THE NEWLY FOUNDED SWISS BOND COMMISSION (SBC)

Wolfgang Marty President of the Swiss Bond Commission 25.06.04

Amsterdam Date: Produced by: 11/06/2004 Wolfgang Marty Slide 1

AGENDA BOND MARKET AND BOND COMMISSION • INTRODUCTION • SWISS BOND MARKET • RECENT ACTIVITIES/DEVELOPMENTS • FIXED INCOME INDICES • SWISS BOND COMMISSION • FINAL REMARKS Date: Produced by: 11/06/2004 Wolfgang Marty Slide 2

INTRODUCTION SWITZERLAND Date: Produced by: 11/06/2004 Wolfgang Marty Slide 3

INTRODUCTION SWITZERLAND Date: Produced by: 11/06/2004 Wolfgang Marty Slide 4

SWISS BOND MARKET CHARACTERISTICS • Separated in a domestic and foreign market • Actively used by foreign issuers • Active primary market and market making • Less active secondary trading in many segments • Most active segment are the “Eidgenossen” (market capitalization of around 90 bln CHF) • Swiss Francs as currency is interesting for investor • Low interest (inflation) environment (safe haven) • Main investors are pension plans, insurance companies, but also foreign investors • Part of Citigroup World Government Bond Indices (0.7%, Duration 7.5 Years) (21 Countries) Date: Produced by: 11/06/2004 Wolfgang Marty Slide 5

SWISS BOND MARKET CHARACTERISTICS • J.P. Morgan is planning to calculate a Swiss Government Bond Index • Table - market statistics as of June 15, 2004 Segmentation Straight Convertible Floater Dual Currency Total Dom/For Swissfranc Domestic Foreign Domestic Foreign Domestic Foreign Domestic Foreign Swissfranc (Source: SWX Market Statistics, one calculations) Nominal in Mln 241'517.0

178'952.0

4'350.0

8'320.0

13'835.0

1'750.0

448'724.0

Date: Produced by: 11/06/2004 Wolfgang Marty Slide 6

RECENT ACTIVITIES/DEVELOPMENTS EVENTS IN 2003 • Brain Storming Meeting within SBC • Erroneous calculation of SWX Fixed Income Indices • Termination of Pictet Indices • Series of informative Presentation in SBC • IBOXX • SWX • Euro MTS Date: Produced by: 11/06/2004 Wolfgang Marty Slide 7

RECENT ACTIVITIES/DEVELOPMENTS IN THE MEDIA/PUBLIC • Interview with FuW (Swiss newspaper on financial markets) at first Bond Congress • Presentation in the Method and Measurement committee on Fixed Income performance attribution (London) • Update on the Commission in FuW • Presentation in Index Commission of the SWX • Numerous requests on information about the commission Date: Produced by: 11/06/2004 Wolfgang Marty Slide 8

FIXED INCOME INDICES INDEX COMMITTEES The Swiss Bond Index (SBI) (SWX) • Introduction of new indices • Get hold of ratings Liquid Swiss Index (LSI) (CS Group) • Change of inclusion criteria • Extension of committee Date: Produced by: 11/06/2004 Wolfgang Marty Slide 9

FIXED INCOME INDICES SBI INDEX Swiss Bond Index (SBI) Swiss Bond Index Domestic

Government

"Branchen":

Non-Government

"Restlaufzeit":

1 - 3 1 - 3 3 - 7 7 + 3 - 5 5 - 7 7 -10

Company Size

10+

Fett

= bestehende Indizes (seit 31.12.1991) Normal = Neue Indizes (seit 1.10.1998)

Swiss Bond Index Foreign

"Branchen":

Government

"Restlaufzeit":

1 - 3 3 - 5

Corporate Supranational

5 - 7 7 - 10 10 + Date: Produced by: 11/06/2004 Wolfgang Marty Slide 10

FIXED INCOME INDICES ZKB INDEX • Synthetic index (const. duration); similar to REX/PEX • rating instead of usual sector subindices • computed by SWX • inception date 1998 • monthly revision of index universe ZKB Bondindex Domestic 1-3 years Government x A A A A A A x x x ZKB Bondindex Foreign 1-3 years A A A A A x x 3-5 years x x x x 3-5 years x x 5-7 years x x x x 5-7 years x x 7-10 years x x x > 10 years x 7-10 years x x Date: Produced by: 11/06/2004 Wolfgang Marty Slide 11

SWISS BOND COMMISSION STRUCTURE BOARD AGM SECRETARIAT/ TREASURY Daniela Steinbrink Daniel Egger WORKING GROUPS /COMMITTES LINK EBC Wolfgang Marty Jürg Tobler Date: Produced by: 11/06/2004 Wolfgang Marty Slide 12

SWISS BOND COMMISSION REPRESENTATION • Financial Institutions Fixed Income Portfolio Management, Research, Trading, Sales, Origination • Pension Funds (Public/Private) • Swiss Stock Exchange • Data Provider • Regulator Date: Produced by: 11/06/2004 Wolfgang Marty Slide 13

SWISS BOND COMMISSION BOARD • Wolfgang Marty, Credit Suisse • Daniel Eggler, Postfinance • Michael Tschudin, RüdBlass • Daniel Hunziker, Swissca • Daniela Steinbrink, UBS • Jürg Tobler, Zürcher Kantonalbank Date: Produced by: 11/06/2004 Wolfgang Marty Slide 14

SWISS BOND COMMISSION THE FOUNDING AGM • Attendance: 26 people • Explicit apologies: 14 people • Representation: about 20 institutions • Host: Swissca Fund Management • Finalization of statues • Logo Date: Produced by: 11/06/2004 Wolfgang Marty Slide 15

SWISS BOND COMMISSION PROJECT STAMP DUTY • The Stamp duty was introduced in 1918; the current federal law dates from June 27, 1973 and was last revised on January 1, 2001 • Urgent, temporary amendments introduced by the Bundesrat on July 1, 2001 will expire in 2005 • The latest revision failed a public referendum on May 16, 2004 • A working group called “pretime” (Prévoir Droits de Timbre) founded on August 20, 2001 and including members of parliament, administration, external experts and the SWX is working on further improvements Date: Produced by: 11/06/2004 Wolfgang Marty Slide 16

SWISS BOND COMMISSION PROJECT FAIR VALUE • Asses existing research • Something similar to method and measurement subcommittee • Competence centre for modelling CHF yield curve (standardization) • Platform for discussing general methodical and technical issues Date: Produced by: 11/06/2004 Wolfgang Marty Slide 17

FINAL REMARKS WORK IN PROGRESS / GOALS • • • • • Creation/Revival of one Home Page Constitution of working group (report on first results of working group) Invitation of further guest speakers (see i.e. paper from Prof. Kugler) Establishing a network between market participants Establishing the SBC as prime contact for questions regarding the Swiss Bond Market Date: Produced by: 11/06/2004 Wolfgang Marty Slide 18