FI Strategy Euro Rates Update Nordea Research, US Treasury Yields 2Y 0.67 -6.1 -11.4 5Y 1.05 -8.6 -17.3 10Y 1.54 -7.7 -16.6 30Y 2.37 -5.8 -15.6 17 June 2016 Contents Government bond yields, curve slopes and spreads.1 Swaps and Forwards.2 ∆ 1D ∆ 1W German Benchmark Yields 2Y -0.60 -1.4 -6.4 5Y -0.50 -1.8 -8.4 10Y -0.02 -1.7 -8.2 30Y 0.50 -5.4 -18.7 ∆ 1D ∆ 1W - Carry.3 - Money market rates.3 - Inflation linked bonds.3 - Inflation swaps. 3 Credit & money market spreads. 4 German Curve Slopes 2-5Y -10.4 -0.4 -2.0 5-10Y -47.5 0.1 0.2 2-10Y -57.9 -0.3 -1.8 10-30Y -52.3 -3.7 -10.5 Swaption volatilities. 4 Swap & cross-country spreads.4 Country relative value.5 ∆ 1D ∆ 1W EUR Swap Curve Slopes 2-5Y -12.6 -0.6 -2.3 5-10Y -49.9 -0.1 -1.1 2-10Y -62.5 -0.7 -3.4 10-30Y -45.3 -2.8 -7.1 - Overview of rich & cheap bonds.5 - Individual country overviews. German & US 10-year benchmark yields, % 0.9% 2.5% 2.4% 2.3% 2.2% 2.1% 2.0% 1.9% Sep-15 Jan-16 Apr-16 1.8% Jul-16 1.7% 1.6% 1.5% Germany (Left) US (Right) ∆ 1D ∆ 1W 10 year spreads against Germany, bp 49 44 39 34 29 24 19 14 9 Jun-15 Sep-15 Jan-16 Apr-16 France (Left) Italy (Right) 9.5 9.0 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 167 157 147 137 127 117 107 97 87 Jul-16 German Asset Swap Levels 2Y -41.3 -0.6 -4.1 5Y -42.0 -0.3 -3.6 10Y -42.0 0.0 -2.1 30Y -40.2 -1.4 -7.4 0.7% 0.5% 0.3% 0.1% ∆ 1D ∆ 1W 10Y Benchmark Yields GER FRA ITA ESP BEL HOL AUT GRE POR FIN IRL Yield -0.022 0.405 1.498 1.621 0.441 0.245 0.383 7.439 3.427 0.306 0.904 ∆ 1D -1.7 -0.1 8.0 7.5 -0.5 0.1 0.1 13.3 9.0 -1.8 6.9 Spread 41.6 155.7 163.8 44.6 24.8 38.0 747.4 343.0 32.8 91.8 ∆ 1D 1.8 9.7 9.3 1.4 1.9 2.1 15.1 10.9 0.0 8.7 -0.1% Jun-15 -0.3% -0.5% Finland (Left) Spain (Right) Z-scores of benchmark vs. Germany 9.5 9.0 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 AT FR IE FI ES BE NL PT IT Spread = Maturity interpolated spread to German government par yield curve Global Research nordearesearch@nordea.com +45 33 33 61 02 2 5 10 30 Upcoming Issuance (source: Bloomberg) Date 20 Jun 21 Jun 27 Jun 27 Jun 30 Jun Country SO GE IT LT IT 2023 Coupon 1.375% Maturity 2027 Amount (EURbn) 1bn 1bn All bond quotes are taken at 16:15 CET. https://nexus.nordea.com/#/research 1
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