The Growing Importance of Fixed Income Analytics

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1 Trusted by the Market. Driven by You. The Growing Importance of Fixed Income Analytics Susan Y. Lin Managing Director Regional Head, Asia Pacific The Yield Book and Citi Fixed Income Indices Citigroup Global Markets April 2013 Investment Operations and Custody Conference Shanghai, China

2 Overview European sovereign crisis has changed the way investors think of sovereign bond markets. While emerging bond markets and other fixed income asset types may seem to be good investment targets, there are many challenges. When managing fixed income portfolios, risk management should be a discipline throughout the portfolio management process. Use of various portfolio analytics on one sample strategy to demonstrate how to evaluate risks. The Growing Importance of Fixed Income Analytics 2

3 Fixed Income vs Equity Which asset class has better returns? Gross Returns (%) in USD, Unhedged Annualized Returns Std Dev Citi WorldBIG MSCI World Gross Returns (%), in USD, Unhedged Last 1 Year Last 3 Year Last 5 Year Last 10 Year Citi WorldBIG MSCI World Comparisons of Fixed Income and Equity Broad Benchmarks Cumulative returns from January 2003 to December 2012 Cumulative Returns Source: Citigroup Index LLC and MSCI Inc. Data as of December 31, The Growing Importance of Fixed Income Analytics 3

4 Fixed Income Sovereign Markets: Index Profiles Markets tracked by Citi Fixed Income Indices Developed markets: 26 countries Developed Markets # of Issues Market Value (USD, billion) Quality YTM United States AA Japan AA France AA Italy BBB Germany AAA 0.75 United Kingdom AAA 1.73 Spain BBB Canada AAA 1.52 Netherlands AAA 1.07 Belgium AA 1.51 Korea AA Austria AA Australia AAA 3.12 Taiwan AA Denmark AAA 0.91 Ireland BBB Portugal BB 4.78 Sweden AAA 1.42 Finland AAA 0.9 Singapore AAA 0.97 Switzerland AAA 0.32 Israel AA New Zealand AA Norway AAA 1.55 Czech Republic AA 1.32 Hong Kong AAA , AA 1.26 Emerging markets: 17 countries Emerging Markets # of Issues Market Value (USD, billion) Quality YTM China AA India BBB Mexico A Poland A 3.41 South Africa A Thailand A Malaysia A 3.26 Brazil A Colombia BBB+ 4.3 Indonesia BBB Turkey BBB Russia BBB Philippines BB Hungary BB 5.25 Peru BBB Chile AA Sri Lanka B , A Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 4

5 Fixed Income Sovereign Markets: Developed vs. Emerging Markets Definition of Emerging Markets Currency Breakdown within the Markets World Bank income group: low / middle income IMF non-advanced countries GBP, 5.22% Others, 7.83% EUR, 29.53% Developed Markets 90.87% USD 20, billion Emerging Markets 9.13% USD 2, billion JPY, 28.35% PLN, 5.52% THB, 4.08% ZAR, 4.29% Others, 25.99% MXN, 7.77% USD, 29.08% CNY, 33.08% INR, 19.27% Note: Amounts exclude bonds <1yr maturity and below specific outstanding amounts. Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 5

6 Historical Debt / GDP (%) Comparisons of Historical Debt / GDP across Global Markets 250 Reference level for entering EMU is 60% Canada France Germany Italy Japan UK US Source: IMF The Growing Importance of Fixed Income Analytics 6

7 Trends of G7 Sovereign Markets Yield to Maturity of G7 Countries Ratings of G7 Countries Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan Source: Citigroup Index LLC. Data as of March 01, The Growing Importance of Fixed Income Analytics 7

8 Eurozone crisis has lead to consideration of Alternative Weighted Indices (instead of market capitalization weighting) Reduce weights on developed markets including Japan, Eurozone Citi RAFI Bond Index Series uses the following fundamental factors: GDP broad measures of economic size and proxy for capital base Population measures labor force Land proxy for natural resources Energy Consumption proxy for technological sophistication and ability to leverage capital, labor, and resources Non-Euro Indices Asia USD and local currency denominated bonds Emerging markets WGBI Country Characteristics Country Weight (%) S&P Rating Moody s Rating YTM OAS (bps) United States AA+ Aaa Japan AA- Aa France 7.11 AA+ Aa Italy 6.61 BBB+ Baa Germany 6.31 AAA Aaa United Kingdom 5.29 AAA Aa Spain 3.33 BBB- Baa Canada 1.95 AAA Aaa Netherlands 1.92 AAA Aaa Belgium 1.84 AA Aa Austria 1.25 AA+ Aaa Australia 1.16 AAA Aaa Mexico 0.79 A- Baa Denmark 0.60 AAA Aaa Ireland 0.56 BBB+ Ba Poland 0.56 A A Sweden 0.46 AAA Aaa Finland 0.44 AAA Aaa South Africa 0.44 A- Baa Malaysia 0.41 A A Singapore 0.28 AAA Aaa Switzerland 0.27 AAA Aaa Norway 0.23 AAA Aaa Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 8

9 Trends of European Sovereign Markets Spread for European Countries Jan-99 Jun-99 Nov-99 Apr-00 Sep-00 Feb-01 Jul-01 Dec-01 May-02 Oct-02 Mar-03 Aug-03 Jan-04 Jun-04 Nov-04 Apr-05 Sep-05 Feb-06 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 France Germany Italy Spain Ireland Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 9

10 Interests in EM Sovereign Markets Low yield environment and European sovereign crisis have lead to strong interests in Emerging Markets sovereign markets. However Governments often introduce taxes and forms of capital controls to limit the accessibility of bond markets Brazil: IOF* tax of 6% on inflows of money Country Purchase Local Bonds Non- Resident Access Withholding Taxes Capital Gain Tax Interest Income Tax Malaysia No Limit Yes No N/A N/A Indonesia No Limit Yes Yes 20% 20% Philippines No Limit Yes Yes N/A 20% Thailand No Limit Yes Yes 15% N/A China Limited via QFII Yes 5% N/A India Limited via FII Yes N/A 20% Sri Lanka Limited Yes Yes N/A 15% Peru No Limit Yes Yes N/A % Colombia No Limit Yes Yes 10-33% 14-33% Chile No Limit Yes Yes 35% 4-35% Mexico No Limit Yes No N/A N/A Brazil No Limit Yes No N/A N/A Public Debt to GDP Ratio (%) Malaysia Thailand China India Colombia Mexico Brazil * IOF, defines as Financial Transaction Tax, is a federal tax levied on credit applications, foreign exchange and insurance. Note: 2012 Estimate data. Source: IMF The Growing Importance of Fixed Income Analytics 10

11 Index Snapshot What is a realistic target return for different fixed income sectors? How much yield pick up is there by investing in non-sovereign investment-grade bonds? USD Bond Indices Quality Index Name No. of Issues Market Value (USD, Billion) Duration IG USD Broad Investment Grade Index 5,800 15, /4 IG, 1/4 HY Asian Broad Bond Index % IG, 40% HY Emerging Sovereign Government Bond Index HY US High Yield Market Index 1, Yield Multiple / Local Currency Indices IG World Government Bond Index , % HY Asian Government Bond Index % HY Asian Government Extended Bond Index 428 1, IG World Broad Investment Grade Index 7,609 34, /3 IG, 1/3 HY Dim Sum Bond Index Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 11

12 Asian Fixed Income Bond Markets Asian Government Bond Index (AGBI) Provides investors with a benchmark for performance measurement for the local Asian market. AGBI-Extended Expands the coverage ofthe AGBI markets with additional markets: China, India, Taiwan, Hong Kong and Sri Lanka. Asian Broad Bond Index (ABBI) Provides a comprehensive measure for the Asia fixedincome market across various asset classes and credit spectrum. Dim Sum (Offshore CNY) Bond Index Measures the performance of Chinese Yuandenominated Dim Sum bonds issued and settled outside Mainland China Comparisons of Asian sectors to global markets Cumulative Returns (USD Unhedged) October 2008 to March ABBI WGBI AGBI WorldBIG 80 Oct-08 May-09 Dec-09 Jun-10 Jan-11 Jul-11 Feb-12 Aug-12 Mar-13 Dim Sum Bond Index introduction to the market Cumulative Returns in various currencies January 2011 to March USD RMB JPY EUR 90 Nov-10 Feb-11 Jun-11 Sep-11 Dec-11 Apr-12 Jul-12 Oct-12 Jan-13 May-13 Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 12

13 Dim Sum Bond Markets The Dim Sum bond market has grown at a significant rate in 2013 with the outstanding size of the market reaching CNY 335 billion; the YTD issuance size in 2013 is CNY 68 billion. Yield Difference (CNY-CNH) Yield difference (as shown in the line graph on the right) at short end of curve was tightened this year. Curve movement at long end follows similar pattern with less volatility. Taiwan's central bank (CBC) signed MOU with People's Bank of China to establish CNY clearing in Taiwan at the end of 2012, the market is expecting Taiwan to become another offshore CNY bond market in a foreseeable future. SAFE is aggressively loosening its currency control, the approved QFII amount has reached USD 41.7 billion. Additionally, the approved RQFII amount has reached CNY 70 billion as of April Dim Sum Bond Index Profile Month & Year Issues Par (Billion) IG* % HY*% & NR*% WAL YTM Apr Jan Oct Jul Apr Jan Oct Jul Apr Jan * IG = Investment-Grade, HY High Yield, NR Non-rated. Source: Citigroup Index LLC. Data as of April 01, The Growing Importance of Fixed Income Analytics 13

14 Analysis in Portfolio Management Process The Growing Importance of Fixed Income Analytics 14

15 Risk Analysis in the Portfolio Management Cycle Analysis Summary Individual security analysis Portfolio risk reporting Analyzing Tools Scenario analysis Optimization Return attribution On Track? Scenario Analysis Profile Comparison Tracking error Value at Risk Return Attribution Tracking Error Test Adjust the Portfolio? Why? Transact Optimizer Ex Post Ex Ante The Growing Importance of Fixed Income Analytics 15

16 Portfolio Issues Report Risk Profile Multi-currency Portfolio Issues Report Source: The Yield Book. The Growing Importance of Fixed Income Analytics 16

17 Portfolio Benchmark Tracking Report Multi-currency Benchmark Comparison Report Source: The Yield Book. The Growing Importance of Fixed Income Analytics 17

18 Portfolio Report Package a) b) c) Source: The Yield Book. The Growing Importance of Fixed Income Analytics 18

19 Scenario Analysis What is Scenario Rate of Return? Projected returns over a specific time period given a beginning price, ending price, and cash flows during the time period. User specifies the direction of interest rates, volatility, prepayments for mortgages, and how a bond will be priced at some time in the future. What can you analyze? Single Securities, Trades, Portfolios, and Indexes What calculations can you get from the analysis? Performance measures (projected returns) Horizon measures (OAS, duration, and more at the end of the period) Risk measures (percentage price change by shifting various inputs) Projected cash flows from a bond or portfolio and versus liabilities The Growing Importance of Fixed Income Analytics 19

20 Scenario Summary Report Scenario Summary Report (Horizon: 1 Month) Source: The Yield Book. The Growing Importance of Fixed Income Analytics 20

21 Tracking Error / VaR Methodology The goal of the model is to accurately model the multivariate distribution of risk factors Predicting a wide range of percentiles (not only extreme tails) Computationally efficient Distribution of returns based on 10,000 simulations of changes in risk factors 1. Identify risk factors for each security grouping 2. Use PCA for efficient computation 3. Construct covariance matrix of risk factors (rates, spreads, volatilities, etc.) 4. Simulate correlated returns consistent with the covariance matrix 5. Aggregate returns of all securities to obtain portfolio price distribution The Growing Importance of Fixed Income Analytics 21

22 Tracking Error / VaR Report Source: The Yield Book. The Growing Importance of Fixed Income Analytics 22

23 Return Attribution The Return Attribution Model calculates and identifies the sources of return for fixed income securities, trades, portfolios (including dynamic portfolios), and indices. Return Attribution Portfolio managers can quantify how their sector and security decisions contribute to performance. Multi-currency managers can evaluate the impact of their currency hedging decisions Local Currency Return Inter-Currency Return (Multi-Currency Portfolio) Returns are dissected into key factors such as: Yield curve decisions Roll down Parallel shifts Reshaping Excess spread over swap or government curve Volatility changes Prepayments Currency effects including hedging Curve Return (Govt Return) Spread Return Sector Selection A benchmark is needed Issue Selection The Growing Importance of Fixed Income Analytics 23

24 Spread Return Changes in the last 10 Years Spread return for treasury market is typically close to ZERO US Corporates vs US Treasury from February 2003 to February While the above statement remained true before the financial crisis, some European sovereign markets started to behave like Corporate markets after France Germany Italy Spain Source: Citigroup Index LLC. Data as of March 01, The Growing Importance of Fixed Income Analytics 24

25 Return Attribution: Portfolio vs Benchmark Source: The Yield Book. The Growing Importance of Fixed Income Analytics 25

26 Return Attribution: Portfolio vs Benchmark Multi-currency Benchmark Comparison Report Source: The Yield Book. The Growing Importance of Fixed Income Analytics 26

27 Disclaimer In any instance where distribution of this communication is subject to the rules of the US Commodity Futures Trading Commission ( CFTC ), this communication constitutes an invitation to consider entering into a derivatives transaction under U.S. CFTC Regulations 1.71 and , where applicable, but is not a binding offer to buy/sell any financial instrument. This communication is prepared by a member of the Sales and Trading Department of Citi which distributes this communication by or through its locally authorised affiliates (collectively, Citi ). Sales and Trading Department personnel are not research analysts, and the information in this communication ( Communication ) is not intended to constitute research as that term is defined by applicable regulations. Unless otherwise indicated, any reference to a research report or research recommendation is not intended to represent the whole report and is not in itself considered a recommendation or research report. All views, opinions and estimates expressed in this Communication (i) may change without notice and (ii) may differ from those views, opinions and estimates held or expressed by Citi or other Citi personnel. This Communication is provided for information and discussion purposes only. Unless otherwise indicated, (i) it does not constitute an offer or recommendation to purchase or sell any financial instruments or other products, (ii) it does not constitute a solicitation if it is not subject to the rules of the CFTC (but see discussion above regarding communication subject to CFTC rules) and (iii) it is not intended as an official confirmation of any transaction. Unless otherwise expressly indicated, this Communication does not take into account the investment objectives or financial situation of any particular person. Recipients of this Communication should obtain advice based on their own individual circumstances from their own tax, financial, legal and other advisors before making an investment decision, and only make such decisions on the basis of the investor's own objectives, experience and resources. The information contained in this Communication is based on generally available information and, although obtained from sources believed by Citi to be reliable, its accuracy and completeness cannot be assured, and such information may be incomplete or condensed. Citi often acts as an issuer of financial instruments and other products, acts as a market maker and trades as principal in many different financial instruments and other products, and can be expected to perform or seek to perform investment banking and other services for the issuer of such financial instruments or other products. The author of this Communication may have discussed the information contained therein with others within or outside Citi and the author and/or such other Citi personnel may have already acted on the basis of this information (including by trading for Citi's proprietary accounts or communicating the information contained herein to other customers of Citi). Citi, Citi's personnel (including those with whom the author may have consulted in the preparation of this communication), and other customers of Citi may be long or short the financial instruments or other products referred to in this Communication, may have acquired such positions at prices and market conditions that are no longer available, and may have interests different from or adverse to your interests. Investments in financial instruments or other products carry significant risk, including the possible loss of the principal amount invested. Financial instruments or other products denominated in a foreign currency are subject to exchange rate fluctuations, which may have an adverse effect on the price or value of an investment in such products. No liability is accepted by Citi for any loss (whether direct, indirect or consequential) that may arise from any use of the information contained in or derived from this Communication. Past performance is not a guarantee or indication of future results. Any prices provided in this Communication (other than those that are identified as being historical) are indicative only and do not represent firm quotes as to either price or size. You should contact your local representative directly if you are interested in buying or selling any financial instrument or other product or pursuing any trading strategy that may be mentioned in this Communication. Although Citibank, N.A. (together with its subsidiaries and branches worldwide, "Citibank") is an affiliate of Citi, you should be aware that none of the financial instruments or other products mentioned in this Communication (unless expressly stated otherwise) are (i) insured by the Federal Deposit Insurance Corporation or any other governmental authority, or (ii) deposits or other obligations of, or guaranteed by, Citibank or any other insured depository institution. IRS Circular 230 Disclosure: Citi and its employees are not in the business of providing, and do not provide, tax or legal advice to any taxpayer outside of Citi. Any statements in this Communication to tax matters were not intended or written to be used, and cannot be used or relied upon, by any taxpayer for the purpose of avoiding tax penalties. Any such taxpayer should seek advice based on the taxpayer s particular circumstances from an independent tax advisor. Citi specifically prohibits the redistribution of this Communication in whole or in part without the written permission of Citi and Citi accepts no liability whatsoever for the actions of third parties in this respect. Copyright 2013 Citigroup Inc. and/or its affiliates. All rights reserved. CITI, CITI and Arc Design, CITIBANK and CITIGROUP are trademarks and service marks of Citigroup Inc. and/or its affiliates and are used and registered throughout the world The Yield Book Inc. All rights reserved. The Yield Book is a registered service mark of The Yield Book Inc. and is registered in the U.S. and other countries. The Growing Importance of Fixed Income Analytics 27

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