Floating interest-rate bonds

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B onds
    Treasury bonds have been listed on the Exchange since 1992. At the end
of 2000, there were 47 issues of Treasury bonds and one issue of corporate bonds
in trading. All bonds are quoted in the continuous trading system, with one bond
as the transaction unit. As far as the interest calculation method is concerned,
bonds listed on the Exchange may be divided into three groups: floating interest-
rate, fixed interest-rate and zero-coupon bonds. Two-, three-, five- and ten-year
bonds are listed.


Floating interest-rate bonds
    Three- and ten-year floating interest-rate bonds are quoted on the Exchange.
For owners of three-year bonds, interest is paid out quarterly. It is calculated based
on the average yield of 13-week Treasury bills (average yield x 1.04 or 1.03, de-
pending on the issue date).
    Interest on ten-year bonds is paid out once a year. It is calculated based on the
average yield on 52-week Treasury bills (+1%). The nominal value of three-year
bonds is 100 zloty; and for ten-year bonds, 1,000 zloty.


Fixed interest-rate bonds
    Fixed interest-rate bonds debuted on the Exchange in May 1994. In 2000, there
were three types of these bonds listed: two-, five- and ten-year. Interest on these
bonds, depending on the maturity date, ranges from 8.5% to 14% annually, and is
paid out once a year. The nominal value of one bond is 1,000 zloty.


Zero-coupon bonds
    In the case of these bonds, the holder is not entitled to any payment prior to
the maturity date. Then, the holder receives an amount equal to the bond's nomi-
nal value. Interest on these bonds comes in the form of a sale discount. In the year
2000, there were 4 such issues listed on the Exchange.


Corporate bonds
    In April 2000, corporate bonds were listed on the Exchange for the first time.
Three-year bonds with floating interest rate were issued by Clif—a company listed
on the WSE free market.




                                                           Fact Book 2001
        36            Bonds



Floating-interest bonds in 2000


No   Bonds        Interest              Price                 Turnover      Average        Average    Block
                      rate       high       low        end       value       volume      number of    trade
                                                                                      transactions    value
                       (%)        (%)          (%)      (%)     (mil. zl)                            (mil. zl)
     One-year bonds
 1   IR0300                    99.70         98.80    99.70        7.29       1 049             5           0

     Three-year bonds
 1   TP0802        1.04*b      99.60         98.30    99.40     29.52           850             1         0
 2   TP1102        1.04*b     100.50         98.00    99.50     99.68         2 036             3         0
 3   TZ0200        1.05*b      99.90         99.50    99.90      3.41         1 040             4         0
 4   TZ0201        1.05*b     100.20         98.70    99.90    385.63         7 640            45      1.12
 5   TZ0202        1.05*b     100.80         98.60   100.09    451.22         8 948            59         0
 6   TZ0203        1.04*b     101.20         98.30   100.00     68.72         1 581            26         0
 7   TZ0500        1.05*b     100.10         99.50    99.70     27.60         1 744             9         0
 8   TZ0501        1.05*b     100.30         98.60    99.81    511.33        10 153            55     20.96
 9   TZ0502        1.05*b     101.00         98.50   100.25    388.76         7 597            53      2.00
10   TZ0503        1.04*b     101.00         98.50   100.20     39.50         1 254            20         0
11   TZ0800        1.05*b     100.00         99.20   100.00     51.29         1 817            12         0
12   TZ0801        1.05*b     100.50         98.60    99.90    428.50         8 510            44      1.09
13   TZ0802        1.04*b     100.75         98.40   100.05    155.56         3 085            38         0
14   TZ0803        1.00*b     100.80         98.60   100.00     16.95           908            17         0
15   TZ1100        1.05*b     100.00         98.90    99.80    196.00         4 801            30      1.00
16   TZ1101        1.05*b     100.80         98.50    99.80    331.32         6 570            48      4.29
17   TZ1102        1.05*b     105.00         97.00   100.00     83.80         1 658            29         0
18   TZ1103        1.04*b     109.30         99.00   100.05      9.95         1 480            17         0

     Ten-year bonds
 1   DZ0107           c+1     100.10      99.10      100.10      2.67            5              0         0
 2   DZ0108           c+1     101.00      98.00      100.50     63.98          127              0         0
 3   DZ0109           c+1     100.05      97.00      100.05    192.00          362              3     20.73
 4   DZ0110           c+1     100.00      97.10       99.99     47.86          102              1     14.15
 5   DZ0406           c+1     100.50      99.00       99.00      1.93            4              0         0
 6   DZ0407           c+1     101.20     100.10      101.20      1.22            2              0         0
 7   DZ0706           c+1     100.90      97.00       99.50      9.42           18              0         0
 8   DZ0707           c+1     100.60      98.00       99.50      0.31            1              0         0
 9   DZ0708           c+1     100.60      96.40       99.90     73.08          142              1         0
10   DZ0709           c+1     100.75      96.30       99.98    187.05          352              3         0
11   DZ1006           c+1     101.50      98.00      101.50      0.95            2              0         0
12   DZ1205           c+1     101.50      96.40      100.80      6.31           12              0         0

     Corporate bonds
 1   VCLIFE1         b+2       98.00         95.00    95.00        0.57          2              0       5.91

Note: b- average yield on 13-week T-bills
      c - average yield on 52-week T-bills




                      Fact Book 2001
                                                                        Bonds               37



Fixed-interest bonds in 2000


No   Bonds        Interest             Price             Turnover      Average       Average      Block
                      rate      high       low    end       value       volume     number of      trade
                                                                                 transactions     value
                        (%)      (%)       (%)     (%)     (mil. zl)                             (mil. zl)
     Two-year bonds
 1   OK0402                    81.70    72.40    81.50      44.19         169              4            0
 2   OK0802                    78.00    71.45    77.60      10.83          75              2            0
 3   OK1201                    85.60    75.40    85.60      74.54         185              4            0
 4   OK1202                    74.90    73.00    74.45       4.57         280              1            0

     Five-year bonds
 1   OS0200            14.0    99.60    99.30    99.50       3.95          77              0          0
 2   OS0201            13.0    99.10    95.80    99.10       6.12          12              0          0
 3   OS0202            12.0    96.20    91.00    95.00      26.39          53              1      77.32
 4   OS0203            12.0    97.20    89.10    93.50      19.42          39              1          0
 5   OS0204            10.0    93.85    81.65    88.40      14.85          32              2       9.73
 6   OS0600            14.0    99.90    98.50    99.70      12.89          58              2          0
 7   OS0601            12.0    97.00    93.50    97.00      73.65         148              2       9.57
 8   OS0602            12.0    96.60    90.00    93.80      51.36         108              2       7.45
 9   OS0603            12.0    97.80    89.50    92.70       9.74          20              1          0
10   OS0604            10.0    94.00    82.00    88.00       9.31          20              1          0
11   OS0700            14.0    99.90    98.00    99.70       3.40          13              0          0
12   OS0800            14.0    99.80    97.50    99.80       6.72          21              1          0
13   OS1000            13.0    99.80    96.80    99.80       6.96          18              0      14.01
14   OS1001            12.0    96.50    92.70    95.50      12.19          25              1          0
15   OS1002            12.0    96.70    90.00    93.20       7.08          15              1          0
16   OS1003            12.0   100.30    88.60    92.80       6.30          13              1          0
17   OS1004            10.0    93.90    82.30    88.00       3.03           7              0          0
18   PS0205             8.5    87.50    76.30    85.05      25.77          69              2       6.92
19   PS0605             8.5    84.95    76.30    84.95      10.02          43              1       8.07
20   PS1004             8.5    89.20    76.00    85.00      24.86          59              2       4.63
21   PS1005             8.5    84.90    77.80    84.90       3.93          45              1          0
     Ten-year bonds
 1   DS0509             6.0    79.60    64.00    74.20      11.30          30              1            0
 2   DS1109             6.0    80.20    62.00    73.40      22.61          64              2            0
 3   DS1110             6.0    73.30    65.00    72.00       1.66          50              1            0




                                                            Fact Book 2001
         38                 Bonds



Bonds—basic figures


                                                      2000        1999              1998     1997        1996

Bonds
Number of listed bond issues at end of year                48          47             44       44          42
Total turnover value (mil. zl)                       4 590        4 766             8 581   13 488     16 219
Average turnover value per session (mil. zl)           18.4        19.1              34.3     54.2        64.9
Number of transactions per session                     489         544               602     1 235      1 048
Average value of transaction (zl)                 18 772.9       17 587         28 494      21 936     30 955

Continuous trading
Number of listed bond issues at end of year                48          45             40       39          40
Number of transactions per session                     146             54             10         8             8
Total turnover value (mil. zl)                       2 941        2 088             1 197    2 871      4 007

Single-price system
Number of listed bond issues at end of year                ---         13             16       15          14
Number of transactions per session                     388         490               591     1 225      1 038
Total turnover value (mil. zl)                       1 440        2 588             3 753    2 782      1 898

Block trades
Number of transactions (single-counted)                    45          38            327      422         480
Average value of transaction (mil. zl)                 2.32        1.19              5.55     9.28      10.74
Total turnover value (mil. zl)                         209             91           3 632    7 835     10 314




            Bond market calendar - listings and de-listings



            No      Issue                First quotation          No        Issue             Last quotation
                    name                            date                    name                       date
             1      PS0205                         15.02           1        TZ0200                     24.01
             2      DZ0110                         21.02           2        OS0200                     02.02
             3      TZ0203                         21.02           3        IR0300                     15.02
             4      VCLIFE1                        05.04
                                                                   4        TZ0500                     19.04
             5      OK0402                         26.04
                                                                   5        OS0600                     31.05
             6      TZ0503                         22.05
             7      PS0605                         13.06           6        OS0700                     30.06
             8      OK0802                         14.08           7        TZ0800                     21.07
             9      TZ0803                         21.08           8        OS0800                     02.08
            10      PS1005                         13.10           9        OS1000                     27.09
            11      TZ1103                         13.11
                                                                  10        TZ1100                     19.10
            12      DS1110                         27.11
            13      OK1201                         13.12


                            Fact Book 2001