EGB Relative Value Report. May152013
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- Lucas Wilcox
- 6 years ago
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1 EGB May152013
2 Jul-14 Jul-15 Sep-16 Sep-17 Mar-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan-62 Austria, 15-May bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp -45 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
3 Austria, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RAGB /15/14 15-Jul % RAGB /20/14 20-Oct % RAGB3 1/2 07/15/15 15-Jul % RAGB 4 09/15/16 15-Sep % RAGB /20/17 20-Feb % RAGB /15/17 15-Sep % RAGB /15/18 15-Jan % , RAGB /15/19 15-Mar % , RAGB /18/19 18-Jun % , RAGB /15/20 15-Jul % , RAGB3 1/2 09/15/21 15-Sep % , RAGB /20/22 20-Apr % , RAGB /22/22 22-Nov % , RAGB 1 3/4 10/20/23 20-Oct % , RAGB /15/26 15-Mar % , RAGB6 1/4 07/15/27 15-Jul % , RAGB /23/34 23-May % , RAGB /15/37 15-Mar % , RAGB /20/44 20-Jun % , RAGB /26/62 26-Jan % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
4 Jul-14 Jul-15 Sep-16 Sep-17 Mar-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
5 Sep-14 Sep-15 Sep-16 Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Mar-26 Mar-28 Mar-32 Mar-35 Mar-41 Belgium, 15-May bp 95 bp 85 bp 75 bp 65 bp 55 bp 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp -45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
6 Belgium, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BGB 4 1/4 09/28/14 28-Sep % BGB 3 1/2 03/28/15 28-Mar % BGB 8 03/28/15 28-Mar % BGB 3 3/4 09/28/15 28-Sep % BGB 2 3/4 03/28/16 28-Mar % BGB 3 1/4 09/28/16 28-Sep % BGB 4 03/28/17 28-Mar % , BGB 3 1/2 06/28/17 28-Jun % , BGB 5 1/2 09/28/17 28-Sep % , BGB 4 03/28/18 28-Mar % , BGB 1 1/4 06/22/18 22-Jun % , BGB 4 03/28/19 28-Mar % , BGB 3 09/28/19 28-Sep % , BGB 3 3/4 09/28/20 28-Sep % , BGB 4 1/4 09/28/21 28-Sep % , BGB 4 03/28/22 28-Mar % , BGB 4 1/4 09/28/22 28-Sep % , BGB 2 1/4 06/22/23 22-Jun % , BGB 4 1/2 03/28/26 28-Mar % , BGB 5 1/2 03/28/28 28-Mar % , BGB 4 03/28/32 28-Mar % , BGB 5 03/28/35 28-Mar % , BGB 4 1/4 03/28/41 28-Mar % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
7 Sep-14 Sep-15 Sep-16 Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Mar-26 Mar-28 Mar-32 Mar-35 Mar bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
8 Sep-14 Jul-15 Apr-16 Apr-17 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Jul-25 Jul-28 Jul-42 Finland, 15-May bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
9 Finland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RFGB3 1/8 09/15/14 15-Sep % RFGB4 1/4 07/04/15 4-Jul % RFGB1 3/4 04/15/16 15-Apr % RFGB 1 7/8 04/15/17 15-Apr % RFGB3 7/8 09/15/17 15-Sep % , RFGB4 3/8 07/04/19 4-Jul % , RFGB3 3/8 04/15/20 15-Apr % , RFGB3 1/2 04/15/21 15-Apr % , RFGB 1 5/8 09/15/22 15-Sep % , RFGB 1 1/2 04/15/23 15-Apr % , RFGB 4 07/04/25 4-Jul % , RFGB 2 3/4 07/04/28 4-Jul % , RFGB 2 5/8 07/04/42 4-Jul % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
10 Sep-14 Jul-15 Apr-16 Apr-17 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Jul-25 Jul-28 Jul bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
11 Jul-14 Jan-15 Oct-15 Apr-16 Oct-16 Jul-17 Apr-18 Oct-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 Oct-25 Oct-27 Apr-29 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 France, 15-May bp 90 bp 80 bp 70 bp 60 bp 50 bp 40 bp 30 bp 20 bp 10 bp 0 bp -10 bp -20 bp -30 bp -40 bp -50 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
12 France, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTNS 3 07/12/14 12-Jul % BTNS 0 3/4 09/25/14 25-Sep % FRTR 4 10/25/14 25-Oct % BTNS2 1/2 01/15/15 15-Jan % FRTR3 1/2 04/25/15 25-Apr % BTNS 2 07/12/15 12-Jul % FRTR 3 10/25/15 25-Oct % FRTR 0 1/4 11/25/15 25-Nov % BTNS2 1/4 02/25/16 25-Feb % FRTR3 1/4 04/25/16 25-Apr % BTNS 2 1/2 07/25/16 25-Jul % FRTR 5 10/25/16 25-Oct % BTNS 1 3/4 02/25/17 25-Feb % , FRTR3 3/4 04/25/17 25-Apr % , BTNS 1 07/25/17 25-Jul % , FRTR4 1/4 10/25/17 25-Oct % , FRTR 4 04/25/18 25-Apr % , FRTR 1 05/25/18 25-May % , FRTR4 1/4 10/25/18 25-Oct % , FRTR4 1/4 04/25/19 25-Apr % , FRTR8 1/2 10/25/19 25-Oct % , FRTR3 3/4 10/25/19 25-Oct % , FRTR3 1/2 04/25/20 25-Apr % , FRTR2 1/2 10/25/20 25-Oct % , FRTR3 3/4 04/25/21 25-Apr % , FRTR 3 1/4 10/25/21 25-Oct % , FRTR 3 04/25/22 25-Apr % , FRTR8 1/4 04/25/22 25-Apr % , FRTR 2 1/4 10/25/22 25-Oct % , FRTR8 1/2 04/25/23 25-Apr % , FRTR 1 3/4 05/25/23 25-May % , FRTR4 1/4 10/25/23 25-Oct % , FRTR 6 10/25/25 25-Oct % , FRTR3 1/2 04/25/26 25-Apr % , FRTR 2 3/4 10/25/27 25-Oct % , FRTR5 1/2 04/25/29 25-Apr % , FRTR5 3/4 10/25/32 25-Oct % , FRTR4 3/4 04/25/35 25-Apr % , FRTR 4 10/25/38 25-Oct % , FRTR4 1/2 04/25/41 25-Apr % , FRTR 3 1/4 05/25/45 25-May % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
13 Jul-14 Jan-15 Oct-15 Apr-16 Oct-16 Jul-17 Apr-18 Oct-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 Oct-25 Oct-27 Apr-29 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 France, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) FRTR 4 04/25/55 25-Apr % , FRTR 4 04/25/60 25-Apr % , M BES² (bp) 3.0bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
14 Jun-14 Jan-15 Oct-15 Jun-16 Jan-17 Oct-17 Jul-18 Jan-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 Jan-24 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Germany, 15-May-13 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp -60 bp -65 bp -70 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
15 Germany, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BKO 0 06/13/14 13-Jun % DBR 4 1/4 07/04/14 4-Jul % BKO 0 09/12/14 12-Sep % OBL 2 1/2 10/10/14 10-Oct % BKO 0 12/12/14 12-Dec % DBR 3 3/4 01/04/15 4-Jan % OBL 2 1/2 02/27/15 27-Feb % BKO 0 1/4 03/13/15 13-Mar % OBL 2 1/4 04/10/15 10-Apr % DBR 3 1/4 07/04/15 4-Jul % OBL 1 3/4 10/09/15 9-Oct % DBR 3 1/2 01/04/16 4-Jan % OBL 2 02/26/16 26-Feb % OBL 2 3/4 04/08/16 8-Apr % DBR 6 06/20/16 20-Jun % DBR 4 07/04/16 4-Jul % OBL 1 1/4 10/14/16 14-Oct % DBR 3 3/4 01/04/17 4-Jan % OBL 0 3/4 02/24/17 24-Feb % OBL 0 1/2 04/07/17 7-Apr % DBR 4 1/4 07/04/17 4-Jul % OBL 0 1/2 10/13/17 13-Oct % DBR 4 01/04/18 4-Jan % OBL 0 1/2 02/23/18 23-Feb % OBL 0 1/4 04/13/18 13-Apr % DBR 4 1/4 07/04/18 4-Jul % DBR 3 3/4 01/04/19 4-Jan % , DBR 3 1/2 07/04/19 4-Jul % , DBR 3 1/4 01/04/20 4-Jan % , DBR 3 07/04/20 4-Jul % , DBR 2 1/4 09/04/20 4-Sep % , DBR 2 1/2 01/04/21 4-Jan % , DBR 3 1/4 07/04/21 4-Jul % , DBR 2 1/4 09/04/21 4-Sep % , DBR 2 01/04/22 4-Jan % , DBR 1 3/4 07/04/22 4-Jul % , DBR 1 1/2 09/04/22 4-Sep % , DBR 1 1/2 02/15/23 15-Feb % , DBR 6 1/4 01/04/24 4-Jan % , DBR 6 1/2 07/04/27 4-Jul % , DBR 5 5/8 01/04/28 4-Jan % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
16 Jun-14 Jan-15 Oct-15 Jun-16 Jan-17 Oct-17 Jul-18 Jan-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 Jan-24 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Germany, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) DBR 4 3/4 07/04/28 4-Jul % , DBR 6 1/4 01/04/30 4-Jan % , DBR 5 1/2 01/04/31 4-Jan % , DBR 4 3/4 07/04/34 4-Jul % , DBR 4 01/04/37 4-Jan % , DBR 4 1/4 07/04/39 4-Jul % , DBR 4 3/4 07/04/40 4-Jul % , DBR 3 1/4 07/04/42 4-Jul % , DBR 2 1/2 07/04/44 4-Jul % , M BES² (bp) 2.0bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
17 Feb-23 Feb-24 Feb-25 Feb-26 Feb-27 Feb-28 Feb-29 Feb-30 Feb-31 Feb-32 Feb-33 Feb-34 Feb-35 Feb-36 Feb-37 Feb-38 Feb-39 Feb-40 Feb-41 Feb-42 Greece, 15-May bp 10Y 15Y 30Y 565 bp 540 bp 515 bp 490 bp 465 bp 440 bp 415 bp 390 bp 365 bp 340 bp 315 bp 290 bp 265 bp 240 bp 215 bp 190 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
18 Greece, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) GGB 2 02/24/23 24-Feb % , GGB 2 02/24/24 24-Feb % , GGB 2 02/24/25 24-Feb % , GGB 2 02/24/26 24-Feb % , GGB 2 02/24/27 24-Feb % , GGB 2 02/24/28 24-Feb % , GGB 2 02/24/29 24-Feb % , GGB 2 02/24/30 24-Feb % , GGB 2 02/24/31 24-Feb % , GGB 2 02/24/32 24-Feb % , GGB 2 02/24/33 24-Feb % , GGB 2 02/24/34 24-Feb % , GGB 2 02/24/35 24-Feb % , GGB 2 02/24/36 24-Feb % , GGB 2 02/24/37 24-Feb % , GGB 2 02/24/38 24-Feb % , GGB 2 02/24/39 24-Feb % , GGB 2 02/24/40 24-Feb % , GGB 2 02/24/41 24-Feb % , GGB 2 02/24/42 24-Feb % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
19 Feb-23 Feb-24 Feb-25 Feb-26 Feb-27 Feb-28 Feb-29 Feb-30 Feb-31 Feb-32 Feb-33 Feb-34 Feb-35 Feb-36 Feb-37 Feb-38 Feb-39 Feb-40 Feb-41 Feb bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp 10Y 15Y 30Y -9.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
20 Feb-15 Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-23 Mar-25 Ireland, 15-May bp 265 bp 250 bp 235 bp 220 bp 205 bp 190 bp 175 bp 160 bp 145 bp 130 bp 115 bp 100 bp 85 bp 70 bp 55 bp 40 bp 25 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
21 Ireland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) IRISH 4 1/2 02/18/15 18-Feb % , IRISH /18/16 18-Apr % , IRISH 5 1/2 10/18/17 18-Oct % , IRISH 4 1/2 10/18 18-Oct % , IRISH /18/19 18-Jun % , IRISH /18/19 18-Oct % , IRISH 4 1/2 04/20 18-Apr % , IRISH 5 10/18/20 18-Oct % , IRISH /20/23 20-Mar % , IRISH /13/25 13-Mar % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
22 Feb-15 Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-23 Mar bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
23 Jun-14 Feb-15 Nov-15 May-16 Feb-17 Nov-17 Jun-18 Feb-19 Sep-19 Sep-20 Aug-21 Mar-22 Sep-22 May-23 Nov-23 Mar-25 Mar-26 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Italy, 15-May bp 370 bp 350 bp 330 bp 310 bp 290 bp 270 bp 250 bp 230 bp 210 bp 190 bp 170 bp 150 bp 130 bp 110 bp 90 bp 70 bp 50 bp 30 bp 10 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
24 Italy, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS3 1/2 06/01/14 1-Jun % , BTPS 4 1/4 07/01/14 1-Jul % , BTPS4 1/4 08/01/14 1-Aug % , BTPS 6 11/15/14 15-Nov % , BTPS4 1/4 02/01/15 1-Feb % , BTPS 2 1/2 03/01/15 1-Mar % , BTPS 3 04/15/15 15-Apr % , BTPS 3 06/15/15 15-Jun % , BTPS 4 1/2 07/15/15 15-Jul % , BTPS3 3/4 08/01/15 1-Aug % , BTPS 3 11/01/15 1-Nov % , BTPS 2 3/4 12/01/15 1-Dec % , BTPS3 3/4 04/15/16 15-Apr % , BTPS 2 1/4 05/15/16 15-May % , BTPS3 3/4 08/01/16 1-Aug % , BTPS 4 3/4 09/15/16 15-Sep % , BTPS 4 02/01/17 1-Feb % , BTPS 4 3/4 05/01/17 1-May % , BTPS 4 3/4 06/01/17 1-Jun % , BTPS5 1/4 08/01/17 1-Aug % , BTPS 3 1/2 11/01/17 1-Nov % , BTPS4 1/2 02/01/18 1-Feb % , BTPS 3 1/2 06/01/18 1-Jun % , BTPS4 1/2 08/01/18 1-Aug % , BTPS4 1/4 02/01/19 1-Feb % , BTPS4 1/2 03/01/19 1-Mar % , BTPS4 1/4 09/01/19 1-Sep % , BTPS4 1/2 02/01/20 1-Feb % , BTPS4 1/4 03/01/20 1-Mar % , BTPS 4 09/01/20 1-Sep % , BTPS3 3/4 03/01/21 1-Mar % , BTPS3 3/4 08/01/21 1-Aug % , BTPS4 3/4 09/01/21 1-Sep % , BTPS 5 03/01/22 1-Mar % , BTPS 5 1/2 09/01/22 1-Sep % , BTPS 5 1/2 11/01/22 1-Nov % , BTPS 4 1/2 05/01/23 1-May % , BTPS4 3/4 08/01/23 1-Aug % , BTPS 9 11/01/23 1-Nov % , BTPS 5 03/01/25 1-Mar % , BTPS4 1/2 03/01/26 1-Mar % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
25 Jun-14 Feb-15 Nov-15 May-16 Feb-17 Nov-17 Jun-18 Feb-19 Sep-19 Sep-20 Aug-21 Mar-22 Sep-22 May-23 Nov-23 Mar-25 Mar-26 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Italy, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS7 1/4 11/01/26 1-Nov % , BTPS6 1/2 11/01/27 1-Nov % , BTPS 4 3/4 09/01/28 1-Sep % , BTPS5 1/4 11/01/29 1-Nov % , BTPS 6 05/01/31 1-May % , BTPS5 3/4 02/01/33 1-Feb % , BTPS 5 08/01/34 1-Aug % , BTPS 4 02/01/37 1-Feb % , BTPS 5 08/01/39 1-Aug % , BTPS 5 09/01/40 1-Sep % , M BES² (bp) 11.0bp 9.0bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp -9.0bp -11.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
26 Jul-14 Jan-15 Jul-16 Jan-17 Jan-18 Jul-19 Jul-20 Jul-21 Jul-22 Jan-23 Jan-28 Jan-33 Jan-37 Jan-42 Netherland, 15-May bp 25 bp 20 bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
27 Netherland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) NETHER 3 3/4 07/14 15-Jul % NETHER 2 3/4 01/15 15-Jan % NETHER 0 3/4 04/15/15 15-Apr % NETHER 3 1/4 07/15 15-Jul % NETHER 4 07/15/16 15-Jul % NETHER 2 1/2 01/15/17 15-Jan % NETHER 4 1/2 07/17 15-Jul % NETHER 1 1/4 01/15/18 15-Jan % , NETHER 4 07/15/18 15-Jul % , NETHER 4 07/15/19 15-Jul % , NETHER 3 1/2 07/20 15-Jul % , NETHER 3 1/4 07/21 15-Jul % , NETHER 2 1/4 07/15/22 15-Jul % , NETHER 7 1/2 01/23 15-Jan % , NETHER 3 3/4 01/23 15-Jan % , NETHER 1 3/4 07/15/23 15-Jul % , NETHER 5 1/2 01/28 15-Jan % , NETHER 2 1/2 01/15/33 15-Jan % , NETHER 4 01/15/37 15-Jan % , NETHER 3 3/4 01/42 15-Jan % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
28 Jul-14 Jan-15 Jul-16 Jan-17 Jan-18 Jul-19 Jul-20 Jul-21 Jul-22 Jan-23 Jan-28 Jan-33 Jan-37 Jan bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
29 Jun-14 Oct-15 Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Apr-37 Portugal, 15-May bp 440 bp 420 bp 400 bp 380 bp 360 bp 340 bp 320 bp 300 bp 280 bp 260 bp 240 bp 220 bp 200 bp 180 bp 160 bp 140 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
30 Portugal, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) PGB 4 3/8 06/16/14 16-Jun % , PGB /15/14 15-Oct % , PGB /15/15 15-Oct % , PGB /15/16 15-Feb % , PGB /15/16 15-Oct % , PGB /16/17 16-Oct % , PGB /15/18 15-Jun % , PGB 4 3/4 06/14/19 14-Jun % , PGB /15/20 15-Jun % , PGB /15/21 15-Apr % , PGB /25/23 25-Oct % , PGB /15/24 15-Feb % , PGB /15/37 15-Apr % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
31 Jun-14 Oct-15 Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Apr bp 18.0bp 15.0bp 12.0bp 9.0bp 6.0bp 3.0bp 0.0bp -3.0bp -6.0bp -9.0bp -12.0bp -15.0bp -18.0bp -21.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
32 Jul-14 Jan-15 Oct-15 Jul-16 Jan-17 Jan-18 Jul-19 Apr-20 Oct-20 Jan-22 Jan-23 Jan-24 Jul-25 Jul-26 Jan-29 Jul-32 Jan-37 Jul-40 Jul-41 Spain, 15-May bp 345 bp 325 bp 305 bp 285 bp 265 bp 245 bp 225 bp 205 bp 185 bp 165 bp 145 bp 125 bp 105 bp 85 bp 65 bp 45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel
33 Spain, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) SPGB4 3/4 07/30/14 30-Jul % , SPGB /31/14 31-Oct % , SPGB /31/15 31-Jan % , SPGB 2 3/4 03/31/15 31-Mar % , SPGB 3 04/30/15 30-Apr % , SPGB 4 07/30/15 30-Jul % , SPGB 3 3/4 10/31/15 31-Oct % , SPGB /31/16 31-Jan % , SPGB3 1/4 04/30/16 30-Apr % , SPGB /30/16 30-Jul % , SPGB 4 1/4 10/31/16 31-Oct % , SPGB /31/17 31-Jan % , SPGB5 1/2 07/30/17 30-Jul % , SPGB 4 1/2 01/31/18 31-Jan % , SPGB /30/18 30-Jul % , SPGB /30/19 30-Jul % , SPGB /31/19 31-Oct % , SPGB 4 04/30/20 30-Apr % , SPGB /31/20 31-Oct % , SPGB5 1/2 04/30/21 30-Apr % , SPGB /31/22 31-Jan % , SPGB /31/23 31-Jan % , SPGB /31/24 31-Jan % , SPGB /30/25 30-Jul % , SPGB /30/26 30-Jul % , SPGB 6 01/31/29 31-Jan % , SPGB5 3/4 07/30/32 30-Jul % , SPGB /31/37 31-Jan % , SPGB /30/40 30-Jul % , SPGB /30/41 30-Jul % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
34 Jul-14 Jan-15 Oct-15 Jul-16 Jan-17 Jan-18 Jul-19 Apr-20 Oct-20 Jan-22 Jan-23 Jan-24 Jul-25 Jul-26 Jan-29 Jul-32 Jan-37 Jul-40 Jul bp 11.0bp 9.0bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp -9.0bp -11.0bp -13.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
35 Fixed Income Trading Desk DISCLAIMER Marketing Communication - Institutional Use. This document has not been produced in accordance with legal requirements designed to promote the independence of research. Entry, Stop Loss, Close, Near-term exit and Target offered as guidelines, which may be adjusted as conditions vary. Sunrise Brokers LLP ( Sunrise ) for the information of its Clients (as defined in the Rules of the FSA) and those of its affiliates only. It is not intended for Retail Clients in the UK. If this research is received by a customer of an affiliate of Sunrise, its provision to the recipient is subject to the terms of business in place between the recipient and such affiliate. This document is not directed to, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or which would subject Sunrise, or its subsidiaries or its affiliates to any registration or licensing requirement within such jurisdiction. This document is not and should not be construed as an offer to sell or the solicitation of an offer to purchase or subscribe for any investment. Sunrise has based this document on information obtained from sources it believes to be reliable but which it has not independently verified; Sunrise makes no guarantee, representation or warranty and accepts no responsibility or liability as to its accuracy or completeness. The opinions contained within the report are based upon publicly available information at the time of publication and are subject to change without notice. Nothing herein excludes or restricts any duty or liability to a customer which Sunrise has under the Financial Services and Markets Act 2000 or under the Rules of the FSA. A recipient who chooses to deal with any person who is not a representative of Sunrise in the UK will not enjoy the protections afforded by the UK regulatory regime. Past performance is not necessarily a guide to future performance. The value of any investment or income may go down as well as up and you may not get back the full amount invested. Where an investment is denominated in a currency other than the local currency of the recipient of the research report, changes in the exchange rates may have an adverse effect on the value, price or income of that investment. In case of investments for which there is no recognised market it may be difficult for investors to sell their investments or to obtain reliable information about its value or the extent of the risk to which it is exposed. Sunrise Brokers LLP is registered in England No OC300626, is authorised and regulated by the Financial Services Authority. Copyright. Sunrise Brokers LLP 2012, ALL RIGHTS RESERVED. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, on any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of Sunrise Brokers LLP. TIM Group Breakdowns: A breakdown of all ideas entered in the past 5 days by sector/region. Pie charts are coloured according to Sentiment and sized according to Interest. Sentiment: Percentage of positive idea actions in the sector/region over the past 5 days. More recent actions are weighted more heavily. Change: The change in Sentiment from the previous 24 hours. Interest: Proportion of opens and closes for the sector/region compared to all opens and closes. Sentiment: Sentiment is calculated from the percentage of all idea actions which were positive (opens of longs, closes of shorts) in the past 5 days. More recent actions are weighted more heavily. 50 is a neutral indicator. More than 50 indicates a long sentiment, less than 50 a short sentiment. The change in Sentiment from the previous 24 hours is shown below in parentheses. Historical Sentiment: The 5 day weighted sentiment plotted historically.
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