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 Nordic Bond Pricing AS Stamdata AS Bid-Ask Markedsrenter Kredittpremier Trades FX Referansedata etc. Nyheter Markedsutvikling Analyser Request Response 1 2 Kunde
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
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
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
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 Rebalanced as of 31.07.2017 RM groups RM Groups Market Value (bn. NOK) # of issues Share of total market value (%) % of FRN % of Fixed RM3 17 % RM4 1 % 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% RM2 23 % RM1 59 % Total 1124.37 1083 100.00% 69.14% 30.86% 13
RM sammensetning etter sektor All RM groups RM 3 Rebalanced as of 31.07.2017 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 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% 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 14
HY sammensetning etter sektor Rebalanced as of 31.07.2017 Sector Market Value (bn. NOK) # of issues 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 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 IndexValue, Unhedged IndexValue, hedged HY index 103 102 101 105 100 95 90 100 85 99 80 16
RM sammensetning basert på løpetid Rebalanced as of 31.07.2017 RM Aggregated 645 286 152 RM4 9 9 1 1 6 7 0-3 RM3 143 62 80 3-5 2 1 2 +5 RM2 276 104 21 RM1 217 111 50 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 17
RM utvikling for ulike løpetider 108 107 106 105 104 RM Aggregated 0-3 3-5 +5 103 102 101 100 99 98 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 18
HY uhedget og vesentligste sektorer 130 Shipping 120 Others IndexValue, Unhedged Oil og Gass 110 100 90 80 70 19
Planlagt matrise med RM sub-indekser Aggregated Regular Market RM4 1 % RM3 17 % FRN Fixed RM2 23 % RM1 59 % 0,125 1 3 5 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
Historisk utvikling indeksverdier Regular market gruppe 2 108 Index value 107 106 105 104 103 102 D5 D3 FRN D1 101 100 99 98 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
Historisk utvikling indeksverdier Regular market gruppe 3 107 106 105 104 D5 FRN D3 D1 Index value 103 102 101 100 99 98 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
Historisk utvikling indeksverdier Sammenligning av RM grupper, FRN 106 105 104 RM3 RM2 RM1 Index value 103 102 101 100 99 98 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
Kontaktinformasjon Vegard Annweiler, adm. direktør +47 21 95 65 41 + 47 907 38 789 va@nordicbondpricing.no 25