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时间:2019-10-17
《星展泛亚洲当地货币国家债券指数》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、4thJuly2004DBS-PALSDBSPan-AsianLocalSovereignBondIndex星展泛亚洲当地货币国家债券指数顾问:陈国辉副教授南洋理工大学提供衡量债券市场表现的基准利用指数创造投资基金为信贷定价债券指数有何作用?2星展的债券指数家族SGDBondsHKDBondsChinaHongKongIndonesiaAsianLocalCurrencyBondsEFN(DBSHINDX)HK15INDX1-5YHK+5INDX+5YQuasi(SQBI)KoreaMalaysiaPhilippinesThailandSingaporeDBS-P
2、ALSSGBI1-5YSGBI+5YSGBIBenchmarkSQBIAgencySQBIGLCSCBI1-5YSCBI+5YSCBIForeignGovt(SGBI)Corp(SCBI)SQBIGLC+SCBIComposite2002年6月1999年1月2004年6月3DBS-PALS的基本原则广泛(Comprehensive)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(accessibility),流动性(liquidity),发售量(size)and国家评级(sovereignprofile)透明(Transparent)明确的规则一致的
3、挑选标准可复制(Replicable)收入基准债券(On-the-runorbenchmark)最低流动性及发售量客观与独立(Objective)4国家重量CountryWeights分散比率(DiversificationRatio)选择债券SelectingBonds国家等级CountryTierRatingCountryAdjustmentFactor(AF=IRxTR)GovtBonds–on-the-runissuesQuasiBonds–ownership,sizeandliquiditycriteriaCountryMarketWeights(MW)
4、=totalmarketcapofselectedbondsPALSCountryAllocationWeights=AFxMW建立DBS-PALS的流程5CountryDiversificationRulesRationaleTobroadendiversificationintoall8EMEAPmarketsinordertoavoidlargemarketsoverwhelmingsmalleronesByassigningsmallerinclusionratiosforlargermarkets,andlargerinclusionratiosfors
5、mallermarkets6CountryDiversificationRulesMethodologyObtain25-,50-,75-&95-percentilesfromrangeofbondstocksof8countriesAdjusteachcountry’sbondstockasfollows:first25%,include100%next25%,include75%next25%,include50%next20%,include25%remaining5%,include5%Eachcountry’sInclusionRatio(IR)=adj
6、ustedbondstock/actualoutstandingstock7CountryDiversificationRulesSources:IMF&BankIndonesia(Indonesiadata),BIS(others)8CountryDiversificationRulesExamplesSizesofEMEAP-8bondstocksrangefromUS$4.9bn(HK)toUS$243bn(China),settingthe25-,50-,75-&95-percentilesatUS$20bn,US$30bn,US$60bn&US$195b
7、n.Actualstock=US$5bnAdjustedstock=100%x$5bn=US$5bnHongKong’sInclusionRatio(IR)=$5bn/$5bn=100%Actualstock=US$47.5bnAdjustedstock=100%x$20bn+75%x$(30-20)bn+50%x$(47.5-30)bn=US$35.1bnIndonesia’sInclusionRatio(IR)=$35.1bn/$47.5bn=73.8%Actualstock=US$243bnAdjustedstock=100%x$20bn+75%x$(30-
8、20)bn
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