Bloomberg AusBond Indices

Transcription

1 1 October 2015 Bloomberg AusBond Indices Month in Review - September, 2015 Performance: Fixed income market closes quarter with continued gains The fixed income market added to August s gains with mostly positive returns. The Government Inflation Index and The Inflation Index were the only indices in the red. The Treasury Index led the way yet again with a monthly return of.32%. The Bloomberg AusBond Composite Bond Index finished September up.25%. Overall, bonds with greater than 10 years to maturity were the strongest performers over the month, collectively returning.95%. Volkswagen and Glencore were the hardest hit members of the index this month, losing up to -6.54% in September. The Bloomberg AusBond Inflation indices lost -.14% in September and YTD, are returning 2.07%. On a 12 month basis, the inflation market is providing a return to investors of 8.00%, outperforming nominal bonds by 109bps. Table 1: Total Return Performance September 2015 Index MTD QTD 12 MTH YTD 2 YR 5 YR AusBond Composite Index 0.25% 2.20% 6.91% 2.84% 6.46% 6.64% AusBond Treasury Index 0.32% 2.50% 7.38% 2.79% 6.37% 6.21% AusBond Semi Govt Index 0.22% 2.20% 7.15% 2.73% 7.03% 6.94% AusBond Supra/Sov Index 0.21% 1.95% 6.16% 2.98% 6.00% 6.62% AusBond Credit Index 0.12% 1.51% 5.82% 3.03% 5.96% 7.07% AusBond Bank Bill Index 0.18% 0.54% 2.47% 1.77% 2.56% 3.51% AusBond Inflation Index -0.14% 1.96% 8.00% 2.07% 8.65% 7.98% AusBond Govt Inflation Index -0.17% 1.96% 7.84% 2.08% 8.41% 7.71% AusBond Credit Inflation Index 0.26% 2.04% 9.99% 2.07% 11.29% 10.61% S&P/ASX 200 Accum Index -2.96% -6.58% -0.68% -3.68% 2.57% 6.55% Note: 2 and 5 year returns are annualised Page 1

2 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep % -5.3% MTD Return (%) -3.3% -3.0% -1.1% -1.7% -0.1% -0.9% 1.7% 2.1% 1.6% 0.4% 0.6% 3.3% 4.4% 4.4% 6.9% -1.1% -0.9% - MTD Return (%) 0.6% 1.1% 0.9% 1.6% 1.4% 1.7% Chart 1: Bloomberg AusBond Composite Index: Monthly Performance 2014/ % 1.5% 0.5% -0.5% % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec The equities market posted a second month of losses, with the S&P/ASX 200 Accum Index losing -3.0% over the month. YTD, equity is underperforming fixed income by 652bps, returning -3.7% to investors. Chart 2: S&P/ASX200 Accum Index vs. Bloomberg AusBond Composite Bond Index: Monthly Return Performance 2014/15 8.0% 6.0% 4.0% 2.0% -2.0% -4.0% -6.0% -8.0% -1 AusBond Composite Bond S&P ASX 200 Accum Page 2

3 Yield to Maturity 0.1% MTD Return (%) 0.5% 1.1% 1.5% Global Bloomberg Sovereign Bond Indices showed positive performance in September with the US (BUSY) up 1.06% and Japan (BJPN) posting 0.48% for the month. The Eurozone led the way with BEUR Index returning 1.54%. Chart 3: Bloomberg Indices Sovereign Debt Performance: September % 1.6% 1.4% 1.2% 0.6% 0.4% 0.2% AUS NZ JPY HK SIN US EUR Yields reversed their two month decline with the Bloomberg AusBond Composite Bond Index finishing September with an average YTM of 2.26%, an increase of 2bps since the end of August. Yields retreated slightly in the United States and in Europe ending at 1.41 and.82, respectfully. Chart 4: Bloomberg Indices Sovereign Bond Yields AU US EUR Jul-15 Aug-15 Sep-15 Source: Bloomberg Finance L.P Page 3

4 >10yrs Volume (A$bn) September supply at A$10.58bn The Composite Index added A$10.58bn of new supply over the month, down from 15.83bn last month. Just over 7% of the September supply was from new issuance. Table 2: Bloomberg AusBond Composite Bond Index supply: Sept-15 Sector Sep-15 supply 12 mth avg % diff (A$bn) (A$bn) Treasury % Semi Government % Non-Government % Total Composite % Chart 5: Maturity breakdown of Sept-15 new issuance Treasury Semi Supra Credit, Issuers, Lead Managers Page 4

5 Sep-15 (A$bn) Maturities During September, six securities with a combined face value of A$2.3bn matured and left the index. Table 3: Maturities: Sept-15 Issuer ISIN Value Maturity CFF AU0000CFFHB8 750,000, Sep-15 BNG AU300BNG ,000, Sep-15 STOAU AU300ST ,000, Sep-15 DUEAU AU3CB ,000, Sep-15 INTNED AU3CB ,000, Sep-15 KORGAS AU3CB ,000, Sep-15 In October, nine securities with a combined face value of $19bn of securities will be maturing and leaving the index. Table 4: Upcoming maturities: Oct-15 Issuer ISIN Value Maturity QTC AU000QT ,000, Oct-15 RABOBK AU300RN ,000, Oct-15 NTTC AU3SG ,000, Oct-15 GE AU3CB ,000, Oct-15 QTC AU0000XQLQQ8 4,122,000, Oct-15 ACGB AU3TB ,388,549, Oct-15 LLOYDS AU3CB ,210, Oct-15 SHNHAN AU0000SHBHA1 250,000, Oct-15 IADB AU3CB ,000, Oct-15 As a result of the above mentioned new supply and maturities, and along with A$1.61bn of buybacks over the course of the month, the Composite Bond Index has increased in size by A$127.3bn since Dec-14. Chart 6: Growth of Bloomberg AusBond Composite Bond Index: YTD $736.4 $863.7, Issuers, Lead Managers Page 5

6 Index Logic and AusBond Report Change Reminder Pursuant to the press release on July 21, 2015, there will be two changes implemented by Bloomberg for AusBond indices in October, Effective October 1, bonds will be required to meet a one month minimum time to maturity in order to be included in the indices at rebalancing. This will lead to removal of all October and November 2015 maturities from the forward (statistics) universe. October and November maturities will remain in the return index during the month of October. November will be the first month when the returns universe experiences the new one month floor. Consequently, on November 1, the earliest possible maturity date in the index would be December 1, 2015.This change will also impact end-of-month AusBond reports as described in the latter section. The AusBond Bank Bill Index and Swap Index are not impacted by the maturity constraint change. 2. Effective October 25, there will be no weekend files created and disseminated. The first change will also impact the end-of-month AusBond report in October. Following are the sections of this report and the changes as a consequence of introducing the one month maturity floor. Please note that the September end-ofmonth report will not be impacted by this change. Section Description October Duration Change Projects the difference between the current return index on final day vs the next index No change 1 Additions Taps and new issuance over the current month No change Removals Buybacks and removals for non-maturity reasons which took place over the current month No change Coupon Coupons to be received in the following month based on the final current month forward indexes No change 2 Maturity Bucket Lists bonds that will be removed because of maturity dates in the next month, and those which mature in the current month of any future year, not including the present year, as shifting between maturity buckets Change 3 1 Final October forward index will not have November maturities 2 Less $ coupons expected since no bonds will be held to maturity to receive the final payment 3 Bonds that mature in November 2015 will be listed as Out of 0+. We will also list the bonds which mature in October of any future year, not including 2015, as shifting between maturity buckets. Bloomberg had also announced a change to the logic for maturity sub index logic in July. After discussions with numerous internal and external stakeholders, we have decided to not adjust the sub index qualification date logic. The announced change could have conflicted with another change to the methodology, the minimum 1 month maturity requirement. Using the upcoming November return index with the new 1 month floor with a 3 year cap as an example, following is how one can determine minimum and maximum maturity dates for inclusion in maturity sub-indices. Index Maturity Date Example Return Greater than end of month and less than 3 years Last business day of October after the beginning of month Minimum Maturity = 12/1/15 Forward Greater than end of month and less than 3 years after the end of month Maximum Maturity = 10/31/18 Last business day of November Minimum Maturity = 12/1/15 Maximum Maturity = 10/31/18 Page 6

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