Be nc hma rk inde kse r fo r de t no rske kre ditto b lig a sjo nsma - - PowerPoint PPT Presentation

be nc hma rk inde kse r fo r de t no rske kre ditto b lig
SMART_READER_LITE
LIVE PREVIEW

Be nc hma rk inde kse r fo r de t no rske kre ditto b lig a sjo nsma - - PowerPoint PPT Presentation

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)


slide-1
SLIDE 1

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

slide-2
SLIDE 2

K

  • 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)

  • g No rdic T

ruste e

 T

e a m me d 5 prising -/ risk a na lytike re - b a kg runn fra mid-o ffic e miljø

 Da g lig prising stje ne ste side n 1. juli 2014

 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 .)

 Be nc hma rk inde kse r – g ra dvis innfa sing a v inde ks-fa milie i 2017  Da ta pro se sse ring

 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

2

slide-3
SLIDE 3

E ta b le rt e n ro b ust o g e ffe ktiv infra struktur so m g ir ska la fo rde l

Mar ke d/ Kilde r Stamdata AS Nor dic Bond Pr ic ing AS

  • Bid- Ask
  • Ma rke dsre nte r
  • Kre dittpre mie r
  • T

ra de s

  • F

X

  • Re fe ra nse da ta
  • e tc .

Kunde

Re que st Re sponse

  • Nyhe te r
  • Ma rke dsutvikling
  • Ana lyse r

1 2

slide-4
SLIDE 4

L a ve re g e ne re lt re nte nivå ha r g itt kre ditt ø kt b e tydning

4

slide-5
SLIDE 5

Prising – Me to dikk I G

  • K

re dittspre a d indika sjo ne r fra me g le r

5

slide-6
SLIDE 6

Prising – Me to dikk I G

  • Ve rifise re r ko nse nsus o pp mo t a nne n ma rke dsinfo

6

slide-7
SLIDE 7

..o g må le r utste de re / lå n o ve r tid fo r å fa ng e o pp b e ve g e lse r i utste de r kre ditt vs ma rke d g e ne re lt

7

slide-8
SLIDE 8

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)

8

Ove ro rdne t NBP inde ks fa milie

slide-9
SLIDE 9

I nklude ring skra v fo r o b lig a sjo nslå n

9

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 )

  • 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 )

  • a t le a st 12 mo nths to e xpe c te d ma turity da te o n e ntra nc e
slide-10
SLIDE 10

HY vs RM kla ssifise ring b a se rt på kre dittspre a d

10

slide-11
SLIDE 11

Be re g ning a v to ta la vka stning pe r

  • b lig a sjo n (lo c a l va luta )

 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

 F

  • r b ulle t b o nd s pa ying c a sh c o upo n in full witho ut a ny a d justme nt o f intra -mo nth c o rpo ra te a c tio ns, the

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

11

slide-12
SLIDE 12

RM sa mme nse tning

13

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

  • tal

1124.37 1083 100.00% 69.14% 30.86%

RM1 59 % RM2 23 % RM3 17 % RM4 1 %

RM g roups

slide-13
SLIDE 13

RM sa mme nse tning e tte r se kto r

14

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

  • tal

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

1

0.04 %

T

  • tal

1124.37 1083 100.00%

slide-14
SLIDE 14

HY sa mme nse tning e tte r se kto r

15

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

T

  • ta l

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

slide-15
SLIDE 15

I nde ksutvikling side n sta rt – RM o g HY

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

slide-16
SLIDE 16

RM sa mme nse tning b a se rt på lø pe tid

17

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

slide-17
SLIDE 17

RM utvikling fo r ulike lø pe tide r

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

slide-18
SLIDE 18

HY uhe dg e t o g ve se ntlig ste se kto re r

19 70 80 90 100 110 120 130 Shipping Others IndexValue, Unhedged Oil og Gass

slide-19
SLIDE 19

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

  • up 1-3,

inc luding IG hybr ids

20

Pla nla g t ma trise me d RM sub -inde kse r

RM1 59 % RM2 23 % RM3 17 % RM4 1 %

slide-20
SLIDE 20

Histo risk utvikling inde ksve rdie r

22

D3 D5 D1 F RN 98 99 100 101 102 103 104 105 106 107 108 a pril 2015 juli 2015

  • kto b e r 2015

ja nua r 2016 a pril 2016 juli 2016

  • kto b e r 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

slide-21
SLIDE 21

Histo risk utvikling inde ksve rdie r

23

D3 D5 D1 F RN 98 99 100 101 102 103 104 105 106 107 a pril 2015 juli 2015

  • kto b e r 2015

ja nua r 2016 a pril 2016 juli 2016

  • kto b e r 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

slide-22
SLIDE 22

Histo risk utvikling inde ksve rdie r

24

RM1 RM2 RM3 98 99 100 101 102 103 104 105 106 a pril 2015 juli 2015

  • kto b e r 2015

ja nua r 2016 a pril 2016 juli 2016

  • kto b e r 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

slide-23
SLIDE 23

Kontaktinfor masjon

25

Ve gar d Annwe ile r , adm. dir e ktør +47 21 95 65 41 | + 47 907 38 789 | va@nor dic bondpr ic ing.no