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Mr. Daniel C Hardy
Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as issue volume, time to maturity, the inclusion of collective action clauses, and the jurisdiction of issuance. Debt management offices can choose these characteristics in a way that has economically significant and persistent effects on both liquidity and pricing.
Mr. Daniel C Hardy

Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as issue volume, time to maturity, the inclusion of collective action clauses, and the jurisdiction of issuance. Debt management offices can choose these characteristics in a way that has economically significant and persistent effects on both liquidity and pricing.

Mr. Daniel C Hardy

Copyright Page © 2022 International Monetary Fund WP/22/98 IMF Working Paper Monetary and Capital Markets Department Sovereign Eurobond Liquidity and Yields Prepared by Daniel C. Hardy Authorized for distribution by Peter Breuer May 2022 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate . The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT

International Monetary Fund

institutions (or their branches) assigned a rating of AA- or higher; (ii) Fixed income instruments issued by supranational and foreign sovereigns (including financial institutions) that have a rating of AA- or higher, taken at market value; (iii) Bulgarian Brady bonds and Eurobonds (acquired as treasury stock through market transactions) taken at 95 percent of market value. In addition, the fixed income instruments (other than the Bulgarian Brady and Eurobonds) liquidity-wise have to satisfy the following conditions: - The original size of any issue should be

International Monetary Fund
This paper examines Bulgaria’s Second Review Under the Stand-By Arrangement (SBA) and a Request for Waiver of Applicability of Performance Criteria. Over the last six-month period, Bulgaria’s macroeconomic stability has strengthened further. However, political pressures have made it more challenging to maintain a prudent and flexible fiscal policy and have weakened the momentum of structural reforms. Bulgaria has had a commendable performance in 2002, and the IMF staff supports the authorities’ request to complete the second program review under the SBA.
International Monetary Fund
Bulgaria's macroeconomic performance in the face of the prolonged slowdown in the EU has been impressive, but risks have intensified. The response of fiscal policy to these risks has been adequate. Plans to increase reliance on state enterprises to carry out public sector activities are worrying. The government has taken the right approach to addressing the rapid growth in private sector credit. Bulgaria has made good progress on its structural reform agenda, but an intensified effort is required to help deal with greater macroeconomic risks.
International Monetary Fund

treasury stock through market transactions) taken at 95 percent of market value. In addition, the fixed income instruments (other than the Bulgarian Brady and Eurobonds) liquidity-wise have to satisfy the following conditions: - The original size of any issue should be higher than euro 1 billion; - Holdings in the FRA should not exceed 10 percent of any issue; - The issue should be traded actively (on a daily basis) OTC in London, New York, or Frankfurt; - There should be at least 3 market-makers for the issue. Finally, the modified duration of the entire

International Monetary Fund
Bulgaria's macroeconomic performance, in the face of the prolonged slowdown in the EU, has been impressive, but further efforts are required. The government's fiscal policy has underpinned recent economic success, and pressures to loosen such policies should be resisted. Fiscal reforms have progressed, but momentum needs to be maintained for some time to come. Robust growth can be sustained over the medium term only with a revitalization of structural reforms. The rapid growth in credit to the private sector is welcome, but presents challenges.
International Monetary Fund

higher; (ii) Fixed income instruments issued by supranationals and foreign sovereigns (including financial institutions) that have a rating of AA- or higher, taken at market value; (iii) Bulgarian Brady bonds and Eurobonds (acquired as treasury stock through market transactions) taken at 95 percent of market value. In addition, the fixed income instruments (other than the Bulgarian Brady and Eurobonds) liquidity-wise have to satisfy the following conditions: - The original size of any issue should be higher than euro 1 billion; - Holdings in the FRA should