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29 November 2004
Generator Bonds Limited, the trustee of Generator NZ No.1 Trust (Generator), has today announced a net profit of $61,000 for the 6 months ended September 30, 2004. At the end of each financial year accumulated profit will be donated to charity in accordance with Generator's Master Trust Deed.
After one year and one quarter of its 5 year term, Generator Bonds1 have experienced no defaults. Additionally, the expected default rate over the term for the portfolio has fallen substantially. This is because the shorter the period to maturity of each of the underlying companies (now 3 years 9 months, not 5 years), the lower the probability of their individual default.
Using the latest ratings and an assumed 30% recovery rate, the expected loss rate in the portfolio is now 1.33% , compared to 1.35%2 the previous quarter, 1.53% at the time of issue, and far below the 4.41% loss rate required to erode Generator Bonds' protection amount.
In other words, for Generator Bonds to lose capital value (i.e. breach the 4.41% protection amount), credit market loss rates over the remaining 3.75 years would need to be over three times the average loss rate of the past 23 years ending December 2003.
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Generator Bonds are issued by Generator Bonds Limited (“Generator”) as trustee for Generator NZ No.1 Trust (“Generator Trust”). This report is issued by Macquarie New Zealand Limited on behalf of Generator. The information contained herein that pertains to Generator and Generator Bonds is provided in good faith and no responsibility for the accuracy, completeness or timeliness of the information is accepted. In preparing this report, we did not take into account the investment objectives, financial situation and particular needs of the reader and to the extent allowed by law we do not accept any liability for any loss howsoever caused arising from reliance upon the information contained in it. This report is based on information obtained from sources believed to be reliable but we do not make any representation or warranty that it is accurate, complete or up to date nor do we accept any obligation to correct or update the information or opinions in it. Opinions expressed are subject to change without notice. The Macquarie Group of companies and their officers and employees may have interests in securities referred to in this report, including being directors of, or providing investment banking services to, their issuer. Further, they may buy or sell those securities as principal or agent, and as such may effect transactions which are not consistent with the views, analyses or recommendations (if any) in this report. |
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Based on S&P default rate data from 1981 to 2003. The implied default rate assumes that defaults are randomly distributed other than by credit rating. It does not take into account portfolio specific characteristics such as correlation of the securities, industry or geographic concentration. A portfolio of 100 securities may experience a more volatile pattern of defaults than the market as a whole. Past performance is not necessarily an indication of future performance. |
Generator Bonds Limited is not an authorised deposit-taking institution for the purposes of the Banking Act (Commonwealth of Australia) 1959, and Generator Bonds Limited's obligations do not represent deposits or other liabilities of Macquarie Bank Limited ABN 46 008 583 542. Macquarie Bank Limited does not guarantee or otherwise provide assurance in respect of the obligations of Generator Bonds Limited.
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