Euro Rates Update Bond Yields & Curves Yield Levels German & US benchmark bonds on-the-run Nordea Analytics benchmarks. German benchmark bond yields, % 2.0% 1.5% 1.0% 0.5% 0.0% Jun-15 -0.5% -1.0% 2.0% 1.5% 1.0% 0.5% 0.0% Jul-16 -0.5% -1.0% USA-Germany spreads, annualized yields, % 2.1% 1.9% 1.7% 1.5% 1.3% 1.1% Jun-15 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% Jul-16 Sep-15 Jan-16 Apr-16 Sep-15 Jan-16 Apr-16 2Y (Right) 10Y 20Y 5Y 2Y 10Y (Left) Bond Curve Shape German curve slopes are yield spreads between Nordea Analytics benchmark bonds. German yield curve slopes, bp -44 -54 -64 -74 -84 -94 -104 -114 -124 Jun-15 Sep-15 2-10Y (Left) Jan-16 Apr-16 10-30Y (Right) -34 -44 -54 -64 -74 -84 -94 -104 -114 Jul-16 Bonds vs. equities 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Jun-15 -0.2% 415 395 375 355 335 315 295 Oct-15 Jan-16 Apr-16 German 10-year benchmark yield (Left) Eurostoxx 600 equity index (Right) Swaps and Forwards EUR swap rates and implied forwards, % 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% Jan-99 Nov-02 Sep-06 Jul-10 May-14 Mar-18 2Y 30Y 10Y 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% EUR-USD spreads and implied forwards, % 2.0% 1.0% 0.0% -1.0% -2.0% -3.0% Jan-99 Nov-02 Sep-06 Jul-10 May-14 Mar-18 EUR less USD 2Y swap rate, % EUR less USD 10Y swap rate, % 2.0% 1.0% 0.0% -1.0% -2.0% -3.0% EUR swap curve shape vs. historical E.g. 2Y2Y swap rate illustrates the rate of a 2-year swap with a 2-year forward start. 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% 0 5 10 15 20 25 30 35 40 45 50 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% Historical forward rates, % 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Jun-15 Sep-15 2Y2Y Jan-16 5Y5Y Apr-16 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Jul-16 16/06/2016 Euro area average 19/05/2016 20Y20Y https://nexus.nordea.com/#/research 2
Download PDF file