星展泛亚洲当地货币国家债券指数.ppt

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1、Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.4th July 2004DBS-

2、PALSDBS Pan-Asian Local SovereignBond Index星展泛亚洲当地货币国家债券指数星展泛亚洲当地货币国家债券指数顾问：陈国辉副教授顾问：陈国辉副教授 南洋理工大学南洋理工大学Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank ac

3、cepts no liability whatsoever with respect to the use of this document or its contents.提供衡量债券市场表现的基准提供衡量债券市场表现的基准利用指数创造投资基金利用指数创造投资基金为信贷定价为信贷定价债券指数有何作用？债券指数有何作用？2Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or d

4、istributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.星展的债券指数家族星展的债券指数家族SGD BondsHKD BondsChinaHong KongIndonesiaAsian Local Currency BondsEFN(DBSHINDX)HK15INDX1-5 YHK+5INDX+5YQuasi(SQBI)KoreaMalaysiaPhilippin

5、esThailandSingaporeDBS-PALSSGBI 1-5YSGBI+5YSGBI BenchmarkSQBI AgencySQBI GLCSCBI 1-5YSCBI+5YSCBI ForeignGovt(SGBI)Corp(SCBI)SQBI GLC+SCBI Composite2002年6月1999年1月2004年6月3Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminat

6、ed or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.DBS-PALS 的基本原则的基本原则广泛广泛(Comprehensive)应用独特的方法广泛的包含了八个国家的债券应用独特的方法广泛的包含了八个国家的债券考虑多项因素：可达性（考虑多项因素：可达性（accessibility）,流动性流动性（liquidity）,发售量（发售量（size）an

7、d 国家评级（国家评级（sovereign profile）透明透明(Transparent)明确的明确的规则规则一致的一致的挑选标准挑选标准可复制可复制(Replicable)收入基准债券收入基准债券（On-the-run or benchmark）最低流动性及发售量最低流动性及发售量客观与独立客观与独立(Objective)4Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated

8、or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.国家重量国家重量Country Weights分散比率分散比率(Diversification Ratio)选择债券选择债券Selecting Bonds国家等级国家等级Country Tier RatingCountry Adjustment Factor(AF=IR x TR)Govt Bonds

9、 on-the-run issuesQuasi Bonds ownership,size and liquidity criteriaCountry Market Weights(MW)=total market cap of selected bondsPALS Country Allocation Weights=AF x MW建立建立DBS-PALS 的流程的流程5Disclaimer:The information contained in this document is intended only for use during the presentation and should

10、 not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Diversification RulesRationaleTo broaden diversification into all 8 EMEAP markets in order to avoid large markets overwhel

11、ming smaller onesBy assigning smaller inclusion ratios for larger markets,and larger inclusion ratios for smaller markets6Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presen

12、tation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Diversification RulesMethodologyObtain 25-,50-,75-&95-percentiles from range of bond stocks of 8 countriesAdjust each countrys bond stock as follows:first 25%,include 100%next 25%,include

13、 75%next 25%,include 50%next 20%,include 25%remaining 5%,include 5%Each countrys Inclusion Ratio(IR)=adjusted bond stock/actual outstanding stock7Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to pa

14、rties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Diversification RulesSources:IMF&Bank Indonesia(Indonesia data),BIS(others)8Disclaimer:The information contained in this document is intended only for use during t

15、he presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Diversification RulesExamplesSizes of EMEAP-8 bond stocks range from US$4.9bn(HK)to US$243bn(Chi

16、na),setting the 25-,50-,75-&95-percentiles at US$20bn,US$30bn,US$60bn&US$195bn.Actual stock=US$5bnAdjusted stock=100%x$5bn=US$5bnHong Kongs Inclusion Ratio(IR)=$5bn/$5bn=100%Actual stock=US$47.5bnAdjusted stock=100%x$20bn+75%x$(30-20)bn+50%x$(47.5-30)bn=US$35.1bnIndonesias Inclusion Ratio(IR)=$35.1b

17、n/$47.5bn=73.8%Actual stock=US$243bnAdjusted stock=100%x$20bn+75%x$(30-20)bn+50%x$(60-30)bn+25%x$(195-60)bn+5%x$(243-195)bn=US$78.7bnChinas Inclusion Ratio(IR)=$78.7bn/$243bn=32.4%Hong KongIndonesiaChina9Disclaimer:The information contained in this document is intended only for use during the presen

18、tation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Tiering RulesRationaleTo categorize countries according to standard consideration for openness,liquidity,

19、size and sovereign profile.MethodologyAccessibility(35%)-capital controls(15%)-withholding tax&incentives(20%)Liquidity(35%)-turnover(15%)-bid-ask spread(20%)Sovereign rating(20%)Capitalization(10%)Raw Tier Score(0-100%)Rating ScaleTier 1:0-33.3%Tier 2:33.4-66.6%Tier 3:66.7-100%10Disclaimer:The info

20、rmation contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Country Tiering RulesExamplesNo capi

21、tal controls=150%tax rate=20-Accessibility score=3515x turnover=202bp bid-ask spr=15-Liquidity score=35Mkt Cap/GDP=7%,80%-Cap score=7/8=0.9S&P AA-Sov rating score=16Hong KongRaw Tier Score=88.4%Final Tier Rating=1No capital controls=1515%tax rate&incentives=(10-0.1*15)+10=18.5-Accessibility score=33

22、.51.7x turnover=1.7*4=6.85-10bp bid-ask spr=5-Liquidity score=11.8Mkt Cap/GDP=18%,5x turnover score 20;otherwise=turnover*410bpTriple A=20,Double A=16Single A=12,Triple B=8,Double B=0,below=-480%market cap/GDP score 10;otherwise=mkt cap ratio/811Disclaimer:The information contained in this document

23、is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Bond Selection RulesRationaleTo select bonds which are liquid and repre

24、sentative of sovereign and quasi-sovereign bondsMaking PALS readily replicable and useful as a benchmark for private investors and issuersMethodologySovereign BondsOn-the-run issuesQuasi-Sovereign100%state owned/guaranteedUS$100mn min issuance sizeMax 50bp bid-ask or benchmark issueMax 5 issues per

25、issuer name(5 newest issues)12Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or

26、its contents.Final Country Weights13Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this docume

27、nt or its contents.Historical Country Weights14Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of

28、this document or its contents.Index Comparison15Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of

29、 this document or its contents.Pricing Source16Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of

30、this document or its contents.PALS overall performance17Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to th

31、e use of this document or its contents.Performance of PALS country indices18Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoeve

32、r with respect to the use of this document or its contents.PALS Cumulative Performance Table19Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no l

33、iability whatsoever with respect to the use of this document or its contents.PALS Performance-Risk and Return20Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS

34、Bank accepts no liability whatsoever with respect to the use of this document or its contents.Index Rating*Ratings are taken from lowest of the three ratings by Moodys,S&P and Fitch.21Disclaimer:The information contained in this document is intended only for use during the presentation and should no

35、t be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.Annex:Selected Bond List22Disclaimer:The information contained in this document is intended only for use during the presentation and

36、should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.23Disclaimer:The information contained in this document is intended only for use during the presentation and should not be d

37、isseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.24Disclaimer:The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation.DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents.25