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Thread: Low yields.

  1. #11
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    Nor do the managers disclose any information from which the value they assign to the bonds they hold can be worked out. One can only work out the total value of each bond that they hold.
    Some Bonds have no maturity Snoopy.
    Well I'm assuming spec prefs count as Bonds but maybe wrong must check.
    Last edited by Nor; 14-08-2023 at 09:42 AM.

  2. #12
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    You should be able to get a list of holdings from the Companies Office Disclose Register website.

    https://disclose-register.companiesoffice.govt.nz/

  3. #13
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    Thanks G. I have just downloaded

    https://smartinvestor.sorted.org.nz/...Z_Bond_ETF.csv

    but can't open a .csv

  4. #14
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    Default Smartshares NZB Fund: Constituents 31/05/2023

    Quote Originally Posted by Nor View Post
    Thanks G. I have just downloaded

    https://smartinvestor.sorted.org.nz/...Z_Bond_ETF.csv

    but can't open a .csv
    Here is the csv link opened. I count 105 bond constituents.

    DISCLOSE REGISTER - FULL PORTFOLIO HOLDINGS 1
    Offer name Smartshares Exchange Traded Funds Offer number OFR10865
    Fund name Smartshares NZ Bond ETF (NZB) Fund number FND1103
    Period disclosure applies [dd/mm/yyyy] 31/05/2023


    Asset name % of fund net assets Security code
    New Zealand Government 0.50% 15/05/2024 6.9373 NZGOVDT524C5
    Housing New Zealand Ltd 4.422% 15/10/2027 4.8895 NZHNZD0008L2
    Nz Local Govt Fund Agenc 1.50% 15/04/2026 3.2985 NZLGFDT014C0
    Nz Local Govt Fund Agenc 3.50% 14/04/2033 3.1681 NZLGFDT009C0
    Housing New Zealand Ltd 2.247% 5/10/2026 3.0352 NZHNZD0001L7
    Housing New Zealand Ltd 1.534% 10/09/2035 3.0312 NZHNZD0935L6
    Housing New Zealand Ltd 3.42% 18/10/2028 3.01 NZHNZD0628L7
    Housing New Zealand Ltd 2.183% 24/04/2030 2.9979 NZHNZD0230L2
    Kommunalbanken As 4.00% 20/08/2025 2.7749 NZKBNDT009C6
    Bank Of New Zealand 5.536% 25/05/2028 2.4483 NZBNZDT402C6
    Genesis Energy Ltd 5.00% 3/04/2025 2.1255 NZGNEDT007C3
    ANZ NZD Current Account 1.8554
    Transpower New Zealand 1.735% 4/09/2025 1.7288 NZTRPD0070L9
    Fonterra Cooperative Grp 5.08% 19/06/2025 1.6924 NZFCGDT310C3
    NZ Local Govt Fund Agenc 4.50% 15/05/2030 1.6559 NZLGFDT020C7
    Tr Group Ltd 4.533% 7/03/2024 1.4554 NZTRGD0324L9
    Kiwibank Ltd 2.635% 5/10/2026 1.4396 NZKIWD1026L4
    Chorus Ltd 4.35% 6/12/2028 1.4369 NZCNUDT003C6
    Kiwibank Ltd 2.155% 20/09/2024 1.3629 NZKIWD0924L1
    Kfw 1.75% 19/05/2028 1.3602 NZKFZDT004C9
    Asian Development Bank 2.125% 19/05/2031 1.2932 NZADBDT013C2
    NZ Local Govt Fund Agenc 2.25% 15/05/2028 1.2865 NZLGFDT018C1
    NZ Local Govt Fund Agenc 4.50% 15/04/2027 1.2855 NZLGFDT007C4
    Asian Development Bank 4.00% 27/05/2027 1.2565 NZADBDT016C5
    Dunedin City Treasury 1.93% 18/04/2028 1.2552 NZDCTDT199C7
    Vector Ltd 1.575% 6/10/2026 1.2276 NZVCTDT011C2
    Christchurch City Hldgs 5.043% 6/04/2028 1.2108 NZCCHDT901C1
    Vector Ltd 4.996% 14/03/2024 1.2073 NZVCTDT009C6
    Intl Bk Recon & Develop 4.25% 29/07/2027 1.1978 NZIBDDT020C9
    Intl Finance Corp 4.375% 13/09/2027 1.1971 NZIFCDT014C9
    Asian Development Bank 3.75% 18/08/2025 1.1847 NZADBDT017C3
    Anz Bank New Zealand Ltd 5.22% 16/02/2028 1.175 NZANBDT025C4
    ASB Bank Limited 1.83% 19/08/2024 1.157 NZABBDG004C8
    Kiwibank Ltd 5.737% 19/10/2027 1.1297 NZKIWD1027L2
    European Investment Bank 1.875% 16/06/2028 1.0576 NZEIBDT006C7
    Powerco Limited 4.67% 15/11/2024 0.9807 NZPWCDT009C9
    ASB Bank Limited 1.646% 4/05/2026 0.9301 NZABBDG005C5
    Net Current Assets 0.9167
    NZ Local Govt Fund Agenc 2.75% 15/04/2025 0.8814 NZLGFDT008C2
    Auckland Council 3.338% 27/07/2026 0.8403 NZAKCDT410C0
    Mtfnz P21 A 6.50% 15/06/2029 0.836 NZPANTFAT019
    Asian Development Bank 1.50% 6/08/2026 0.7645 NZADBDT014C0
    Auckland Intl Airport 5.67% 9/05/2028 0.7619 NZAIAD0250L8
    Bank Of New Zealand 1.884% 8/06/2026 0.7592 NZBNZDT397C8
    Intl Finance Corp 4.875% 13/12/2029 0.7446 NZIFCDT015C6
    Westpac New Zealand Ltd 1.439% 24/02/2026 0.7403 NZWNZD0226L9
    Inter-American Devel Bk 4.75% 25/01/2030 0.733 NZIDBDT010C0
    Intl Bk Recon & Develop 4.625% 2/02/2028 0.7302 NZIBDDT021C7
    Wellington Intl Airport 4.00% 1/04/2030 0.722 NZWIAD0060L5
    Dunedin City Treasury 3.79% 16/10/2024 0.7082 NZDCTDT135C1
    Auckland Council 4.176% 24/03/2025 0.6539 NZAKCDT363C1
    GMT Bond Issuer Ltd 3.656% 20/12/2027 0.6424 NZGMBDT008C5
    Intl Bk Recon & Develop 0.75% 10/06/2026 0.6281 NZIBDDT016C7
    Heartland Bank Ltd 3.55% 12/04/2024 0.6113 NZHBLD0020L2
    Bank Of New Zealand 2.16% 29/01/2025 0.5724 NZBNZDT396C0
    Auckland Intl Airport 3.97% 2/11/2023 0.5631 NZAIADT210L1
    Intl Bk Recon & Develop 2.875% 30/11/2026 0.5187 NZIBDDT019C1
    Wellington Intl Airport 2.50% 14/08/2026 0.4937 NZWIAD0070L4
    Kiwi Property Group Ltd 4.06% 12/11/2025 0.4917 NZKPGD0040L4
    Mtfnz O23 A 7.25% 16/09/2030 0.4851 NZOPATFAT017
    Nordic Investment Bank 4.375% 21/02/2030 0.4774 NZNIBDT013C2
    Westpac New Zealand Ltd 2.22% 29/07/2024 0.4762 NZWNZD0724L3
    L-Bank Bw Foerderbank 4.00% 15/04/2027 0.4689 NZLBKDT003C1
    New Zealand Government 2.75% 15/05/2051 0.4665 NZGOVDT551C8
    Blunz 2022-2 A1L 7.45% 16/02/2054 0.463 NZBSNC1002R1
    New Zealand Government 4.50% 15/04/2027 0.4578 NZGOVDT427C1
    Toyota Fin New Zealand 1.73% 6/09/2024 0.4471 NZTFSDT727C5
    New Zealand Government 2.75% 15/04/2025 0.4408 NZGOVDT425C5
    New Zealand Government 0.25% 15/05/2028 0.4375 NZGOVDT528C6
    Wellington Intl Airport 3.32% 24/09/2031 0.4276 NZWIAD0080L3
    Dunedin City Treasury 0.676% 16/11/2026 0.4148 NZDCTDT191C4
    New Zealand Government 3.00% 20/04/2029 0.4142 NZGOVDT429C7
    Bank New Zealand Ltd 2.999% 17/09/2031 0.4098 NZANBDT024C7
    Meridian Energy Limited 5.91% 20/09/2028 0.398 NZMELDT096C0
    Kiwi Property Group Ltd 4.33% 19/12/2024 0.3775 NZKPGD0030L5
    Resnz 2022-1 A1 7.65% 16/06/2054 0.3729 NZRVGA1035R9
    Auckland Council 2.013% 10/07/2025 0.3635 NZAKCDT484C5
    Contact Energy Ltd 3.55% 15/08/2024 0.352 NZCEND0050L0
    Udcau 2022-1 A 7.50% 20/12/2029 0.3471 NZUDCDB001R0
    Dunedin City Treasury 3.22% 27/11/2028 0.3355 NZDCTDT211C0
    Dunedin City Treasury 2.09% 15/11/2026 0.3274 NZDCTDT173C2
    Port Of Tauranga Ltd 1.02% 29/09/2025 0.3262 NZPOTD0925L1
    New Zealand Government 0.50% 15/05/2026 0.324 NZGOVDT526C0
    Chorus Ltd 2.51% 2/12/2030 0.3153 NZCNUDT005C1
    Christchurch City Hldgs 3.58% 27/11/2024 0.3057 NZCCHDT853C4
    Auckland Council 2.95% 28/09/2050 0.3011 NZAKCDT520C6
    NZ Local Govt Fund Agenc 2.00% 15/04/2037 0.2669 NZLGFDT016C5
    Christchurch Intl Airpor 4.13% 24/05/2024 0.2635 NZCHCDT004C4
    NZ Local Govt Fund Agenc 2.25% 15/05/2031 0.2564 NZLGFDT017C3
    Insurance Australia Grp 5.32% 15/06/2038 0.2396 NZIAGDT004C1
    Dunedin City Treasury 3.98% 15/04/2026 0.2344 NZDCTDT109C6
    Westpac New Zealand Ltd 2.083% 20/02/2025 0.2334 NZWNZD0225L1
    GMT Bond Issuer Ltd 4.74% 14/04/2027 0.2309 NZGMBDT009C3
    AvANZ 2022-1 A1 7.30% 15/07/2054 0.2079 NZAVGA1001R7
    GMT Bond Issuer Ltd 4.00% 1/09/2023 0.20 NZGMBDT005C1
    NZ Local Govt Fund Agenc 2.25% 15/04/2024 0.1996 NZLGFDT011C6
    Kiwi Property Group Ltd 4.00% 7/09/2023 0.1936 NZKPGD0020L6
    GMT Bond Issuer Ltd 4.54% 31/05/2024 0.1868 NZGMBDT004C4
    Westpac New Zealand Ltd 3.696% 16/02/2027 0.1701 NZWNZD0227L7
    SBS Bank 4.32% 18/03/2027 0.1625 NZSBBDT297C3
    Fonterra Cooperative Grp 4.15% 14/11/2025 0.1616 NZFCGDG005C4
    Tr Group Ltd 3.532% 5/10/2026 0.1528 NZTRGD1026L9
    NZ Local Govt Fund Agenc 1.50% 20/04/2029 0.1348 NZLGFDT012C4
    Bank New Zealand Ltd 3.03% 20/03/2024 0.0998 NZANBDT023C9
    Bank Of New Zealand 4.985% 7/06/2027 0.0752 NZBNZDT401C8
    NZ Local Govt Fund Agenc 3.00% 15/05/2035 0.0461 NZLGFDT019C9
    Outstanding settlements -1.5066

    SNOOPY
    Last edited by Snoopy; 15-08-2023 at 06:25 PM.
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  5. #15
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    Quote Originally Posted by Nor View Post
    Nor do the managers disclose any information from which the value they assign to the bonds they hold can be worked out. One can only work out the total value of each bond that they hold.
    For post 10 (uncompleted as I write this), I envisaged taking the 'fund yield' and comparing that to the 'market yield' to get an indication of the capital losses realized by selling down the bond portfolio. It would be an approximate result. But I wouldn't need to know the details of the bond portfolio to calculate a figure.

    Quote Originally Posted by Nor View Post
    Some Bonds have no maturity Snoopy.
    Well I'm assuming spec prefs count as Bonds but maybe wrong must check.
    Check out the total portfolio holding in post 14. All the bonds held seem to have maturity dates.

    SNOOPY
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  6. #16
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    But it only shows the percentage of their total value in each bond. Can't work out what value they assume for any bond with the information.

  7. #17
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    Quote Originally Posted by Nor View Post
    But it only shows the percentage of their total value in each bond. Can't work out what value they assume for any bond with the information.
    Yes. But if you look at the NZX 'daily NTA' announcement for this fund on 31st May 2023 (issued on 1st June 2023) , NZB discloses that there were 144,077,077 units on issue on that day valued at $2.87196 dollar per unit. So the total value of the fund on that date was:

    $2.87196 x 144,077,077 = $413,783,602

    Using that as the 100% figure, you can work out the dollar value of the individual constituents because you know the percentage value that each constituent makes, as a part of the total value of the fund. For example the cash balance in the ANZ bank on that day was:

    0.018554 x $413,783,602 = $7.677m

    SNOOPY
    Last edited by Snoopy; 14-08-2023 at 09:46 PM.
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  8. #18
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    At its simplest and crudest, the basic equation of bond funds is a pre-tax yield of 4%, with a management fee of 1%.

    This is factually inaccurate but emotionally correct.

  9. #19
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    Yes I know that, but you can't see how many of each bond they have, which means you have nothing to divide 'the dollar value of the individual constituent' by to find out what they consider to be its unit worth.
    So it is unknown if they are 'marking to market' or still valuing them at face value. The low yield would be explained by not marking to market.

    Intended reply to Snoopy one above
    Last edited by Nor; 15-08-2023 at 09:42 AM.

  10. #20
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    Quote Originally Posted by Nor View Post
    It is unknown if they are 'marking to market' or still valuing them at face value. The low yield would be explained by not marking to market.
    If you look at the 31st July 2023 monthly report here
    https://smartshares.co.nz/types-of-f...sh/nzbondtrust

    Under 'Portfolio Characteristics', the fund yield is listed as 5.59%. If I look at the portfolio constituents from post 14, there is only one bond with a coupon rate greater than that: Meridian Energy's 5.91% bond. This indicates to me that the capital value of those lower interest rate bonds must have been marked down.

    There is no other way to achieve a 5.59% current portfolio yield, unless these mark downs were done.

    Quote Originally Posted by Nor View Post
    You can't see how many of each bond they have, which means you have nothing to divide 'the dollar value of the individual constituent' by to find out what they consider to be its unit worth.
    I am wondering if you need to know that? We don't know which constituents NZB are buying or selling either - as unitholders opt to put more money into NZB or take it out.

    But if we know:
    a/ The weighted average interest rate of the entire NZB portfolio and, as an example,
    b/ A reference government stock rate which is changing but can be pinpointed on a particular day (say the five year rate),

    THEN we can work out the average capital loss carried by the whole NZB fixed interest portfolio. This was the way I was considering tackling the valuation problem.

    SNOOPY
    Last edited by Snoopy; 15-08-2023 at 03:40 PM.
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