of one trillion dollars and euros of US and European interest rates each day.
STIR futures are traded on a completely electronic market place. Those who want to protect against higher rates will want to pay a fixed rate and receive a floating rate in an interest rate swap. Correspondingly, those who anticipate a decline in rates may want to receive fixed interest rate payments and pay floating rates. Both sides are hedging against risk. A speculative market also exists for interest rates, consisting of traders seeking opportunities to profit from interest rate adjustments or market volatility. The Chicago Mercantile Exchange trades the most short-term interest rate futures and options of any exchange, averaging more than 1.
The Eurodollar futures provide a tool for hedging fluctuations in interest rates on U. These products had an average daily volume approaching 1. An agreement between two parties to exchange interest payments and principal on loans denominated in two different currencies. A cross currency swap, also referred to as cross currency interest rate swap, is an agreement between two parties to exchange interest payments and principals denominated in two different currencies.
In a floating-for-floating cross currency swap, the interest rate on both legs are floating rates. Such swaps are also called cross currency basis swap. In a fixed-for-floating cross currency swap, the interest rate on one leg is floating, and the interest rate on the other leg is fixed. Such swaps are usually used for a minor currency against USD.
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In a regular cross currency, the notional amounts of both legs are constant during the life of the swap. However, in a mark-to-market cross currency swap, the notional amount of one of the legs is subject to adjustment while the notional amount of the other leg remains constant. The mark-to-market variation is paid or received.
NDS are usually used in emerging markets where the currency is thinly traded, subject to exchange restrictions, or even non-convertible. The following descriptions are not mutually exclusive, and more than one of them may apply to a particular bond. Fixed-income securities can be contrasted with equity securities, often referred to as stocks and shares, that create no obligation to pay dividends or any other form of income.
In order for a company to grow its business, it often must raise money: to finance an acquisition, buy equipment or land or invest in new product development. The terms on which investors will finance the company will depend on the risk profile of the company. The company can give up equity by issuing stock, or can promise to pay regular interest and repay the principal on the loan bond, bank loan, or preferred stock. If an issuer misses a payment on a fixed income security, the issuer is in default, and depending on the relevant law and the structure of the security, the payees may be able to force the issuer into bankruptcy.
In contrast, if a company misses a quarterly dividend to stock non-fixed-income shareholders, there is no violation of any payment covenant, and no default. This can include income derived from fixed-income investments such as bonds and preferred stocks or pensions that guarantee a fixed income. Fixed income derivatives include interest rate derivatives and credit derivatives.
Often inflation derivatives are also included into this definition. There is a wide range of fixed income derivative products: options, swaps, futures contracts as well as forward contracts. The most widely traded kinds are:. Fixed income securities have risks that may include but are not limited to the following, many of which are synonymous, mutually exclusive, or related:. In finance, discounted cash flow DCF analysis is a method of valuing a project, company, or asset using the concepts of the time value of money. All future cash flows are estimated and discounted to give their present values PVs —the sum of all future cash flows, both incoming and outgoing, is the net present value NPV , which is taken as the value or price of the cash flows in question.
Using DCF analysis to compute the NPV takes as input cash flows and a discount rate and gives as output a price; the opposite process—taking cash flows and a price and inferring a discount rate—is called the yield. The discounted cash flow formula is derived from the future value formula for calculating the time value of money and compounding returns.
Where multiple cash flows in multiple time periods are discounted, it is necessary to sum them as follows:. The sum can then be used as a net present value figure. If the amount to be paid at time 0 now for all the future cash flows is known, then that amount can be substituted for DPV and the equation can be solved for i , that is the internal rate of return. This is the probabilistic counterpart to a deterministic process or deterministic system. Instead of describing a process which can only evolve in one way as in the case, for example, of solutions of an ordinary differential equation , in a stochastic or random process there is some indeterminacy: even if the initial condition or starting point is known, there are several often infinitely many directions in which the process may evolve.
In the simple case of discrete time , as opposed to continuous time , a stochastic process involves a sequence of random variables and the time series associated with these random variables for example, see Markov chain , also known as discrete-time Markov chain. Another basic type of a stochastic process is a random field , whose domain is a region of space , in other words, a random function whose arguments are drawn from a range of continuously changing values. One approach to stochastic processes treats them as functions of one or several deterministic arguments inputs, in most cases regarded as time whose values outputs are random variables : non-deterministic single quantities which have certain probability distributions.
Random variables corresponding to various times or points, in the case of random fields may be completely different. The main requirement is that these different random quantities all have the same type. Type refers to the codomain of the function. Although the random values of a stochastic process at different times may be independent random variables , in most commonly considered situations they exhibit complicated statistical correlations.
Examples of random fields include static images, random terrain landscapes , wind waves or composition variations of a heterogeneous material. Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes.
It is used to model systems that behave randomly. The best-known stochastic process to which stochastic calculus is applied is the Wiener process named in honor of Norbert Wiener , which is used for modeling Brownian motion as described by Louis Bachelier in and by Albert Einstein in and other physical diffusion processes in space of particles subject to random forces.
Since the s, the Wiener process has been widely applied in financial mathematics and economics to model the evolution in time of stock prices and bond interest rates. This enables problems to be expressed in a coordinate system invariant form, which is invaluable when developing stochastic calculus on manifolds other than R n. The formula commonly applied is discussed initially. Although this present value relationship reflects the theoretical approach to determining the value of a bond, in practice its price is usually determined with reference to other, more liquid instruments.
The two main approaches here, Relative pricing and Arbitrage-free pricing, are discussed next. Finally, where it is important to recognise that future interest rates are uncertain and that the discount rate is not adequately represented by a single fixed number — for example when an option is written on the bond in question — stochastic calculus may be employed. Where the market price of bond is less than its face value par value , the bond is selling at a discount.
Conversely, if the market price of bond is greater than its face value, the bond is selling at a premium. For this and other relationships between price and yield, see below. Under this approach — an extension of the above — the bond will be priced relative to a benchmark, usually a government security; see Relative valuation. The better the quality of the bond, the smaller the spread between its required return and the YTM of the benchmark.
This required return is then used to discount the bond cash flows, replacing i in the formula above, to obtain the price. Thus, rather than using a single discount rate, one should use multiple discount rates, discounting each cash flow at its own rate. Thus 3 the bond price today must be equal to the sum of each of its cash flows discounted at the discount rate implied by the value of the corresponding ZCB.
Were this not the case, 4 the arbitrageur could finance his purchase of whichever of the bond or the sum of the various ZCBs was cheaper, by short selling the other, and meeting his cash flow commitments using the coupons or maturing zeroes as appropriate. When modelling a bond option , or other interest rate derivative IRD , it is important to recognize that future interest rates are uncertain, and therefore, the discount rate s referred to above, under all three cases — i. In such cases, stochastic calculus is employed. The following is a partial differential equation PDE in stochastic calculus which is satisfied by any zero-coupon bond.
The solution to the PDE — given in  — is:. To actually determine the bond price, the analyst must choose the specific short rate model to be employed. The approaches commonly used are:. The yield to maturity YTM is the discount rate which returns the market price of a bond without embedded optionality; it is identical to required return in the above equation.
YTM is thus the internal rate of return of an investment in the bond made at the observed price. To achieve a return equal to YTM, i. The coupon yield is simply the coupon payment as a percentage of the face value. Coupon yield is also called nominal yield. The current yield is simply the coupon payment as a percentage of the current bond price.
The concept of current yield is closely related to other bond concepts, including yield to maturity, and coupon yield. The relationship between yield to maturity and the coupon rate is as follows:. It is needed because the price is not a linear function of the discount rate, but rather a convex function of the discount rate. Specifically, duration can be formulated as the first derivative of the price with respect to the interest rate, and convexity as the second derivative Continuing the above example, for a more accurate estimate of sensitivity, the convexity score would be multiplied by the square of the change in interest rate, and the result added to the value derived by the above linear formula.
In accounting for liabilities , any bond discount or premium must be amortized over the life of the bond. A number of methods may be used for this depending on applicable accounting rules. One possibility is that amortization amount in each period is calculated from the following formula:. Dans leur forme la plus classique, les OAT sont des obligations simples, avec un coupon fixe annuel.
BTAN are coupon bearing French government bonds with a two to five year maturity. Dans leur forme la plus classique, les BTAN sont des obligations simples, avec un coupon fixe annuel. Federal agency short-term securities in the U. Interest-bearing deposits held by banks and other depository institutions at the Federal Reserve; these are immediately available funds that institutions borrow or lend, usually on an overnight basis.
They are lent for the federal funds rate. Regulated in the US under the Investment Company Act of , money market funds are important providers of liquidity to financial intermediaries Foreign exchange swaps swap de devise Exchanging a set of currencies in spot date and the reversal of the exchange of currencies at a predetermined time in the future. In finance, unsecured debt refers to any type of debt or general obligation that is not collateralized by a lien on specific assets of the borrower in the case of a bankruptcy or liquidation or failure to meet the terms for repayment.
In the event of the bankruptcy of the borrower, the unsecured creditors will have a general claim on the assets of the borrower after the specific pledged assets have been assigned to the secured creditors.
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The unsecured creditors will usually realize a smaller proportion of their claims than the secured creditors. In some legal systems, unsecured creditors who are also indebted to the insolvent debtor are able and in some jurisdictions, required to set-off the debts, which actually puts the unsecured creditor with a matured liability to the debtor in a pre-preferential position.
Under risk-based pricing, creditors tend to demand extremely high interest rates as a condition of extending unsecured debt. The maximum loss on a properly collateralized loan is the difference between the fair market value of the collateral and the outstanding debt. Without collateral, the creditor stands to lose the entire sum outstanding at the point of default, and must boost the interest rate to price in that risk.
Where high interest rates are considered usurious, unsecured loans are either not made at all, or are made by loan sharks unafraid of the law. A repo is economically similar to a secured loan, with the buyer effectively the lender or investor receiving securities as collateral to protect him against default by the seller. The party who initially sells the securities is effectively the borrower.
Almost any security may be employed in a repo, though highly liquid securities are preferred as they are more easily disposed of in the event of a default and, more importantly, they can be easily obtained in the open market where the buyer has created a short position in the repo security by a reverse repo and market sale; by the same token, non liquid securities are discouraged.
Unlike a secured loan, however, legal title to the securities passes from the seller to the buyer. Coupons interest payable to the owner of the securities falling due while the repo buyer owns the securities are, in fact, usually passed directly onto the repo seller. This might seem counterintuitive, as the legal ownership of the collateral rests with the buyer during the repo agreement. Although the transaction is similar to a loan, and its economic effect is similar to a loan, the terminology differs from that applying to loans: the seller legally repurchases the securities from the buyer at the end of the loan term.
However, a key aspect of repos is that they are legally recognised as a single transaction important in the event of counterparty insolvency and not as a disposal and a repurchase for tax purposes. There are two types of repo maturities: term, and open repo. Overnight refers to a one-day maturity transaction. Term refers to a repo with a specified end date. Open simply has no end date. Although repos are typically short-term, it is not unusual to see repos with a maturity as long as two years. The third form hold-in-custody is quite rare, particularly in developing markets, primarily due to the risk that the seller will become insolvent prior to maturation of the repo and the buyer will be unable to recover the securities that were posted as collateral to secure the transaction.
The first form— specified delivery —requires the delivery of a prespecified bond at the onset, and at maturity of the contractual period. Tri-party essentially is a basket form of transaction, and allows for a wider range of instruments in the basket or pool. In a due bill repo , the collateral pledged by the cash borrower is not actually delivered to the cash lender. This has become less common as the repo market has grown, particularly owing to the creation of centralized counterparties.
Due to the high risk to the cash lender, these are generally only transacted with large, financially stable institutions. The distinguishing feature of a tri-party repo is that a custodian bank or international clearing organization, the tri-party agent, acts as an intermediary between the two parties to the repo.
The tri-party agent is responsible for the administration of the transaction including collateral allocation, marking to market, and substitution of collateral. In the event of a liquidation event of the repo seller the collateral is highly liquid thus enabling the repo buyer to sell the collateral quickly.
A less risk averse repo buyer may be prepared to take non investment grade bonds or equities as collateral, which may be less liquid and may suffer a higher price volatility in the event of a repo seller default, making it more difficult for the repo buyer to sell the collateral and recover their cash.
Both the lender repo buyer and borrower repo seller of cash enter into these transactions to avoid the administrative burden of bi-lateral repos. In addition, because the collateral is being held by an agent, counterparty risk is reduced. A due bill repo is a repo in which the collateral is retained by the Cash borrower and not delivered to the cash provider.
There is an increased element of risk when compared to the tri-party repo as collateral on a due bill repo is held within a client custody account at the Cash Borrower rather than a collateral account at a neutral third party. A whole loan repo is a form of repo where the transaction is collateralized by a loan or other form of obligation e. The underlying security for many repo transactions is in the form of government or corporate bonds. Equity repos are simply repos on equity securities such as common or ordinary shares. Some complications can arise because of greater complexity in the tax rules for dividends as opposed to coupons.
It is two distinct outright cash market trades, one for forward settlement. The forward price is set relative to the spot price to yield a market rate of return. There are a number of differences between the two structures. For this reason there is an associated increase in risk compared to repo. Should the counterparty default, the lack of agreement may lessen legal standing in retrieving collateral. In a repo, the coupon will be passed on immediately to the seller of the security. In securities lending, the purpose is to temporarily obtain the security for other purposes, such as covering short positions or for use in complex financial structures.
Securities are generally lent out for a fee and securities lending trades are governed by different types of legal agreements than repos. Repos have traditionally been used as a form of collateralized loan and have been treated as such for tax purposes. Modern Repo agreements, however, often allow the cash lender to sell the security provided as collateral and substitute an equivalent security at repurchase. On the settlement date of the repo, the buyer acquires the relevant security on the open market and delivers it to the seller. In such a short transaction the buyer is wagering that the relevant security will decline in value between the date of the repo and the settlement date.
For the buyer, a repo is an opportunity to invest cash for a customized period of time other investments typically limit tenures. It is short-term and safer as a secured investment since the investor receives collateral. Market liquidity for repos is good, and rates are competitive for investors. Money Funds are large buyers of Repurchase Agreements. For traders in trading firms, repos are used to finance long positions , obtain access to cheaper funding costs of other speculative investments, and cover short positions in securities.
The concept of a matched-book trade follows closely to that of a broker who takes both sides of an active trade, essentially having no market risk, only credit risk. Currently, matched-book repo traders employ other profit strategies, such as non-matched maturities, collateral swaps, and liquidity management. When transacted by the Federal Open Market Committee of the Federal Reserve in open market operations, repurchase agreements add reserves to the banking system and then after a specified period of time withdraw them; reverse repos initially drain reserves and later add them back.
This tool can also be used to stabilize interest rates, and the Federal Reserve has used it to adjust the Federal funds rate to match the target rate. Under a repurchase agreement, the Federal Reserve Fed buys U. Treasury securities, U. While classic repos are generally credit-risk mitigated instruments, there are residual credit risks. Though it is essentially a collateralized transaction, the seller may fail to repurchase the securities sold , at the maturity date. In other words, the repo seller defaults on his obligation. Consequently, the buyer may keep the security, and liquidate the security to recover the cash lent.
The security, however, may have lost value since the outset of the transaction as the security is subject to market movements. To mitigate this risk, repos often are over-collateralized as well as being subject to daily mark-to-market margining i. Conversely, if the value of the security rises there is a credit risk for the borrower in that t he creditor may not sell them back. If this is considered to be a risk, then the borrower may negotiate a repo which is under-collateralized. Credit risk associated with repo is subject to many factors: term of repo, liquidity of security, the strength of the counterparties involved, etc.
Certain forms of repo transactions came into focus within the financial press due to the technicalities of settlements following the collapse of Refco in Occasionally, a party involved in a repo transaction may not have a specific bond at the end of the repo contract. This may cause a string of failures from one party to the next, for as long as different parties have transacted for the same underlying instrument. The focus of the media attention centers on attempts to mitigate these failures. In it was suggested that repos used to finance risky trades in sovereign European bonds may have been the mechanism by which MF Global put at risk some several hundred million dollars of client funds, before its bankruptcy in October Much of the collateral for the repos is understood to been obtained by the rehypothecation of other collateral belonging to the clients.
In the US, repos have been used from as early as when wartime taxes made older forms of lending less attractive. At first repos were used just by the Federal Reserve to lend to other banks, but the practice soon spread to other market participants. The use of repos expanded in the s, fell away through the Great depression and WWII, then expanded once again in the s, enjoying rapid growth in the s and s in part due to computer technology.
In July , concerns arose among bankers and the financial press that if the U. This is because treasuries are the most commonly used collateral in the US repo market, and as a default would downgrade the value of treasuries it could result in repo borrowers having to post far more collateral. Especially in the US and to a lesser degree in Europe, the repo market contracted in as a result of the financial crisis. But, by mid, the market had largely recovered and, at least in Europe, had grown to exceed its pre-crisis peak.
Other countries including Chile, India, Japan, Mexico, Hungary, Russia, China, and Taiwan, have their own repo markets, though activity varies by country, and no global survey or report has been compiled. Mgm grand buffet coupons Sevylor colorado package deals. Like this article? Share with friends:.
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