Factsheet: Asian Local Bond Index (ALBI)-Fixed Income · The HSBC Asian Local Bond Index (ALBI) ......
Transcript of Factsheet: Asian Local Bond Index (ALBI)-Fixed Income · The HSBC Asian Local Bond Index (ALBI) ......
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The HSBC Asian Local Bond Index (ALBI) tracks the total
return1 performance of liquid bonds, denominated in local currencies, in China, Hong Kong, India, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan and Thailand
Non-government bond issues, which account for more than half of the ALBI in terms of total number of issues, are included in our China offshore, Hong Kong SAR, Malaysia, Singapore and Thailand sub-indices
The index constituents’ selection criteria for each country and country weightings for the ALBI are set to balance the desire for liquidity and stability
While each individual local bond index is designed to serve the needs of both domestic and external investors, the ALBI is created to serve the needs of the latter investor base for a regional benchmark index for domestic bond markets and to assist their global asset allocation decisions
Local domestic capital markets continue to generate robust interest, both domestically and
internationally. We have witnessed strong growth in this segment of the market, as
evidenced by the growth of liquidity and strength. Understanding the important role that
debt capital markets play, governments in the region have continued to push forward with
the development of local currency debt markets. Therefore, it is not surprising that there is
a growing need from onshore and offshore investors for a robust benchmark index.
Consequently, we continue to see a growing investor base that tracks our ALBI on a
regular basis. Since the inception of the ALBI, not only has the investor base that follows
this index grown, but the size of the index has grown as well.
The ALBI tracks the US dollar total return performance of liquid domestic bonds,
denominated in local currencies, in China, Hong Kong, India, Indonesia, Korea, Malaysia,
the Philippines, Singapore, Taiwan and Thailand. It complements our Asian Dollar Bond
Index (ADBI), which tracks the performance of liquid external debt in Asia ex Japan.
______________________________________ 1 Total return defined as the sum of local currency capital and accrual returns plus FX returns, stated in USD
5 December 2013
Factsheet: Asian Local Bond Index (ALBI)
Fixed Income Asia
Louisa Lam Analyst The Hongkong and Shanghai Banking Corporation Limited + 852 2822 4527 [email protected]
Kelly Fu Credit Associate The Hongkong and Shanghai Banking Corporation Limited + 852 3941 7066 [email protected]
Zhi Ming Zhang Head of China Research The Hongkong and Shanghai Banking Corporation Limited +852 2822 4523 [email protected]
View HSBC Global Research at: http://www.research.hsbc.com
Issuer of report
The Hongkong and Shanghai Banking Corporation Limited
Disclaimer & Disclosures. This report must be read with the disclosures and the analyst certifications in the Disclosure appendix, and with the Disclaimer, that form part of it.
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At the moment, many aspects of Asian local and external debt markets are distinctly different. The
difference ranges from type of issuer, tenor of issue, liquidity, tax treatment, ease of transaction, ease and
risk of currency conversion, and difference in investment base, all of which contribute to the difference in
the risk/reward profile of the two markets. Table 1 summarises the differences in performance between
the ALBI and ADBI over a one-year horizon. The sizeable difference suggests the uniqueness of Asian
local bonds and that the efficiency frontier would be expanded by adding Asian local currency
denominated bonds into a global bond portfolio. Barring capital restrictions, the significant difference in
total returns also suggests lack of onshore/offshore cross-market activity.
The ALBI is calculated daily, based on the weighted returns of each individual local index. The selection
criteria for each local index constituent are determined according to the current market infrastructure and
secondary market activities in each local centre (see below for more details on each local sub-index).
1. ALBI versus ADBI , relative performance over one year as of 2 December 2013
ALBI (local currency return) ALBI (USD return) ADBI (USD return) Difference in USD %
China Onshore -0.11% 2.10% n.a. n.a. China Offshore 4.26% 6.51% -1.15% 7.66% Hong Kong SAR -1.64% -1.67% 0.79% -2.46% India 2.53% -9.85% 0.49% -10.35% Indonesia -14.16% -29.82% -12.13% -17.69% Korea 0.13% 2.61% 1.05% 1.56% Malaysia 1.52% -3.87% -0.94% -2.92% Philippines 8.85% 1.76% -5.43% 7.19% Singapore -2.14% -4.62% -0.47% -4.16% Taiwan -2.22% -3.87% n.a. n.a. Thailand 1.64% -3.17% -2.58% -0.59% Mongolia n.a n.a -7.03% n.a. Sri Lanka n.a n.a -3.86% n.a. Pakistan n.a n.a 19.19% n.a. Total (in USD)* -4.89% -4.89% -2.16% -2.73%
* The overall ALBI is measured in USD Source: HSBC
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The determination of country weightings for the ALBI An ideal index should be broadly representative, liquid (replicable) and stable. Although the quality of an index
is ultimately determined by the quality of the underlying securities and market structures, index construction
rules do affect the quality of an index. A majority of the local bond markets represented by the ALBI are in
their infancy. Therefore, the need for balancing representativeness, liquidity and stability is challenging but
important. For example, passively managed funds and insurance companies would put more weight on the
stability of index composition, while actively managed funds and securities houses care more about liquidity in
terms of low transaction costs and speedy execution, for both current and future investments.
The weightings of individual bonds in each local index are determined by their market capitalisation. However,
their respective country weightings in the ALBI, which are reviewed annually by HSBC, affect their final
weightings in the ALBI. Because the local bond market structures vary so dramatically across each country,
standard metrics, such as total market size or market capitalisation of each local index, fail to provide an
approximation of investment opportunities readily available to international investors. For example, the size of
the Hong Kong SAR bond market and the market capitalisation of the Hong Kong SAR index are small
relative to the tradable amount available to most international investors in comparison with other countries.
China provides an opposite case in which the local bond market is virtually closed to external investors, yet the
size of its bond market dwarfs most of the others.
HSBC sets the country weightings for the ALBI to provide a bond portfolio that defines the market of
developing Asian local currency bonds available to international investors. The weightings of each, subject to
annual review, are derived based on the following factors:
Total size of each domestic debt market and the total market capitalisation of each country index.
Liquidity of the secondary bond market in each country, measured by bid-offer spreads, daily turnovers,
and availability of price quotes.
Accessibility to foreign investors in terms of currency convertibility, withholding taxes, ease of setting up
and operating foreign-owned investment funds, ease of repatriating of funds and profits.
Development of infrastructure conducive for fixed-income investments and trading, such as availability of
domestic benchmark yield curves, interest rate derivative products (swaps and futures) and the
availability of reliable credit rating systems for non-government issues.
As of 2 December 2013, the country weightings are as follows:
2. ALBI country weights as of 2 December 2013
Country Weight, %
China Onshore 7.9% China Offshore 3.8%Hong Kong SAR 12.9%India 5.7%Indonesia 9.3%Korea 18.9%Malaysia 10.4%Philippines 6.3%Singapore 15.0%Taiwan 2.2%Thailand 7.6%
Source: HSBC
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FX rates
FX spot rates are captured at around 17:30-18:00 HKT during index valuation, sourced from Reuters and
Bloomberg based on details indicated in the table below.
Rules of construction and calculation methodology for the ALBI
The tables below summarise the construction rules and calculation methodology for the ALBI. We also
provide summarised characteristics of each domestic bond market.
4. Index computation methodology
Return calculation Total return, including price changes, and accrued and re-invested coupon payments. Each country sub-index is first calculated after closing of each market. The ALBI is calculated as the cumulative value of the sum of the weighteddaily total return of each sub-index, measured in US dollar, relative to 100
Index base 29 December 2000 = 100 Weightings Weightings of individual bonds within each local index are determined by their market capitalisation. Country
weightings are determined and reviewed annually by HSBC that represent a local bond portfolio replicable in practiceby external investors
Additions and withdrawals Re-balancing of the composition of the each sub-index and the ALBI are made on the first business day of each month Pricing and availability HSBC traders at each local centre provide bond pricing at market close on every business day. In case one of the
local markets is closed, its daily total return is set to be its daily accrual in calculating the ALBI on that day Statistics available Total return, yield, modified duration, average life, market capitalisation, average clean price, average coupon
Source: HSBC
5. Constituent selection criteria
Markets China Onshore, China Offshore, Hong Kong SAR, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand.
Currency Respective domestic currencies. The composite ALBI index is calculated based on the daily return of each sub-country index in US dollars
Coupon type Fixed rate only Bond types Government, quasi-government and corporate bondsCredit ratings Restrictions based on individual country Issue size Minimum issue size is required and it varies across countryMaturity Minimum of one year remaining to maturity
Source: HSBC
3. Data source of FX spot rates applied for ALBI
Currency FX Data Source Ticker
CNH Reuters BGCHKCNY CNY Reuters BGCNDF1HKD Bloomberg USDHKD F020IDR Reuters IDR=INR Reuters BGCHDF1KRW Reuters BGCNDF1MYR Reuters BGCNDF2PHP Reuters BGCNDF1SGD Bloomberg USDSGD F020THB Bloomberg USDTHB F020TWD Reuters BGCNDF1
Source: HSBC
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7. ALBI performance since inception, 29 December 2000 to 02 December 2013
Total return, % Average YTM, % Average tenor, yrs Modified duration Market cap USD bn Weightings
ALBI* 147.90 4.29 7.73 5.54 1,415.65 100.00 China Onshore 50.83 4.41 8.52 5.77 124.87 7.91 China Offshore** 7.08 4.06 3.27 2.85 33.45 3.83 Hong Kong** 206.08 2.78 5.40 4.63 35.02 12.88 India 195.16 9.05 11.14 5.98 184.16 5.68 Indonesia** 523.71 8.97 12.58 6.65 71.19 9.29 Korea 105.55 3.62 6.40 5.00 389.62 18.92 Malaysia 72.54 3.99 6.17 5.04 164.06 10.39 Philippines 308.66 4.22 11.26 7.63 87.09 6.32 Singapore 58.11 2.48 7.26 5.92 91.98 15.04 Taiwan 75.47 1.79 10.38 8.55 165.28 2.16 Thailand 86.76 3.96 7.34 5.19 112.07 7.59
* USD return, sub-indices are based on local currency returns **Hong Kong sector since Dec 1993; Indonesia sector since Nov 2003; China offshore sector since Dec 2010 Source: HSBC
8. Domestic market debt profile
_________ Outstanding amount, USDbn _________ Government Non-Government Total As of
China onshore 2875 1170 4045 2Q13 China offshore* 10 72 82 2Q13 Hong Kong SAR 107 84 192 2Q13 India 760 116 876 2Q13 Indonesia 97 21 118 2Q13 Korea 558 887 1445 2Q13 Malaysia 186 128 314 2Q13 Philippines 82 13 95 2Q13 Singapore 148 91 239 2Q13 Taiwan 177 131 308 2Q13 Thailand 226 60 286 2Q13
*Non-government number of China offshore includes bank Certificate of Deposit Source: Asia bond monitor, CEIC, Bloomberg
Appointed third party calculation agent
The appointed third party calculation agent is currently Euromoney Trading Ltd.
6. Constituent selection criteria by country
Country Issuer Type
Breakdown
Minimum amount Outstanding (LLC)
Govt Non-govt
Minimum credit rating
for non-govt
________Pricing source________
Govt Non-Govt
China Onshore Sovereign CNY10bn CHBK China Offshore All CNY500m CNY500m No restriction HSBC HSBC Hong Kong All HKD300m HKD300m Single-A or equiv. HKMA HSBC India Sovereign INR50bn NDSI Indonesia Sovereign IDR2trn IDMA South Korea Sovereign KRW1trn KSDY Malaysia All MYR2bn MYR500m A- or above by
RAM/Moody's/S&PBIDS BIDS
Philippines Sovereign PHP3bn PDEX Singapore All SGD1.5bn SGD300m No restriction MAS HSBC Thailand All THB20bn THB15bn A- or above by TRIS TBDC TBDC Taiwan Sovereign TWD30bn TOTC
Source: HSBC
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Sub-index constraints/boundaries
China Onshore: Rules of Index Construction and Calculation Methodology
Issuer China government
Currency Chinese yuan (CNY) Bond type Fixed-rate straight bondsMinimum amount outstanding CNY10 billion Maturity Minimum one year remaining maturity Listing requirements Government issues listed on the China Interbank MarketSelection criteria for index constituents Bonds satisfying all of the above criteriaIndex rebalance At the beginning of each month, new issues satisfying the selection criteria are included while
current constituents with remaining maturity less than one year are removed Pricing Bid prices quoted on the China Interbank MarketBusiness day Index is updated on every Hong Kong business day. In the case of Chinese holidays, the index
return will reflect coupon accrual only Index base 29 December 2000 = 100Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI China index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestments Available statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Source: HSBC
China Offshore: Rules of Index Construction and Calculation Methodology
Issuer Any government, financial institution, and corporate
Currency Chinese yuan (CNY) Bond type Fixed-rate straight bondsMinimum amount outstanding CNY500 million Maturity Minimum one year remaining maturity Listing requirements No restriction Issuance series Institutional tranches onlyCredit ratings No restrictions Settlement Bonds settled via CMU, and/or Euroclear/Clearstream (via links o CMU)Selection criteria for index constituents Bonds satisfying all of the above criteriaIndex rebalance At the beginning of each month, new issues satisfying the selection criteria are included while
current constituents with remaining maturity less than one year are removed Pricing Re-val prices quoted by the HSBC Renminbi bond trading desk at market closing time Business day Index is updated on every Hong Kong business day. In the case of Chinese holidays, the index
return will reflect coupon accrual only Index base 31 December 2010 = 100Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI China offshore index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestments Available statistics
Sub-indices
Total return, average clean price (net capital gains/losses), average yield, average modified duration, average life, market capitalization, average coupon, average spread (available for credit sub-indices)
1) Government 2) Non-government 3) Investment-grade overall 4) Investment-grade credit 5) High-yield and non-rated
Source: HSBC
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Hong Kong: Rules of Index Construction and Calculation Methodology
Issuer Hong Kong government, quasi-government, super-national and corporate
Currency Hong Kong dollar (HKD) Bond type Fixed-rate straight bondsMinimum amount outstanding HKD300 million Maturity Minimum one year remaining maturity Credit rating for non-governments Single A or equivalent Selection criteria for index constituents Bonds satisfying all of the above criteria Index rebalance At the beginning of each month, new issues satisfying the selection criteria are included while
current constituents with remaining maturity less than one year are removed Pricing Market closing prices for government issues (HKEFN) published by HKMA. Individually priced
(based on bid spreads & mid HIBOR rates) by traders at HSBC Hong Kong treasury office for non-governments around Hong Kong market closing time
Business day Index is updated on every Hong Kong business day. Index base 31 December 1993 = 100Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Hong Kong index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestments Available statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Sub-indices Overall: ALBI HKD Overall Total IndexALBI HKD Overall 1-3 Year Index ALBI HKD Overall 3+ Year Index ALBI HKD Overall 1-5 Year Index ALBI HKD Overall 5+ Year Index
Government bonds: ALBI HKD Government Total IndexALBI HKD Government 1-3 Year Index ALBI HKD Government 3+ Year Index ALBI HKD Government 1-5 Year Index ALBI HKD Government 5+ Year Index
Non-government bonds: ALBI HKD Non-government Total IndexALBI HKD Non-government 1-3 Year Index ALBI HKD Non-government 3+ Year Index ALBI HKD Non-government 1-5 Year Index ALBI HKD Non-government 5+ Year Index
Source: HSBC
India: Rules of Index Construction and Calculation Methodology
Issuer India government Currency Indian rupee (INR) Bond type Fixed-rate straight bonds Minimum amount outstanding INR50 billion Maturity Minimum one year remaining maturity Liquidity criteria Average daily turnovers during the past month as established from the transaction data released by
RBI on a daily basis Number of bonds in each maturity band 1-5 years 3-45-10 years 4-610+ years 4-6Selection criteria for index constituents Bonds satisfying the above set of criteria with the highest average daily turnovers in the most recent
month are selected. The total number of bonds may vary within the maturity band defined above Index rebalance The index portfolio is re-balanced at the beginning of each month, taking into account of new issues
and changes in liquidity Pricing Bond prices from the Reserve Bank of India around India market closing timeBusiness day Index is updated on every Hong Kong business day. In the case of Indian holidays, the index return will
reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI India index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Source: HSBC
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Indonesia: Rules of Index Construction and Calculation Methodology
Issuer Indonesia government bond, including recapitalisation bond Currency Indonesian rupiah (IDR) Bond type Fixed-rate straight bonds onlyMinimum amount outstanding IDR2trn Maturity Minimum one-year remainingCriteria NoneSelection criteria for index constituents Bonds satisfying all of the above criteriaIndex rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing Bond prices from IDMA (Inter Dealer Market Association)Business day Index is updated on every Hong Kong business day. In the case of Indonesian holidays, the index
return will reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalisationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Indonesia index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Source: HSBC
Korea: Rules of Index Construction and Calculation Methodology
Issuer Korea government, mainly Korea treasury bonds (KTB), Korea monetary stabilization bonds (MSB) and FX stabilisation bonds
Currency Korean won (KRW) Bond type Fixed-rate straight bonds Minimum amount outstanding KRW1 trillion Maturity Minimum one year remaining maturity Selection criteria for index constituents Bonds satisfying all of the above criteria All fungible bonds are included even if their initial issue size is
less than KRW 1 trillion. However, if the total size of a fungible bond does not reach KRW 1 trillion by the last issuance tranche, it will be removed from the index
Index rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current constituents with remaining maturity less than one year are removed
Pricing Closing prices by KSDY (Korea Securities Dealers Association OTC Yield Quote)Business day Index is updated each Hong Kong business day. In the case of Korean holidays, the index return will
reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Korea index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Source: HSBC
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Malaysia: Rules of Index Construction and Calculation Methodology
Issuer Malaysian government, quasi-government (mainly Danamodal, Danaharta, Cagamas and Khazanah) and corporate bonds
Currency Malaysian ringgit (MYR) Bond type Fixed-rate straight bonds Minimum amount outstanding MYR2 billion for governments and MYR500 million for non-governmentsMaturity Minimum one year remaining maturity Credit rating for non-governments A- and above rated by RAM, A3 or above by Moody's and A- or above by S&P or equivalent Selection criteria for index constituents Bonds satisfying all of the above criteria Index rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing Bond prices from BIDS (Bursa Malaysia, Kuala Lumpur Stock Exchange) around Malaysian market
closing time Business day Index is updated on every Hong Kong business day. In the case of Malaysian holidays, the index
return will reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Malaysia index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Sub-indices 1) ALBI MYR Overall Index2) ALBI MYR Government Index 3) ALBI MYR Non-government Index
Source: HSBC
Philippines: Rules of Index Construction and Calculation Methodology
Issuer Philippine government Currency Philippine peso (PHP) Bond type Fixed-rate straight bonds Minimum amount outstanding PHP3 billion Maturity Minimum one year remaining maturity Selection criteria for index constituents Bonds satisfying all of the above criteria Index rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing Best bid Fixing price from Philippine Dealing and Exchange Corporation (PDSF).Business day Index is updated on every Hong Kong business day. In the case of Philippine holidays, the index return
will reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Philippines index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestments. All return
calculations take into account the 20% withholding tax, calculated based on bond yields, which are applied to all market participants
Available statistics Total return, average yield, average modified duration, average life, market capitalization, average clean price (net capital gains/losses), average coupon
Sub-indices 1) ALBI PHP Overall Index2) ALBI PHP 1-3 Year Index 3) ALBI PHP 1-5 Year Index 4) ALBI PHP 5+ Year Index 6) ALBI PHP Liquid Index
ALBI PHP Money Market Index The Money Market Index shares the same calculation methodology and constituent criteria with ALBI PHP Index except for maturity, which only includes short-term notes with tenors between 3 months to 1 year (inclusive)
Source: HSBC
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Singapore: Rules of Index Construction and Calculation Methodology
Issuer Singapore government, quasi-government, super-national and corporate Currency Singapore dollar (SGD) Bond type Fixed-rate straight bonds Minimum amount outstanding SGD1.5 billion for governments and SGD300 million for non-governmentsMaturity Minimum one year remaining maturity Credit rating for non-governments No rating restrictions Selection criteria for index constituents Bonds satisfying all of the above criteriaIndex rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing Market closing prices for government issues published by MAS. Non-government bonds individually
priced by traders at HSBC Singapore treasury office around Singapore market closing time Business day Index is updated on every Hong Kong business day. In the case of Singapore holidays, the index
return will reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Singapore index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Sub-indices 1) ALBI SGD Overall Index2) ALBI SGD Government Index 3) ALBI SGD Non-government Index
Source: HSBC
Taiwan: Rules of Index Construction and Calculation Methodology
Issuer Taiwan government Currency Taiwan dollar (TWD) Bond type Fixed-rate straight bonds Minimum amount outstanding TWD30 billion Maturity Minimum one year remaining maturity Selection criteria for index constituents Bonds satisfying all of the above criteriaIndex rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing Closing prices by TOTC (Taiwan GreTai Market)Business day Index is updated on every Hong Kong business day. In the case of Taiwan holidays, the index return
will reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Taiwan index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Source: HSBC
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Thailand: Rules of Index Construction and Calculation Methodology
Issuer Thai government, quasi-government and corporate Currency Thai baht (THB) Bond type Fixed-rate straight bonds Minimum amount outstanding THB20 billion for governments and THB15 billion for non-governmentsMaturity Minimum one year remaining maturity Credit restrictions A- or above (rated by TRIS)Selection criteria for index constituents Bonds satisfying all of the above criteria Index rebalance At the beginning of each month, new issues satisfying the selection criteria are included while current
constituents with remaining maturity less than one year are removed Pricing TBDC (Thai Bond Dealing Centre) that updates closing prices around 5:30pmBusiness day Index is updated on every Hong Kong business day. In the case of Thai holidays, the index return will
reflect coupon accrual only Index base 29 December 2000 = 100 Weighting of individual bonds Total daily market capitalizationCoupon reinvestment Full amount of cash coupon payments will be held in cash intra month, and will be re-invested in the
ALBI Thailand index at month end Return calculation Total return which includes capital gains, accrued interests and coupon reinvestmentsAvailable statistics Total return, average yield, average modified duration, average life, market capitalization, average
clean price (net capital gains/losses), average coupon
Sub-indices 1) ALBI THB Overall Index2) ALBI THB Government Index 3) ALBI THB Non-government Index
Source: HSBC
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Major changes
Effective from 1 December 2013
ALBI changed IDR FX rate to onshore spot rate from offshore NEF spot rate, effective from
1 December 2013. This was followed by a commitment from Indonesian central bank to improve the
onshore FX rate transparency and the development between the onshore and offshore FX rate, with the
onshore rate becoming more indicative. In order to minimize the impact of large spread differential from
the onshore and offshore rate switch, the IDR FX rate was rebased to the onshore rate after November’s
valuation. That said, there were two IDR FX rates on 30 November: offshore NDF rate of 11815 for the
valuation ending November 2013 and onshore spot rate of 11962.5 at the beginning of December 2013
and onward.
Effective from 1 January 2014
ALBI China Onshore Index changed the government bond pricing source to the interbank market from
Shanghai Exchange, effective from 1 January 2014. The China onshore interbank market has accounted for
over 90% of the onshore bond market’s turnover, and it offers more indicative bond pricing compared to the
Shanghai Exchange, in which the bond prices can be stale with lack of trading. In addition, following the
gradual opening of the interbank bond market, foreign investors can access the market through multiple
channels, namely QFII, RQFII and the China Interbank Market (CIBM) pilot scheme.
Appendix
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HSBC Offshore Renminbi Bond Index (CNH Index)
The HSBC Offshore Renminbi Bond Index (CNH Index) tracks the total return performance of
Renminbi-denominated and Renminbi-settled bonds and certificates of deposit issued outside the
People’s Republic of China.
Ensuring a fair and representative benchmark, the constituent selection process is completely
mechanistic and strictly follows criteria specified in this report.
The index has become part of HSBC’s Asian Local Bond index under the China sector since April
2011. Five sub-indices were later launched in July 2012.
Inclusion criteria and computation methodology
The HSBC Offshore Renminbi Bond Index (CNH Index) tracks the total return of Renminbi
fixed-income instruments issued outside the People’s Republic of China. The total return index starts at
100 and has a base date of 31 December 2010. 1. HSBC Offshore Renminbi Bond Index (CNH Index) inclusion criteria
Issuer Any government, financial institution, and corporate Type of instruments Bonds, certificates of deposit (CDs)Denomination currency Renminbi (RMB) Settlement currency Renminbi (RMB) Coupon type Fixed rate only Redemption type Bullet only Minimum amount outstanding RMB500m Maturity Minimum one year remaining to maturityListing requirements No restriction Issuance series Institutional tranches only Credit ratings No restrictions Settlement Bonds settled via CMU, and/or Euroclear/Clearstream (via links to CMU)
2. Computation methodology
Index base 31 December 2010 = 100 Return calculation Total return which includes capital gains, accrued interest and coupon reinvestmentsWeighting of individual bonds Total daily market capitalization Pricing Re-val prices quoted by the HSBC Renminbi bond trading desk at market closing timeBusiness day Index is updated on every Hong Kong business dayCoupon reinvestment Full amount of cash coupon payments will be held in cash intra-month, and will be re-invested in the index
at month-end Rebalance frequency & date Monthly, on the first business day of each month before index calculationAddition of new constituents Qualified new issues launched intra month are added to the index at the following rebalance using offer
prices Withdrawal of constituents Securities that no longer qualify for inclusion (e.g. remaining time to maturity falls below one year,
outstanding amount drops below RMB500m, issue in default) are removed from the index at the following rebalance
Available statistics Total return, average clean price (net capital gains/losses), average yield, average modified duration, average life, market capitalization, average coupon, average spread (available for credit sub-indices)
Sub-indices 1) Government; 2) Non-government; 3) Investment-grade overall; 4) Investment-grade credit; 5) High-yield and non-rated
Source: HSBC
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The index covers institutional tranches of fixed-rate straight bonds and certificates of deposit (CDs),
which are denominated and settled in Renminbi (RMB). The following types of bond are excluded from
our index: (1) RMB-denominated but USD-settled synthetic bonds, (2) floating rate notes, (3) bonds with
embedded options, and 4) retail bonds. Detailed inclusion criteria and computation methodology are
summarised in tables 1 and 2.
As of September 2013, the index covered 39% of total outstanding RMB-settled and denominated bonds
and CDs in nominal outstanding amount with remaining maturity greater than one year.
Total return and index characteristics
Total returns in both RMB and USD terms are calculated and published on a daily basis, together with
index characteristics, including average modified duration, average yield, market capitalisation, average
life (tenor), average clean price (net capital gains/losses) and average coupon.
Availability
The Offshore Renminbi Bond Index is open to all of HSBC’s trading clients. It is available on Bloomberg
HSLI page under the China sector (HSLI 2) China Options 2) to 7)). The index is updated daily at
around 19:00 HKT. In addition, a daily summary of the overall index is available on the HSBC Research
website: http://www.hsbcnet.cm/research/offshore-renminbi-bond-index.
3. Index covers liquid portion bonds with remaining maturity ≥ 1yr in the market
4. Sector mix of HSBC Offshore Renminbi Bond Index
Source: Bloomberg, HSBC Source: HSBC
5. Summary of overall index characteristics 6. Index return attribution since inception
Source: HSBC Source: HSBC
Included in HSBC CNH
Index39%Others
60%
Retail bonds
1%
Supr1%
Sovereign11%
China Financial
Institutions7%
Greater China Corp
23%Foreign
Financial Institutions
8%
Foreign Corp7%
CD43%
Tickers 12/31/2010 12/2/2013 Total Return in USD HCNHUSD 100.00 115.98 Total Return in RMB HCNHACUM 100.00 107.08 Avg Clean Price HCNHACP 100.00 97.34 Avg Duration (years) HCNHAD 3.00 2.85 Avg yield (%) HCNHAY 2.28 4.06 Market Cap (RMB m) HCNHAMC 29915 208849 Avg Life (years) HCNHAL 3.23 3.27 Avg Coupon (%) HCNHAC 2.63 3.95 Return since Inception Total return in USD 15.98% Total return in RMB 7.08% Return from FX 8.32% Return from Capital Gain -2.66% Return from Coupon 9.73%
95
100
105
110
115
120
TR(USD) TR(RMB) Capital Gain
FX
Coupon
CapitalLoss
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Fixed Income Asia 5 December 2013
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Inclusion price and adjustment for bid-offer spreads
New issues, when entering the index for the first time, are included at offer prices at the date of inclusion.
Subsequent mark-to-market calculations are based on re-valuation (i.e. indicative bid) prices provided by
HSBC’s Renminbi bond trading desk.
As all bonds were included at re-valuation prices at the date of index inception, we calculated the impact
of bid-offer spreads at index inception, and quantify this cost at 0.41% in total returns in both RMB and
USD terms.
By including bonds using offer levels, return in the first business day since inception (i.e. 31 December 2010
to 3 January 2011) in RMB terms will be -0.36% (versus 0.05% based on the re-valuation price), and in
USD terms will be 0.07% (versus 0.49% based on the re-valuation price). The total return of the index in
January 2011, after adjusting for the cost of bid-offer spread, will be 0.23% in RMB and 0.35% in USD,
versus 0.64% and 0.76% without the adjustment, respectively.
Inclusion in Asian Local Bond Index (ALBI)
The CNH index was included in the Asian Local Bond Index (ALBI) starting April 2011, after running as
a standalone index in 1Q11. Initial weighting of the overall index was set at 1%, before adjusting upwards
in end-2011 and end-2012. As of 2 December 2013, the index accounted for 3.8% of the overall ALBI
index and 33% of the China overall section.
Sub-Indices
Five sub-indices are available, with the same inception dates as the overall index. An additional
characteristic – average spread2 – is available for all credit sub-indices.
Government bond index: Only bonds issued by the Chinese government are included
Non-government credit index: All non-government bonds are included
Investment-grade overall index: Government and non-government issues are included, rated at or
above BBB-/Baa3/BBB- by S&P/Moody’s/Fitch. We also include the senior debt of investment-
grade issuers that are unrated on the issue level
Investment-grade credit index: All non-government issues rated at or above BBB-/Baa3/BBB- by
S&P/Moody’s/Fitch are included
High-yield and unrated credit index: All issues rated at or below BB+/Ba1/BB+ by S&P/Moody’s/
Fitch are included, as well as issues that are unrated on both the issue and the issuer level
______________________________________ 2 Average spread refers to spread over offshore China government bonds.
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Frequently asked questions
1. Why are synthetic bonds excluded?
In our view, USD-settled synthetic bonds and RMB-settled CNH bonds are two different products,
although both offer exposure to Renminbi. There are distinct differences in issuer and investor bases, and
therefore they have demonstrated different market mechanics and dynamics. In addition, their exposure to
the Renminbi exchange rate is also different. The synthetic bonds are using the onshore CNY exchange
rate as the reference, while CNH bonds are exposed to the offshore CNH exchange rate.
2. Why are floating rate notes excluded?
The current outstanding floating rate notes are anchored using the onshore SHIBOR rates. In our view,
the bulk of the future floating rate notes issued in the offshore market will anchor to an offshore inter-
bank rate when this rate is established. In addition, floating issues typically exhibit poor and more
volatile liquidity.
3. Why are retail bonds excluded?
Retail bonds are bonds mainly issued by the Ministry of Finance (MoF) and Chinese financial institutions
targeting retail customers in Hong Kong. These bonds are typically higher in coupon compared with
comparable institutional bonds, and mainly held by retail customers (i.e. institutional investors would find
it difficult to have material holdings of such instruments), and have little relevance to institutional investors
in terms of pricing and liquidity.
4. Why are certificates of deposit included?
Certificates of deposit (CDs) comprise a significant portion of the offshore Renminbi bond market due to
their simplicity in terms of issuance – all Hong Kong participating banks can issue CDs in Hong Kong without
approval. Their trading activities, pricing and market dynamics are similar to comparable CNH bonds.
5. What is the advantage of our index pricing?
HSBC’s renminbi bond trading desk, a leading secondary market player by market share, directly
provides indicative bids daily for each of the bonds included in our index, and these prices are distributed
to our index clients daily by email to ensure the transparency of our index calculation.
7. Total return of selected sub-indices 8. Average yields of selected sub-indices
Source: HSBC Source: HSBC
95
100
105
110
115
12/10 05/11 10/11 03/12 08/12 01/13 06/13 11/13
Tota
l Ret
urn
(RM
B)
Govt IG Overall HY&NR
0.5
1.5
2.5
3.5
4.5
5.5
6.5
7.5
Dec-10
Apr-11
Aug-11
Dec-11
Apr-12
Aug-12
Dec-12
Apr-13
Aug-13
Ave
rage
Yie
ld (%
)Govt IG Overall HY&NR
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Fixed Income Asia 5 December 2013
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Disclosure appendix Analyst Certification The following analyst(s), economist(s), and/or strategist(s) who is(are) primarily responsible for this report, certifies(y) that the opinion(s) on the subject security(ies) or issuer(s) and/or any other views or forecasts expressed herein accurately reflect their personal view(s) and that no part of their compensation was, is or will be directly or indirectly related to the specific recommendation(s) or views contained in this research report: Louisa Lam, Kelly Fu and Zhi Ming Zhang
Credit: Basis for financial analysis
This report is designed for, and should only be utilised by, institutional investors. Furthermore, HSBC believes an investor's decision to make an investment should depend on individual circumstances such as the investor's existing holdings and other considerations.
HSBC believes that investors utilise various disciplines and investment horizons when making investment decisions, which depend largely on individual circumstances such as the investor's existing holdings, risk tolerance and other considerations. Given these differences, HSBC has two principal aims in its credit research: 1) to identify long-term investment opportunities based on particular themes or ideas that may affect the future earnings or cash flows of companies on a six-month time horizon; and 2) from time to time to identify trade ideas on a time horizon of up to three months, relating to specific instruments, which are predominantly derived from relative value considerations or driven by events and which may differ from our long-term credit opinion on an issuer. HSBC has assigned a fundamental recommendation structure only for its long-term investment opportunities, as described below.
HSBC believes an investor's decision to buy or sell a bond should depend on individual circumstances such as the investor's existing holdings and other considerations. Different securities firms use a variety of terms as well as different systems to describe their recommendations. Investors should carefully read the definitions of the recommendations used in each research report. In addition, because research reports contain more complete information concerning the analysts' views, investors should carefully read the entire research report and should not infer its contents from the recommendation. In any case, recommendations should not be used or relied on in isolation as investment advice.
HSBC Global Research is not and does not hold itself out to be a Credit Rating Agency as defined under the Hong Kong Securities and Futures Ordinance.
Definitions for fundamental credit recommendations Overweight: The credits of the issuer are expected to outperform those of other issuers in the sector over the next six months
Neutral: The credits of the issuer are expected to perform in line with those of other issuers in the sector over the next six months
Underweight: The credits of the issuer are expected to underperform those of other issuers in the sector over the next six months
Prior to 1 July 2007, HSBC applied a recommendation structure in Europe that ranked euro- and sterling-denominated bonds and CDS relative to the relevant iBoxx/iTraxx indices over a 3-month horizon.
Distribution of fundamental credit opinions As of 03 December 2013, the distribution of all credit opinions published is as follows:
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Fixed Income Asia 5 December 2013
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___All Covered Companies___ Companies where HSBC has provided Investment Banking in the past 12 months
Count Percentage Count Percentage
Overweight 189 28 119 63Neutral 370 54 164 44Underweight 121 18 35 29
Source: HSBC
HSBC and its affiliates will from time to time sell to and buy from customers the securities/instruments (including derivatives) of companies covered in HSBC Research on a principal or agency basis.
Analysts, economists, and strategists are paid in part by reference to the profitability of HSBC which includes investment banking revenues.
For disclosures in respect of any company mentioned in this report, please see the most recently published report on that company available at www.hsbcnet.com/research.
Additional disclosures 1 This report is dated as at 05 December 2013.
2 All market data included in this report are dated as at close 02 December 2013, unless otherwise indicated in the report.
3 HSBC has procedures in place to identify and manage any potential conflicts of interest that arise in connection with its Research business. HSBC's analysts and its other staff who are involved in the preparation and dissemination of Research operate and have a management reporting line independent of HSBC's Investment Banking business. Information Barrier procedures are in place between the Investment Banking and Research businesses to ensure that any confidential and/or price sensitive information is handled in an appropriate manner.
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It is not to be distributed or passed on, directly or indirectly, to any other person. HSBC México, S.A., Institución de Banca Múltiple, Grupo Financiero HSBC is authorized and regulated by Secretaría de Hacienda y Crédito Público and Comisión Nacional Bancaria y de Valores (CNBV). HSBC Bank (Panama) S.A. is regulated by Superintendencia de Bancos de Panama. Banco HSBC Honduras S.A. is regulated by Comisión Nacional de Bancos y Seguros (CNBS). Banco HSBC Salvadoreño, S.A. is regulated by Superintendencia del Sistema Financiero (SSF). HSBC Colombia S.A. is regulated by Superintendencia Financiera de Colombia. Banco HSBC Costa Rica S.A. is supervised by Superintendencia General de Entidades Financieras (SUGEF). Banistmo Nicaragua, S.A. is authorized and regulated by Superintendencia de Bancos y de Otras Instituciones Financieras (SIBOIF). Any recommendations contained in it are intended for the professional investors to whom it is distributed. 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Rates EMEA Bert Lourenco Head of Rates Research, EMEA +44 20 7991 1352 [email protected]
Subhrajit Banerjee +44 20 7991 6851 [email protected]
Theologis Chapsalis +44 20 7992 3706 [email protected]
Wilson Chin, CFA +44 20 7991 5983 [email protected]
Di Luo +44 20 7991 6753 [email protected]
Chris Attfield +44 20 7991 2133 [email protected]
Sebastian von Koss +49 211 910 3391 [email protected]
Asia André de Silva, CFA Head of Rates Research, Asia-Pacific +852 2822 2217 [email protected]
Pin-ru Tan +852 2822 4665 [email protected]
Himanshu Malik +852 3941 7006 [email protected]
Dayeon Hong +852 3941 7009 [email protected]
Americas Larry Dyer +1 212 525 0924 [email protected]
Jae Yang +1 212 525 0861 [email protected]
Pablo Goldberg Head of Global Emerging Markets Research +1 212 525 8729 [email protected]
Bertrand Delgado +1 212 525 0745 [email protected]
Gordian Kemen Head of Latin America Fixed Income Research +1 212 525 2593 [email protected]
Victor Fu +1 212 525 4219 [email protected]
Alejandro Mártinez-Cruz +52 55 5721 2380 [email protected]
Credit EMEA Lior Jassur Head of Credit Research, EMEA +44 20 7991 5632 [email protected]
Dominic Kini +44 20 7991 5599 [email protected]
Laura Maedler +44 20 7991 1402 [email protected]
Anna Schena +44 20 7991 5919 [email protected]
Pavel Simacek, CFA +44 20 7992 3714 [email protected]
Reza-ul Karim +44 20 7992 3703 [email protected]
Raffaele Semonella +971 4423 6554 [email protected]
Ivan Zubo +44 20 7991 5975 [email protected]
Asia Dilip Shahani Head of Global Research, Asia-Pacific +852 2822 4520 [email protected]
Zhiming Zhang +852 2822 4523 [email protected]
Devendran Mahendran +852 2822 4521 [email protected]
Philip Wickham +65 6658 0618 [email protected]
Keith Chan +852 2822 4522 [email protected]
Louisa Lam +852 2822 4527 [email protected]
Yi Hu +852 2996 6539 [email protected]
Helen Huang +852 2996 6585 [email protected]
Crystal Zhao +852 2996 6514 [email protected]
Kelly Fu +852 3941 7066 [email protected]
Lan Lan +852 3941 7186 [email protected]
Christopher Li +852 2822 3232 [email protected]
Americas Sarah R Leshner +1 212 525 3231 [email protected]
Sean Glickenhaus +1 212 525 4131 [email protected]
Steven Major, CFA Global Head of Fixed Income Research +44 20 7991 5980 [email protected]
Global Fixed Income Research Team