Bloomberg AusBond Indices

Transcription

1 1 Jun 2015 Bloomberg AusBond Indices Month in Review - May, 2015 Performance: Credit Index strongest performer in May The Credit Index led the way in May with a monthly return of +0.32%. The only sector within the Credit Index that lost ground over the month was the Government Agencies with the longer dated KBN, SEK and NEDWBK securities all posting losses. The decline of -0.12% by the Bloomberg AusBond Treasury Index, dragged down the performance of the Composite Index to a return of only +0.04% for the month. The Bloomberg AusBond Inflation indices fell for the second consecutive month, posting a negative return of -0.62%. However on a 12 months basis, the inflation market is providing stronger returns than the nominal market, outperforming the Composite Bond Index by 226bps. Table 1: Total Return Performance May 2015 Total Return Index MTD QTD 12 mth YTD 2 Year 5 Year AusBond Composite Index 0.04% -1.07% 7.47% 1.57% 5.79% 6.93% AusBond Treasury Index -0.12% -1.59% 7.97% 1.44% 5.37% 6.45% AusBond Semi Govt Index 0.08% -0.97% 7.56% 1.35% 6.23% 7.28% AusBond Supra/Sov Index 0.13% -0.64% 6.64% 1.88% 5.67% 6.92% AusBond Credit Index 0.32% -0.13% 6.73% 2.08% 6.02% 7.39% AusBond Bank Bill Index 0.20% 0.38% 2.65% 1.05% 2.67% 3.69% AusBond Inflation Index -0.62% -2.53% 9.73% 1.79% 6.60% 8.87% AusBond Govt Inflation Index -0.62% -2.63% 9.56% 1.86% 6.31% 8.62% AusBond Credit Inflation Index -0.70% -1.40% 11.74% 1.00% 9.78% 11.22% S&P/ASX 200 Accum Index 0.40% -1.31% 9.93% 8.88% 13.14% 10.31% Note: 2 and 5 year returns are annualised Chart 1: Bloomberg AusBond Composite and Inflation Indices: 12 month returns Page 1

2 The equities market posted a weak return of +0.40% in May, with the S&P/ASX 200 Accum Index outperforming the fixed income market by 36bps. YTD equities are providing a strong return of +8.88%. Chart 2: S&P/ASX200 Accum Index vs. Bloomberg AusBond Composite Bond Index: Monthly Return Performance 2014/15 May supply at A$12.6bn Supply into the Treasury and Semi Government Indices was above average in May with the sectors issuing taps totaling A$6.4bn and A$2.6bn respectively. Eight new securities were added to the Non-Government sector over the month, with FMSWER, EIB and IADB issuing a combined A$1.3bn into the Supranational/Sovereign Index and five securities totaling A$1.2bn added to the Credit Index. Table 2: Bloomberg AusBond Composite Bond Index supply: May-15 Sector May-15 supply 12 mth avg % diff (A$bn) (A$bn) Treasury % Semi Government % Non Government % Total Composite % Page 2

3 While 5 year and 10 year supply is still dominating, the AOFM and Semi Government authorities also issued into the 3 year and 9 year curves which combined counted for 26% of new supply in May. Chart 3: May-15 new issuance by maturity bucket, Issuers, Lead Managers Issuance of new securities into the single A credit curve has picked up in the last three months and now counts for 22.5% of new stock issued YTD. This increase has been at the expense of the BBB curve which back in February counted for 12.0% of new issuance however has now fallen to only 6.5%. Chart 4: Face value issue by rating band Note: Chart includes new securities only and does not include taps to existing instruments, Issuers, Lead Managers Page 3

4 Maturities During May two securities with a combined face value of A$2.9bn matured and left the Composite Bond Index. Table 3: May-15 Maturities Issuer ISIN Value Maturity KFW AU0000KFWHE0 2,650,000, May-15 MS AU3CB ,000, May-15 June will see only one security mature and leave the indices. Table 4: Upcoming maturities: Jun-15 Issuer ISIN Value Maturity ANZWA AU3CB ,000, Jun-15 As a result of the above mentioned new supply and maturities, and along with A$3.8bn of buybacks over the month, the Composite Bond Index has increased in size by A$92.55bn since Dec-14. Chart 5: Growth of Bloomberg AusBond Composite Bond Index: YTD, Issuers, Lead Managers Page 4

5 For additional information and licensing opportunities, please contact or call Sydney: Hong Kong: London: New York: Bloombergindexes.com INDEX <GO> >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> BLOOMBERG and BLOOMBERG INDEXES are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDEXES. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG INDEXES. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG INDEXES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with BLOOMBERG INDEXES or any data or values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDEXES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to buy, sell, hold, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the BLOOMBERG INDEXES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG INDEXES is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making any financial decisions. AusBond Indices are compared to the S&P/ASX 200 Index. The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by floatadjusted market capitalization, covering approximately 80% of Australian equity market capitalization. The volatility of the S&P/ASX 200 may be materially different from that of the AusBond Indices. In addition, the membership in AusBond Indices may differ significantly from the securities that comprise the S&P/ASX 200. The S&P/ASX 200 has not been selected to represent an appropriate benchmark to compare the performance of AusBond Indices, but rather is disclosed to allow for comparison of AusBond Indices to a well-known and widely recognized index. Standard & Poor s, S&P, and S&P/ASX 200 are registered trademarks of Standard & Poor s Financial Services LLC ( S&P ), a part of McGraw Hill Financial. Page 5