Puttable and extendible bonds : developing interest rate derivatives for emerging markets /

Puttable and extendible bonds : developing interest rate derivatives for emerging markets /

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Bibliographic Details
Author / Creator:Neftci, Salih N., author.
Imprint:Washington, D.C. : International Monetary Fund, ©2003.
Description:1 online resource (29 pages) : illustrations
Language:English
Series:IMF working paper, 2227-8885 ; WP/03/201
IMF working paper ; WP/03/201.
Subject:
Interest rates.
Bonds -- Developing countries -- Econometric models.
Interest rate futures -- Developing countries -- Econometric models.
Derivative securities -- Developing countries -- Econometric models.
Bond market -- Developing countries -- Econometric models.
Bonds -- Prices -- Developing countries -- Econometric models.
Bond market -- Econometric models.
Bonds -- Econometric models.
Bonds -- Prices -- Econometric models.
Derivative securities -- Econometric models.
Interest rate futures -- Econometric models.
Interest rates.
Developing countries.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12497475
Hidden Bibliographic Details
Other authors / contributors:Santos, André, author.
IMF Institute.
International Monetary Fund.
ISBN:1282413783
9781282413788
9781451918953
145191895X
9781451874372
1451874375
Notes:Includes bibliographical references (pages 27-29).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
Summary:This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Other form:Print version: Neftci, Salih N. Puttable and extendible bonds. Washington, D.C. : International Monetary Fund, ©2003
Standard no.:10.5089/9781451918953.001
Table of Contents:
  • Contents
  • I. INTRODUCTION
  • II. THE STABILIZING PROPERTIES OF PUTTABLE AND EXTENDIBLE BONDS
  • A. Hedging Long Positions in Long-Term Bonds
  • B. Puttable and Extendible Bonds Written on Discount and Coupon Bonds
  • C. Credit Risk Aspects
  • III. MIMICKING MARKETS FOR INTEREST RATE DERIVATIVES ON GOVERNMENT BONDS
  • A. The Brazilian Government Bond Markets
  • B. Some Weaknesses of Emerging Bond Markets
  • C. Measuring the Effect of C-Bond Volatility
  • D. The Effect of Puttable Bonds
  • IV. EXPERIENCE WITH PUTTABLE AND EXTENDIBLE BONDS
  • V. CONCLUSION

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