slide 1 11/06/2004 wolfgang marty date: produced by: the newly founded swiss bond commission (sbc)...
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Slide 111/06/2004Wolfgang Marty
Date:Produced by:
THE NEWLY FOUNDED SWISS BOND COMMISSION (SBC)
Wolfgang MartyPresident of the Swiss Bond Commission25.06.04Amsterdam
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• INTRODUCTION
• SWISS BOND MARKET
• RECENT ACTIVITIES/DEVELOPMENTS
• FIXED INCOME INDICES
• SWISS BOND COMMISSION
• FINAL REMARKS
AGENDABOND MARKET AND BOND COMMISSION
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INTRODUCTIONSWITZERLAND
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INTRODUCTIONSWITZERLAND
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SWISS BOND MARKETCHARACTERISTICS• Separated in a domestic and foreign market
• Actively used by foreign issuers
• Active primary market and market making
• Less active secondary trading in many segments
• Most active segment are the “Eidgenossen” (market capitalization of around 90 bln CHF)
• Swiss Francs as currency is interesting for investor (safe haven)
• Low interest (inflation) environment
• Main investors are pension plans, insurance companies,but also foreign investors
• Part of Citigroup World Government Bond Indices (0.7%, Duration 7.5 Years) (21 Countries)
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SWISS BOND MARKETCHARACTERISTICS
• J.P. Morgan is planning to calculate a Swiss Government
Bond Index• Table - market statistics as of June 15, 2004
SegmentationDom/For
SwissfrancNominalin Mln
Straight Domestic 241'517.0 Foreign 178'952.0
Convertible Domestic 4'350.0 Foreign 8'320.0
Floater Domestic - Foreign 13'835.0
Dual Currency Domestic - Foreign 1'750.0
Total Swissfranc 448'724.0 (Source: SWX Market Statistics, one calculations)
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RECENT ACTIVITIES/DEVELOPMENTSEVENTS IN 2003
• Brain Storming Meeting within SBC
• Erroneous calculation of SWX Fixed Income Indices
• Termination of Pictet Indices
• Series of informative Presentation in SBC
• IBOXX
• SWX
• Euro MTS
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RECENT ACTIVITIES/DEVELOPMENTSIN THE MEDIA/PUBLIC
• Interview with FuW (Swiss newspaper on financialmarkets) at first Bond Congress
• Presentation in the Method and Measurement committee on Fixed Income performance attribution (London)
• Update on the Commission in FuW
• Presentation in Index Commission of the SWX
• Numerous requests on information about the commission
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The Swiss Bond Index (SBI)
(SWX)
• Introduction of new indices
• Get hold of ratings
• Change of inclusion criteria
• Extension of committee
FIXED INCOME INDICESINDEX COMMITTEES
Liquid Swiss Index (LSI)(CS Group)
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Company Size
Fett = be s teh e nd e In d ize s (se it 31 .12 .1 99 1)N o rm a l = N e u e In d ize s (se it 1 .1 0 .19 9 8)
1 - 3
3 - 7
7 +
G overnm ent N o n -G o ve rn m e nt
"B ran che n ":
1 0+
7 -10
5 - 7
3 - 5
1 - 3
"R e s tlau fze it":
S w iss B o n d In d ex D o m e s tic
Supranational
Corporate
G overnm ent
"B ran che n ":
1 0 +
7 - 10
5 - 7
3 - 5
1 - 3
"R e s tlau fze it":
Sw iss Bond Index Foreign
S w iss B o n d In d e x (S B I)
FIXED INCOME INDICESSBI INDEX
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ZKB Bondindex Domestic1-3 years 3-5 years 5-7 years 7-10 years > 10 years
Government x x x x xAAA x x x xAA x x x xA x x x
ZKB Bondindex Foreign1-3 years 3-5 years 5-7 years 7-10 years
AAA x x x xAA x x x x
• Synthetic index (const. duration); similar to REX/PEX
• rating instead of usual sector subindices
• computed by SWX
• inception date 1998
• monthly revision of index universe
FIXED INCOME INDICESZKB INDEX
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BOARD
AGM
WORKING GROUPS/COMMITTES
LINK EBCSECRETARIAT/TREASURY
SWISS BOND COMMISSIONSTRUCTURE
Daniela SteinbrinkDaniel Egger
Wolfgang MartyJürg Tobler
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SWISS BOND COMMISSION REPRESENTATION
• Financial InstitutionsFixed Income Portfolio Management,Research, Trading, Sales, Origination
• Pension Funds (Public/Private)
• Swiss Stock Exchange
• Data Provider
• Regulator
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SWISS BOND COMMISSION BOARD
• Wolfgang Marty, Credit Suisse
• Daniel Eggler, Postfinance
• Michael Tschudin, RüdBlass
• Daniel Hunziker, Swissca
• Daniela Steinbrink, UBS
• Jürg Tobler, Zürcher Kantonalbank
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• Attendance: 26 people
• Explicit apologies: 14 people
• Representation: about 20 institutions
• Host: Swissca Fund Management
• Finalization of statues
• Logo
SWISS BOND COMMISSION THE FOUNDING AGM
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SWISS BOND COMMISSION PROJECT STAMP DUTY
• The Stamp duty was introduced in 1918; the current federal law dates from June 27, 1973 and was last revised on January 1, 2001
• Urgent, temporary amendments introduced by the Bundesrat on July 1, 2001 will expire in 2005
• The latest revision failed a public referendum on May 16, 2004
• A working group called “pretime” (Prévoir Droits de Timbre) founded on August 20, 2001 and including members of parliament, administration, external experts and the SWX is working on further improvements
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SWISS BOND COMMISSIONPROJECT FAIR VALUE
• Asses existing research• Something similar to method and measurement subcommittee• Competence centre for modelling CHF yield curve (standardization)• Platform for discussing general methodical and technical issues
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FINAL REMARKSWORK IN PROGRESS / GOALS
• Creation/Revival of one Home Page• Constitution of working group (report on first results of working group)
• Invitation of further guest speakers (see i.e. paper from Prof. Kugler)
• Establishing a network between market participants
• Establishing the SBC as prime contact for questions regarding the Swiss Bond Market