Be nc hma rk inde kse r fo r de t no rske kre ditto b lig a sjo nsma rke de t
Ve gar d Annwe ile r SE B IG se minar , 24.august 2017
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Be nc hma rk inde kse r fo r de t no rske kre ditto b lig a sjo nsma rke de t Ve gar d Annwe ile r SE B IG se minar , 24.august 2017 1 K o rt o m NBP E ta b le rt 2013, o g e ie t 50/ 50 a v Ve rdipa pirfo nde ne s fo re ning (VF F)
Ve gar d Annwe ile r SE B IG se minar , 24.august 2017
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Be re g ne r e stime rt ma rke dspris fo r næ r 3.000 o b lig a sjo ne r K
e y Ra tio s (Yie ld, kre dittpre mie r, dura sjo n e tc .)
Innhe nte r ma rke dsinfo rma sjo n fra e t b re dt se tt a v kilde r Va lide ring o g syste ma tise ring a v da ta Mo de lle ring o g b e re g ning Sta tus so m ua vhe ng ig tre dje pa rt e r se ntra l fo r vå r tro ve rdig he t
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Mar ke d/ Kilde r Stamdata AS Nor dic Bond Pr ic ing AS
ra de s
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Kunde
Re que st Re sponse
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NBP Indic e s Gove rnme nt Bonds Ag g re g a te d Re g ula r Ma rke t Inde x RM (se c tor) Groups 12 Dura tion T a rg e t Indic e s Ag g re g a te d Hig h Yie ld Inde x (NOK Unhe dg e d) Ag g re g a te d Hig h Yie ld Inde x (NOK He dg e d)
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Re gular Mar ke t bond inde x Nor we gian High Yie ld Mar ke t bond inde x
Ma in unive rse Bo nds with NO-I sin Se c urity g ro up No Co nve rtib le s o r struc ture d no te s Issue Sic e Minimum NOK 300 millio n Ma turity At le a st o ne mo nth to e xpe c te d ma turity Curre nc y NOK NOK, SE K, DKK, GBP, E UR a nd USD Co upo n type F ixe d a nd F lo a ting F ixe d, F lo a ting a nd ze ro c o upo n Ste p-up Co upo n with a pre de te rmine d sc he dule ; PIK b o nds a nd to g g le no te s (Adjuste d is no t inc lude d) Re de mptio n type Bulle t Bulle t, Se ria l a nd Irre g ula r L isting sta tus Must b e liste d o r in pro c e ss to b e liste d, e xc e pt tho se issue d b y the No rwe g ia n munic ipa litie s Pla c e me nt type No priva te pla c e me nts Optio na lity No e mb e dde d o ptio ns a pa rt fro m “o ptio ns” e mb e dde d in Co ve re d Bo nds, Sub o rdina te d, Pe rpe tua l a nd Hyb rid b o nds Ma y ha ve e mb e dde d Ca ll a nd Put o ptio ns RM/ HY c la ssific a tio n Spre a d b e lo w c urve le ve ls a s spe c ifie d in Appe ndix B Spre a d a b o ve c urve le ve ls a s spe c ifie d inAppe ndix B Ne w issue s Qua lify fo r inc lusio n in this mo nth’ s inde x if re q uire d se c urity re fe re nc e info rma tio n a nd pric ing a re re a dily a va ila b le a t le a st thre e b usine ss da ys b e fo re re b a la nc ing da te (se le c tio n da te )
re fe re nc e info rma tio n a nd pric ing a re re a dily a va ila b le a t le a st thre e b usine ss da ys b e fo re re b a la nc ing da te (se le c tio n da te )
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Mo nth-to -d a te to ta l ra te o f re turn o n e a c h ind e x c o nstitue nt in lo c a l c urre nc y is d e fine d a s sum o f its
e nd ing ma rke t va lue o n d a te t plus a ll c a sh pa yme nt up to d a y t minus its b e g inning ma rke t va lue o n la st re b a la nc ing d a te t-s d ivid e d b y its b e g inning ma rke t va lue . T he c o mple te g e ne ra l fo rmula is c o mprise d o f 5 re turn c o mpo ne nts
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va lue s o f “a d j”, “b ” a nd “α” a re e q ua l to 1, 100% a nd 0 re spe c tive ly a t a ny time – a nd the fo rmula wo uld b e simplifie d to o nly pric e a nd c o upo n re turns
Re d e mptio n a nd pa yd o wn re turns a re use d to a d just d iffe re nt type s o f intra -mo nth c o rpo ra te a c tio ns q
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Re b a la nc e d a s o f 31.07.2017
RM Groups Ma rke t Va lue (bn. NOK) # of issue s Sha re of tota l ma rke t va lue (% ) % of F RN % of F ixe d
RM 1 661.89 378 58.87 % 43.91% 14.95% RM 2 259.13 401 23.05 % 14.94% 8.11% RM 3 191.05 285 16.99 % 9,44% 7.55% RM 4 12.30 19 1.09 % 0.84% 0.25%
T
1124.37 1083 100.00% 69.14% 30.86%
RM1 59 % RM2 23 % RM3 17 % RM4 1 %
RM g roups
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Re b a la nc e d a s o f 31.07.2017
All RM g ro ups RM 3
RM3 Se c tors Ma rke t Va lue (bn. NOK) # of issue s Sha re of tota l ma rke t va lue (% )
Utilitie s 70.94 104 37.13 Re a l E sta te 43.62 72 22.83 T ra nspo rta tio n 15.40 25 8.06 Ba nk 14.01 27 7.33 Co nve nie nc e Go o ds 10.51 16 5.50 Industry 9.80 11 5.13 Insura nc e 5.97 6 3.13 Shipping 5.27 3 2.76 Co nsume r Se rvic e s 4.73 8 2.47 Oil a nd g a s E &P 3.52 2 1.84 Me dia 3.33 6 1.74 Pub lic Se c to r 2.03 1 1.06 Auto 1.01 2 0.53 Se a fo o d 0.52 1 0.27 Pulp, pa pe r a nd fo re stry 0.40 1 0.21
T
191.05 285 100.00
Se c tors Ma rke t Va lue (bn. NOK) # of issue s Sha re of tota l ma rke t va lue (% )
F ina nc e 544.92 232 48.46 % Ba nk 291.81 423 25.95 % Pub lic Se c to r 109.30 165 9.72 % Utilitie s 70.94 104 6.31 % Re a l E sta te 43.62 72 3.88 % T ra nspo rta tio n 15.40 25 1.37 % Co nve nie nc e Go o ds 10.51 16 0.93 % Industry 9.80 11 0.87 % Insura nc e 9.31 12 0.83 % Shipping 5.27 3 0.47 % Co nsume r Se rvic e s 4.73 8 0.42 % Oil a nd g a s E &P 3.52 2 0.31 % Me dia 3.33 6 0.30 % Auto 1.01 2 0.09 % Se a fo o d 0.52 1 0.05 % Pulp, pa pe r a nd fo re stry 0.40
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0.04 %
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1124.37 1083 100.00%
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Se c tor Ma rke t Va lue (bn. NOK) # of issue s Sha re of tota l ma rke t va lue (% )
Shipping 33.08 38 24.72 Oil a nd g a s 27.17 35 20.30 Oil a nd g a s E &P 11.66 7 8.71 I ndustry 17.72 20 13.24 T ra nspo rta tio n 10.81 11 8.08 Se a fo o d 5.23 5 3.91 Utilitie s 4.96 7 3.70 T e le c o m/ I T 4.57 8 3.41 F ina nc e 4.34 3 3.24 Re a l E sta te 3.65 6 2.73 Co nsume r Se rvic e s 3.64 7 2.72 I nsura nc e 2.82 4 2.11 He a lth Ca re 2.25 3 1.68 Ba nk 1.93 5 1.44
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133.82 159 100.00
Shipping 25 % Oil a nd g a s 29 % Othe rs 46 %
Se c tor distributions
Re b a la nc e d a s o f 31.07.2017
16 99 100 101 102 103 104 105 106
RM Aggr e gate d
80 85 90 95 100 105 110 115 120
HY inde x
I nde xVa lue , Unhe dg e d I nde xVa lue , he dg e d
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Re b a la nc e d a s o f 31.07.2017
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% RM1 RM2 RM3 RM4 RM Ag g re g a te d 0-3 3-5 +5
1 6 7 1 2 2 217 111 50 9 9 276 104 21 143 62 80 152 286 645 1
18 98 99 100 101 102 103 104 105 106 107 108 02.01.2015 02.02.2015 02.03.2015 02.04.2015 02.05.2015 02.06.2015 02.07.2015 02.08.2015 02.09.2015 02.10.2015 02.11.2015 02.12.2015 02.01.2016 02.02.2016 02.03.2016 02.04.2016 02.05.2016 02.06.2016 02.07.2016 02.08.2016 02.09.2016 02.10.2016 02.11.2016 02.12.2016 02.01.2017 02.02.2017 02.03.2017 02.04.2017 02.05.2017 02.06.2017 02.07.2017 02.08.2017 RM Ag g re g a te d 0-3 3-5 +5
19 70 80 90 100 110 120 130 Shipping Others IndexValue, Unhedged Oil og Gass
Ag g re g a te d Re g ula r Ma rke t F RN 0,125 RM1 F RN RM2 F RN RM3 F RN N/ A F ixe d 1 RM1 D1 RM2 D1 RM3 D1 N/ A 3 RM1 D3 RM2 D3 RM3 D3 N/ A 5 RM1 D5 RM2 D5 RM3 D5 N/ A
RM1:
Co ve r e d bo nds and public se c to r
RM2:
Se nio r bank
RM3:
Othe r se nio r issue s, and subde bt financ ials All o the r issue s no t inc lude d in gr
inc luding IG hybr ids
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RM1 59 % RM2 23 % RM3 17 % RM4 1 %
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D3 D5 D1 F RN 98 99 100 101 102 103 104 105 106 107 108 a pril 2015 juli 2015
ja nua r 2016 a pril 2016 juli 2016
ja nua r 2017 a pril 2017 juli 2017
Inde x va lue
RM a g g re g a te d RM2D1 RM2D3 RM2D5 RM2F RN
Re gular mar ke t gr uppe 2
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D3 D5 D1 F RN 98 99 100 101 102 103 104 105 106 107 a pril 2015 juli 2015
ja nua r 2016 a pril 2016 juli 2016
ja nua r 2017 a pril 2017 juli 2017
Inde x va lue
RM a g g re g a te d RM3D1 RM3D3 RM3D5 RM3F RN
Re gular mar ke t gr uppe 3
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RM1 RM2 RM3 98 99 100 101 102 103 104 105 106 a pril 2015 juli 2015
ja nua r 2016 a pril 2016 juli 2016
ja nua r 2017 a pril 2017 juli 2017
Inde x va lue
RM a g g re g a te d RM1F RN RM2F RN RM3F RN
Samme nligning av RM gr uppe r , F RN
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