mBank Polish Corporate Bond Index

Transcription

Introducing the mBank Polish Corporate Bond Index (mBank PCBI)
Rules and Methodology
Release date: 17th October 2013
Overview
Karol Prażmo, CFA
The mBank Polish Corporate Bond Index has been designed to track the
performance of corporate bonds in Poland. The Index represents
performance on a total-return basis and is based only on liquid and semiliquid bonds which trade on the Catalyst market. Like most corporate bond
indices globally, the mBank PCBI is a market-value weighted Index subject to
monthly rebalancing. Daily historical levels are available from 1st October
2012.
Index Administrator
+48 22 829 1712
[email protected]
Łukasz Gula
Index Administrator
+48 22 438 3613
[email protected]
mBank PCBI is the first index of corporate bonds in Poland.
Ernest Pytlarczyk, CFA
Polish Corporate Bonds on the Catalyst Market
Director – Department of
The Polish corporate bond universe, as measured through the perspective of Economic Analysis
the Catalyst market, has grown rapidly since the beginning of 2011 in both +48 22 829 0166
primary issuance and secondary volumes. Notional of corporate bonds [email protected]
outstanding has grown from PLN 4.6bn at the beginning of 2011 to PLN
24.2bn at the end of September 2013 (excl. BGK, covered bonds, debt of General Index Questions
cooperative banks). In the same time period, the number of issuers placing Monthly Report Requests
bonds in this market has increased more than five-fold, from 25 to 134. [email protected]
Liquidity, as measured by volume and number of trades has increased in
a similar manner. In Q1 2011, there were on average 804 trades per month
totalling 11mm PLN notional. By Q3 2013, number of trades has increased to
4024 per month, with an average monthly volume of 67mm PLN. Though still
low in absolute terms, it should be noted that this is an increase in excess of
400% in both the number and notional of monthly trades, over a period of 33
months. Please see appendix 2 for details. Further, it shall be noted that this
excludes all OTC trades, which are not captured in publicly available data.
There are 34 bonds in the mBank PCBI. Four of these trade exclusively on the
BondSpot platform. The remaining 30 bonds trade either exclusively on GPW
or both on GPW and BondSpot. Bonds trading outside of the Catalyst market
have been excluded as a result of challenges with obtaining secondary
market prices for these bonds.
Data Source
Department of
Economic Analysis
BRE Bank website
brebank.pl/mBankPCBI
Bloomberg
MBANKPCB Index <Go>
BRE Bank SA, 00-950 Warszawa, ul. Senatorska 18, tel. +48 (22) 829 00 00, fax +48 (22) 829 00 33, e-mail: [email protected]
Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 0000025237, NIP: 526-021-50-88.
Według stanu na dzień 01.01.2011 r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi 168.346.696 złotych.
mBank.pl
1
Index eligibility criteria & constraints
Corporate bonds denominated in PLN and from issuers incorporated in Poland are eligible for
inclusion in the Index, provided that they fulfil the criteria outlined below.
1. Currency
The Index only includes bonds denominated in PLN.
2. Instrument Type
The Index includes both fixed and floating rate corporate bonds according to the Catalyst
classification. Bonds with embedded options (i.e. call options and put options) are included. Senior
unsecured and subordinated bonds of financial institutions are included. The following types of
bonds are excluded: convertibles, perpetual, asset backed, covered bonds, zero-coupon bonds, and
inflation linked. Debt of governments (including municipals) as well as government guaranteed debt
is excluded.
3. Market
Bonds need to be listed on the Catalyst market (Warsaw Stock Exchange (GPW) or BondSpot
platforms) to be eligible for inclusion. Bonds on both the regulated market and alternative trading
system (ASO) will be considered.
4. Minimum Size of Bond Issue
In order for a bond to be included in the Index, the outstanding balance must be at least PLN 10mm.
5. Maximum Issuer Exposure
In order to ensure that the Index is properly diversified, the total outstanding balance of all bonds
from one issuer is capped at PLN 100mm, for the purposes of calculating bond weights on a
Rebalancing Date. Where there are several bonds from one issuer eligible for the Index, the Index
Administrator will have sole discretion over which bonds are included as well as the weight of their
relative contribution. The determination will be based on: (i) relative liquidity of the eligible bonds (ii)
remaining time to maturity and (iii) outstanding amount.
6. Maturity
In order to be eligible for inclusion, the original term to maturity (from issue date to legal final) must
be at least 2 years. Further, the remaining time to maturity (from rebalancing date to legal final) must
be at least 6 months and not longer than 10 years.
7. Domicile
The issuer of the bond must be incorporated or have its principal place of business in the Republic of
Poland.
8. Ratings & Treatment of Defaulted Instruments
There are few corporate bonds in Poland with ratings from internationally recognized rating agencies.
Therefore, unlike most international indices, the mBank PCBI will not have rating constraints (for
example minimum rating of BBB-). However, the Index does not aim to include bonds from distressed
or defaulted issuers. In established international indices, these bonds would often be removed
through minimum rating requirements. In the mBank PCBI, the Index Administrator will have the
discretion to remove distressed and defaulted bonds from the Index. Further, bonds from Issuers
mBank.pl
2
which had an event of default or potential default in the two years prior to a rebalancing date may
also be excluded.
9. Price Availability
Bonds which are deemed as sufficiently liquid by the Administrator are eligible for inclusion. The
Index Administrator may also accept other bonds, which are deemed as important from market
representation perspective. The Index valuation process will be similar to the valuation process
followed by TFI managed corporate bonds funds. The Index will utilize the last trade price, which is
the Closing Price. If the Index Administrator determines that the Closing Price for a particular bond is
not representative of the market, then the level will be established on the basis of: (1) mid-price
established on the basis of bid, or bid and offer prices (2) pricing of comparable instruments and (3)
alternative means or judgement of the Index Administrator. If a bond is listed on both GPW and
BondSpot, the Index Administrator will use pricing from the platform where the bond is more liquid.
10. Addition / Removal of Bonds to and from the Index
In order to establish that there is sufficient liquidity, a bond must be listed for at least one full
calendar month in order to be eligible for addition to the Index. It is important to highlight that the
addition and removal of bonds is not automatic, upon satisfaction (or absence thereof) of Index
eligibility criteria and constrains. Addition and removal of bonds will involve the subjective judgment
of the Index Administrator. This is driven by the short history of the Catalyst market and material
volatility in the liquidity of bonds.
mBank.pl
3
Index Maintenance
Rebalancing Date: The universe of potentially qualifying fixed income securities will be evaluated
monthly. The rebalancing will occur after the close of the last trading date of the month on the
Warsaw Stock Exchange. All criteria must be satisfied at every Rebalancing Date.
Additions to the Index: will occur at Rebalancing Dates.
Removals from the Index: will occur at Rebalancing Dates. If the price of a bond becomes unavailable,
the last available price is used for Index calculations.
Frequency of Index Calculations: Daily
Coupon and Principal Payments: Intra-month money from principal and coupon proceeds is held as
cash until the next rebalancing date. At the Rebalancing Date, allocation of the proceeds into the
index constituents.
Other assumptions: Effect of taxes (for example, as a result of coupon payments) is ignored. For the
purposes of Index calculations bonds are assumed to trade T+0. Further, bonds are assumed to trade
with accrued interest at all times. Index Values exclude transaction costs, including bid-offer costs.
Base Date: The Index Base Date is September 28th, 2012. The base value on that date is 100.
Index Construction
Notional
Description
Pi,t
Clean Price, closing price for the Calculation Date
AIi,t
Accrued Interest, up to and including the Calculation Date
Ci,t
PRINi,t
Pi,t-1
AIi,t-1
Coupon Payments received during the month, from the last trading date of the
previous month to the closing on the Calculation Date (inclusive)
Principal Payments received during the month, from the last trading date of the
previous month to the closing on the Calculation Date (inclusive)
Clean Price, closing price on the last trading day of the previous month (last
Rebalancing Date)
Accrued Interest, up to and including the last trading date of the previous month
(last Rebalancing Date)
N
Nominal Outstanding of the bond included in the Index
MTD Total Return (TRi,t)
Month-to-Date return for a given bond, calculated from the close of business of
the last trading day of the previous month to the close of business of the trading
date on which the calculation is made (inclusive)
wi
Weight of a given bond in the Index
MTD Index Total Return
(TRi,t)
Index Level Calculation Date
Index Level Rebalancing Date
Month-to-Date return for the Index, calculated from the close of business of the
last trading day of the previous month to the close of business of the trading date
on which the calculation is made (inclusive)
Index level, as of the close of business on the date on which the calculation is
made
Index level, as of the close of business on the last Rebalancing Date
mBank.pl
4
MTD (month-to-date) bond returns are calculated daily for each of the Index constituents on the
basis of the following equation:
The weight of each bond in the Index is based on the market capitalization of each bond, relative to
the market cap of all bonds in the Index, based on prices including accrued interest. The weights are
calculated on the first trading day of each month, based on the closing prices for the previous month.
The month-to-date Index total return is then calculated from the equation below.
The Index is set at 100 at its inception date of September 28th, 2012. The Index Level represents the
cumulative performance of the bonds in the Index since the date of inception.
Index Publication
The Index will be published in the following manner:
1. Bloomberg: under the ticker: MBANKPCB Index <Go> (updated daily)
2. BRE Bank Website: www.brebank.pl/mBankPCBI (updated weekly)
3. Distributed weekly as a PDF report via email: please send an email to [email protected] or
contact your sales representative to be added to the distribution list.
mBank.pl
5
Index Constituents (as the Rebalancing Date on September 30, 2013)
This table illustrates the frequency of available prices for each of the Index constituents as well as the
weight of each bond in the Index.
Issuer
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
Bank Ochrony Środowiska
Best
Capital Park
Czerwona Torebka
Energa
Fast Finance
Ferratum Capital Poland
Ferro
Getin Noble Bank
Giełda Papierów Wartościowych
Kredyt Inkaso
Kruk SA
Kruk SA
Meritum Bank
Mo-Bruk
Multimedia Polska
MW Trade
OT Logistics
PCC Rokita
PCC Rokita
PCC Rokita
PCC Rokita
PCZ
PCZ
PGE
PGNIG
PKN Orlen
PKN Orlen
PKO Bank Polski
Polnord
Pragma Faktoring
Pragma Faktoring
Presco Group
Robyg
Ticker
BOE1014
BST0516
CAP0715
CZT0416
ENG1019
FFI0315
FRR0514
FRO0416
GNB0218
GPW0117
KRI0116
KRU0317
KRU1216
MRT0421
MBR0814
MMP0520
MWT1115
ODR1114
PCR0416
PCR0517
PCR0615
PCR1014
PCZ0416
PCZ1015
PGE0618
PGN0617
PKN0219
PKN0517
PKO0922
PND0116
PRF0315
PRF1214
PRE0814
ROB0415
TOTAL
Bond
Notional
(PLN mm)
230,00
39,00
100,00
14,61
1 000,00
30,00
28,00
45,00
241,64
245,00
35,00
60,00
40,00
67,20
50,00
1 038,00
34,00
60,00
25,00
25,00
20,00
25,00
10,69
13,00
1 000,00
2 500,00
1 000,00
200,00
1 600,70
26,50
15,00
15,00
30,00
40,00
9 876,83
Base Rate
Spread /
Coupon
% of days with
trades executed
Wibor 6M
Wibor 3M
Wibor 6M
Wibor 6M
Wibor 3M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 3M
Wibor 3M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 6M
Wibor 3M
Wibor 6M
Wibor 6M
Wibor 6M
Fixed
170
470
500
500
150
750
750
550
375
117
550
460
460
580
500
325
440
400
750
680
830
900
1000
1100
70
125
160
150
164
485
450
450
520
890
24%
35%
51%
48%
2%
30%
37%
25%
94%
97%
38%
44%
49%
53%
50%
8%
60%
33%
73%
82%
78%
70%
92%
90%
5%
2%
100%
4%
26%
40%
32%
30%
51%
332
WAS (bps)
nd
st
Please Note: Number of Trading Days equals the lower: (a) number of days between July 2 , 2012 and July 31 , 2013 (b) number of days between
Listing Date and July 31st , 2013. Further, the weighted average spread (WAS) is computed based on the notional of the relevant bond in the Index.
Source: GPW - gpwcatalyst.pl and documents of issuers
mBank.pl
6
Issuer
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
Ticker
Bank Ochrony Środowiska
Best
Capital Park
Czerwona Torebka
Energa
Fast Finance
Ferratum Capital Poland
Ferro
Getin Noble Bank
Giełda Papierów Wartościowych
Kredyt Inkaso
Kruk SA
Kruk SA
Meritum Bank
Mo-Bruk
Multimedia Polska
MW Trade
OT Logistics
PCC Rokita
PCC Rokita
PCC Rokita
PCC Rokita
PCZ
PCZ
PGE
PGNIG
PKN Orlen
PKN Orlen
PKO Bank Polski
Polnord
Pragma Faktoring
Pragma Faktoring
Presco Group
Robyg
Notional in
Index (PLN mm)
BOE1014
BST0516
CAP0715
CZT0416
ENG1019
FFI0315
FRR0514
FRO0416
GNB0218
GPW0117
KRI0116
KRU0317
KRU1216
MRT0421
MBR0814
MMP0520
MWT1115
ODR1114
PCR0416
PCR0517
PCR0615
PCR1014
PCZ0416
PCZ1015
PGE0618
PGN0617
PKN0219
PKN0517
PKO0922
PND0116
PRF0315
PRF1214
PRE0814
ROB0415
TOTAL
Date of inclusion
Maturity
Years to
Maturity
2012-09-28
2013-06-28
2012-10-31
2013-07-31
2013-02-28
2012-09-28
2012-09-28
2012-09-28
2012-09-28
2012-09-28
2012-09-28
2013-07-31
2013-04-30
2013-08-30
2012-09-28
2013-07-31
2013-03-29
2012-09-28
2013-06-28
2013-07-31
2013-03-29
2012-11-30
2013-07-31
2013-01-31
2013-09-30
2012-09-28
2012-09-28
2013-07-31
2013-04-30
2013-07-31
2013-05-31
2012-09-28
2012-09-28
2012-09-28
2014-10-04
2016-05-28
2015-07-09
2016-04-15
2019-10-18
2015-03-23
2014-05-23
2016-04-04
2018-02-23
2017-01-02
2016-01-02
2017-03-07
2016-12-06
2021-04-29
2014-08-12
2020-05-10
2015-11-06
2014-11-28
2016-04-15
2017-05-28
2015-06-18
2014-10-03
2016-04-15
2015-10-31
2018-06-27
2017-06-19
2019-02-27
2017-05-28
2022-09-14
2016-01-22
2015-03-06
2014-12-12
2014-08-23
2015-04-18
1,0
2,7
1,8
2,5
6,1
1,5
0,6
2,5
4,4
3,3
2,3
3,4
3,2
7,6
0,9
6,6
2,1
1,2
2,5
3,7
1,7
1,0
2,5
2,1
4,7
3,7
5,4
3,7
9,0
2,3
1,4
1,2
0,9
1,5
WAL
3,65
100,00
39,00
100,00
14,61
100,00
30,00
28,00
18,49
100,00
100,00
35,00
60,00
40,00
67,20
50,00
100,00
34,00
60,00
25,00
25,00
20,00
25,00
10,69
13,00
100,00
100,00
25,00
75,00
100,00
26,50
15,00
15,00
30,00
40,00
1 721,49
th
Please Note: The weighted average time to maturity in years (WAL) as of September 30 , 2013.
1.
2.
3.
KRU0317: On 31 July 2013, bond series: KP30317 (ISIN: PLKRK0000234) and KRU0317 (ISIN: PLKRK0000226) has been assimilated. Bonds are coded
under one ISIN: PLKRK0000226. The current outstanding value of KRU0317 series is 60mm PLN (KDPW, Resolution No. 566/13).
KRU1216: On 30 April 2013, bond series: KP11216 (ISIN: PLKRK0000218) and KRU1216 (ISIN: PLKRK0000200) has been assimilated. Bonds are
coded under one ISIN: PLKRK0000200. The current outstanding value of KRU1216 series is 40mm PLN (KDPW, Resolution No. 297/13).
FRO0416: Ferro SA repurchased 26 515 bonds for redemption. The current outstanding value of FRO0416 is 18.485mm PLN.
Source: GPW - gpwcatalyst.pl and documents of issuers
Changes in Index Constituents
1
2
3
Issuer
Ticker
Developer 1
Developer 2
Multimedia Polska
X
X
MMP0617
Notional in
Index (PLN mm)
30,00 – 50,00
10,00 – 30,00
100,00
Date of
inclusion
Date of
exclusion
Notes
2012-06-29
2012-10-31
2012-07-31
2013-03-28
2013-03-28
2013-07-31
Distressed
Distressed
Replaced by MMP0520
mBank.pl
7
Appendix 1: Proportion of primary issuance & secondary market trades which can be
attributed to Index constituents.
Index Constituents Share of the Catalyst market
(Corporate bonds only, excluding BGK, covered bonds and co-op banks; %)
25%
20%
15,7%
15%
10%
16,1%
16,0%
16,1%
17,1%
16,7%
17,6%
17,2%
18,1%
19,4%
19,4%
11,7%
11,5%
14,2%
7,2%
8,1%
8,2%
7,9%
8,2%
8,4%
8,6%
9,1%
9,1%
9,7%
5%
0%
10.2012 11.2012 12.2012 01.2013 02.2013 03.2013 04.2013 05.2013 06.2013 07.2013 08.2013 09.2013
Issuers
Bond series
Source: WSE - gpwcatalyst.pl
Index Constituents Share of Electronic Order Book Trades on Catalyst
(Based on volume of trades, Corporate bonds only, excluding BGK, covered
bonds and co-op banks; %)
70%
60,6%
60%
50,0%
50%
40%
33,7%
35,7%
36,4%
38,2%
30,2%
36,5%
30%
20%
37,4%
33,0%
21,5%
22,3%
10%
0%
10.2012 11.2012 12.2012 01.2013 02.2013 03.2013 04.2013 05.2013 06.2013 07.2013 08.2013 09.2013
mBank.pl
8
Appendix 2: Polish Corporate Bond Market (Primary & Secondary Market Data)
Primary market for Polish corporate bonds has increased more than 400% since Q1 2011
(Polish corporate bonds on Catalyst market, excluding BGK, covered bonds, debt of co-op banks)
30 000
350
300
25 000
250
20 000
200
15 000
150
10 000
100
5 000
Total debt issuance (mm PLN; LHS)
Number of Issuers (RHS)
0
09-13
08-13
07-13
06-13
05-13
04-13
03-13
02-13
01-13
12-12
11-12
10-12
09-12
08-12
07-12
06-12
05-12
04-12
03-12
02-12
01-12
12-11
11-11
10-11
09-11
08-11
07-11
06-11
05-11
04-11
03-11
02-11
01-11
0
50
Number of series (RHS)
Secondary market volumes have also increased more than 400% since Q1 2011
(Polish corporate bonds on Catalyst market, excluding BGK, covered bonds, debt of co-op banks)
Turnover value (mm PLN; LHS)
09-13
08-13
07-13
06-13
05-13
04-13
03-13
02-13
01-13
12-12
11-12
10-12
09-12
0
08-12
500
07-12
10
06-12
1 000
05-12
20
04-12
1 500
03-12
30
02-12
2 000
01-12
40
12-11
2 500
11-11
50
10-11
3 000
09-11
60
08-11
3 500
07-11
70
06-11
4 000
05-11
80
04-11
4 500
03-11
90
02-11
5 000
01-11
100
0
Number of trades (RHS)
mBank.pl
9
Appendix 3: Historical Index Constituents
mBank.pl
10
DISCLAIMER – PLEASE READ CAREFULLY
mBank PCBI as well as information related to the mBank PCBI are only informational and promotional
purposes and do not include neither binding opinions nor advice and investment recommendation,
thus are not basis for any claims or requests towards the Bank. The information presented is not a
public offering in the understanding of the civil code or the Act on Public Offerings. The Bank does
not accept liability for any damage arising from the usage of the information service. Investing in
financial instruments carries risk and does not guarantee realization of the investment plan or
expected return. Potential loss of principal and/or interest should be taken into account. A detailed
description of risk factors is included in the documents determining terms and conditions of each
issue, including the prospectus or the information memorandum where available. These documents
are available at www.gpwcatalyst.pl/dokumenty_informacyjne. The Bank is active both in the field of
corporate bonds issues and trading bonds on the secondary market. These bonds may be included in
the Index. The Bank does not offer the mBank PCBI as an investment product, nor does the Bank
offer products which use mBank PCBI as a benchmark. The Index history begins on 1 October 2012
(Index base date: 28 September 2012) as a result of low liquidity in corporate bonds prior to this
date. Liquidity remains a challenge in the corporate bond market in Poland. The data presented in
mBank PCBI refers to historical results and the past results do not guarantee future returns. mBank
PCBI does not include fees, commissions, taxes and other burdens that may occur during the
acquisition and sale of corporate bonds. The Bank does not perform credit analysis on the
constituents of the Index. The Index results are a simulation only, which may not be achieved as a
result of illiquidity, size and depth of the market. The Bank may trade bonds included and excluded
from the mBank PCBI. The Bank is active as an arranger of corporate bonds in the primary market.
The mBank PCBI does not include all corporate bonds in the market, but only those which in the
opinion of the Bank are the most liquid or those which are important from the perspective of the
overall market. Addition and removal of bonds from the Index is not automatic (solely on the basis of
fulfilling the eligibility criteria & constraints) but requires subjective judgment of the Bank. This is the
effect of the short history of the Catalyst market as well as material and frequent changes to the
liquidity of bonds. Risks associated with investing in corporate bonds include but are not limited to:
default risk of the issuer, low recovery in the event of default and illiquidity. The data source for the
construction of the Index is gpwcatalyst.pl and the documents of the issuers.
Complaints about mBank PCBI and information related to mBank PCBI can be submitted
electronically via email to the following address: "[email protected]". The filing
should identify the person submitting the complaint (first name / last name, name of firm, e-mail
address) and a description of the event giving rise to the complaint. The Bank shall deal with
complaints as soon as possible, in a time frame which should not exceed 30 days from the date of its
submission. In justified cases an extension beyond 30 days may occur, provided that the complaining
party is notified in this time period, that an investigation is being conducted and the expected date of
response. Final date for responses should be no longer than 90 days from the date when the
complaint was filed with the Bank. After investigating the complaint the Bank immediately responds
by e-mail to the address indicated in the complaint, with notification of the outcome of the complaint
procedure.
If you wish to opt out of receiving mBank PCBI and information related to mBank PCBI, please send
an email to the following address: "[email protected]" with your statement of resignation from
this service. Your email should contain your first name, last name, company name and email address.
mBank.pl
11

mBank Polish Corporate Bond Index

Transcription

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