April 2009

Managing a Fixed-Income Portfolio vs. a Benchmark

(Susan Y. Lin)

Managing DirectorHead of International Development

The Yield Book/Index

Citigroup Global Markets Taiwan Limited

April 2009

2

Outline

Introduction to Fixed Income Securities Debt Market

Basic Bond Math The Time Value of Money Bond Price Sensitivity

Fixed Income Indices

Cycle of Portfolio Management vs. Benchmark

April 2009

Introduction to Fixed Income Securities

4

Bond vs. Equity

Bonds are debt, stocks are equity

Stock investor is an owner in a corporation which comes with voting rights and the right to share in any future profits. A bond investor is a creditor to the issuer (corporation or government).

A bond holder has a higher claim on assets than shareholders do: that is, in the case of bankruptcy, a bondholder will get paid before a shareholder. However, the bondholder does not share in the profits if a company does well -he or she is entitled only to the principal plus interest.

5

Why Issue Bonds?

A company needs funds to finance its operations To raise capital to pay for expansion or modernization To cover operating expenses To finance corporate takeovers or other changes in management structure

Governments need money for everything from infrastructure to social programs

Cities, counties, town governments issue bonds To pay for a wide variety of public projects: schools, highways, stadiums, sewage

systems, bridges To supplement their operating budgets

Whatever the needs are, a large sum of money needs to be raised!

6

Why Bonds, not Bank Loans

Although companies can borrow from banks, direct borrowing from a bank is more restrictive and expensive than selling debt on the open market through a bond issue. Many CFOs consider banks as lenders of last resort because of the restrictive debt covenants that banks place on direct corporate loans

A few examples of the restrictive covenants Can not issue any more debt until the bank loan is completely paid off Can not participate in any share offerings until the bank loan is paid off Can not acquire any companies until the bank loan is paid off

CASE: Asian financial crisis in 1997

7

Bond Market Requirements

A healthy bond market requires the following Sound legal structure Effective credit ratings agencies Strong institutional investor base Timely, honest, and credible reporting of firms financial circumstance Enough supply: government and corporate bonds

8

Bond Basics

A bond is a loan that pays interest over a fixed term, or period of time. When the bond matures at the end of the term, the principal, or investment amount, is repaid to the lender, or owner of the bond.

Characteristics of a bond Face Value/Par Value: is the amount of money a holder will get back once a bond

matures. Coupon (The Interest Rate): is the amount the bondholder will receive as interest

payments. It's called a "coupon. Most bonds pay interest every six months, but it's possible for them to pay monthly, quarterly or annually. The coupon is expressed as a percentage of the par value.

Maturity: is the date in the future on which the investor's principal will be repaid. Maturities can range from as little as one day to as long as 30 years (though terms of 100 years have been issued).

Issuer : The issuer of a bond is a crucial factor to consider, as the issuer's stability is your main assurance of getting paid back.

9

Issuer Rating

The bond rating system helps investors determine a company's credit risk. The chart below illustrates the different bond rating scales from the major rating agencies in the U.S.: Moody's, Standard and Poor's and Fitch Ratings

10

Issuer RatingExample Citi

The same company can have many ratings depending on the type of debt it issues. Below is an example for Citi rating.

11

Who should be investing in Bonds?

Stocks are exciting, bonds seem boring Institutions should invest in assets that suit their risk profile.

All it takes is a bear market like today to remind investors of the virtues of a bond's safety and stability.

Are bonds really safe?

12

Types of Bonds

Different types of bonds based on the issuer Government bonds Municipal bonds Corporate bonds

Different types of bonds based on bond characteristics Zero coupon bond Callable/Putable bond Convertible bonds Mortgage backed securities Asset backed securities Collateralized Mortgage Obligation Structured notes .

13

Callable Bonds vs. Bullet Bonds

Why issue callable bonds? A callable bond gives the issuer of the bond the right to redeem it at predetermined

prices at specified times prior to maturity.

For example, a 10NC3 is a 10 year bond that can be redeemed after 3 year. The 3-year non callable period is called lockout period.

The main cause to issue callable is anticipation of a decline in interest rates or upgrade in credit rating.

Why buy callable bonds Yields on callable bonds tend to be higher than yields on non callable, bullet maturity

bonds because the investor must be rewarded for taking the risk the issuer will call the bond if interest rates decline, forcing the investor to reinvest the proceeds at lower yields

14

Bond Issuance Process

Bonds are issued in the primary markets.

Government Bonds are typically done through auctions.

For corporations, issuing a bond is a lot like making an initial public offering, through underwriting. One or more securities firms (dealers) form a syndicate, help set the terms, buy the entire issue of bonds from the issuer, and re-sell them to investors.

After issuance, bonds trade in the secondary market, which means they are bought and sold through brokers, similar to the way stocks are traded. The issuer gets no money from these secondary trades.

Like stock, bonds can trade in exchanges or Over-the-Counter (OTC).

15

Bond Trading Liquidity

Measures of bond liquidity Bid-ask spread Issued amount Age Price volatility

Liquidity for different bond markets Treasury bonds vs. Corporate

bonds Developed vs. Emerging markets

16

Bond Price and Yield

Bond's price changes on a daily basis, just like any other publicly-traded security.

If investor holds bonds to maturity, you're guaranteed to get your principal back assuming no default.

A bond does not have to be held to maturity. At any time, a bond can be sold in the open market, where the price can fluctuate - sometimes dramatically.

April 2009

Basic Bond Math

18

Fixed Income Securities

Bonds

A series of (identical) payments in the future (known as coupons) along with a single principal payment on the same date as the final coupon payment (most Treasury bonds are bullets)

Valuation: How do you determine the price of a bond? Need to know the cash flows and timing Concept: The Time Value of Money

19

The Time Value of Money

Present Value / Future Value

A dollar today is worth more than a dollar tomorrow(assuming no deflation)

How much more depends on how far in the future were talking about, and the interest rate available to us

The math is pretty standardized, and easy

Where FV = Future Value PV = Present Value r = Periodic Interest Rate (as a decimal) n = Number of Compounding Periods

FV=PV(1+r)nnrFVPV

)1( +=

20

Theoretical Building Block: Zero Coupon Bond

Zero Coupon Bond

A Zero Coupon Bond repays its Face Value at maturity but pays no interim coupon a single cash flow received at a known date in the future

Basic building block of fixed income securities. Most securities can be reconstructed as a portfolio of zero coupon bonds.

Valuation: What are you willing to pay today for $100 in the future (i.e., on a specific date in the future)?

21

Theoretical Building Block: Annuity

Annuity

A series of (identical) cash flows received at a known regular intervals in the future (i.e., a string of equally spaced, equally sized zeros)

Valuation: What are you willing to pay today for $100 on each of many dates in the future?

22

Discounting: Full Term for Each Flow

Bond (Bullet Bond)

A Bond (without special indenture provisions) can be viewed as an annuity (the coupon payments) plus a zero coupon bond (the final principal payment).

Question: What is the rate being used to discount the cash flows in order to obtain the present value?

23

Yield to Maturity

The yield to maturity (YTM) is the discount rate which makes the present value of a bonds cash flow equal to its market value. It is a standardized measure that is commonly used to estimate the rate of return and is also known as the Internal Rate of Return.

What is the relationship between Yield to Maturity and Price of a bond?

24

Yield to Price

Means you are given a yield, and must calculate a price

This is the easy calculation

Simply determine the present value of each cash flow, and sum them up

c(1+r)

c(1+r)2

c(1+r)3

c+p(1+r)n+ +

...PV = + + c(1+r)n-1 +

25

Price to Yield

This calculation is the hard one, requiring a solution to an nth order polynomial (solve for r)

This is an iterative calculation to find a value for r that satisfies the equation above

This single r is known as the Internal Rate of Return, or IRR

c(1+r)

c(1+r)2

c(1+r)3

c(1+r)n-1

c+p(1+r)n+ +

...PV = + + +

26

How did traders in early days (70s, early 80s) convert Price/Yield?

Keep in Mind, No Computers, No Excel Spreadsheet.

27

Then

Monroe / HP Calculators (Bond Trader)

28

What about Today?

Excel

In-house software

Commercial software Bloomberg Reuters The Yield Book

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Bond Example

Time Value of Money

A $100 Nominal amount of a 3 year 12% annual pay coupon bond

How much would you be prepared to pay today for a bond that promises to pay you the set of future cash-flows laid out above?

What is the interest rate / discount rate?

Cash Flows

Time Payment Made Coupon Principal

End of Year 1 12 -

End of Year 2 12 -

End of Year 3 12 100

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Present Value @ 10% Annual

Present Values are additive, hence the present value of a bond is the sum of the present values of each of the individual coupon and principal payments

Example: 3 Year 12% Coupon Bond,

10% annually compounded discount rate

32

10010 + 1

112 +

10010 + 1

12 +

10010 + 1

12 = (Bond) PV

12 1.10 = 10.909 12 (1.10)2 = 9.917

112 (1.10)3 = 84.147 104.974

Premium Bond

31

Present Value @ 12% Annual

Example: 3 Year 12% Coupon annual pay bond at 12% discount rate

Par Bond

32

100121

112

100121

12

10012 +1

12 = (Bond) PV

+

+

+

+

12 1.12 = 10.714 12 (1.12)2 = 9.566

112 (1.12)3 = 79.719 100.000

32

Present Value @ 14% Annual

Example: 3 Year 12% Coupon annual pay bond

Discount Bond

32

100141

112

100141

12

10014 +1

12 = (Bond) PV

+

+

+

+

12 1.14 = 10.52612 (1.14)2 = 9.234

112 (1.14)3 = 75.597

95.357

33

The Price - Yield Relationship

As can be seen from the previous three slides, the price and yield of a bond are inversely related.

Yield > Coupon Discount Bond, i.e. price < 100 Yield = Coupon Par Bond, i.e. price = 100 Yield < Coupon Premium Bond, i.e. price > 100

34

The Price - Yield Diagram

Relationship between Yield and Price

020406080

100120140160180200

0 5 10 15 20 25

Yield

Pric

e

10yr, 10%

35

Shortcomings of Yield to Maturity

YTM is not a good proxy for Expected Total Return if:

Bond is not held to maturity.(Investment horizons are typically shorter, and changes in rates and therefore prices have a major effect on return.)

Coupons are not reinvested at YTM.(Reinvestment rates change over time)

36

What Is Duration?

Duration is the relative sensitivity of a bonds price to a change in its yield.

The duration of a bond is the approximate increase in its market value due to a 1% drop in its yield.

What can Duration be used for?

Measuring and managing a portfolios aggregate interest rate exposure.

Matching the exposure of Assets and Liabilities (Immunisation).

Structuring trades.

Providing an accurate estimate of a portfolios aggregate sensitivity.

37

Yield Curve

The yield curve is the relation between the interest rate (yield) and the time to maturity of bonds. Yield curves are usually upward sloping; the longer the maturity, the higher the yield, with diminishing marginal growth.

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Normal upward sloping yield curve

38

Example of More Complicated Bond: Structured Note

39

Why More Complicated Structures?

40

Yet, Try This: CMO

Cash flow sliced up into various pieces to meet investors risk profile

Cash flow projected using a fixed prepayment speed assumption 150 PSA

Cash flow projected using a prepayment model, at a higher prepayment speed

Note the Saw tooth shaped cashflow

Note the cash flow comes in faster than the 150 PSA case

41

Total Rate of Return Calculation

Total Rate of Return is composed of capital gain of the security, along with the payments from coupon, principal, and reinvestment income

Eg. If a security is priced at $99 on 3/1/2009 and $100 on 4/1/2009, and the coupon income during this month is $2 (assuming no reinvestment and principal payments), the total rate of return during the month of March will be:

($100 $99 + $2) / $99 = 3.03%

April 2009

Citigroup Indices

43

Benchmarking: Why?

Absolute performance is what people care about

But You cannot control the market, you can only influence your performance

relative to the market You would like to get paid even if the market as a whole goes down

And Investors want to understand your broad investment goal

Funds likely risks and returnsLike-for-like performance comparisons

44

Benchmarking: Why?

The benchmark provides information to the investor: Indication of historical returns and volatility Default investment universe and mix Default approach to hedging currency risk

For the fund manager: In the absence of a view, its the place to stay With a view in mind, its the thing to beat

45

Benchmarking: Relevance

Index represents the market

Benchmark is fund-specific, reflecting the funds objectives and guidelines: Maturity limits Credit exposures Single / Multi-currency

46

Why Do Investors Use Citigroup Indices?

More than 30-years of experience producing international indices

Citi has market presence in more than 100 countries

Recognized leader in indices and analytical tools

Data available to all institutional investors through various data and analytics vendors

47

What Makes A Good Benchmark?

Relevance

Comprehensiveness

Replicability

Stability

Barriers to Entry

Expenses

Simple and Objective Selection Criteria

48

Construction Rules for Bond Indices

Index Composition: Monthly frequency of re-balancing Market capitalization weighting

Index Returns: Sectors returns are weighted averages of individual bond returns Bid prices are used for bonds, mid for exchange rates Cash flows are reinvested at a short term interest rate until month-end Daily and Monthly returns are published Returns can be expressed in local and base currency Currency-hedged returns assume rolling one-month forward contracts

49

Citigroup Index Family

Source: The Yield Book

50

World Government Bond Index profile

Data as of 3/31/2009

WGBI Market Weight

Canada, 1.67

Denmark, 0.62

Switzerland, 0.52

Poland, 0.51

Other, 1.68

UK, 6.41Australia, 0.32

Malaysia, 0.37Sweden, 0.47

Norway, 0.21

Singapore, 0.30US, 23.29

EURO, 35.68

Japan , 29.62

51

WGBI Market Sector Profile as of April 2009

52

Average Maturity for WGBI Markets vs Taiwan

Taiwan and Malaysia government bond index was launched Jan 2005

0

2

4

6

8

10

12

14

16

USJa

pan

EMU UK

Denm

ark

Polan

d No

rway

Sw

eden

Sw

itzerl

and

Cana

da

Austr

alia

Singa

pore

Malay

sia

Taiwa

n

Jan-01 Jan-05 Jan-09

53

Average Issue Size for WGBI Markets vs Taiwan

Taiwan and Malaysia government bond index was launched Jan 2005

(in Billions USD)

0.0

5.0

10.0

15.0

20.0

25.0

US

Japa

n

EMU UK

Denm

ark

Polan

d No

rway

Sw

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Sw

itzerl

and

Cana

da

Austr

alia

Singa

pore

Malay

sia

Taiwa

n

Jan-01 Jan-05 Jan-09

54

Asian Government Bond Index profile

Data as of 3/31/09

AGBI Market Weight (%)

Indonesian, 3.32

Philippines, 2.31

Korea, 41.07

Singapore, 10.11

Thailand, 10.79

Malaysia, 11.66

Taiwan, 20.73

55

Taiwan Government Bond Index

Market value in Millions TWD

Data as of 3/31/2009

April 2009

The Yield Book

57

What Is The Yield Book?

The Yield Book Introduced July 1989, originated from Salomon Brothers Fixed Income Analytical System Calculation engine to analyze bonds, trades, portfolios, and benchmarks

Employs financial models to assess risk and relative value of portfolios and benchmarks

Allows access to databases maintained by Citi

Covers a broad range of securities consistently

58

Who Uses The Yield Book?

In the US, 82 of the top 100 fixed income money managers use The Yield Book, including 50 of the top 50

Nearly 400 institutions worldwide use The Yield Book products in 36 countries

Customers include:

Central Banks, Investment Managers, Banks, Insurance Companies, Pension Funds, Hedge Funds, Broker Dealers

30 Primary and Regional Dealers

59

Why Do People Use The Yield Book?

Analysis of complicated securities Mortgage pass-thru, CMO, ABS, CMBS Derivatives: swaps, swaptions, caps, floors, structured notes

Advanced Portfolio Functions Portfolio Scenario Analysis Tracking Error and Value at Risk Return Attribution Portfolio Optimization The Yield Book provides constituent level data for Citigroup Indices. All advanced

portfolio functions can also be used to analyze indices for benchmark comparison

April 2009

Analysis using The Yield Book & Citigroup Indices

61

Portfolio Management Tool

The Yield Books main functionalities:

Individual Security Analysis

Portfolio Risk Reporting

Scenario Analysis

Optimization

Return Attribution

Tracking Error

Value at Risk

Source: The Yield Book

62

Individual Security Analytics

The Yield Book offers both indicative data and analytics for our customers. User can enter any pricing level (such as price, yield, or spread) to calculate a full set of analytics on the security.

Example: US 10 Year On-the-run Treasury

Source: The Yield Book

63

Portfolio Risk Report

Portfolio risk from each year points movement on the yield curve

Source: The Yield Book

64

Benchmark Comparison ReportAverage Life

Source: The Yield Book

65

Scenario AnalysisComparison against Benchmark

Comparison of total rate of return between the portfolio and the benchmark, under 7 parallel shift yield curve scenarios

Source: The Yield Book

66

Optimization

Yield Book optimizer calculates the solution and creates a portfolio that satisfies all the tracking constraints and objective

Source: The Yield Book

67

The Tracking Error and Value at Risk model calculates portfolio and benchmark return distributions based on the 10,000 simulations

Expected return and volatility of return over a 1 month horizon

Value at Risk calculated for 95% and 99% confidence interval

Tracking Error / VaR Projection

Source: The Yield Book

68

Return Attribution Concept

Dissects historical total returns into return attribution factors, which explains why the bond achieved the return that it did

Spread Return

Inter-Currency Return(Multi-Currency Portfolio)

Local Currency Return

Total Return

Curve Return(Govt Return)

Sector Selection Issue Selection

A benchmark is needed

69

Single Bond Return Attribution Matrix

How do we interpret the numbers from the return attribution analysis? More intuitive to interpret the attribution results by rows Focus on one security and look at 3 x 3 Matrix: GE 5.625, 2017

Curve return

Spread return

Total return

3 Rows

3 Columns Rolling Yield return

Market return

Total return+

+

||

=

70

Return Attribution: Portfolio vs. Benchmark

Example:

Portfolio Curve Return: -112.6 bps Under-perform by 3.7 bps

Portfolio Spread Return: 44.6 bps Out-perform by 23.9 bps

Portfolio Total Return: -68.5 bps Out-perform by 20.0 bps

Source: The Yield Book

71

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Managing a Fixed-Income Portfolio vs. a BenchmarkOutlineIntroduction to Fixed Income SecuritiesBond vs. EquityWhy Issue Bonds?Why Bonds, not Bank LoansBond Market RequirementsBond BasicsIssuer RatingIssuer RatingExample CitiWho should be investing in Bonds?Types of BondsCallable Bonds vs. Bullet BondsBond Issuance ProcessBond Trading LiquidityBond Price and YieldBasic Bond MathFixed Income SecuritiesThe Time Value of MoneyTheoretical Building Block: Zero Coupon BondTheoretical Building Block: AnnuityDiscounting: Full Term for Each FlowYield to MaturityYield to PricePrice to YieldHow did traders in early days (70s, early 80s) convert Price/Yield?ThenWhat about Today?Bond ExamplePresent Value @ 10% AnnualPresent Value @ 12% AnnualPresent Value @ 14% AnnualThe Price - Yield RelationshipThe Price - Yield DiagramShortcomings of Yield to MaturityWhat Is Duration?Yield CurveExample of More Complicated Bond: Structured NoteWhy More Complicated Structures?Yet, Try This: CMOTotal Rate of Return CalculationCitigroup IndicesBenchmarking: Why?Benchmarking: Why?Benchmarking: RelevanceWhy Do Investors Use Citigroup Indices?What Makes A Good Benchmark?Construction Rules for Bond IndicesCitigroup Index FamilyWorld Government Bond Index profileWGBI Market Sector Profile as of April 2009Average Maturity for WGBI Markets vs TaiwanAverage Issue Size for WGBI Markets vs TaiwanAsian Government Bond Index profileTaiwan Government Bond IndexThe Yield BookWhat Is The Yield Book?Who Uses The Yield Book?Why Do People Use The Yield Book?Analysis using The Yield Book & Citigroup IndicesPortfolio Management ToolIndividual Security AnalyticsPortfolio Risk ReportBenchmark Comparison ReportAverage LifeScenario AnalysisComparison against BenchmarkOptimizationTracking Error / VaR ProjectionReturn Attribution ConceptSingle Bond Return Attribution MatrixReturn Attribution: Portfolio vs. Benchmark