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) o 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

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 Nor dic Bond Pr ic ing AS Stamdata AS Bid- Ask • Ma rke dsre nte r • Kre dittpre mie r • T ra de s • Re sponse Re que st F X • Re fe ra nse da ta • e tc . • 2 1 Nyhe te r • Ma rke dsutvikling • Ana lyse r • Kunde

L a ve re g e ne re lt re nte nivå ha r g itt kre ditt ø kt b e tydning 4

Prising – Me to dikk I G - K re dittspre a d indika sjo ne r fra me g le r 5

Prising – Me to dikk I G - Ve rifise re r ko nse nsus o pp mo t a nne n ma rke dsinfo 6

..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

Ove ro rdne t NBP inde ks fa milie NBP Indic e s Ag g re g a te d Hig h Yie ld Inde x Gove rnme nt Bonds Ag g re g a te d Re g ula r Ma rke t Inde x (NOK Unhe dg e d) Ag g re g a te d Hig h Yie ld Inde x RM (se c tor) Groups (NOK He dg e d) 12 Dura tion T a rg e t Indic e s 8

I nklude ring skra v fo r o b lig a sjo nslå n 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 F ixe d, F lo a ting a nd ze ro c o upo n F ixe d a nd F lo a ting Co upo n type 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 No e mb e dde d o ptio ns a pa rt fro m “o ptio ns” e mb e dde d in Optio na lity Ma y ha ve e mb e dde d Ca ll a nd Put o ptio ns Co ve re d Bo nds, Sub o rdina te d, Pe rpe tua l a nd Hyb rid b o nds 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 Qua lify fo r inc lusio n in this mo nth’ s inde x if re q uire d se c urity • 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 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 Ne w issue s 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 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 ) 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 • 9

HY vs RM kla ssifise ring b a se rt på kre dittspre a d 10

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

RM sa mme nse tning Re b a la nc e d a s o f 31.07.2017 RM g roups RM4 1 % Ma rke t RM3 Sha re of tota l RM Groups Va lue # of issue s % of F RN % of F ixe d 17 % ma rke t va lue (% ) (bn. NOK) RM 1 661.89 378 58.87 % 43.91% 14.95% RM 2 259.13 401 23.05 % 14.94% 8.11% RM2 RM1 23 % RM 3 191.05 285 16.99 % 9,44% 7.55% 59 % RM 4 12.30 19 1.09 % 0.84% 0.25% T otal 1124.37 1083 100.00% 69.14% 30.86% 13

RM sa mme nse tning e tte r se kto r Re b a la nc e d a s o f 31.07.2017 RM 3 All RM g ro ups Ma rke t Sha re of tota l Ma rke t Sha re of tota l # of # of Se c tors Va lue ma rke t va lue RM3 Se c tors Va lue ma rke t va lue issue s issue s (bn. NOK) (% ) (bn. NOK) (% ) F ina nc e 544.92 232 48.46 % Utilitie s 70.94 104 37.13 Ba nk 291.81 423 25.95 % Re a l E sta te 43.62 72 22.83 Pub lic Se c to r 109.30 165 9.72 % T ra nspo rta tio n 15.40 25 8.06 Utilitie s 70.94 104 6.31 % Ba nk 14.01 27 7.33 Re a l E sta te 43.62 72 3.88 % Co nve nie nc e Go o ds 10.51 16 5.50 T ra nspo rta tio n 15.40 25 1.37 % Industry 9.80 11 5.13 Co nve nie nc e Go o ds 10.51 16 0.93 % Insura nc e 5.97 6 3.13 Industry 9.80 11 0.87 % Shipping 5.27 3 2.76 Insura nc e 9.31 12 0.83 % Co nsume r Se rvic e s 4.73 8 2.47 Shipping 5.27 3 0.47 % Oil a nd g a s E &P 3.52 2 1.84 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 1.74 Me dia 3.33 6 0.30 % Pub lic Se c to r 2.03 1 1.06 Auto 1.01 2 0.09 % Auto 1.01 2 0.53 Se a fo o d 0.52 1 0.05 % Se a fo o d 0.52 1 0.27 Pulp, pa pe r a nd fo re stry 0.40 1 0.04 % Pulp, pa pe r a nd fo re stry 0.40 1 0.21 T otal 191.05 285 100.00 T otal 1124.37 1083 100.00% 14

HY sa mme nse tning e tte r se kto r Re b a la nc e d a s o f 31.07.2017 Sha re of tota l Ma rke t # of ma rke t va lue Se c tor Se c tor distributions Va lue issue s (% ) (bn. NOK) 33.08 38 24.72 Shipping 27.17 35 20.30 Oil a nd g a s 11.66 7 8.71 Oil a nd g a s E &P Shipping 25 % 17.72 20 13.24 I ndustry 10.81 11 8.08 T ra nspo rta tio n Othe rs Se a fo o d 5.23 5 3.91 46 % 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 Oil a nd g a s Re a l E sta te 3.65 6 2.73 29 % Co nsume r Se rvic e s 3.64 7 2.72 2.82 4 2.11 I nsura nc e 2.25 3 1.68 He a lth Ca re 1.93 5 1.44 Ba nk 133.82 100.00 T ota l 159 15

I nde ksutvikling side n sta rt – RM o g HY HY inde x RM Aggr e gate d 106 120 I nde xVa lue , Unhe dg e d 115 105 I nde xVa lue , he dg e d 110 104 105 103 100 102 95 101 90 100 85 99 80 16

RM sa mme nse tning b a se rt på lø pe tid Re b a la nc e d a s o f 31.07.2017 286 152 645 RM Ag g re g a te d 9 1 RM4 9 7 6 1 0-3 62 143 80 3-5 RM3 +5 2 2 1 276 21 RM2 104 50 111 RM1 217 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 17

RM utvikling fo r ulike lø pe tide r 100 101 102 103 104 105 106 107 108 98 99 02.01.2015 02.02.2015 02.03.2015 02.04.2015 02.05.2015 02.06.2015 +5 3-5 0-3 RM Ag g re g a te d 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 uhe dg e t o g ve se ntlig ste se kto re r 130 Shipping Others 120 IndexValue, Unhedged Oil og Gass 110 100 90 80 70 19

Pla nla g t ma trise me d RM sub -inde kse r RM4 Ag g re g a te d Re g ula r Ma rke t 1 % RM3 17 % F RN F ixe d RM2 RM1 23 % 59 % 0,125 1 3 5 RM1: Co ve r e d RM1 D1 RM1 D3 RM1 D5 RM1 F RN bo nds and public se c to r RM2: RM2 D1 RM2 F RN RM2 D3 RM2 D5 Se nio r bank RM3: Othe r se nio r RM3 D3 RM3 D1 issue s, and RM3 F RN RM3 D5 subde bt financ ials All o the r issue s no t inc lude d in N/ A N/ A N/ A N/ A gr o up 1-3, inc luding IG hybr ids 20

Histo risk utvikling inde ksve rdie r Re gular mar ke t gr uppe 2 108 107 D5 106 D3 105 F RN Inde x va lue 104 D1 103 102 101 100 99 98 a pril 2015 juli 2015 o kto b e r 2015 ja nua r 2016 a pril 2016 juli 2016 o kto b e r 2016 ja nua r 2017 a pril 2017 juli 2017 RM a g g re g a te d RM2D1 RM2D3 RM2D5 RM2F RN 22