Benchmark indekser for det norske kredittobligasjonsmarkedet

Vegard Annweiler

SEB IG seminar, 24.august 2017

1

Kort om NBP

Etablert 2013, og eiet 50/50 av Verdipapirfondenes forening (VFF) og Nordic Trustee

Team med 5 prising-/risk analytikere - bakgrunn fra mid-office miljø

Daglig prisingstjeneste siden 1. juli 2014 Beregner estimert markedspris for nær 3.000 obligasjoner Key Ratios (Yield, kredittpremier, durasjon etc.)

Benchmark indekser – gradvis innfasing av indeks-familie i 2017

Dataprosessering Innhenter markedsinformasjon fra et bredt sett av kilder Validering og systematisering av data Modellering og beregning Status som uavhengig tredjepart er sentral for vår troverdighet

2

Etablert en robust og effektiv infrastruktur som gir skalafordel

Marked/Kilder Stamdata ASNordic Bond Pricing AS

• Bid-Ask• Markedsrenter• Kredittpremier• Trades• FX• Referansedata• etc.

Kunde

Request Response

• Nyheter• Markedsutvikling• Analyser

1 2

Lavere generelt rentenivå har gitt kreditt økt betydning

4

Prising – Metodikk IG- Kredittspread indikasjoner fra megler

5

Prising – Metodikk IG- Verifiserer konsensus opp mot annen markedsinfo

6

..og måler utstedere/lån over tid for å fange opp bevegelser i utsteder kreditt vs marked generelt

7

NBP Indices

Government Bonds Aggregated Regular Market Index

RM (sector) Groups

12 Duration Target Indices

Aggregated High Yield Index(NOK Unhedged)

Aggregated High Yield Index(NOK Hedged)

8

Overordnet NBP indeks familie

Inkluderingskrav for obligasjonslån

9

Regular Market bond index Norwegian High Yield Market bond index

Main universe Bonds with NO-Isin

Security group No Convertibles or structured notes

Issue Sice Minimum NOK 300 million

Maturity At least one month to expected maturity

Currency NOK NOK, SEK, DKK, GBP, EUR and USD

Coupon type Fixed and Floating Fixed, Floating and zero coupon

Step-up Coupon with a predetermined schedule;

PIK bonds and toggle notes (Adjusted is not included)Redemption type Bullet Bullet, Serial and Irregular

Listing status Must be listed or in process to be listed, except those issued by the Norwegian municipalities

Placement type No private placements

Optionality No embedded options apart from “options” embedded in Covered Bonds, Subordinated, Perpetual and Hybrid bonds May have embedded Call and Put options

RM/HY classification Spread below curve levels as specified in Appendix B Spread above curve levels as specified inAppendix B

New issues

Qualify for inclusion in this month’s index if required security reference information and pricing are readily available atleast three business days before rebalancing date (selection date)

• Qualify for inclusion in this month’s index if required security reference information and pricing are readily available atleast three business days before rebalancing date (selection date)

• at least 12 months to expected maturity date on entrance

HY vs RM klassifisering basert på kredittspread

10

Beregning av totalavkastning per obligasjon (local valuta)

Month-to-date total rate of return on each index constituent in local currency is defined as sum of its ending market value on date t plus all cash payment up to day t minus its beginning market value on last rebalancing date t-s divided by its beginning market value. The complete general formula is comprised of 5 return components

For bullet bonds paying cash coupon in full without any adjustment of intra-month corporate actions, the values of “adj”, “b” and “α” are equal to 1, 100% and 0 respectively at any time – and the formula would be simplified to only price and coupon returns

Redemption and paydown returns are used to adjust different types of intra-month corporate actions q

11

RM sammensetning

13

Rebalanced as of 31.07.2017

RM GroupsMarket Value

(bn. NOK)# of issues Share of total

market value (%) % of FRN % of Fixed

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%

Total 1124.37 1083 100.00% 69.14% 30.86%

RM159 %

RM223 %

RM317 %

RM41 %

RM groups

RM sammensetning etter sektor

14

Rebalanced as of 31.07.2017All RM groups RM 3

RM3 SectorsMarket Value

(bn. NOK)

# ofissues

Share of total market value

(%)

Utilities 70.94 104 37.13

Real Estate 43.62 72 22.83

Transportation 15.40 25 8.06

Bank 14.01 27 7.33

Convenience Goods 10.51 16 5.50

Industry 9.80 11 5.13

Insurance 5.97 6 3.13

Shipping 5.27 3 2.76

Consumer Services 4.73 8 2.47

Oil and gas E&P 3.52 2 1.84

Media 3.33 6 1.74

Public Sector 2.03 1 1.06

Auto 1.01 2 0.53

Seafood 0.52 1 0.27

Pulp, paper and forestry 0.40 1 0.21

Total 191.05 285 100.00

SectorsMarket Value

(bn. NOK)

# ofissues

Share of total market value

(%)

Finance 544.92 232 48.46 %

Bank 291.81 423 25.95 %

Public Sector 109.30 165 9.72 %

Utilities 70.94 104 6.31 %

Real Estate 43.62 72 3.88 %

Transportation 15.40 25 1.37 %

Convenience Goods 10.51 16 0.93 %

Industry 9.80 11 0.87 %

Insurance 9.31 12 0.83 %

Shipping 5.27 3 0.47 %

Consumer Services 4.73 8 0.42 %

Oil and gas E&P 3.52 2 0.31 %

Media 3.33 6 0.30 %

Auto 1.01 2 0.09 %

Seafood 0.52 1 0.05 %Pulp, paper and forestry 0.40 1 0.04 %

Total 1124.37 1083 100.00%

HY sammensetning etter sektor

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Sector Market Value

(bn. NOK)

# ofissues

Share of total market value

(%)

Shipping 33.08 38 24.72 Oil and gas 27.17 35 20.30 Oil and gas E&P 11.66 7 8.71 Industry 17.72 20 13.24 Transportation 10.81 11 8.08 Seafood 5.23 5 3.91 Utilities 4.96 7 3.70 Telecom/IT 4.57 8 3.41 Finance 4.34 3 3.24 Real Estate 3.65 6 2.73 Consumer Services 3.64 7 2.72 Insurance 2.82 4 2.11 Health Care 2.25 3 1.68 Bank 1.93 5 1.44 Total 133.82 159 100.00

Shipping25 %

Oil and gas29 %

Others46 %

Sector distributions

Rebalanced as of 31.07.2017

Indeksutvikling siden start – RM og HY

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99

100

101

102

103

104

105

106

RM Aggregated

80

85

90

95

100

105

110

115

120

HY index

IndexValue,Unhedged

IndexValue,hedged

RM sammensetning basert på løpetid

17

Rebalanced as of 31.07.2017

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

RM1

RM2

RM3

RM4

RM Aggregated

0-3

3-5

+5

1 6 7

1 22

217 111 50

9 9

276 104 21

143 62 80

152286645

1

RM utvikling for ulike løpetider

18

98

99

100

101

102

103

104

105

106

107

108

02.0

1.20

15

02.0

2.20

15

02.0

3.20

15

02.0

4.20

15

02.0

5.20

15

02.0

6.20

15

02.0

7.20

15

02.0

8.20

15

02.0

9.20

15

02.1

0.20

15

02.1

1.20

15

02.1

2.20

15

02.0

1.20

16

02.0

2.20

16

02.0

3.20

16

02.0

4.20

16

02.0

5.20

16

02.0

6.20

16

02.0

7.20

16

02.0

8.20

16

02.0

9.20

16

02.1

0.20

16

02.1

1.20

16

02.1

2.20

16

02.0

1.20

17

02.0

2.20

17

02.0

3.20

17

02.0

4.20

17

02.0

5.20

17

02.0

6.20

17

02.0

7.20

17

02.0

8.20

17

RM Aggregated

0-3

3-5

+5

HY uhedget og vesentligste sektorer

19

70

80

90

100

110

120

130

Shipping

Others

IndexValue, Unhedged

Oil og Gass

Aggregated Regular Market

FRN

0,125

RM1 FRN

RM2 FRN

RM3 FRN

N/A

Fixed

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:Covered

bonds and public sector

RM2:Senior bank

RM3:Other senior issues, and

subdebt financials

All other issues not

included in group 1-3,

including IG hybrids

20

Planlagt matrise med RM sub-indekser

RM159 %

RM223 %

RM317 %

RM41 %

Historisk utvikling indeksverdier

22

D3

D5

D1FRN

98

99

100

101

102

103

104

105

106

107

108

april

201

5

juli 2

015

okto

ber

201

5

janu

ar 2

016

april

201

6

juli 2

016

okto

ber

201

6

janu

ar 2

017

april

201

7

juli 2

017

Inde

x va

lue

RM aggregated RM2D1 RM2D3 RM2D5 RM2FRN

Regular market gruppe 2

Historisk utvikling indeksverdier

23

D3

D5

D1

FRN

98

99

100

101

102

103

104

105

106

107

april

201

5

juli 2

015

okto

ber

201

5

janu

ar 2

016

april

201

6

juli 2

016

okto

ber

201

6

janu

ar 2

017

april

201

7

juli 2

017

Inde

x va

lue

RM aggregated RM3D1 RM3D3 RM3D5 RM3FRN

Regular market gruppe 3

Historisk utvikling indeksverdier

24

RM1

RM2

RM3

98

99

100

101

102

103

104

105

106

april

201

5

juli 2

015

okto

ber

201

5

janu

ar 2

016

april

201

6

juli 2

016

okto

ber

201

6

janu

ar 2

017

april

201

7

juli 2

017

Inde

x va

lue

RM aggregated RM1FRN RM2FRN RM3FRN

Sammenligning av RM grupper, FRN

Kontaktinformasjon

25

Vegard Annweiler, adm. direktør

+47 21 95 65 41 | + 47 907 38 789 | va@nordicbondpricing.no