The Big Buy Side

壽險國外債券投資與個人心路歷程分享

楊仲羣

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Abstract Who am I What did I shape ? My Journey Work Experience Q&A

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Who am I ? Study 2001-2005 暨大財金系 2005-2007 暨大財金所 VBA Who is more visionary in mergers: Commercial vs. Investment banks.

(Published in North American Journal of Economics and Finance. SSCI impact factor=0.825 )

2011-2012 Cass Business School MSc of Investment Management 3rd in London, 6th in the UK, 21st in Europe (Financial Times European

Business School Ranking 2015) http://rankings.ft.com/exportranking/european-business-school-rankings-2015/pdf

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Who am I ? Job 2009-2011 玉山銀行消費金融(房、信貸) 2013 till now 富邦人壽投管處

(International Fixed Income Securities) Financial Institution Research Team Corporate Bond Trader、Portfolio Management

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Passion

Reflection after graduation.

Find the answer from Reading !

Burden from work and life, is it still

enough?

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As you sow, so shall you reap.

VBA (Dr. Lin Lin’s insistence)

Thesis Who is more visionary in mergers: Commercial vs. Investment banks.

(Published in North American Journal of Economics and Finance. SSCI impact factor=0.825 )

For higher pay, also for More Choices !

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Be Outstanding ? Or Be Unique ?

You need Both !

Admission & Irreplaceable. Cross-Field Skills

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My Journey

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Cass Business School

3rd in London, 6th in the UK, 21st in Europe (Financial Times European Business School Ranking 2015) http://rankings.ft.com/exportranking/european-business-school-rankings-2015/pdf

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Courses in Cass Term 1: Equity Analysis Portfolio Theory Fixe Income Securities Quantitative Methods

Term 2: Alternative Investments(Hedge & PE Fund) Derivative Application (structured products) Excel Spreadsheet Modeling Foreign Exchange Portfolio Management(Investment Game)

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Courses in Cass Term 3: (elective course/thesis): Advanced Company Valuation Corporate Restructuring Financial Statements in Banks Hedging and Trading in FX VBA

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“Personal” Comments & Comparison (Cass IM vs. NCNU Finance)

Cass IM NCNU Finance

Easy to Use Knowledge ! Academy - Oriented

Integrated Courses Deep Thinking !

Solution with Tools (Excel ,VBA, Bloomberg) Good Quality of Thesis

More Experiences from Real Industry Good Training in Logic and Computation

Team up with Different Nationality Met my wife ^ ^

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Advises for Your Study Set up your Own Sheets / Models Establish your Own Views towards news

and events. Competition is not the only purpose for

English Learning !

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And for your Life/Job… Opened-Minded for new challenges/stuffs Your chance may reveal when others say

No or find it hard. Keep Reading, Keep Thinking !

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Aside from Courses

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Are all of your skills be priced in ?

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Work Experience – Fubon 2013.08 till now 富邦人壽投管處

(International Fixed Income Securities) Financial Institution Research Team (2013,Aug – 2015,Jan) Corporate Bond Trader、Portfolio Management

(2015,Jan till now)

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Introduction to Fubon(2881.tw) 1979年，國泰集團分家，創辦人 蔡萬才先生取得國泰產險。1991年更名富邦產險。

2008.10.20，富邦金控以6億美元，買下ING安泰人壽。(ING安泰人壽資產規模約6,000億台幣，約為當時富邦人壽總資產之1.7倍)

連續7年蟬聯金控獲利王，2015年稅後淨利636億台幣，富邦人壽貢獻413億元。

Source: 維基百科、國政基金會(國改評論) 、新聞。

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Fubon Life (Portfolio) 投資組合一覽表

2014 End 2015 End

投資組合 金額(億) % 金額(億元) %

現金/約當現金 872 3.4 1,686 6.0

國內債券 6,028 23.3 5,232 18.6

國外債券 11,765 45.5 13,726 48.8

國內股票 2,693 10.4 2,217 7.9

國外股票 1,776 6.9 1,823 6.5

不動產 1,525 5.9 2,041 7.3

Source: 2016.03.31 經濟日報 A15

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International Fixed Income Dept. Research Team Corporate Financial Institution

Trading Desk & Portfolio Management Cash Bond Sovereign & Zero Callable(FI)

Foreign Exchange Team Marco Economics Research Team Accounts Management Team

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Trader’s One Day How did UST(公債殖利率) go? News Recap Quotation(if doing trades) Trading(Phone & RM) Tickets(成交單) and done trade

management

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What do we invest ? 30yrs Bonds(Mostly) New Issuance Secondary Formosa Private Placement

High Yield Bond Fund Mandate

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JULI index

7.1 7.3

10.1 16.6

41.1 55.6

60.9 67.9

72.0 72.1

82.9 99.8 99.9

118.1 135.3 135.5

163.0

0 20 40 60 80 100 120 140 160 180

Real EstateDiversified

AutomotiveFinance Companies

TransportationBasic Industries

TechnologyCapital Goods

InsuranceRetailMedia

TelecomsConsumer

BanksEnergy

PharmaceuticalsUtilities

USD Denominated 30Y Bonds (JULI Index) Sectors

US$ bn

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JULI index (30yrs Bonds Top 20 Issuers)

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JULI index

283.3

255.2 233.9

215.4 204.8

182.3

148.0 125.6

69.5 60.3 52.9 39.6

0

50

100

150

200

250

300

GeneralElectric

WellsFargo

AT&T Wal-Mart Verizon ABIBB Comcast TSMC GoldmanSachs

TimeWarner

DukeEnergy

CarolinasLLC

HonHai

Equity Market Value (4/23 close) US$ bn

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JULI Index (Rating)

AAA AaaAA+ GE Aa1AA Aa2 Duke Energy ; Wal-MartAA− Aa3A+ A1 GEA Duke Energy A2A− ABIBB ; Comcast ; Wells Fargo A3 GS ; ABIBB ; Comcast ; Wells Fargo

BBB+ AT&T ; Verizon ; GS Baa1 AT&T ; VerizonBBB Time Warner Baa2 Time Warner

S&P Moody's

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JULI Index (Yield & Spread) 2016/04/18

220 201 190 184 181 149 131 124 101 98

0.0

100.0

200.0

300.0

400.0

500.0

600.0

AT&T TimeWarner

WellsFargo

GS Verizon ABIBB Comcast GE DukeEnergy

Wal-Mart

Spread UST 30Y (2.58%)

Yield & Spread (in bps)

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Jargons US$ 1mn=1支

UST(US Treasury) 美國公債殖利率 USGG30YR Index (Bloomberg)

Credit Spread (Spread) 信用利差 Quotation Tighten vs. Widen

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Jargons Yield to Maturity(YTM)=UST + Spread 持有至到期殖利率(折現率)

Dollar Price Determined by YTM Check before trade done

Settlement date T+3 (working day)

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Bond Trading

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Bond Trading

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US Treasury (USGG30YR)

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Quotation Match

Suppose we have 100~200 names with Investable amount & Target Yield (Approvals)

There are over 10 counterparties eager to provide their offer lists(each has 30+ names) to you.

How to match them more efficient ?

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Quotation Match A simple application of VBA

Short Name Ticker Amt Target Yld Current YldAT&T Inc T 100.0 4.50 4.78BOA ML T 5.650 Feb-47 4M 208 JPM T 5.35 9/1/2040 5M +180 JPM T 4.3 12/15/2042 5M +183 JPM T 4.8 6/15/2044 5M +190 JPM T 4.35 6/15/2045 6M +185 JPM T 4.75 5/15/2046 5M +190 JPM T 5.65 2/15/2047 5M +200

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Portfolio Management Daily Track Downgrade/Upgrade Credit Spread Stock Price News Recap

Weekly Review(Mark to Market): Unrealized Gain/Loss under different Obligors(issuers) Sectors Countries/Regions

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Application of Duration How much $ did IB earn? The VZ case

VZ 4.522 09/15/48 US$ 10mn US$ 1=32.5 TWD M.Duration= 16.993 Bid-Offer Spread=5 bps(0.05%) US$ 10,000,000*0.05%=Only US$ 5,000 ?

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Application of Duration Swings of portfolio

Suppose NCNU endowment invested US$ 1,000mn on T,VZ,GS,ABIBB,WFC with equal weight.(i.e. US$ 200mn for each)

Assume the portfolio duration is 15 and the

individual spread is unchanged.(impossible in real world)

What is your unrealized gain/losses from 2015.12.31(UST : 3.01) to 2016.04.07 (2.51) ?

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Application of Duration Swings of portfolio

What if the rates goes up or spread widens ? !

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Master in Risk Management Diversification Is the risk premium really enough to

compensate?

Would still be burned by the volatile market !

Behind the

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Credit Analyst’s One Day News Update : Bloomberg、Financial Times、Wall Street Journal

Main: Credit Report Financial Report Rating Agency Report

• S&P • Moody’s • Fitch

IB’s Analysis Report

Assigned Projects

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Financial Institution Analysis: What do we really care?

FI’s market status: Market Value Market Share in loans/deposits Revenue components(CB,IB,AUM) Financial Report

Asset Quality(NPL ratio & Exposures)

Capital Adequacy Ratio

Rating

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The most powerful formula in Finance & Life

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Appendix - Duration Macaulay duration:

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Excel Function :