BPAM Bond Index Road Show 2009

The BPAM Bond Index - FiiXTM
Financial Engineering and Research

Darryl Foo
Januaryy 2009
©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

AGENDA
The purpose of today’s presentation is to introduce the BPAM Bond Index – FiiXTM from a bond
market player’s point of view
9 Introduction
I d i
9 Index Objectives
9 Methodology
et odo ogy O
Overview
e e
9 Benefits
9 Index Facts
9 Delivery Channels
Appendix
9 Construction Rules
9 Formulas
9 Rules FAQ

Introduction
Introducing BPAM Ringgit Bond Index - FiiXTM
The BPAM Ringgit Bond Index (“FiiXTM”) has been created in
response to the existing pricing customers’ and market
participants’ demand for a broad and representative index.
The Index is a by-product of BPAM’s bond pricing and info

business.
9Daily marked-to-market (MTM) price for 1900+ ringgit bonds
9Comprehensive database for ringgit bonds via website and
BondStream
The index is a rules-based, market value-weighted. The

hallmark of a rules-based index is transparency and broadly
speaking, predictability.
The index is subdivided into as many as 300+ Sub-Indices

based on a variety of sector, credit and maturity
classifications.
Index and Sub-Index returns (total, price and coupon) are

calculated and rebalanced daily.

Index Objectives
BPAM Ringgit Bond Index is designed to provide relatively broad, stable and relevant
market benchmarks. To achieve this goal, we adhere to the following objectives:
Accurate
9Reflect the performance of new investments and existing holdings under a realistic representation of market conditions
Broad
9Represent as many asset classes as possible that are realistically available to market participants under normal market
conditions
Contains accessible characteristics and information

9Price,
9P i coupon rate,
t d duration,
ti etc.
t are allll available
il bl and
d accessible
ibl for
f investors.
i t Information
I f ti should
h ld also
l beb historical,
hi t i l ffor
example, price/yield history
Investable
9Bonds are investable and do not contain barriers of entry
Replicable
9 The total returns reported for an index should be replicable by market participants
Stable
9Composition changes of the index should occur infrequently unless it breaches the pre-specified ground rules and
should be easily understood and highly predictable
Transparent
9A clear set of rules should govern inclusion of bonds or markets in an index, and investors should be able to forecast
and agree on changes in composition. Information and Methodology paper is readily available

Methodology Overview
The purpose of the Index is to measure the average performance that holders of the relevant
type of bonds experience over time. This is achieved by creating a representative portfolio of
bonds, and measuring their performance
9 Bond Index comprise of

Bond a series of sub-indices
Index Aggregate
Gov’t / All Corp

Pseudo
9 Sub-Indices represent
Bond Sub- characteristics of segments Quasi Finance Corp-Guar Corp
MGS/GII
Indices that are within the overall
index characteristics
Cagamas Khazanah AAA AA A
9 Bonds are grouped as

Bond Constituents For constituents for indices
Bonds across segments and classes
Individual
d dua Indices
d ces 9 Bonds are ggrouped
p to
segregated into sub-indices.
s b indices
represent a targeted
characteristic of the indices Selection via pre-defined rules

The purpose of the Index is to measure the average performance that holders of the relevant
type of bonds experience over time. This is achieved by creating a representative portfolio of
bonds, and measuring their performance
9 Bond Index comprise of Family BPAM Ringgit Bond Index

Bond a series of sub-indices
Index
Aggregate ALL Conv All Islm All
Sub-Indices All types

9 Sub-Indices represent Government
Bond Sub- characteristics of segments Quasi-government
Indices that are within the overall Bank Negara Notes
index characteristics Corporate-guaranteed
Corporate
Financial
Maturity (years):
Bond Constituents For All tenures, 0.25-1, 1-3, 3-7, 7 over
Individual
d dua Indices
d ces
R ti
Ratings:
Non Rated Goverment and Quasi
Governments,
AAA, AA, A, BBB

At the close of each business day, the index constituents are reviewed. At this review,
bonds may be added or removed according to following pre-defined rules
Outstanding Amount Rule Review
Tenure Rule
Eligible Bonds Rule
Credit Rule
Weight Scheme Rule

Index and Sub-Indices Constituents
Etc … 109
108
Bonds
107
106
105
104
Review
103
102
101
100
03/01/2007
03/02/2007
03/03/2007
03/04/2007
03/05/2007
03/06/2007
03/07/2007
03/08/2007
03/09/2007
03/10/2007
03/11/2007
03/12/2007
03/01/2008
03/02/2008
03/03/2008
03/04/2008
03/05/2008
03/06/2008
03/07/2008
03/08/2008
03/09/2008
03/10/2008
03/11/2008
Benefits
Beneficial uses of the index for users.
Market Driven
9 Products developed in close cooperation with leading market participants
9 Takes into account of local market conventions and behavior
Established International Standard

S
9 The construction rules and calculation methodology broadly follow the EFFAS Standardised Rules
Accurate and Stable Data Source

9 Direct MTM bond prices feed from our pricing service
9 Values are available shortly after the release of our MTM bond prices
Variety of Choices
9 Choice out of 300+ sub-indices to ensure the specific needs of market participants are meet, be it in performance
measurement or data for portfolio research
User Friendly Navigation

9 Index constituents, statistics and individual bond returns are available
9 Customisable charts to analyse return performances and relative performances of different sub-indices

Benefits
Performance benchmarking
Daily returns of bond funds against the All Bond Index

0.25%
FiiXTM – All Bond Index
9Benchmark of
performance measurement
p
Bond Fund A
0.20%
Bond Fund B 9Demonstrate added value
Bond Fund C to intended sponsors for
0.15% fund managers
0.10%
0.05%
0.00%
02/01/2009
03/01/2009
04/01/2009
05/01/2009
06/01/2009
07/01/2009
08/01/2009
09/01/2009
10/01/2009
11/01/2009
12/01/2009
13/01/2009
14/01/2009
15/01/2009
16/01/2009
17/01/2009
18/01/2009
19/01/2009
20/01/2009
21/01/2009
-0.05%
-0.10%
-0.15%
-0.20%

Benefits
Performance benchmarking – using sub-indices
Daily returns of bond funds against the Corporate All

Sub-Index
0.25%
Bond Fund A
9Benchmark of
performance measurement
p
Bond Fund B
0.20%
Bond Fund C 9Demonstrate added value
FiiXTM – Corporate All Sub-Indice to intended sponsors for
0.15% fund managers
0.10%
0.05%
0.00%
02/01/2009
03/01/2009
04/01/2009
05/01/2009
06/01/2009
07/01/2009
08/01/2009
09/01/2009
10/01/2009
11/01/2009
12/01/2009
13/01/2009
14/01/2009
15/01/2009
16/01/2009
17/01/2009
18/01/2009
19/01/2009
20/01/2009
21/01/2009
-0.05%
-0.10%
-0.15%
-0.20%

Benefits
Assessing the bond market - All bond total return index 3 Jan to 1 Dec 2008
109
FiiXTM Simple
FiiXTM – All Bond Index BNM cut OPR from
3.5% to 3.25% Average Returns
108
1 Month 2.55%
Spate of negative news in world
3 Months 4.45%
financial market. Worldwide stock
107
markets collapsed. Flight-to- 6 Months 3.07%
Heightened expectations of safety.
aggressive rate cuts in the 12 Months 4.83%
106 U.S.
105
104
103 1
1. Lehman
Crude oil price escalating. Fear
of possible interest rate hike Brothers filed
because of inflation. bankruptcy
102 protection.
2. AIG suffered
liquidity crisis
101 following
First Petrol price hike
hike. July CPI downgrade of
shoots to 7.7% YoY its credit rating.
100
03/01/2008
03/02/2008
03/03/2008
03/04/2008
03/05/2008
03/06/2008
03/07/2008
03/08/2008
03/09/2008
03/10/2008
03/11/2008

Benefits
Assessing inter-markets – KLSE and All bond total return index 3 Jan to 1 Dec 2008
109 1600
FiiXTM Simple
FiiXTM – All Bond Index KLSE
Average Returns
108
1500 1 Month 2.55%
3 Months 4.45%
107
1400 6 Months 3.07%
12 Months 4.83%
106
1300
105 KLSE Simple

1200 Average Returns
104 1 Month -1.76%
1100
3 Months -22.91%
103 6 Months -33.51%
33 51%
1000
12 Months -39.27%
102
900
101
100 800
03/01/2008
03/02/2008
03/03/2008
03/04/2008
03/05/2008
03/06/2008
03/07/2008
03/08/2008
03/09/2008
03/10/2008
03/11/2008

Benefits
Assessing correlation with data sets – CPI and All bond total return index 3 Jan to 1 Dec 2008
109 9%
FiiXTM Simple
Average Returns
108
8% 1 Month 2.55%
3 Months 4.45%
107
6 Months 3.07%
7%
12 Months 4.83%
106
6%
105 CPI 2008 Y-o-Y
Increase (%)
104 Nov 5.7%
5%
Oct 7.6%
103 Sep 8 2%
8.2%
4%
Aug 8.5%
102
Jul 8.5%
3% Jun 7.7%
101
May 3 8%
3.8%
Apr 3.0%
100 2%
Mar
03/01/2008
03/02/2008
03/03/2008
03/04/2008
03/05/2008
03/06/2008
03/07/2008
03/08/2008
03/09/2008
03/10/2008
03/11/2008
2.8%
Feb 2.7%
Jan 2.3%

Benefits
Trend analysis and duration strategy
All Total Return Index By Tenure Buckets

9Using index data may
ALL
112 provide indication of market
p
1-3 Years In bear trend
market,
110 7+ Years
implication is
9Understanding market
to hold short
term bonds
trend in this case provides
108 opportunities to use
Sustained bull as a
1 run implies favoured duration strategies in
2
106 holding long strategy portfolio management
term bonds as
a favoured
104 strategy
102
100
98
96
03-Jan-07
03-Jun-07
03-Jul-07
03-Aug-07
03-Sep-07
03-Nov-07
03-Dec-07
03-Jan-08
03-Jun-08
03-Jul-08
03-Aug-08
03-Sep-08
03-Nov-08
03-Dec-08
03-Jan-09
03-Feb-07
03-Mar-07
03-Oct-07
03-Oct-08
03-Apr-07
03-Feb-08
03-Mar-08
03-Apr-08
03-May-07
03-May-08

Benefits
Data for fixed income research – volatility study for market risk assessment
One Day Volatility Study 2-4 Years Segment

0.12%
9Ability to conduct fixed
Volatility
y income research,, in this
A
0.11% case, volatility computation
to input into a market risk
Volatility
0.10% AA system
0.09% Volatility 9Provides objective

AAA assessment of volatility and
the potential portfolio lost
0.08% Volatility through Value-at-Risk
Cagamas
(VaR) models
0.07%
Volatility
GII 9An alternative to yield
0.06% curve volatility,
volatility ii.e.
e credit
Volatility class index volatility
MGS
0.05%
0.04%
0.03%
04/01/2008
04/02/2008
04/03/2008
04/04/2008
04/05/2008
04/06/2008
04/07/2008
04/08/2008
04/09/2008
04/10/2008

Benefits
Data for fixed income research – beta & alpha statistics for portfolio risk-return characteristics
Putrajaya Hldgs 05/07/11 vs BPAM Ringgit Bond Index

Price Return from 28-Sep-2007 to 30-Sep-2008 9Ability to conduct fixed
b d = α bond
b d + β bond
07/11 Clean Returrn

rbond b d rmarket
k
income research,, in this
0.85%
case, compute beta, alpha
Cov (rbond , rmarket )
β= and R squared statistics
Var (rmarket ) on index vs bond returns
0.60%
following CAPM and
y = 0.35x - 0.0001
portfolio management
R2 = 0.166
0 166 theories
Putra 05/0
0.35%
Alpha of -0.0001 means
over the period, 9Provides objective
irrespective of Index's assessment of bond price
daily return, the bond was 0.10%
-0.011% return per day.
volatility against index’s
In a year this translates to
-2.75%,
2.75%, a negative 0.80%
-0 80% -0
0.60%
60% -0
0.40%
40% -0
0.20%
20% 0 00%
0.00% 0 20%
0.20% 0 40%
0.40% 0 60%
0.60% 9Provides objective
performance -0.15%
All Bond Price Index returns assessment of bond’s risk
Beta of 0.35 means a 1% and return characteristics
increase or decrease in
monthly returns of index -0.40%
was accompanied by a
0.35% increase or
decrease in Putra
Putra'ss
returns
-0.65%
R2 of 16.6% means
16.6% of variation in
Putra's return is
accounted for by -0.90%
variability in index

Benefits
Technical analysis
Bollinger, EMA, SMA Technical Indicators from 30/09/2007 to 30/09/2008

100
99 9Technical analysis for

formulatingg trading
g
98
strategies
97
20-Day SMA + Bollinger

96
- Bollinger 12-Day EMA
95 26-Day EMA
94
26/10/2007
26/11/2007
26/12/2007
26/01/2008
26/02/2008
26/03/2008
26/04/2008
26/05/2008
26/06/2008
26/07/2008
26/08/2008
26/09/2008
RSI Technical Indicator on Bond Index,
Index 30/09/2007 to 30/09/2008
100
90 RSI
80
70
60
50
40
30
20
10
0
19/10/2007
19/11/2007
19/12/2007
19/01/2008
19/02/2008
19/03/2008
19/04/2008
19/05/2008
19/06/2008
19/07/2008
19/08/2008
19/09/2008
Index Facts
Data as of 31-Dec-2008
Sector Breakdown By Market Capitalisation Rating Breakdown By Market Capitalisation
BNM Corp GII Khazanah A
0.12% Guaran- 10.99% 1.96% 1.27%
teed
Quasi Gov 1.31% Quasi-
10.33% Others BBB
AA 0.12%
5.12%
16.73%
16 73%
Corporate BNM
24.25% 0.12%
AAA
9.39%
Cagamas
3.25%
Financial
Gov 1.95% MGS
62.04% 51.05%
Portfolio Characteristics Top Five Issuers
Number Of Bonds 695 Issuer Market Cap (RM million) Weight

Market Capitalisation (RM million) 403,793 Government of Malaysia 250,449.67 62.03%
Average Coupon (%) 4.66 Cagamas Berhad 13,118.44 3.25%
Average YTM (%) 3 75
3.75 Binariang GSM Sdn Bhd 11,989.40 2.97%
Average Tenure (Days) 2091 K.L. International Airport Berhad 8,644.12 2.14%
Average Duration 4.61 Khazanah Nasional Berhad 7,916.63 1.96%
Average Convexity 37.37

Delivery Channels
Three different delivery modes to suit client’s requirements
111.75
Web - www.bpam.com.my
110.75 Ftp Feed for Customised Index
BondStream
109.75
108.75
107.75
106.75
105.75
104.75
103.75
102.75
101 75
101.75
100.75
99.75
3-Jan-07 3-Mar-07 3-May-07 3-Jul-07 3-Sep-07 3-Nov-07 3-Jan-08 3-Mar-08 3-May-08 3-Jul-08 3-Sep-08 3-Nov-08 3-Jan-09

AGENDA
The purpose of today’s presentation is to introduce the BPAM Bond Index – FiiXTM from a bond
market player’s point of view
9 Introduction
I d i
9 Index Objectives
9 Methodology
et odo ogy O
Overview
e e
9 Benefits
9 Index Facts
9 Delivery Channels
Appendix
9 Construction Rules
9 Formulas
9 Rule FAQ

Construction Rules
BPAM all bond index bond inclusion rules compared to other indices
Defining the index universe
Rules
Items * **
Currency Ringgit Ringgit U.S. dollars
Amount N/a for Gov’t

>= 50 mil >= 500 mil
Outstanding >= 150 mil for corporate
Investment-grade rating, BBB3/BBB- and Investment-grade rating, BBB3/BBB- and

Rating A1 and above
above above
Option-free fixed rate bonds, make (whole

Eligible Zero-coupon, fixed-coupon, bullet and
Zero-coupon, fixed –coupon bonds)
Instruments bonds with secondary-notes
Base Date 2007 1994 1996
Index Total return (represented in terms of

Total return, price return, coupon return Total return
Return Type annualized yield)
Average Coupon, modified duration, convexity, Coupon, macaulay duration, modified

modified duration, convexity, yield
Risk Stats
S yield,
i ld tenure d
duration,
i market
k value,
l price,
i yield,
i ld tenure
* Malaysian Bond Index (2005)

** Dow Jones Corporate Bond Index (2006)

Construction Rules
Defining the index universe
Rules
Items * **
Principle Conventional and Islamic Conventional Conventional
1 to 3 yrs, 3 to7 yrs, above 7 yrs 1.5 to 3.5 yrs, 3.5 to 7.5 yrs, 7.5 to 17.5
0.25 to 1yr , 1 to 3 yrs, 3 to 7 yrs, above
Maturity 1 to 5 yrs, 5 to 10 yrs, above 10 yrs yrs,
7yrs
1 to 10 yrs, All yrs above 17.5
Government, Pseudo Government and Government, Khazanah, Cagamas and

Credit Corporate
Supras, Corporate Corporate
Price Marked-to-market prices from Bond

Average bid levels from at least two sources One mid / bid / ask level from Reuters
Source Pricing Agency Malaysia
Weighting Market capitalisation Market capitalisation Equal weighted
Settlement Next business day (T+1) n/a n/a
Re-
Cash flows are reinvested into the index Cash flows are reinvested into the index n/a
investment


Construction Rules
Reviewing and Rebalancing
Rules
Items * **
Timing and Monthly, by the end of first day of the

6.15p.m. daily Daily
Frequency month
Factors New issues, credit rating changes, New issues, credit rating changes,
New issues, credit rating changes, outstanding
Used for outstanding amount changes, maturity of outstanding amount changes, maturity of
amount changes, maturity of issues
Review issues issues
Day of
announce-
N/a as review and rebalancing occurs N/a as review and rebalancing occurs on a
ments to On the 25th of each month
daily pricing date (daily)
actions
taken


Formulas
Market capitalisation scheme and descriptive statistics formulas
Market capitalisation/value weighted calculation

9Individual security is weighted by its market value giving large issues a greater role in influencing the index
9Calculation method intends to emulate portfolio performance
9Calculation reflects change from previous day’s portfolio performance (chain-link method)
Bond constituent’s daily total return: Index’s Daily Total Return:
( Pi ,t + Prini ,t + AI i ,t + I i ,t ) − ( Pi ,t −1 + AI i ,t −1 )
n ( Pi ,t −1 + AI i ,t −1 ) × N i ,t −1
TRi ,t = ITRi ,t = ∑ wi × TRi ,t where wi = n
Pi ,t −1 + AI i ,t −1 i =1
∑ (( P
j =1
j ,t −1 + AI j ,t −1 ) × N j ,t −1 )
T t l Return
Total R t Index:
I d
TRI t = (1 + ITRt ) × TRI t −1
Descriptive statistics calculation

9In contrast to Index Returns and Levels, Index Statistics are calculated to reflect the risk profile of the Index, after
rebalancing has occurred, i.e. for the succeeding day
n n
average YTM ( AYt ) = ∑ w'i ×Yi ,t average duration ( AMDt ) = ∑ w'i ×MDi ,t
i =1 i =1
n n
average clean price ( APt ) = ∑ w' i × APi ,t average convexity ( AC t ) = ∑ w'i ×C i ,t
i =1 i =1
n where
average maturity ( ATt ) = ∑ w' i ×Ti ,t
i =1 ( Pi ,t + AI i ,t ) × N i ,t
n
w'i = n
average coupon ( ACRt ) = ∑ w'i ×CRi ,t ∑ (( P j ,t + AI j ,t ) × N j ,t )
i =1 j =1

Rule FAQ
Common questions
Why aren’t option embedded bonds including subordinated debts included as eligible instruments?
9The basic principles in deciding constituent selection is to have:
Instruments with similar-like features. As of 31-Dec-2008, option embedded bonds make up approximately 6.8%
of the bond market in terms of market value. Zero-coupon, fixed-coupon, bullet and bonds with secondary-notes
make up over 90% % off the bond market.
Future cashflows should be quantifiable and predictable. In the case of option embedded bonds, although by
market convention option embedded bonds should be redeemed on the call date, abnormal market conditions
are resulting in issuers allowing the optionality lapsed. For example, Bloomberg reported on Feb 11, 2008 Woori
Bank, South Korea’s second-biggest, would not exercise its call options on the $400 million subordinate debts
due to “current
current adverse market conditions”
conditions .
This reason is also mainly why the index does not include securitised assets as unscheduled redemption may
occur subject to trigger events which may or may not happen during the course of the asset’s life.

THANK YOU
Darryl Foo
darryl@bpam.com.my
Financial Engineer
19-8 , The Boulevard, Mid Valley City, Lingkaran Syed Putra, 59200 Kuala Lumpur, Malaysia
Tel: +603 2772 0899 Fax: +603 2772 0808 Email : enquiries@bpam.com.my


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The BPAM Bond Index - FiiXTM

Financial Engineering and Research

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

 The BPAM Bond Index - FiiXTM

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

 The Index is a by-product of BPAM’s bond pricing and info

 The index is a rules-based, market value-weighted. The

 The index is subdivided into as many as 300+ Sub-Indices

 Index and Sub-Index returns (total, price and coupon) are

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Contains accessible characteristics and information

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

9 Bond Index comprise of

Gov’t / All Corp

9 Bonds are grouped as

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

9 Bond Index comprise of Family BPAM Ringgit Bond Index

Sub-Indices All types

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Outstanding Amount Rule Review

Eligible Bonds Rule

Weight Scheme Rule

Established International Standard

Accurate and Stable Data Source

User Friendly Navigation

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Daily returns of bond funds against the All Bond Index

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Daily returns of bond funds against the Corporate All

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

105 KLSE Simple

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

All Total Return Index By Tenure Buckets

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

One Day Volatility Study 2-4 Years Segment

0.09% Volatility 9Provides objective

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Putrajaya Hldgs 05/07/11 vs BPAM Ringgit Bond Index

07/11 Clean Returrn

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Bollinger, EMA, SMA Technical Indicators from 30/09/2007 to 30/09/2008

99 9Technical analysis for

20-Day SMA + Bollinger

Portfolio Characteristics Top Five Issuers

Number Of Bonds 695 Issuer Market Cap (RM million) Weight

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

 The BPAM Bond Index - FiiXTM

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Defining the index universe

Currency Ringgit Ringgit U.S. dollars

Amount N/a for Gov’t

Investment-grade rating, BBB3/BBB- and Investment-grade rating, BBB3/BBB- and

Option-free fixed rate bonds, make (whole

Base Date 2007 1994 1996

Index Total return (represented in terms of

Average Coupon, modified duration, convexity, Coupon, macaulay duration, modified

* Malaysian Bond Index (2005)

©Copyright Bond Pricing Agency Malaysia SDN.BHD. - All rights reserved.

Defining the index universe

Principle Conventional and Islamic Conventional Conventional

Government, Pseudo Government and Government, Khazanah, Cagamas and

The BPAM Bond Index - FiiXTM

The Index is a by-product of BPAM’s bond pricing and info

The index is a rules-based, market value-weighted. The

The index is subdivided into as many as 300+ Sub-Indices

Index and Sub-Index returns (total, price and coupon) are

The BPAM Bond Index - FiiXTM