Month in Review - May 2017 v7 · and the exchange rate”. The global economic outlook was improved...

////////////////////////////////////////////////

Bloomberg IndicesMonth in Review – May

Month in Review ................................

Australian Market Performance ................................

New Zealand Market Performance ................................

Global Market Performance ................................

Market Yields ................................................................

Supply ................................................................

Maturities and Removals ................................

Index Market Capitalisation ................................

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

Indices May 2017

................................................................................................................................

................................................................................................

................................................................................................

................................................................................................

................................................................................................

................................................................................................

................................................................................................

................................................................................................

1 June 2017 /////////////////////////////////////////////////////////////////////////////////

................................................ 2

.......................................................... 6

..................................................... 9

............................................................. 12

................................................... 15

............................................................. 21

.................................................................. 23

.............................................................. 24

Month in Review 1 June 2017 /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

Month in Review

Interest Rates

On 2 May, the Reserve Bank of Australia (RBA) left the cash rate unchanged at 1.50%. Headline inflation was

above 2%, while underlying inflation was about 1.75%. The housing market remained varied across the country.

Labour market indicators remained mixed, with both unemployment and employment increasing and slow wage

growth. The global economy was also showing a broad-based recovery. The RBA judged the decision to be

consistent with sustainable growth and its medium-term inflation target. It also released its May Statement on

Monetary Policy (see below).

On 11 May, the Reserve Bank of New Zealand (RBNZ) left the NZ official cash rate unchanged again at 1.75%.

The upside surprise in March quarter inflation figures was viewed as transitory. However, headline inflation was

expected to rise in line with non-tradeables and wage inflation over the medium term, while long-term inflation

expectations remained “well-anchored” at 2%. Further, house price inflation had moderated and this was expected

to continue. Although a broad-based recovery was apparent in the global economy, challenges included surplus

capacity and political uncertainty.

On 3 May, the US Federal Open Market Committee (FOMC) held US interest rates unchanged at 0.75% to 1%.

Although headline inflation had been running at close to the 2% target, core inflation declined in March and

remained below the target, while market-based inflation compensation measures remained low. The FOMC

regarded weak first quarter GDP results as transitory. It also stated that it would maintain its existing reinvestment

policy from its asset purchase programme “until normalization of the level of the federal funds rate is well under

way”.

On 11 May, the Bank of England (BOE) voted 7-1 to hold the UK Bank Rate steady at 0.25%. It also voted

unanimously to maintain government and corporate bond purchases at £435bn and £10bn respectively. Aggregate

demand “slowed markedly” in the first quarter, particularly in consumer-facing sectors, and wage growth had been

“notably weaker than expected”, yet business investment growth strengthened. The sterling’s depreciation has

caused CPI inflation to rise above 2%, and this was expected to continue and peak at “a little below 3%” in the

fourth quarter. The BOE also released its latest May Inflation Report (see below). It reiterated that future interest

rate moves would “depend upon the evolution of demand, supply, the exchange rate and therefore inflation”.

Additional Highlights

On 5 May, the RBA released its latest quarterly Statement on Monetary Policy. Forecasts were broadly unchanged

from the February Statement: GDP was forecast at 2% to 3% in 2017 and expected to rise to 2.75% to 3.75%

percent in 2018 and mid-2019, having grown at 2.5% in 2016. Unemployment was forecast to remain steady at 5%

to 6% through the next two years, while both CPI inflation and underlying inflation were forecast at 1.5% to 2%,

before increasing to 2% to 3% by mid-2019. Inflation was expected to be constrained by slow wage growth.

Although there were signs of global economic improvements, they could be derailed by geopolitical shocks.

Chinese authorities faced a difficult trade-off between supporting GDP growth and a further build-up of financial

risks. The adjustment following the end of the mining investment boom appeared to be “well advanced”, as

slowdowns in mining states eased. Subsequently, RBA meeting minutes, released on 16 May, stated that the

March quarter inflation figure of 0.5% was in line with the RBA’s estimates, and improved its confidence in

forecasting underlying inflation to reach 2% in early 2018. Additionally, the “the distinction between full-time and

part-time work had become less important in assessing labour market conditions”, as part-time employment

remained high despite growth in full-time work.

On 9 May, the Australian Government delivered its 2017-18 federal budget. A net operating budget deficit of

A$19.8bn (1.1% of GDP) was projected for 2017-18 and A$10.8bn (0.6% of GDP) for 2018-19, but set to return to

surplus the next two fiscal years (A$7.6bn and $17.5bn, or 0.4% and 0.8% of GDP, respectively).Underlying cash

deficits were projected of A$29.4bn in 2017-18 (1.6% of GDP) and A$21.4bn in 2018-19 (1.1% of GDP), followed


by a return to surplus of A$7.5bn by 2020-21 (0.4% of GDP). Net debt was forecast at A$354.9bn (19.5% of GDP)

in 2017-18 and expected to increase to A$375.1bn (19.8% of GDP) the next year before declining to 8.5% of GDP

by 2027-28. Real GDP growth was projected at 2.75% for 2017-18 and 3% for 2018-19. A major bank levy that

affects the big four Australian banks and Macquarie Bank was a surprise measure that is expected to generate

A$1.5bn annually. Other key highlights included national infrastructure investment and a corporate tax rate cut to

25% by 2026-27. All three credit rating agencies, Fitch, Moody’s and S&P Global affirmed Australia’s AAA

sovereign rating following the release. S&P Global also had a negative outlook, expressing concern over the

budget deficit, household debt and housing prices. Subsequently n 22 May, S&P Global downgraded almost all

Australian financial institutions’ credit ratings (23 in total) by one notch, citing vulnerability to high private debt and

property prices. The big four Australian banks were spared, due to likely support from the Australian government.

On 11 May, the RBNZ’s latest quarterly Monetary Policy Statement, reported annual CPI inflation increased to 2.2%

in the March quarter (from 0.4% in the December quarter). However, this was considered transitory and driven by

tradeables, whereas non-tradeables inflation remained subdued but had increased since mid-2015. House price

inflation had slowed since mid-2016. The Statement provided that the official cash rate was “expected to remain

low for a prolonged period” and the RBNZ was “flexible in its approach to inflation targeting, looking through

temporary volatility in inflation and setting policy in a way that avoids unnecessary volatility in output, interest rates,

and the exchange rate”. The global economic outlook was improved but risks were skewed to the downside. NZ

GDP (production) was projected at 3.1% in the 12 months to March 2017, 3.4% for the subsequent two years and

2.4% in 2020. CPI was forecast to fall from 2.2% (actual) in the 12 months to March 2017 to 1.1%, 1.9% and 2.1%

in the following years. Unemployment over the same period was 4.9% (actual), 4.6%, 4.4% and 4.6% respectively.

The official cash rate was expected to remain at around 1.8 to 2.0% over the period.

On 25 May, the NZ Government delivered its 2017-18 federal budget. The Operating Budget Before Gains and

Losses (OBEGAL) surplus was projected to progressively rise over the next five years, from NZ$1.6bn in 2017 (0.6%

of GDP) to NZ$7.2bn in 2021 (2.2% of GDP), compared with a surplus of NZ$1.8bn in 2016 (0.7% of GDP). Net

debt was projected at NZ$62.3bn in 2017 (23.2% of GDP) and to peak at NZ$65.7bn in 2019 (22.1% of GDP)

before declining to NZ$62.8bn in 2021 (19.3% of GDP). Key highlights included NZ$32.5bn in infrastructure

investment over the next four years and NZ$373m for innovation investment. Real GDP growth was forecast at

3.1%, 3.5% and 3.8% for the next three years (ended June) before declining, while unemployment was forecast at

5% for the next two years and 4.6% in 2019. Inflation was projected at 1.8%, 1.6% and 2.1% over the same period.

The NZ Debt Management Office (NZDMO)’s NZGB programme forecast gross issuance to remain at NZ$7bn for

2017-18 but was revised higher for the following three years, by a cumulative NZ$1bn compared to figures last

reported in its December 2016 update.

According to the FOMC’s 2-3 May meeting minutes, released on 24 May, the first quarter slowdown in US GDP

growth was attributed to transitory factors and growth was projected to bounce back in the second quarter. The

labour market had clearly firmed, and the current 4.5% unemployment rate was judged to be at or below long-run

normal levels. Near-term risks to the economic outlook were roughly balanced and included US fiscal policy and

global risks, the latter of which included geopolitical risks and the impact of US monetary policy normalisation on

emerging markets. Participants’ economic and inflation outlooks were “little changed” and “judged that a continual

gradual removal of monetary policy accommodation remained appropriate”. “Most” participants thought it would

“soon be appropriate…to take another step in removing some policy accommodation” if economic data arrived in

line with their expectations. In turn, participants judged it “prudent to await additional evidence indicating that the

recent slowdown …had been transitory before taking another step in removing accommodation”. Additionally, the

FOMC would maintain the existing reinvestment policy of its asset purchase programme, as sizeable holdings of

long-term securities fostered accommodative financial conditions. Subsequently on 26 May, US GDP first quarter

growth were revised higher to 1.2% (from 0.7% in April advanced estimates). On 31 May, the US Federal Reserve

released its latest Beige Book, which reported moderate growth and tightening labour markets, while price

pressures remained unchanged from the last release.


On 10 May, the Bank of Japan’s (BOJ) Summary of Opinions, from its 26-27 April monetary policy meeting,

indicated Japan’s growth was turning to “moderate expansion”, with a “positive output gap” and above-potential

growth expected through fiscal 2018. In turn, CPI was “likely” to move towards 2% “around fiscal 2018” and remain

at that level, although general caution remained over the momentum of inflationary expectations. On the same day,

Governor Kuroda, in a parliamentary committee testimony, noted that Japan’s labour market conditions were

“tightening” and wages were “rising moderately”, thereby supporting private consumption. The corporate sector had

been improving, driven by increasing exports and production. In a separate speech, Governor Kuroda indicated

that Japan’s monetary policy settings would be driven by domestic conditions, following calls for Japan’s monetary

policy settings to take into account US rate hikes. Governor Kuroda stated that divergence in policy settings was

“natural”, reflecting differences in underlying conditions and inflation.

According to the BOE’s May Inflation Report, released on 11 May, UK real GDP growth was revised to 1.9%, 1.7%

and 1.8% for 2017, 2018 and 2019 (from 2.0%, 1.6% and 1.7% in February). CPI inflation was projected at 2.7%,

2.6%, 2.2% and 2.3% for 2017 and subsequent years respectively (from 2.4%, 2.8% and 2.5% in February).

Unemployment forecasts edged lower to 4.7%, 4.7%, 4.6% and 4.5% for the same period (from 4.9%, 5.0% and

4.9% in February). Bank Rate forecasts also moved lower to 0.2%, 0.3%, 0.4% and 0.5% respectively. The

projections assumed consumer prices would rise due to a weaker pound (without adverse effects on inflation

expectations); modest near-term wage growth set to gradually rise over the forecast period; subdued household

spending growth offset by increases in other components of demand; and higher exports due to the lower pound

and improved global growth. The BOE stated that “if the [UK] economy follows a path broadly consistent with the

May central projection, then monetary policy could need tightening by a somewhat greater extent over the forecast

period than the very gently rising path implied by the market yield curve underlying the May projections”. Governor

Carney stated the current policy stance depended on the trade-off between above-target inflation and slack in the

economy, and that the overshoot of inflation was entirely due to the pound’s depreciation “which itself reflects

fundamental factors that monetary policy could not affect”, describing current conditions as “exceptional”.

On 24 May, Moody’s downgraded China’s long-term credit rating from A1 to Aa3 for the first time since 1989 and

cut its outlook from stable to negative. The credit rating agency expects China’s debt to increase over coming years,

as growth becomes increasingly reliant upon sustained policy stimulus and it did “not think that the [Chinese

authorities’] reform effort will have sufficient impact, sufficiently quickly, to contain the erosion of credit strength

associated with the combination of rising economy-wide leverage and slower growth". The downgrade was

criticised by China’s Ministry of Finance. On 26 May, the People’s Bank of China (PBOC) announced it planned to

add a “counter-cyclical adjustment factor” in its formula for fixing the daily reference rate of the yuan against the US

dollar, aimed at reducing volatility. Earlier on 12 May, the US and China announced a trade deal, which included

allowing foreign credit ratings agencies to provide services in China. On 14-15 May, China hosted its first Belt and

Road Initiative (BRI) forum and pledged US$124bn toward the plan.

Global equities were generally positive in May. Australia's S&P/ASX 200 Index was a notable exception (-3.37%),

whereas the S&P NZX All Index posted a modest gain (+0.52%). The US S&P 500 Index touched a record high

2418 on 25 May, while the German DAX Index touched a record high 12,841 on 16 May. UK's FTSE 100 Index

was among the stronger performers (+4.39%), reversing April losses (-1.62%) and outperforming the DAX (+1.42%)

and Euro STOXX 600 (+0.75%) indices. In Asia, Hong Kong's Hang Seng Index also posted strong monthly gains

in May (+4.25%), outperforming Singapore's Strait Times Index (+1.11%). Japan's TOPIX (+2.39%) and Nikkei 225

(+2.36%) indices saw monthly gains continue to strengthen. China's Shanghai Stock Exchange Composite Index

fell 1.19%, while the Shanghai Shenzhen CSI 300 Index gained 1.54%, after both saw losses in April. US equities

saw modest gains, with the S&P 500 Index and the Dow Jones Industrial Average Index (DJIA) gaining 1.16% and

0.33% respectively. Gold was unchanged for the month, at US$1,268, while oil sank about 2% to below US$49.

The NZ dollar and euro both climbed about 3.2% against the greenback, which otherwise strengthened against

most currencies. The Australian dollar fell against the NZ dollar (-3.8%) and the US dollar (-0.8%), while the British

pound fell against the euro (-3.5%) and by about 0.5% against the greenback. The Chinese yuan onshore rate fell


1.1% for the month, while the offshore rate fell by 2.2%. The Japanese yen fell 0.6% against the greenback. On 8

May, the VIX Index reached its lowest level since December 1993.

In other news, the US, President Trump faced increased scrutiny as investigations into Russian links among

members of his administration intensified. On 17 May, reports emerged of a memo alleging the president had

requested former FBI Chief James Comey to end investigations into former national security adviser Michael Flynn,

following Comey’s dismissal on 9 May, and saw public calls for an impeachment. The US President also faced

scrutiny over purported intelligence disclosures while hosting the Russian Foreign Minister on 10 May. Further on

23 May, a US$2tn ‘accounting error’ in President Trump’s US budget plan was highlighted. At his first NATO

meeting on 25 May, President Trump called for members to increase their financial contributions.

On 27-28 May, G7 leaders met in Italy and reaffirmed their “commitment to use all policy tools – monetary, fiscal

and structural – individually and collectively to achieve strong, sustainable, balanced and inclusive growth”, as well

as “to fight protectionism, while standing firm against all unfair trade practices”. The US aside, remaining G7

members committed to “swiftly implement” the Paris Agreement on climate change. Earlier on 21 May, the

remaining 11 members of the Trans-Pacific Partnership (TPP) free trade agreement, apart from the US (which

withdrew in January), announced they would “assess options to bring [the TPP deal] into force expeditiously” at the

Asia-Pacific Economic Cooperation (APEC) meeting in Vietnam.

Among other global highlights, on 9 May, South Korean President Moon Jae-In was elected into office, following

the impeachment of predecessor Park Geun-hye in March. On 19 May, S&P Global raised Indonesia’s sovereign

rating back to investment-grade (from BBB- to BB+), five years after Moody’s and Fitch. Earlier on 10 May, Jakarta

governor Basuki Tjahaja Purnama ‘Ahok’ was sentenced to prison in a high-profile case. In Europe, on 14 May,

Emmanuel Macron was inaugurated as French president, after winning second-round elections on 7 May. On 22

May, the UK suffered a deadly terrorist attack bombing. Brazilian President Temer faced impeachment calls and

corruption allegations in mid-May, which saw Brazilian equities fall 8.8% and its currency fall by about 8% on 18

May. On 20 May, Iran’s President Rouhani won a second term four-year term. On 25 May, OPEC and non-OPEC

countries announced a 9-month extension to production cuts first implemented on 1 January 2017 and which were

set to end on 30 June. Global regulators also formed the Global Foreign Exchange Committee (GFXC) and

launched the FX Global Code, a foreign exchange global code of conduct, on 25 May. North Korea continued to

conduct missile tests in late May. Australia and HK launched free trade negotiations on 16 May.


Australian Market Performance

The AusBond Indices continued to post positive returns across the board in May and outperformed equities.

Monthly returns on the Composite indices were also stronger. The Inflation Credit Index posted the largest gain

(+1.64%), followed by the Treasury Index (+1.32%), while the Bank Bill Index was the weakest performer (+0.15%).

Although the Inflation Credit Index saw the largest increment in monthly returns relative to April (+ 68 basis points),

returns weakened for the Inflation Government Index (-15 basis points) and the Inflation Index (-10 basis

points).The Inflation Government Index had been the strongest performer in the prior two months. This saw the

Composite Index (+1.17%) outperform the Inflation Index (+1.10%) by 7 basis points, whereas the Credit FRN

Index gained 0.28% for the month.

Among the Composite indices, the Treasury Index (+1.32%) continued to outperform the Credit Index (+1.03%).

The margin of outperformance also increased (29 basis points, compared to 24 basis points in April). The Semi

Government Index and Credit Index both gained 1.03%, while the Supra Sovereign Index gained 0.95%. Among

the Inflation Indices, the Inflation Credit Index (+1.64%) outperformed the Inflation Government Index (+1.06%) by

58 basis points. Returns on the Inflation Index (+1.10%) were comparable to the Inflation Government Index.

Australian equities posted sharp losses in May, as the S&P/ASX 200 Accumulation Index closed 2.75% lower.

Accordingly, this saw the AusBond Composite Index outperform the S&P/ASX 200 Accumulation Index by 392

basis points for the month. For the second quarter to date, the AusBond Indices remain positive across the board,

while the equities index has moved into negative territory (-1.75%). On a year-to-date basis, the S&P/ASX 200

Accumulation Index remains in positive territory (+2.98%), however it has underperformed all the AusBond Indices

except the Semi Government, Credit FRN and Bank Bill Indices and is on par with the Supra Sovereign Index. Yet,

on a one-year basis, returns on the S&P/ASX 200 Accumulation Index (+11.10%) are at least double that of the

AusBond Indices, thereby reflecting the strong equities performance in the second half of 2016. For 2-year and 5-

year investment horizons, equities have continued to outperform the AusBond Indices.

In May, the AusBond Indices continued to outperform their NZBond counterparts for the Composite Indices, while

the reverse occurred again for the Bank Bill and Inflation Indices. The performance differential was generally similar

to April. The notable exception was the Inflation Indices, where a strong monthly return on the NZBond Inflation

Government Index (+4.33%) saw it outperform its Australian counterpart by over 320 basis points. The S&P/ASX

200 Accumulation Index also significantly underperformed its NZ counterpart (by 329 basis points).

Table 1. AusBond Total Return Performance: May 2017

Total Return Index May Apr QTD 12 MTH YTD 2 YR 5 YR

AusBond Composite Index 1.17% 0.75% 1.93% 2.50% 3.18% 3.56% 4.48%

AusBond Treasury Index 1.32% 0.86% 2.18% 2.06% 3.41% 3.41% 3.70%

AusBond Semi Govt Index 1.03% 0.64% 1.68% 2.28% 2.70% 3.68% 4.81%

AusBond Supra/Sov Index 0.95% 0.66% 1.62% 2.99% 2.98% 3.47% 4.76%

AusBond Credit Index 1.03% 0.62% 1.66% 4.14% 3.39% 4.07% 5.41%

AusBond Bank Bill Index 0.15% 0.15% 0.30% 1.84% 0.74% 2.05% 2.55%

AusBond Credit FRN Index 0.28% 0.13% 0.41% 3.30% 1.58% 3.01% 3.89%

AusBond Inflation Index 1.10% 1.20% 2.31% 2.75% 3.59% 2.35% 3.87%

AusBond Inflation Govt Index 1.06% 1.21% 2.29% 2.63% 3.54% 2.23% 3.55%

AusBond Inflation Credit Index 1.64% 0.96% 2.61% 4.54% 4.26% 4.07% 7.16%

S&P/ASX 200 Accum. Index -2.75% 1.03% -1.75% 11.10% 2.98% 4.14% 11.92%

Source: Bloomberg Finance L.P.


Chart 1. Bloomberg AusBond Composite Index: Monthly Performance 2016/2017


Chart 2. S&P/ASX200 Accumulation Index vs. Bloomberg AusBond Composite Index:

Monthly Return Performance 2016/2017


1.3

%

0.7

%

0.4

%

-0.2

%

-1.3

%

-1.4

%

-0.2

%

0.6

%

0.2

% 0.4

% 0.8

% 1.2

%

-0.9

%

1.3

%

0.6

%

0.3

%

0.3

%

-0.9

%

0.3

%

1.2

%

1.0

%

-0.2

%

0.3

%

1.3

%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

Jun-16 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May-17

Mo

nth

ly R

etu

rn (

%)

Monthly Retn Prior year comparison

1.3

%

0.7

%

0.4

%

-0.2

%

-1.3

%

-1.4

% -0.2

%

0.6

%

0.2

%

0.4

%

0.8

%

1.2

%

-2.5

%

6.3

%

-1.6

%

0.5

%

-2.1

%

3.0

%

4.4

%

-0.8

%

2.3

% 3.3

%

1.0

%

-2.8

%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%


Mo

nth

ly R

etu

rn (

%)

AusBond Composite Bond S&P ASX 200 Accum


Chart 3. Bloomberg AusBond Indices: Recent monthly returns1


1 The following indices are shown: AusBond Composite Index (BACM0); AusBond Treasury Index (BATY0); AusBond Semi-

Government Index (BASG0); AusBond Supra/Sovereign Index (BASS0); AusBond Credit Index (BACR0); AusBond Bank Bill Index (BAUBIL); AusBond Inflation Index (BAIL0); AusBond Inflation Government Index (BAIG0); AusBond Inflation Credit Index (BAIC0); and S&P/ASX 200 Accumulation Index (ASA51).

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

BACM0 BATY0 BASG0 BASS0 BACR0 BAUBIL BAIL0 BAIG0 BAIC0 ASA51

Mar-2017 Apr-2017 May-2017


New Zealand Market Performance

The NZBond Indices similarly delivered positive monthly returns across the board in May. Monthly returns were

about 30 to 50 basis points stronger across the board compared to April, while the relative order of performance

among the indices remained unchanged. Notably, the Inflation Government Index posted a distinctly larger gain

(+4.33%), which was over 3 percentage above all other NZBond Indices and saw the index lead gains for another

month.2 The Treasury Index (+1.27%) was the next-best performer in May, followed by the Local Government

Index (+1.16%), Credit Index (+0.85%) and Supra Sovereign Index (+0.70%). Overall, this saw the Composite

Index gain 1.08% for the month, whereas the Bank Bill Index (+0.17%) delivered the weakest monthly returns.

NZ equities delivered more modest returns in May, with the S&P/NZX 50 Gross Index returning 0.54%, following

strong gains in April (+2.53%). The NZ equities index underperformed all NZBond Indices apart from the Bank Bill

Index, thereby reversing its strong outperformance in April. Additionally, the S&P/NZX 50 Gross Index

outperformed its Australian equities counterpart for the month, as the S&P/ASX 200 Accumulation Index posted a

sharp loss (-2.75%). Although one-year returns on the Australian index remain more than double those on the NZ

equities index (11.10% versus 5.39%), this is reversed on a year-to-date basis (2.98% versus 7.81%). Again, this

reflects the relative strength of Australian equities in the second half of 2016, as the S&P/ASX 200 Accumulation

Index gained 10.59% in that period. On a 2-year and 5-year basis, the S&P/NZX 50 Gross Index has outperformed

the S&P/ASX 200 Accumulation Index.

For the quarter to date, the Inflation Government Index returned almost double the returns on the S&P/NZX 50

Gross Index (5.98% versus 3.09% respectively). However, the NZ equities index outperformed all other NZBond

Indices over the same period. On a year-to-date basis and for longer 1-year, 2-year and 5-year horizons, the NZ

equities index outperformed the NZBond Indices. Among the NZBond Indices, the Inflation Government Index was

the best performer on a year-to-date, 1-year and 2-year basis, while the Credit Index was the best performer on a

5-year basis.

Table 2. NZBond Total Return Performance: May 2017

Total Return Index May Apr QTD 12 MTH YTD 2 YR 5 YR

NZBond Composite Index 1.08% 0.65% 1.73% 2.59% 3.23% 4.88% 4.15%

NZBond Treasury Index 1.27% 0.79% 2.07% 1.84% 3.45% 4.84% 3.82%

NZBond Local Govt Index 1.16% 0.71% 1.87% 3.45% 3.77% 5.29% 5.10%

NZBond Non-Govt Index 0.77% 0.45% 1.22% 3.57% 2.79% 4.82% 4.82%

NZBond SupraSov Index 0.70% 0.39% 1.09% 3.23% 2.53% 4.56% 4.15%

NZBond Credit Index 0.85% 0.52% 1.38% 4.00% 3.11% 5.16% 5.44%

NZBond Bank Bill Index 0.17% 0.17% 0.33% 2.19% 0.83% 2.57% 2.85%

NZBond Inflation Govt Index 4.33% 1.58% 5.98% 4.22% 6.75% 6.31% 4.04%

S&P/NZX 50 Gross Index 0.54% 2.53% 3.09% 5.39% 7.81% 12.66% 16.29%

Source: Bloomberg Finance L.P. Note: 2 and 5 year returns are annualised.

2 Note: NZBond Inflation and Inflation Government Indices currently have the same membership.


Chart 4. Bloomberg NZBond Composite Index: Monthly Performance 2016/2017


Chart 5. S&P/NZX50 Gross Index vs. Bloomberg NZBond Composite Index:

Monthly Return Performance 2016/2017


0.8

%

0.9

%

0.3

%

0.0

%

-1.0

%

-1.0

%

-0.5

%

0.2

%

0.7

%

0.5

%

0.7

%

1.1

%

0.8

%

1.4

%

0.6

%

0.1

%

0.2

%

-0.3

%

-0.1

%

1.4

%

1.1

%

0.8

%

0.3

% 0.6

%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%


Mo

nth

ly R

etu

rn (

%)

Monthly Retn Prior year comparison

0.8

%

0.9

%

0.3

%

0.0

%

-1.0

%

-1.0

%

-0.5

%

0.2

%

0.7

%

0.5

%

0.7

%

1.1

%

-2.0

%

6.5

%

0.7

%

-0.5

%

-5.4

%

-0.9

%

-0.2

%

2.5

%

1.7

%

0.4

%

2.5

%

0.5

%

-7.5%

-5.5%

-3.5%

-1.5%

0.5%

2.5%

4.5%

6.5%

8.5%


Mo

nth

ly R

etu

rn (

%)

NZBond Composite S&P/NZX 50


Chart 6. Bloomberg NZBond Indices: Recent monthly returns3


3 The following indices are shown: NZBond Composite Index (BNZCM0); NZBond Treasury Index (BNZTY0); NZBond Local

Govt Index (BNZLG0); NZBond Non-Govt Index (BNZNG0); NZBond SupraSov Index (BNZSS0); NZBond Credit Index (BNZCR0); NZBond Bank Bill Index (BNZBIL); NZBond Govt Inflation Index (BNZI0); and S&P/NZX 50 Gross Index (NZSE50FG).

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

BNZCM0 BNZTY0 BNZLG0 BNZNG0 BNZSS0 BNZCR0 BNZBIL BNZI0 NZSE50FG

Mar-2017 Apr-2017 May-2017


Global Market Performance

Australia (+1.32%) and NZ (+1.27%) led monthly gains among key Bloomberg Barclays sovereign indices in May.

Their gains also strengthened by a larger amount (46 and 49 basis points respectively) compared to April (38 and

30 basis points respectively). Together with the Canadian index (+0.78%), they again comprised the top three

monthly performers. The US (+0.65%), Hong Kong (+0.58%) and Eurozone (+0.57%) sovereign indices posted

similar monthly gains to April. They were followed by the UK (+0.48%) and Singapore (+0.35%) sovereign indices.

The Chinese index posted another distinct monthly loss (-1.08%) that was larger than in April (-0.79%). The

German (-0.06%) and Japanese (-0.18%) indices posted milder losses.

On a one-year basis, the UK gilts index remained the top performer (+7.09%), continuing to dwarf key sovereign

counterparts, although the relative outperformance has declined. It was followed by the Singapore (+3.24%),

Australia (+2.06%), NZ (+1.84%) and Hong Kong (+1.20%) indices. In comparison, the US index was flat over the

past year (0%), while Canada delivered a modest gain (+0.66%). Japan was the worst performer (-2.40%), followed

by China (-1.42%). The German and Eurozone sovereign indices posted more moderate one-year losses (-0.66%

and -0.54% respectively).

Chart 7. Bloomberg Indices Sovereign Debt Performance: May 20174


Table 3. Bloomberg Indices Sovereign Debt Performance: May 2017

Return AUS NZ CAN US UK DE EUR JP SIN HK CN

May (mth) 1.32% 1.27% 0.78% 0.65% 0.48% -0.06% 0.57% -0.18% 0.35% 0.58% -1.08%

Apr 0.86% 0.79% 1.09% 0.69% 0.27% 0.08% 0.52% 0.49% 0.72% 0.57% -0.79%

Mar 0.48% 0.49% 0.21% -0.05% 0.33% -1.02% -0.60% -0.13% 0.14% 0.43% 0.12%

12-mth 2.06% 1.84% 0.66% 0.00% 7.09% -0.66% -0.54% -2.40% 3.24% 1.20% -1.42%


4 The Sovereign Indices shown are: Bloomberg AusBond Treasury (BATY0 Index); Bloomberg NZBond Treasury (BNZTY0

Index); Bloomberg Barclays Global Treasury Bond Index country subsets for Canada, US, UK, Germany, Euro, Japan, Singapore, Hong Kong; and the China Aggregate Treasury subset.

1.32% 1.27%0.78% 0.65% 0.48%

-0.06%

0.57%

-0.18%

0.35% 0.58%

-1.08%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

AUS NZ CAN US UK DE EUR JP SIN HK CN

Re

turn

(%

)

Mar-17 Apr-17 May-17 12-mth


Key global investment-grade corporate indices generally posted stronger monthly gains in May. The UK index

(+1.25%) led monthly gains and delivered more than twice its return in April (+0.55%). It was followed by the US

(+1.15%), Australia (+1.03%) and NZ (+0.85%) indices. The Chinese corporate index was the relative worst

performer (-0.38%), as its negative return doubled from April (-0.19%). The Eurozone (+0.37%) and APAC (ex-

Japan) (+0.24%) corporate indices posted modest monthly gains in comparison, while Japanese corporates were

flat for the month (-0.01%). On a one-year basis, the UK corporate index dominated performance (+10.75%),

similar to its treasury counterpart, followed by the APAC (ex-Japan) index (+7.10%). The US, Australia and NZ

corporate indices all posted returns of about 4% or more, while Eurozone and Chinese corporate indices posted

smaller gains (+2.80% and +1.33% respectively) and Japanese corporates were relatively flat (+0.28%).

Monthly performance of the corporate indices relative to their sovereign equivalents continued to be mixed in May.

Australia and NZ saw stronger outperformance of treasuries over their corporate counterparts, by 28 and 42 basis

points respectively. The Eurozone sovereign index also outperformed its corporate counterpart, by 19 basis points.

Conversely, corporate indices outperformed sovereign indices for the US and UK, by 50 basis points and 77 basis

points respectively. Chinese corporates similarly outperformed treasuries again in May (by 70 basis points),

although both delivered negative returns (-0.38% and -1.08% respectively). This was mirrored in Japan, but by a

lesser magnitude (-0.01% on corporates and -0.18% on treasuries). However, on a one-year basis, the corporate

space dominated sovereigns across these indices. The performance differential was strongest for the US (426

basis points), followed by the UK (367 basis points) and Eurozone (333 basis points). Australia and NZ saw

performance differentials of about 210 basis points, while it was higher for Japan and China, at about 270 basis

points.

Chart 8. Bloomberg Indices Investment-grade Corporate Indices: May 20175


5 The global benchmarks for investment-grade corporate bonds shown are: Bloomberg AusBond Credit Index (BACR0 Index);

Bloomberg NZBond Credit Index (BNZCR0 Index); Bloomberg Barclays US Corporate Bond Index (LUACTRUU Index); Bloomberg Barclays Sterling Corporate Bond Index (LC61TRGU Index); Bloomberg Barclays Euro-Aggregate: Corporates Bond Index (LECPTREU Index); Bloomberg Barclays Asian-Pacific Japan Corporate Index (LJC1TRJU Index); Bloomberg Barclays China Aggregate: Corporate Index; and Bloomberg Barclays Asian-Pacific Non-Japan Corporate Index.

1.03% 0.85% 1.15% 1.25%

-0.13%

0.37%

-0.01%-0.38%

0.24%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

AUS NZ US UK Pan-Eur Euro JP CN APAC

(ex-JP)

Re

turn

(%

)

Mar-17 Apr-17 May-17 12-mth


Table 4. Bloomberg Indices Investment-grade Corporate Indices: May 2017

Return AUS NZ US UK Pan-Eur

Euro JP CN APAC (ex-JP)

May (mth) 1.03% 0.85% 1.15% 1.25% -0.13% 0.37% -0.01% -0.38% 0.24%

Apr 0.62% 0.52% 1.07% 0.55% 0.82% 0.54% 0.17% -0.19% -1.15%

Mar 0.56% 0.60% -0.23% 0.20% -0.30% -0.36% -0.01% 0.13% -0.63%

12-mth 4.14% 4.00% 4.26% 10.75% 1.58% 2.80% 0.28% 1.33% 7.10%



Market Yields

The Australian sovereign yield curve moved lower for another month and saw falls of a larger magnitude compared

to April. Yield remained unchanged at the 1-year mark, fell by 11 and 17 basis points at the 2-year and 3-year

mark respectively, and moved lower by 18 to 21 basis points across longer maturities compared to the end of April.

Compared to the start of the year, the yield curve has moved progressively lower, by 18 to 35 basis points for

maturities of 1-year to 4-years, and by 37 to 47 basis points lower for longer maturities. However, compared to a

year ago, yields are 3 to 12 basis points higher from the 4-year mark onwards, but 17 and 12 basis points lower at

the 1-year and 2-year mark respectively. In comparison, the NZ sovereign yield curve moved about 15 to 31 basis

points lower in May, except for a 3 basis point rise for the 5-year yield. Since the beginning of the year, the NZ

sovereign yield curve is about 10 to 34 basis points lower for maturities of up to 5-years, and by 55 to 70 basis

points from the 10-year mark onwards. Similar to Australia, NZ sovereign yields are higher than a year ago from the

4-year mark (by 4 to 30 basis points) and but lower for shorter maturities.

Average yields continued to decline across the AusBond Indices for another month. Average yield fell the most for

the Inflation Credit Index in May (-23 basis points), about double the 11 basis point decline on the Inflation

Government Index for the month, and after falling 9 basis points in April. It was followed by the Credit Index (-18

basis points). Among the Composite Index constituents, yields fell in the order of 16 to 18 basis points, compared

to 8 to 9 basis points in April. Average yield fell by 12 basis points for the Inflation Index and by 16 basis points for

the Composite Index, while it was unchanged on the Bank Bill Index.

The average yield remains slightly higher than a year ago for the Treasury Index (+6 basis points) and Semi

Government Index (+4 basis points), while it is lower on the Supra Sovereign Index (-12 basis points) and Credit

Index (-23 basis points). Consequently, average yield on the Composite Index has remained largely flat relative to a

year ago (-1 basis point). For comparison, the average yield on the Inflation Index has fallen 17 basis points from a

year ago. The average yield spread of the Credit Index over the Treasury Index remained largely unchanged (73

basis points) from April, while the average yield spread of the Composite Index over the Inflation Index shrank by 4

basis points (to 166 basis points).

Chart 9. Bloomberg AusBond Indices: Bond Yields


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Comp Treas Semi Supra Credit Infl Infl Govt Infl Cred Bank Bill

Yie

ld t

o M

atu

rity

Mar-17 Apr-17 May-17 May-16


Average yields continued to decline across the NZBond Indices, apart from the Bank Bill Index, and by a larger

amount. The Inflation Index saw the largest fall in average yield (-35 basis points), whereas it fell 18 basis points for

the Composite Index. Among constituents of the Composite Index, average yield fell by 19 basis points for the

Treasury and Local Government Indices, followed smaller falls on the Supra Sovereign Index (-17 basis points) and

Credit Index (-12 basis points). For comparison, average yields fell by 3 to 9 basis points across the NZBond

Indices in April, while it remained unchanged on the Bank Bill Index in May.

Average yield on the NZBond Treasury Index remains slightly higher than a year ago (+7 basis points), while it is

lower for the Composite Index (-2 basis points) and all other NZBond Indices. Among the other constituents of the

Composite Index, average yield declined the most for the Supra Sovereign Index (-22 basis points) compared to a

year ago, followed by the Credit Index (-18 basis points) and Local Government Index (-15 basis points). It is also 9

basis points lower on the Inflation Index and 44 basis points lower on the Bank Bill Index. The average yield spread

of the Credit Index over the Treasury Index increased 7 basis points in May (to 85 basis points), while the spread of

the Composite Index over the Inflation Index jumped by 17 basis points (to 89 basis points).

Chart 10. Bloomberg NZBond Indices: Bond Yields


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Comp Treas Local Gov Supra Credit Infl Bank Bill

Yie

ld t

o M

atu

rity



Key Bloomberg Barclays sovereign indices generally saw average yields continue to decline in May.6 The key

exception again was China, where average yield increased 32 basis points, after rising 19 basis points in April. The

Japanese index also saw its average yield rise by 3 basis points, reversing a similar fall last month. New Zealand (-

19 basis points) and Australia (-17 basis points) saw the largest monthly declines in average yield, which were

more than double those in April (-8 basis points and -7 basis points respectively). Yield on the Hong Kong index

declined by a comparable amount to April (-15 basis points). Canada, US, UK, Eurozone and Singapore indices

saw average yield declines of 2 to 6 basis points, while it fell about 1 basis point for the German index.

Yet despite the continued monthly declines, average yields remain higher than a year ago for many global

sovereign indices. China (+83 basis points), US (+38 basis points) and Japan (+20 basis points) have had the

largest increases relative to a year ago. Average yield is 13 basis points higher for the Eurozone sovereign index,

while it is about 6 to 9 basis points higher for Australia, NZ, Canada and HK. Conversely, average yield is 44 basis

points lower on the UK sovereign index and 12 basis points lower on the Singapore index relative to a year ago.

Average yield is largely unchanged and in negative territory for the German sovereign index.

Ten-year global treasury yields generally ended the month lower again. China continued to prove an exception and

increased 19 basis points (3.656%), while the Japanese 10-year yield rose 3 basis points (0.049%). The German

10-year yield remained largely unchanged again at 0.302% (-1 basis point), while it fell by 4 basis points for the UK

(1.046%) and 8 basis points for the US (2.203%). In comparison, the 10-year yield fell 19 basis points for Australia

(2.387%) and by 24 basis points for NZ (2.799%).

Chart 11. Bloomberg Indices Sovereign Bond Yields7


6 Note: references to sovereign yields refer to those of the Bloomberg Barclays Global Sovereign Bond Indices in this section.

7 The Sovereign Bond Indices shown are: Bloomberg AusBond Treasury (BATY0 Index); Bloomberg NZBond Treasury

(BNZTY0 Index); Bloomberg Barclays Global Treasury Bond Index country subsets for Canada, US, UK, Germany, Euro, Japan, Singapore, Hong Kong and China.

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

AUS NZ CAN US UK DE EUR JP SIN HK CN

Yie

ld t

o M

atu

rity



Movements in average yields across the key global investment-grade corporate indices generally mirrored the

sovereign space. There were general declines for the month, with the exception of China (+20 basis points) and

Japan (+2 basis points). The Australian index saw the largest decline (-18 basis points), followed by the APAC (ex-

Japan) (-17 basis points). Both these indices saw average yield declines double from April. They were followed by

NZ (-12 basis points) and the UK (-11 basis points). In comparison, average yields declined by 9 basis points again

for the US index and by 4 basis points for the Eurozone index.

In comparison to a year ago, average yields are significantly lower for the UK corporate index (-89 basis points),

followed by the Pan-Euro (-40 basis points) and APAC (ex-Japan) (-29 basis points) indices. Average yields on the

Australian and NZ indices are also about 20 basis points lower compared to a year ago. Conversely, average yields

are 10 basis points higher for the Chinese index and marginally higher for the US and Japanese indices (2 basis

points and 4 basis points respectively).

Chart 12. Bloomberg Indices Investment-Grade Corporate Bond Yields8


8 The global benchmarks for investment-grade corporate bonds shown are: Bloomberg AusBond Credit Index (BACR0 Index);

Bloomberg NZBond Credit Index (BNZCR0 Index); Bloomberg Barclays US Corporate Bond Index (LUACTRUU Index); Bloomberg Barclays Sterling Corporate Bond Index (LC61TRGU Index); Bloomberg Barclays Euro-Aggregate: Corporates Bond Index (LECPTREU Index); Bloomberg Barclays Asian-Pacific Japan Corporate Index (LJC1TRJU Index); Bloomberg Barclays China Aggregate: Corporate Index; and Bloomberg Barclays Asian-Pacific Non-Japan Corporate Index.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

5.50

AUS NZ US UK Pan-Eur Euro JP CN APAC

(ex-JP)

Yie

ld t

o M

atu

rity



The AusBond and NZBond Indices moved in response to economic data and global news during the month. The

AusBond Indices fell on 4 May, following the overnight US interest rate decision and in line with key global

sovereign indices. They moved higher on 10 May, following the overnight Australian budget release and also

coinciding with the latest BOJ opinion release. The AusBond Indices moved higher again in mid-May, as global

market responded to increased US political uncertainty over the President's dismissal of the FBI Chief and Russian

ties, and again in late May following global market movements. The NZBond Indices posted strong gains on 11

May, led by the Inflation Index, in response to the NZ interest rate decision and latest data in the RBNZ's quarterly

Monetary Policy Statement, which had stated the RBNZ would be "flexible" in inflation-targeting and interest rates

were expected to remain low for a prolonged period. The NZBond Treasury Index and Composite Index continued

to move higher the next day.

Chart 13. Bloomberg AusBond & NZBond Indices: May Daily Returns


-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

1/5 3/5 5/5 7/5 9/5 11/5 13/5 15/5 17/5 19/5 21/5 23/5 25/5 27/5 29/5 31/5

Da

ily

Re

turn

(%

)

BACM0 BATY0 BACR0BAIL0 S&P/ASX200 Accum. Index BNZCM0BNZTY0 BNZI0 S&P/NZX50 Gross Index


Key global sovereign indices reflected economic and political news developments through May. Global treasuries

moved lower across the board on 4 May, following the latest US interest rate decision and also ahead of the French

presidential elections, led by the UK (-0.50%) and German (-0.41%) indices. Global sovereign indices increased

sharply on 17 May, led by the US (+0.58%) and UK (+0.50%) indices, as markets reacted to political uncertainty

over the US President's sacking of the FBI Chief and Russian ties. On 12 May, the UK sovereign index jumped

0.69% following the latest BOE interest rate decision and latest Inflation Report release, while other global

sovereign indices also moved higher, although this reversed the next day (-0.49%). Global sovereign indices

moved higher again on 22 May, following the deadly UK terror attack and through late May as markets digested

further information from various global leadership meetings and their implications for global policy direction, as well

as US political developments. They moved higher again on 25 May, following the release of US monetary policy

meeting minutes.

Chart 14. Bloomberg Barclays Global Treasury Indices: May Daily Returns


-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1/5 3/5 5/5 7/5 9/5 11/5 13/5 15/5 17/5 19/5 21/5 23/5 25/5 27/5 29/5 31/5

Da

ily

Re

turn

(%

)

AU NZ US UK EUR JP DE


Supply

The AusBond Composite Index added A$12.11bn of new supply (issuances and taps) in May. This was 36% higher

than the prior month (A$8.9bn), but about 16% lower than the 12-month average (A$14.4bn) and 40% lower than a

year ago (A$20.1bn). Treasuries accounted for about 60% of total dollar volume of additions (A$7.2bn), while the

Semi Government Index accounted for 11% (A$1.3bn), the Supra Sovereign Index accounted for 12% (A$1.5bn)

and the Credit Index accounted for 18% (A$2.1bn). Seven new issues accounted for 13% (A$1.5bn) of the new

supply added, while 46 taps accounted for the remaining 87% (A$10.6bn).

The Credit Index continued to dominate new issues, with all seven new issues attributed to the credit space.

Caterpillar Financial Australia Ltd issued A$150m of 3-year, single A-rated debt, which priced at 2.69%. In

comparison, Toyota Finance Australia Ltd issued $A300m of 5-year debt, which was also single A-rated and priced

at 3.13%. Asciano Finance Ltd issued A$250m of 10-year notes, rated BBB- and priced at 5.41%. In the real estate

sector, BWP Trust issued A$110m of 5-year notes, rated A- and priced at 3.558%, while Australian Prime Property

Fund issued A$200m of 7-year notes, rated A+ and priced at 3.835%. Dexus Finance Pty Ltd also raised A$130m

of 10-year debt, rated A- and priced at 4.395%. Westpac Bank’s A$400m 5-year covered bond, rated AAA, priced

at 2.938%.

Buybacks and maturities from the AusBond Composite Index in May totalled A$.2.1bn. This was about 30% lower

than in April and 65% lower than the prior 12 months, but 32% higher than a year ago. Removals included one

called bond in May9 and one maturity, which removed A$360m from the Credit Index. Fourteen buybacks

accounted for the remaining 83% (A$1.7bn) of buybacks by dollar-volume in May. These were dominated by the

Treasury and Semi Government Indices, which saw A$801m and A$720m bought back respectively, while Crown

Group Finance Ltd’s buyback programme removed A$191m from the Credit Index.

The AusBond Credit FRN Index added A$2.95bn in May, through six new issues and one tap. Six of these

transactions were in the banks sector, and were issued at a range of 75 to 135 basis points over BBSW, for terms

of 2-years to 5-years. In addition, Asciano Finance Ltd also issued A$100m of 10-year floating rate notes, which

were rated BBB-, and priced at BBSW + 260 basis points. Conversely, A$1.3bn was removed from the Credit FRN

Index due to two maturities. Separately, the AusBond Inflation Index saw A$150m added to the September 2030

treasury series and no buybacks.

The NZBond Composite Index added NZ$1.17bn of new supply in May. This was accounted for by 3 new issues,

totalling A$485m (42%), and 6 taps which totalled NZ$680m (58%). Asia Development Bank issued NZ$250m of

AAA-rated 7-year notes at 3.503%. Goodman Property Trust’s subsidiary, GMT Bond Issuer Ltd, issued NZ$100m

of 7-year notes, rated BBB+ and priced at 4.540%.The NZ Local Government Funding Agency (NZ LGFA) issued

NZ$135m of April 2030 bonds, rated AA+ and priced at 4.507% as well as another NZ$105m through taps.

NZ$450m was added to the April 2025 and April 2037 NZ treasury series through taps, while Kommunalbanken

Norway added NZ$125m to its August 2025 notes. Conversely, the NZBond Credit Index had two maturities, worth

NZ$565m, and a NZ$500m buyback from the December 2017 NZ treasury series. The NZBond Inflation Index had

one tap of NZ$100m to the September 2035 NZ treasury series and no buybacks.

9 Removals includes the security AU3CB0221679 that was called on 22 May 2017.


Table 5. Bloomberg AusBond Composite Index Net New Supply: May 2017

Sector Apr-17 Mar-17 QTD 12-mth avg % diff on % diff on (A$bn) (A$bn) (A$bn) (A$bn) prior mth 12-mth avg

Additions

Treasury 7.20 4.90 12.10 8.64 46.94% -16.68%

Semi Government 1.31 2.02 3.33 2.47 -35.40% -46.98%

Non-Government 3.61 1.99 5.60 3.26 81.16% 10.72%

Total Composite 12.11 8.91 21.03 14.36 35.88% -15.67%

Removals

Treasury 0.80 0.40 1.20 2.72 100.27% -70.55%

Semi Government 0.72 1.80 2.52 1.60 -60.12% -55.14%

Non-Government 0.55 0.73 1.28 1.57 -24.01% -64.98%

Total Composite 2.07 2.93 5.00 5.90 -29.28% -64.87%

Net new supply

Treasury 6.40 4.50 10.90 5.92 42.20% 8.06%

Semi Government 0.59 0.22 0.81 0.86 168.10% -31.79%

Non-Government 3.05 1.27 4.32 1.68 141.43% 81.52%

Total Composite 10.04 5.98 16.02 8.47 67.79% 18.61%

Note: Removals include the security AU3CB0221679 that was called on 22 May 2017.


Maturities and Removals

One security with a face value of A$250m left the AusBond Composite Index for maturity reasons when

rebalancing for June 2017. Two securities with a combined face value of A$1.3bn also left the AusBond Credit FRN

index for maturity reasons when rebalancing for June 2017 (none for inflation indices).

Table 6. Maturities for AusBond Composite Index: June 2017

Issuer ISIN Value Maturity

VOLKSWAGEN FIN SERV AUST AU3CB0195964 250,000,000 27-Jun-17


Seven securities with a combined face value of A$19.29bn are expected to leave the AusBond Composite Index for

maturity reasons when rebalancing for July 2017.

Table 7. Upcoming maturities for AusBond Composite Index: July 2017


ASIAN DEVELOPMENT BANK AU0000ATBHJ5 1,200,000,000 5-Jul-17 WESTERN AUST TREAS CORP AU000WT60347 2,329,560,000 15-Jul-17 HOLCIM FINANCE AUSTRALIA AU3CB0196699 250,000,000 18-Jul-17 CROWN GROUP FINANCE LTD AU3CB0196848 300,000,000 18-Jul-17 AUSTRALIAN GOVERNMENT AU3TB0000127 13,855,572,000 21-Jul-17 INTL FINANCE CORP AU0000IFXHH5 1,150,000,000 26-Jul-17 QIC SHOPPING CENTRE FUND AU3CB0199867 200,000,000 27-Jul-17


Two security with a face value of NZ$565m left the NZBond Composite Index for maturity reasons when

rebalancing for June 2017 (none for inflation indices). Another two securities worth NZ$1.1bn are expected to exit

that index when rebalancing for July 2017.

Table 8. Maturities for NZBond Composite Index: June 2017


ASB BANK LIMITED NZABBDT024C1 315,000,000 8-Jun-17 BANK OF NEW ZEALAND NZBCBDT002C5 250,000,000 30-Jun-17


Table 9. Upcoming maturities for NZBond Composite Index: July 2017


TELSTRA CORP LTD NZTCODT102C8 100,000,000 11-Jul-17 ASIAN DEVELOPMENT BANK NZADBDT003C3 1,000,000,000 20-Jul-17



Index Market Capitalisation

The AusBond Composite Index ended May 2017 at A$962.91bn, up A$14.08bn (+1.48%) for the month and

A$39.51bn (4.28%) for the year to date. This compares with an increase of A$23.05bn (+2.49%) in April.

The NZBond Composite Index stood at NZ$120.03bn at the end of May, up NZ$36m (+0.03%) for the month and

NZ$1.65bn (+1.39%) higher for the year to date.

Chart 15. Growth of Bloomberg AusBond Composite Index: 2004 – 2017


$923.4$962.9

0

200

400

600

800

1,000

1,200

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

Ma

y-1

7

(A$

bn

)

////////////////////////////////////////////////////////////////////////////////////////////////////////////////

For additional information and licensing opportunities, please contact

Sydney: +61 2 9777 7208 Hong Kong: +852 2293 1346 London: +44 20 3525 9976 New York: +1 212

617 5020

Bloombergindexes.com

INDEX <GO>

>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>

>>>>>> BLOOMBERG and BLOOMBERG INDEXES are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively,

"Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDEXES. Bloomberg does not guarantee the ti

completeness of any data or information relating to BLOOMBERG INDEXES. Bloomberg makes no warranty, express or implied, as to

or any data or values relating thereto or results to be obtained there

purpose with respect thereto. It is not possible to invest directly in an index. Back

indication of future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, sup

and vendors shall have no liability or responsibility whatsoever for any injury or damages

arising in connection with BLOOMBERG INDEXES or any data or values relating thereto

constitutes the provision of factual information, rather

offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether

enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates

other strategy by Bloomberg or its affiliates. Data and other information a

upon which to base an investment decision. All information provided by the BLOOMBERG INDEXES is impersonal and not tailored t

or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other inte

implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtain

AusBond Indices and Bloomberg NZBond Indices (collectively, the “Bloomberg Indices”)

respectively (collectively, the “S&P Indices”). The S&P/ASX 200 measures the performance of the 200 largest index

adjusted market capitalization, covering approximately 80% of Australian equity market capitalization.

performance of the 50 largest, eligible stocks listed on the Main Board (NZSX) of the NZX by float

New Zealand equity market capitalization. The volatility of the S&P

membership in Bloomberg Indices may differ significantly from the securities that comprise the S&P

appropriate benchmarks to compare the performance of

widely recognized indices. Standard& Poor’s, S&P, S&P/NZX 50 Gross Index

LLC (“S&P”), a part of McGraw Hill Financial.

////////////////////////////////////////////////////////////////////////////////////////////////////////////////

For additional information and licensing opportunities, please contact [email protected]

1 2 9777 7208 Hong Kong: +852 2293 1346 London: +44 20 3525 9976 New York: +1 212

>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>

ES are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively,

"Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDEXES. Bloomberg does not guarantee the ti

completeness of any data or information relating to BLOOMBERG INDEXES. Bloomberg makes no warranty, express or implied, as to

or any data or values relating thereto or results to be obtained there from, and expressly disclaims all warranties of merchantability and fitness for a particular

purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an

the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, sup

and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise

arising in connection with BLOOMBERG INDEXES or any data or values relating thereto - whether arising from their negligence or otherwise. This document

constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDEXES shall constitute or be construed as an

offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether

enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or

other strategy by Bloomberg or its affiliates. Data and other information available via the BLOOMBERG INDEXES should not be considered as information sufficient

upon which to base an investment decision. All information provided by the BLOOMBERG INDEXES is impersonal and not tailored t

persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other inte

implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making any financial decisions.

and Bloomberg NZBond Indices (collectively, the “Bloomberg Indices”) are compared to the S&P/ASX 200 Index

. The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float

adjusted market capitalization, covering approximately 80% of Australian equity market capitalization. The S&P/NZX 50 Gross Index is designed

performance of the 50 largest, eligible stocks listed on the Main Board (NZSX) of the NZX by float-adjusted market capitalization

The volatility of the S&P Indices may be materially different from that of the Bloomberg

Indices may differ significantly from the securities that comprise the S&P Indices. The S&P Indices

to compare the performance of Bloomberg Indices, but rather are disclosed to allow for comparison of

S&P/NZX 50 Gross Index and S&P/ASX 200 are registered trademarks

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

[email protected] call

1 2 9777 7208 Hong Kong: +852 2293 1346 London: +44 20 3525 9976 New York: +1 212

>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>

ES are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively,

"Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDEXES. Bloomberg does not guarantee the timeliness, accuracy or

completeness of any data or information relating to BLOOMBERG INDEXES. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG INDEXES

s all warranties of merchantability and fitness for a particular

tested performance is not actual performance. Past performance is not an

the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers

equential, incidental, punitive or otherwise -

whether arising from their negligence or otherwise. This document

than financial product advice. Nothing in the BLOOMBERG INDEXES shall constitute or be construed as an

offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to

or a recommendation as to an investment or

vailable via the BLOOMBERG INDEXES should not be considered as information sufficient

upon which to base an investment decision. All information provided by the BLOOMBERG INDEXES is impersonal and not tailored to the needs of any person, entity

persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or

ing independent advice before making any financial decisions.

are compared to the S&P/ASX 200 Index and S&P/NZX 50 Gross Index,

eligible stocks listed on the ASX by float-

S&P/NZX 50 Gross Index is designed to measure the

talization, covering approximately 90% of

Bloomberg Indices. In addition, the

Indices have not been selected to represent

disclosed to allow for comparison of Bloomberg Indices to well-known and

and S&P/ASX 200 are registered trademarks of Standard & Poor’s Financial Services

Month in Review - May 2017 v7 · and the exchange rate”. The global economic outlook was improved...

Documents

Transcript of Month in Review - May 2017 v7 · and the exchange rate”. The global economic outlook was improved...