Vegard Annweiler SEB IG seminar, 24.august 2017

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1 Benchmark indekser for det norske kredittobligasjonsmarkedet Vegard Annweiler SEB IG seminar, 24.august

2 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 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

3 Etablert en robust og effektiv infrastruktur som gir skalafordel Marked/Kilder Nordic Bond Pricing AS Stamdata AS Bid-Ask Markedsrenter Kredittpremier Trades FX Referansedata etc. Nyheter Markedsutvikling Analyser Request Response 1 2 Kunde

4 Lavere generelt rentenivå har gitt kreditt økt betydning 4

5 Prising Metodikk IG - Kredittspread indikasjoner fra megler 5

6 Prising Metodikk IG - Verifiserer konsensus opp mot annen markedsinfo 6

7 ..og måler utstedere/lån over tid for å fange opp bevegelser i utsteder kreditt vs marked generelt 7

8 Overordnet NBP indeks familie NBP Indices Government Bonds Aggregated Regular Market Index Aggregated High Yield Index (NOK Unhedged) RM (sector) Groups Aggregated High Yield Index (NOK Hedged) 12 Duration Target Indices 8

9 Inkluderingskrav for obligasjonslån Regular Market bond index Norwegian High Yield Market bond index Main universe Security group Issue Sice Maturity Bonds with NO-Isin No Convertibles or structured notes Minimum NOK 300 million 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; Redemption type Bullet Bullet, Serial and Irregular PIK bonds and toggle notes (Adjusted is not included) 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 Qualify for inclusion in this month s index if required security Qualify for inclusion in this month s index if required security reference information and pricing are readily available at reference information and pricing are readily available at New issues least three business days before rebalancing date (selection least three business days before rebalancing date (selection date) date) at least 12 months to expected maturity date on entrance 9

10 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

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

11 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

12 RM sammensetning Rebalanced as of RM groups RM Groups Market Value (bn. NOK) # of issues Share of total market value (%) % of FRN % of Fixed RM3 17 % RM4 1 % RM % 43.91% 14.95% RM % 14.94% 8.11% RM % 9,44% 7.55% RM % 0.84% 0.25% RM2 23 % RM1 59 % Total % 69.14% 30.86% 13

13 RM sammensetning etter sektor All RM groups RM 3 Rebalanced as of Sectors Market Value (bn. NOK) # of issues Share of total market value (%) RM3 Sectors Market Value (bn. NOK) # of issues Share of total market value (%) Finance % Bank % Public Sector % Utilities % Real Estate % Transportation % Convenience Goods % Industry % Insurance % Shipping % Consumer Services % Oil and gas E&P % Media % Auto % Seafood % Pulp, paper and forestry % Total % Utilities Real Estate Transportation Bank Convenience Goods Industry Insurance Shipping Consumer Services Oil and gas E&P Media Public Sector Auto Seafood Pulp, paper and forestry Total

14 HY sammensetning etter sektor Rebalanced as of Sector Market Value (bn. NOK) # of issues Share of total market value (%) Shipping Oil and gas Oil and gas E&P Industry Transportation Seafood Utilities Telecom/IT Finance Real Estate Consumer Services Insurance Health Care Bank Total Others 46 % Sector distributions Shipping 25 % Oil and gas 29 % 15

Indeksutvikling siden start RM og HY 106 105 104 RM Aggregated 120 115 110

15 Indeksutvikling siden start RM og HY RM Aggregated IndexValue, Unhedged IndexValue, hedged HY index

16 RM sammensetning basert på løpetid Rebalanced as of RM Aggregated RM RM RM RM % 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 17

17 RM utvikling for ulike løpetider RM Aggregated

18 HY uhedget og vesentligste sektorer 130 Shipping 120 Others IndexValue, Unhedged Oil og Gass

19 Planlagt matrise med RM sub-indekser Aggregated Regular Market RM4 1 % RM3 17 % FRN Fixed RM2 23 % RM1 59 % 0, RM1: Covered bonds and public sector RM1 FRN RM1 D1 RM1 D3 RM1 D5 RM2: Senior bank RM2 FRN RM2 D1 RM2 D3 RM2 D5 RM3: Other senior issues, and subdebt financials RM3 FRN RM3 D1 RM3 D3 RM3 D5 All other issues not included in group 1-3, including IG hybrids N/A N/A N/A N/A 20

20 Historisk utvikling indeksverdier Regular market gruppe Index value D5 D3 FRN D april 2015 juli 2015 oktober 2015 januar 2016 april 2016 juli 2016 oktober 2016 januar 2017 april 2017 juli 2017 RM aggregated RM2D1 RM2D3 RM2D5 RM2FRN 22

21 Historisk utvikling indeksverdier Regular market gruppe D5 FRN D3 D1 Index value april 2015 juli 2015 oktober 2015 januar 2016 april 2016 juli 2016 oktober 2016 januar 2017 april 2017 juli 2017 RM aggregated RM3D1 RM3D3 RM3D5 RM3FRN 23

22 Historisk utvikling indeksverdier Sammenligning av RM grupper, FRN RM3 RM2 RM1 Index value april 2015 juli 2015 oktober 2015 januar 2016 april 2016 juli 2016 oktober 2016 januar 2017 april 2017 juli 2017 RM aggregated RM1FRN RM2FRN RM3FRN 24

23 Kontaktinformasjon Vegard Annweiler, adm. direktør va@nordicbondpricing.no 25

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