星展泛亚洲当地货币国家债券指数.pptVIP

4th July 2004 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 Index Comparison Pricing Source PALS overall performance Performance of PALS country indices PALS Cumulative Performance Table PALS Performance - Risk and Return Index Rating* Annex: Selected Bond List Disclaimer: The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation. DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents. Disclaimer: The information contained in this document is intended only for use during the presentation and should not be disseminated or distributed to parties outside the presentation. DBS Bank accepts no liability whatsoever with respect to the use of this document or its contents. DBS-PALS DBS Pan-Asian Local Sovereign Bond Index 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 债券指数有何作用？ 星展的债券指数家族 SGD Bonds HKD Bonds China Hong Kong Indonesia Asian Local Currency Bonds EFN (DBSHINDX) HK15INDX 1-5 Y HK+5INDX +5Y Quasi (SQBI) Korea Malaysia Philippines Thailand Singapore DBS-PALS SGBI 1-5Y SGBI +5Y SGBI Benchmark SQBI Agency SQBI GLC SCBI 1-5Y SCBI +5Y SCBI Foreign Govt (SGBI) Corp (SCBI) SQBI GLC + SCBI Composite 2002年6月 1999年1月 2004年6月 DBS-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（sovereign profile） 透明 (Transparent) 明确的规则 一致的挑选标准 可复制 (Replicable) 收入基准债券 （On-the-run or benchmark） 最低流动性及发售量 客观与独立 (Objective) 国家重量 Country Weights 分散比率 (Diversification Ratio) 选择债券 Selecting Bonds 国家等级Country Tier Rating Country Adjustment Factor (AF=IR x TR) Govt Bonds – on-the-run issues Quasi Bonds –ownership, size and liquidity criteria Country Market Weights (MW) = total market cap of selected bonds PALS Country Allocation Weights = AF x MW 建立DBS-PALS 的流程 Country Diversification Rules Rationale To broaden diversification into all 8 EMEAP markets in order to avoid large markets overwhel