EGB Relative Value Report April 25, 2016
Sep-17 Oct-18 Jun-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Oct-24 Oct-25 Oct-26 Jul-27 May-34 Mar-37 Jun-44 Feb-47 Jan-62 Relative Value Report Austria, 22-Apr-16 70 bp 2Y 5Y 10Y 15Y 30Y 60 bp 50 bp 40 bp 30 bp 20 bp 10 bp 0 bp -10 bp -20 bp -30 bp -40 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. +44-20-7034-9850
Austria, 22-Apr-16 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 4.3 09/15/17 15-Sep-17 1.4-0.466% -31.2-29.4-1.8 2.2-33.5-24.6-0.8 1.5 74 0.8-0.2 RAGB 4.65 01/15/18 15-Jan-18 1.7-0.462% -31.5-29.9-1.6 2.2-33.5-24.7-0.7 1.9 106 0.8-0.2 RAGB 1.15 10/19/18 19-Oct-18 2.5-0.427% -28.9-27.7-1.2 1.6-30.5-24.6-0.7 2.6 201 0.9 0.0 RAGB 4.35 03/15/19 15-Mar-19 2.9-0.389% -27.6-25.8-1.8 2.0-29.0-21.9-0.9 3.2 259 0.9 0.1 RAGB 1.95 06/18/19 18-Jun-19 3.1-0.369% -26.1-24.7-1.4 1.7-27.5-21.5-0.8 3.3 299 0.9 0.1 RAGB 0 1/4 10/18/19 18-Oct-19 3.5-0.356% -26.5-24.9-1.6 1.8-27.9-21.1-0.9 3.6 349 0.9 0.1 RAGB 3.9 07/15/20 15-Jul-20 4.2-0.309% -29.2-27.4-1.8 1.9-31.2-23.2-1.0 4.7 426 0.9 0.2 RAGB3 1/2 09/15/21 15-Sep-21 5.4-0.182% -27.4-26.2-1.3 1.8-28.8-21.6-0.7 6.1 619 0.9 0.4 RAGB 3.65 04/20/22 20-Apr-22 6.0-0.103% -25.9-23.8-2.2 2.0-26.8-18.6-1.1 6.8 729 0.9 0.4 RAGB 3.4 11/22/22 22-Nov-22 6.6-0.040% -26.5-21.9-4.7 3.1-26.6-15.5-1.5 7.4 815 0.9 0.5 RAGB 1 3/4 10/20/23 20-Oct-23 7.5 0.063% -26.8-19.3-7.5 4.0-26.8-12.0-1.9 8.0 980 0.9 0.5 RAGB 1.65 10/21/24 21-Oct-24 8.5 0.238% -20.8-14.4-6.4 4.5-21.4-6.5-1.4 8.9 1,175 0.9 0.6 RAGB 1.2 10/20/25 20-Oct-25 9.5 0.415% -14.1-8.6-5.5 4.9-15.2 0.2-1.1 9.7 1,370 0.9 0.7 RAGB 4.85 03/15/26 15-Mar-26 9.9 0.433% -13.6-6.8-6.8 6.3-15.5 4.2-1.1 12.0 1,325 0.9 0.7 RAGB 0 3/4 10/20/26 20-Oct-26 10.5 0.593% -7.1-3.5-3.6 4.0-8.3 4.5-0.9 10.2 1,568 0.8 0.7 RAGB6 1/4 07/15/27 15-Jul-27 11.2 0.527% -15.2-4.2-11.0 7.5-15.2 7.9-1.5 14.6 1,391 0.8 0.8 RAGB 2.4 05/23/34 23-May-34 18.1 1.051% -1.3 7.3-8.6 6.5-2.3 18.2-1.3 18.4 1,789 0.5 0.7 RAGB 4.15 03/15/37 15-Mar-37 20.9 1.152% 9.7 16.0-6.3 6.8 4.8 28.1-0.9 24.2 1,656 0.3 0.7 RAGB 3.15 06/20/44 20-Jun-44 28.2 1.321% 23.8 25.7-2.0 5.3 16.5 36.1-0.4 29.2 1,215 0.0 0.6 RAGB 1 1/2 02/20/47 20-Feb-47 30.8 1.406% 23.7 26.3-2.7 5.2 19.7 35.1-0.5 25.2 1,075-0.1 0.5 RAGB 3.8 01/26/62 26-Jan-62 45.8 1.454% 52.8 54.5-1.7 6.1 46.0 66.3-0.3 49.3 3,006 0.6 0.5 1M 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
Austria 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Austria 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y Prob {Yield at horizon Forward Yield} (lhs) Austria 1M 60d yield volatility (GARCH, rhs) 35bp 30bp 25bp 20bp 15bp 10bp
Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Jun-24 Jun-25 Mar-26 Mar-28 Jun-31 Mar-32 Jun-34 Mar-35 Jun-38 Mar-41 Jun-45 Jun-47 Relative Value Report Belgium, 22-Apr-16 75 bp 2Y 5Y 10Y 15Y 30Y 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. +44-20-7034-9850
Belgium, 22-Apr-16 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 3 1/2 06/28/17 28-Jun-17 1.2-0.467% -31.0-27.5-3.5 2.8-33.2-21.8-1.3 1.2-36 0.3-0.6 BGB 5 1/2 09/28/17 28-Sep-17 1.4-0.470% -31.9-29.2-2.7 3.0-33.8-22.6-0.9 1.5-23 0.4-0.5 BGB 4 03/28/18 28-Mar-18 1.9-0.465% -32.0-29.4-2.6 2.8-34.6-23.9-0.9 2.1 19 0.5-0.4 BGB 1 1/4 06/22/18 22-Jun-18 2.2-0.447% -29.9-28.5-1.3 2.2-32.1-23.2-0.6 2.2 55 0.5-0.3 BGB 4 03/28/19 28-Mar-19 2.9-0.413% -30.3-28.2-2.0 2.9-32.9-21.9-0.7 3.2 158 0.7-0.1 BGB 3 09/28/19 28-Sep-19 3.4-0.352% -26.8-25.2-1.6 2.3-29.0-20.8-0.7 3.7 261 0.8 0.0 BGB 3 3/4 09/28/20 28-Sep-20 4.4-0.265% -26.3-25.7-0.7 2.1-28.8-21.4-0.3 4.9 446 0.9 0.2 BGB 4 1/4 09/28/21 28-Sep-21 5.4-0.148% -24.4-24.2-0.1 3.2-29.6-18.4 0.0 6.2 654 1.0 0.3 BGB 4 03/28/22 28-Mar-22 5.9-0.103% -25.3-22.7-2.5 3.6-28.1-16.3-0.7 6.8 759 1.1 0.4 BGB 4 1/4 09/28/22 28-Sep-22 6.4-0.029% -23.4-20.0-3.4 3.9-26.4-13.7-0.9 7.5 861 1.1 0.4 BGB 2 1/4 06/22/23 22-Jun-23 7.2 0.068% -22.0-16.6-5.4 4.5-23.8-9.9-1.2 7.8 1,046 1.1 0.5 BGB 2.6 06/22/24 22-Jun-24 8.2 0.256% -14.5-8.6-5.9 5.4-16.7-0.2-1.1 8.9 1,277 1.1 0.6 BGB 0.8 06/22/25 22-Jun-25 9.2 0.450% -7.6-1.6-6.0 5.0-9.5 6.2-1.2 9.1 1,566 1.1 0.7 BGB 4 1/2 03/28/26 28-Mar-26 9.9 0.481% -8.6-2.1-6.5 6.6-12.1 8.3-1.0 11.8 1,534 1.1 0.7 BGB 1 06/22/26 22-Jun-26 10.2 0.609% -2.0 3.3-5.2 5.6-5.6 12.2-0.9 10.0 1,746 1.1 0.7 BGB 5 1/2 03/28/28 28-Mar-28 11.9 0.750% 5.1 10.4-5.3 6.5-1.1 20.8-0.8 14.8 1,743 1.0 0.8 BGB 1 06/22/31 22-Jun-31 15.2 1.111% 11.6 14.9-3.4 5.5 4.5 24.3-0.6 13.8 2,028 0.7 0.8 BGB 4 03/28/32 28-Mar-32 15.9 1.086% 15.4 21.2-5.8 7.5 7.9 33.4-0.8 18.0 1,828 0.6 0.8 BGB 3 06/22/34 22-Jun-34 18.2 1.232% 20.3 24.7-4.4 6.9 12.3 36.0-0.6 18.8 1,721 0.4 0.8 BGB 5 03/28/35 28-Mar-35 18.9 1.230% 26.5 30.6-4.1 8.2 16.0 43.9-0.5 22.8 1,607 0.3 0.8 BGB 1.9 06/22/38 22-Jun-38 22.2 1.453% 31.4 35.3-3.9 6.3 24.9 45.1-0.6 19.7 1,502 0.1 0.7 BGB 4 1/4 03/28/41 28-Mar-41 24.9 1.440% 42.5 46.3-3.8 7.3 33.5 58.0-0.5 27.9 1,435 0.1 0.7 BGB 3 3/4 06/22/45 22-Jun-45 29.2 1.565% 55.9 58.2-2.3 6.4 47.7 69.0-0.4 30.3 2,321 0.5 0.7 BGB 1.6 06/22/47 22-Jun-47 31.2 1.695% 50.8 50.4 0.4 3.6 45.0 61.2 0.1 23.7 3,697 0.9 0.6 1M 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
Belgium 2bp 1bp 0bp -1bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Belgium 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 40% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Belgium 1M 60d yield volatility (GARCH, rhs) 40bp 35bp 30bp 25bp 20bp 15bp 10bp 5bp
Sep-17 Sep-18 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Apr-24 Jul-25 Apr-26 Jul-28 Apr-31 Jul-42 Relative Value Report Finland, 22-Apr-16 25 bp 2Y 5Y 10Y 15Y 30Y 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 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. +44-20-7034-9850
Finland, 22-Apr-16 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 7/8 09/15/17 15-Sep-17 1.4-0.492% -33.9-30.8-3.1 2.6-35.0-23.0-1.2 1.5-100 0.1-0.9 RFGB 1 1/8 09/15/18 15-Sep-18 2.4-0.460% -31.9-27.7-4.2 2.4-32.6-22.9-1.8 2.5 47 0.5-0.3 RFGB4 3/8 07/04/19 4-Jul-19 3.2-0.406% -31.5-27.0-4.5 2.4-32.5-22.9-1.8 3.5 149 0.7-0.2 RFGB3 3/8 04/15/20 15-Apr-20 4.0-0.312% -27.0-24.2-2.8 1.9-27.5-20.7-1.5 4.4 353 0.9 0.1 RFGB 0 3/8 09/15/20 15-Sep-20 4.4-0.265% -24.5-22.1-2.4 1.8-25.2-18.1-1.4 4.5 492 1.0 0.2 RFGB3 1/2 04/15/21 15-Apr-21 5.0-0.199% -24.3-22.8-1.4 2.0-26.3-17.7-0.7 5.6 584 1.0 0.2 RFGB 1 5/8 09/15/22 15-Sep-22 6.4-0.015% -21.1-21.5 0.5 1.9-25.0-17.0 0.2 6.8 942 1.1 0.4 RFGB 1 1/2 04/15/23 15-Apr-23 7.0 0.064% -20.1-17.3-2.8 2.4-21.4-11.7-1.1 7.3 1,083 1.2 0.5 RFGB 2 04/15/24 15-Apr-24 8.0 0.226% -15.7-13.2-2.5 3.3-18.9-7.0-0.7 8.5 1,280 1.2 0.6 RFGB 4 07/04/25 4-Jul-25 9.2 0.339% -17.1-12.0-5.1 5.5-19.9-2.9-0.9 10.7 1,338 1.1 0.6 RFGB 0 7/8 09/15/25 15-Sep-25 9.4 0.428% -12.1-7.6-4.5 4.4-14.6 0.4-1.0 9.4 1,535 1.1 0.7 RFGB 0 1/2 04/15/26 15-Apr-26 10.0 0.516% -10.0-8.5-1.5 3.4-13.5 0.0-0.4 9.7 1,631 1.0 0.7 RFGB 2 3/4 07/04/28 4-Jul-28 12.2 0.697% -8.3-3.3-5.0 6.8-14.8 7.0-0.7 13.2 1,539 0.8 0.7 RFGB 0 3/4 04/15/31 15-Apr-31 15.0 0.913% -6.8-1.4-5.5 7.0-12.3 9.1-0.8 13.8 1,420 0.4 0.7 RFGB 2 5/8 07/04/42 4-Jul-42 26.2 1.130% 0.4 5.7-5.3 6.5-6.1 15.8-0.8 26.9 3,030 1.0 0.5 1M 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
Finland 2bp 1bp 0bp -1bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Finland 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 40% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Prob {Yield at horizon Forward Yield} (lhs) Finland 1M 60d yield volatility (GARCH, rhs) 15bp 14bp 13bp 12bp 11bp 10bp 9bp 8bp 7bp 6bp
Apr-17 Oct-17 May-18 Nov-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 May-24 Nov-24 Oct-25 May-26 Oct-27 Apr-29 May-30 May-31 Oct-32 Apr-35 May-36 Oct-38 Apr-41 May-45 Apr-55 Apr-60 Relative Value Report France, 22-Apr-16 110 bp 100 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 2Y 5Y 10Y 15Y 30Y -40 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. +44-20-7034-9850
France, 22-Apr-16 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) FRTR3 3/4 04/25/17 25-Apr-17 1.0-0.472% -31.4-28.1-3.3 2.4-33.5-21.8-1.4 1.1 18 0.8-0.6 BTNS 1 07/25/17 25-Jul-17 1.2-0.463% -30.3-27.2-3.0 2.3-31.2-22.5-1.3 1.3 50 0.8-0.4 FRTR4 1/4 10/25/17 25-Oct-17 1.5-0.466% -31.3-27.8-3.5 2.9-32.7-21.1-1.2 1.6 68 0.8-0.3 FRTR 0 02/25/18 25-Feb-18 1.8-0.446% -28.6-24.8-3.9 2.4-29.3-20.5-1.6 1.9 116 0.8-0.2 FRTR 4 04/25/18 25-Apr-18 2.0-0.438% -29.2-25.6-3.6 2.4-30.2-21.3-1.5 2.1 133 0.8-0.1 FRTR 1 05/25/18 25-May-18 2.1-0.434% -28.2-24.5-3.7 2.4-28.8-20.4-1.5 2.1 146 0.8-0.1 FRTR4 1/4 10/25/18 25-Oct-18 2.5-0.415% -28.9-25.3-3.6 2.7-30.1-21.5-1.3 2.7 192 0.9 0.0 FRTR 1 11/25/18 25-Nov-18 2.6-0.410% -27.4-23.4-4.1 2.7-28.2-19.4-1.5 2.7 211 0.9 0.0 FRTR 0 02/25/19 25-Feb-19 2.8-0.383% -25.1-21.0-4.1 2.6-26.2-17.3-1.6 2.9 258 0.9 0.1 FRTR4 1/4 04/25/19 25-Apr-19 3.0-0.373% -26.3-23.3-2.9 2.4-27.6-19.0-1.2 3.3 271 0.9 0.1 FRTR 1 05/25/19 25-May-19 3.1-0.365% -24.9-21.7-3.1 2.2-26.0-17.9-1.4 3.2 291 0.9 0.1 FRTR8 1/2 10/25/19 25-Oct-19 3.5-0.338% -28.2-25.9-2.3 2.7-30.5-20.8-0.8 4.2 323 0.9 0.2 FRTR3 3/4 10/25/19 25-Oct-19 3.5-0.332% -25.6-22.8-2.8 2.5-27.1-18.2-1.1 3.8 344 0.9 0.2 FRTR 0 1/2 11/25/19 25-Nov-19 3.6-0.320% -23.8-21.2-2.6 2.3-25.3-17.3-1.1 3.7 377 0.9 0.2 FRTR3 1/2 04/25/20 25-Apr-20 4.0-0.279% -23.6-21.9-1.7 1.9-25.3-18.0-0.9 4.4 434 0.9 0.2 FRTR 0 05/25/20 25-May-20 4.1-0.262% -21.4-19.5-1.9 1.8-22.7-15.8-1.1 4.1 472 0.9 0.3 FRTR2 1/2 10/25/20 25-Oct-20 4.5-0.224% -22.1-20.4-1.7 2.0-23.6-16.5-0.9 4.9 522 0.9 0.3 FRTR 0 1/4 11/25/20 25-Nov-20 4.6-0.204% -20.1-18.8-1.3 1.7-21.4-15.1-0.7 4.7 564 0.9 0.3 FRTR3 3/4 04/25/21 25-Apr-21 5.0-0.172% -21.6-20.7-1.0 2.2-23.8-16.5-0.4 5.6 602 0.9 0.4 FRTR 3 1/4 10/25/21 25-Oct-21 5.5-0.118% -21.6-19.6-2.0 2.6-22.9-14.9-0.8 6.1 683 1.0 0.4 FRTR8 1/4 04/25/22 25-Apr-22 6.0-0.088% -25.6-22.8-2.8 3.2-27.2-16.6-0.9 7.8 715 1.0 0.4 FRTR 3 04/25/22 25-Apr-22 6.0-0.059% -21.1-18.7-2.4 2.7-22.4-13.4-0.9 6.7 778 1.0 0.4 FRTR 2 1/4 10/25/22 25-Oct-22 6.5 0.012% -19.7-16.8-2.9 3.1-20.9-10.6-0.9 7.0 876 1.0 0.5 FRTR8 1/2 04/25/23 25-Apr-23 7.0 0.035% -24.0-20.5-3.5 3.8-26.0-13.3-0.9 9.3 872 1.0 0.5 FRTR 1 3/4 05/25/23 25-May-23 7.1 0.082% -19.6-15.6-4.0 3.6-20.6-8.7-1.1 7.5 980 1.0 0.5 FRTR4 1/4 10/25/23 25-Oct-23 7.5 0.114% -21.3-17.2-4.1 4.6-23.9-9.6-0.9 8.8 998 1.0 0.6 FRTR 2 1/4 05/25/24 25-May-24 8.1 0.216% -17.9-13.0-4.9 4.9-19.7-5.6-1.0 8.7 1,143 1.0 0.6 FRTR 1 3/4 11/25/24 25-Nov-24 8.6 0.313% -14.0-9.7-4.3 4.6-16.7-2.7-0.9 9.0 1,267 1.0 0.6 FRTR 0 1/2 05/25/25 25-May-25 9.1 0.407% -11.3-7.0-4.3 4.9-14.3 0.3-0.9 8.9 1,405 0.9 0.7 FRTR 6 10/25/25 25-Oct-25 9.5 0.377% -14.9-10.1-4.8 6.3-19.7-0.6-0.8 12.0 1,276 0.9 0.7 FRTR 1 11/25/25 25-Nov-25 9.6 0.485% -8.4-3.5-4.8 5.2-11.0 4.5-0.9 9.6 1,479 0.9 0.7 FRTR3 1/2 04/25/26 25-Apr-26 10.0 0.506% -7.6-1.4-6.2 6.5-10.4 8.6-1.0 11.3 1,453 0.9 0.7 FRTR 0 1/2 05/25/26 25-May-26 10.1 0.565% -6.3-4.4-1.9 3.7-8.3 6.3-0.5 9.7 1,589 0.9 0.7 FRTR 2 3/4 10/25/27 25-Oct-27 11.5 0.709% -1.1 5.6-6.6 6.7-4.2 15.6-1.0 12.4 1,668 0.9 0.8 FRTR5 1/2 04/25/29 25-Apr-29 13.0 0.816% 4.3 11.3-7.0 7.8-0.8 22.9-0.9 16.2 1,713 0.8 0.8 FRTR 2 1/2 05/25/30 25-May-30 14.1 0.949% 5.0 11.4-6.4 6.8 0.7 21.4-1.0 14.6 1,883 0.8 0.8 FRTR 1 1/2 05/25/31 25-May-31 15.1 1.043% 7.3 12.5-5.2 6.3 2.1 21.9-0.8 14.4 2,001 0.7 0.8 FRTR5 3/4 10/25/32 25-Oct-32 16.5 1.045% 13.3 21.6-8.2 8.8 7.6 34.7-0.9 21.1 1,818 0.7 0.9 FRTR4 3/4 04/25/35 25-Apr-35 19.0 1.208% 22.5 30.1-7.6 7.9 17.3 42.0-1.0 22.6 1,869 0.5 0.8 FRTR 1 1/4 05/25/36 25-May-36 20.1 1.351% 20.4 21.7-1.3 1.5 19.9 24.4-0.9 17.3 2,039 0.5 0.7 FRTR 4 10/25/38 25-Oct-38 22.5 1.374% 34.4 40.6-6.2 7.4 28.4 51.7-0.8 24.8 1,767 0.3 0.8 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)
France, 22-Apr-16 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) FRTR4 1/2 04/25/41 25-Apr-41 25.0 1.419% 41.2 47.4-6.2 8.0 34.0 59.0-0.8 28.7 1,609 0.2 0.7 FRTR 3 1/4 05/25/45 25-May-45 29.1 1.547% 50.2 54.7-4.5 6.6 44.4 64.9-0.7 28.7 1,421 0.0 0.7 FRTR 4 04/25/55 25-Apr-55 39.0 1.706% 80.5 81.7-1.2 6.2 71.6 92.2-0.2 39.7 1,916 0.2 0.6 FRTR 4 04/25/60 25-Apr-60 44.0 1.779% 94.6 95.4-0.8 6.1 85.6 105.4-0.1 43.4 3,394 0.7 0.6 1M BES² (bp) France 2bp 1bp 0bp -1bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers France 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y Prob {Yield at horizon Forward Yield} (lhs) France 1M 60d yield volatility (GARCH, rhs) 14bp 12bp 10bp 8bp 6bp 4bp 2bp
Jun-17 Jan-18 Oct-18 Jul-19 Jan-20 Sep-20 Apr-21 Jan-22 Sep-22 May-23 Jan-24 Aug-24 Feb-25 Feb-26 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Aug-46 Relative Value Report Germany, 22-Apr-16-5 bp 2Y 5Y 10Y 15Y 30Y -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. +44-20-7034-9850
Germany, 22-Apr-16 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 06/16/17 16-Jun-17 1.1-0.502% -34.2-32.6-1.6 2.0-35.7-27.2-0.8 1.1-35 0.1-0.4 DBR 4 1/4 07/04/17 4-Jul-17 1.2-0.497% -34.3-33.8-0.5 2.2-37.4-27.8-0.2 1.3-31 0.1-0.4 BKO 0 09/15/17 15-Sep-17 1.4-0.503% -34.1-32.5-1.5 1.8-35.6-27.7-0.9 1.4-27 0.1-0.3 OBL 0 1/2 10/13/17 13-Oct-17 1.5-0.499% -33.8-32.7-1.1 1.9-35.8-28.1-0.6 1.5-21 0.1-0.3 BKO 0 12/15/17 15-Dec-17 1.6-0.502% -34.0-33.0-1.0 1.7-35.7-29.1-0.6 1.7-16 0.2-0.3 DBR 4 01/04/18 4-Jan-18 1.7-0.511% -36.4-35.5-0.9 2.1-38.3-30.5-0.4 1.8-20 0.2-0.3 OBL 0 1/2 02/23/18 23-Feb-18 1.8-0.502% -34.4-33.4-1.0 1.9-36.0-28.6-0.5 1.9-6 0.2-0.2 BKO 0 03/16/18 16-Mar-18 1.9-0.504% -34.5-34.5 0.0 1.4-37.1-31.9 0.0 1.9-5 0.2-0.2 OBL 0 1/4 04/13/18 13-Apr-18 2.0-0.508% -35.0-34.1-1.0 1.8-36.8-29.5-0.5 2.0-3 0.2-0.2 DBR 4 1/4 07/04/18 4-Jul-18 2.2-0.498% -36.4-36.2-0.2 1.9-39.2-31.7-0.1 2.4 16 0.3-0.2 OBL 1 10/12/18 12-Oct-18 2.5-0.505% -36.7-35.7-0.9 1.9-38.5-30.9-0.5 2.5 33 0.3-0.2 DBR 3 3/4 01/04/19 4-Jan-19 2.7-0.489% -37.4-37.0-0.4 2.0-40.4-31.6-0.2 2.9 60 0.4-0.1 OBL 1 02/22/19 22-Feb-19 2.8-0.499% -37.3-35.7-1.6 2.1-38.6-30.0-0.8 2.9 66 0.4-0.1 OBL 0 1/2 04/12/19 12-Apr-19 3.0-0.489% -36.5-36.1-0.3 1.9-39.4-30.6-0.2 3.0 85 0.4-0.1 DBR 3 1/2 07/04/19 4-Jul-19 3.2-0.471% -38.1-37.7-0.3 2.0-40.5-32.7-0.2 3.5 111 0.4-0.1 OBL 0 1/4 10/11/19 11-Oct-19 3.5-0.470% -37.9-37.8-0.1 1.8-40.4-33.4-0.1 3.5 145 0.5-0.1 DBR 3 1/4 01/04/20 4-Jan-20 3.7-0.456% -40.3-39.7-0.6 2.3-42.5-34.5-0.3 4.1 170 0.5 0.0 OBL 0 04/17/20 17-Apr-20 4.0-0.432% -37.5-37.0-0.5 1.9-39.7-32.5-0.3 4.1 224 0.6 0.0 DBR 3 07/04/20 4-Jul-20 4.2-0.416% -40.0-40.0 0.0 2.2-43.0-35.3 0.0 4.6 244 0.6 0.1 DBR 2 1/4 09/04/20 4-Sep-20 4.4-0.417% -41.2-41.0-0.2 2.2-43.8-36.3-0.1 4.7 265 0.6 0.0 OBL 0 1/4 10/16/20 16-Oct-20 4.5-0.387% -37.6-37.6 0.0 2.0-40.1-33.2 0.0 4.6 309 0.6 0.1 DBR 2 1/2 01/04/21 4-Jan-21 4.7-0.375% -40.2-40.4 0.2 2.4-43.4-35.2 0.1 5.1 329 0.6 0.1 OBL 0 04/09/21 9-Apr-21 5.0-0.333% -36.2-36.6 0.4 1.9-39.0-31.9 0.2 5.0 402 0.7 0.2 DBR 3 1/4 07/04/21 4-Jul-21 5.2-0.336% -41.8-41.8 0.1 2.3-45.8-36.7 0.0 5.8 399 0.7 0.2 DBR 2 1/4 09/04/21 4-Sep-21 5.4-0.329% -42.3-42.1-0.2 2.1-46.2-37.5-0.1 5.9 431 0.7 0.2 DBR 2 01/04/22 4-Jan-22 5.7-0.287% -41.6-41.7 0.0 2.2-46.6-37.1 0.0 6.2 500 0.7 0.2 DBR 1 3/4 07/04/22 4-Jul-22 6.2-0.245% -43.0-43.2 0.3 2.0-47.5-39.1 0.1 6.7 581 0.8 0.2 DBR 1 1/2 09/04/22 4-Sep-22 6.4-0.229% -43.2-43.4 0.2 1.9-47.0-39.2 0.1 6.8 614 0.8 0.3 DBR 1 1/2 02/15/23 15-Feb-23 6.8-0.172% -42.8-43.7 0.9 2.0-47.7-39.1 0.4 7.3 703 0.8 0.3 DBR 1 1/2 05/15/23 15-May-23 7.1-0.150% -43.6-44.4 0.8 2.1-48.5-40.1 0.4 7.6 737 0.8 0.3 DBR 2 08/15/23 15-Aug-23 7.3-0.121% -44.1-45.2 1.1 2.1-49.3-40.2 0.5 8.0 776 0.8 0.3 DBR 6 1/4 01/04/24 4-Jan-24 7.7-0.089% -49.5-50.6 1.1 2.8-57.0-44.9 0.4 9.9 782 0.8 0.4 DBR 1 3/4 02/15/24 15-Feb-24 7.8-0.050% -42.9-44.3 1.4 2.2-49.0-39.6 0.6 8.4 881 0.8 0.4 DBR 1 1/2 05/15/24 15-May-24 8.1-0.022% -42.8-44.0 1.1 2.0-48.2-39.7 0.6 8.6 919 0.8 0.4 DBR 1 08/15/24 15-Aug-24 8.3 0.019% -41.3-42.2 1.0 2.1-46.3-37.2 0.5 8.7 984 0.8 0.4 DBR 0 1/2 02/15/25 15-Feb-25 8.8 0.097% -39.0-39.4 0.4 2.0-42.8-34.5 0.2 8.9 1,096 0.8 0.5 DBR 1 08/15/25 15-Aug-25 9.3 0.163% -38.1-38.4 0.4 2.0-42.3-33.6 0.2 9.6 1,161 0.8 0.5 DBR 0 1/2 02/15/26 15-Feb-26 9.8 0.230% -36.4-36.8 0.4 1.8-40.4-32.4 0.2 9.8 1,259 0.8 0.5 DBR 6 1/2 07/04/27 4-Jul-27 11.2 0.252% -51.7-49.4-2.3 4.1-55.7-39.7-0.6 15.2 1,170 0.8 0.6 DBR 5 5/8 01/04/28 4-Jan-28 11.7 0.301% -50.1-48.1-2.0 4.3-54.4-37.1-0.5 15.3 1,238 0.8 0.6 DBR 4 3/4 07/04/28 4-Jul-28 12.2 0.340% -49.6-47.3-2.4 4.2-53.7-37.2-0.6 15.4 1,272 0.7 0.6 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)
Germany, 22-Apr-16 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 6 1/4 01/04/30 4-Jan-30 13.7 0.418% -54.2-51.0-3.2 4.7-58.8-40.8-0.7 18.9 1,286 0.6 0.6 DBR 5 1/2 01/04/31 4-Jan-31 14.7 0.541% -43.7-42.0-1.7 4.2-49.2-33.2-0.4 19.5 1,347 0.6 0.6 DBR 4 3/4 07/04/34 4-Jul-34 18.2 0.683% -43.9-39.7-4.1 5.1-49.2-31.7-0.8 23.5 1,221 0.3 0.6 DBR 4 01/04/37 4-Jan-37 20.7 0.788% -36.9-31.9-5.1 5.6-42.0-23.0-0.9 25.4 1,108 0.1 0.6 DBR 4 1/4 07/04/39 4-Jul-39 23.2 0.848% -33.5-30.0-3.5 5.2-39.8-20.4-0.7 29.3 1,012 0.1 0.5 DBR 4 3/4 07/04/40 4-Jul-40 24.2 0.862% -33.4-30.6-2.8 5.5-41.1-20.3-0.5 32.0 1,007 0.0 0.5 DBR 3 1/4 07/04/42 4-Jul-42 26.2 0.899% -27.4-26.2-1.2 4.3-35.2-18.5-0.3 30.3 1,130 0.1 0.5 DBR 2 1/2 07/04/44 4-Jul-44 28.2 0.927% -24.3-23.4-0.9 3.8-31.2-16.8-0.2 30.1 1,477 0.2 0.5 DBR 2 1/2 08/15/46 15-Aug-46 30.3 0.959% -22.2-19.9-2.4 4.0-27.3-12.6-0.6 32.2 2,173 0.5 0.4 1M BES² (bp) Germany 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Germany 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 40% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Germany 1M 60d yield volatility (GARCH, rhs) 19bp 17bp 15bp 13bp 11bp 9bp 7bp
Jul-17 Apr-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-42 Relative Value Report Greece, 22-Apr-16 2Y 5Y 10Y 15Y 30Y 1300 bp 1245 bp 1190 bp 1135 bp 1080 bp 1025 bp 970 bp 915 bp 860 bp 805 bp 750 bp 695 bp 640 bp 585 bp 530 bp 475 bp 420 bp 365 bp 310 bp 255 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. +44-20-7034-9850
Greece, 22-Apr-16 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 3 3/8 07/17/17 17-Jul-17 1.2 9.466% 891.9 992.5-100.6 144.1 653.4 1345.7-0.7 1.0 4,359-2.2 44.9 GGB 4 3/4 04/17/19 17-Apr-19 3.0 8.832% 820.9 985.3-164.4 117.3 813.3 1262.0-1.4 2.3 3,755-1.6 16.3 GGB 2 02/24/23 24-Feb-23 6.8 8.629% 550.9 626.3-75.4 53.7 550.9 763.0-1.4 3.9 3,681-0.6 7.0 GGB 2 02/24/24 24-Feb-24 7.8 8.471% 510.9 577.4-66.5 46.4 510.9 676.2-1.4 4.2 3,623-0.5 6.0 GGB 2 02/24/25 24-Feb-25 8.8 8.353% 476.8 537.5-60.7 41.5 476.8 626.8-1.5 4.5 3,591-0.4 5.3 GGB 2 02/24/26 24-Feb-26 9.8 8.343% 452.3 505.7-53.4 37.2 452.3 590.1-1.4 4.7 3,624-0.3 4.8 GGB 2 02/24/27 24-Feb-27 10.8 8.311% 429.3 478.7-49.4 33.0 429.3 556.1-1.5 4.9 3,630-0.2 4.4 GGB 2 02/24/28 24-Feb-28 11.8 8.316% 410.3 456.2-45.8 30.8 410.3 527.8-1.5 5.0 3,646-0.2 4.1 GGB 2 02/24/29 24-Feb-29 12.8 8.276% 391.3 434.7-43.4 27.9 391.3 506.3-1.6 5.1 3,616-0.2 3.9 GGB 2 02/24/30 24-Feb-30 13.8 8.233% 374.3 414.7-40.4 25.7 374.3 475.4-1.6 5.2 3,566-0.2 3.6 GGB 2 02/24/31 24-Feb-31 14.8 8.220% 361.4 397.4-36.0 23.1 361.4 454.8-1.6 5.3 3,520-0.2 3.4 GGB 2 02/24/32 24-Feb-32 15.8 8.177% 347.0 382.4-35.4 21.6 347.0 435.9-1.6 5.3 3,439-0.2 3.3 GGB 2 02/24/33 24-Feb-33 16.8 8.167% 335.9 369.5-33.6 20.2 335.9 419.0-1.7 5.3 3,368-0.3 3.1 GGB 2 02/24/34 24-Feb-34 17.8 8.151% 326.1 357.8-31.8 18.9 326.1 404.9-1.7 5.3 3,284-0.3 3.0 GGB 2 02/24/35 24-Feb-35 18.8 8.092% 315.6 347.3-31.7 17.9 315.6 392.3-1.8 5.4 3,166-0.4 2.9 GGB 2 02/24/36 24-Feb-36 19.8 8.047% 306.6 337.0-30.4 16.1 306.6 373.9-1.9 5.4 3,058-0.4 2.8 GGB 2 02/24/37 24-Feb-37 20.8 7.991% 298.0 327.3-29.3 15.7 298.0 365.9-1.9 5.4 2,946-0.5 2.7 GGB 2 02/24/38 24-Feb-38 21.8 7.931% 290.0 317.8-27.8 14.9 290.0 350.4-1.9 5.4 2,841-0.5 2.6 GGB 2 02/24/39 24-Feb-39 22.8 7.857% 282.1 308.8-26.6 14.5 282.1 341.7-1.8 5.5 2,741-0.5 2.5 GGB 2 02/24/40 24-Feb-40 23.8 7.787% 274.9 300.6-25.7 14.2 274.9 330.9-1.8 5.5 2,666-0.5 2.4 GGB 2 02/24/41 24-Feb-41 24.8 7.717% 268.1 293.1-24.9 13.6 268.1 322.3-1.8 5.5 2,617-0.5 2.3 GGB 2 02/24/42 24-Feb-42 25.8 7.662% 263.7 286.4-22.7 13.0 263.7 316.4-1.8 5.5 2,612-0.5 2.3 1M 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
Greece 42bp 39bp 36bp 33bp 30bp 27bp 24bp 21bp 18bp 15bp 12bp 9bp 6bp 3bp 0bp -3bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Greece 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 315bp 265bp 215bp 165bp 115bp 50% 65bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Prob {Yield at horizon Forward Yield} (lhs) Greece 1M 60d yield volatility (GARCH, rhs)
Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-22 Mar-23 Mar-24 Mar-25 May-26 May-30 Feb-45 Relative Value Report Ireland, 22-Apr-16 95 bp 2Y 5Y 10Y 15Y 30Y 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 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. +44-20-7034-9850
Ireland, 22-Apr-16 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 5 1/2 10/18/17 18-Oct-17 1.5-0.350% -19.3-16.2-3.0 4.9-23.4-4.9-0.6 1.6 58 0.5 0.0 IRISH 4 1/2 10/18 18-Oct-18 2.5-0.317% -18.3-9.5-8.8 7.5-19.7 3.9-1.2 2.7 217 0.9 0.1 IRISH 4.4 06/18/19 18-Jun-19 3.1-0.205% -9.3-0.3-9.0 6.6-10.0 11.9-1.4 3.5 405 1.1 0.3 IRISH 5.9 10/18/19 18-Oct-19 3.5-0.127% -3.2 1.7-5.0 4.9-6.2 13.1-1.0 4.0 517 1.2 0.5 IRISH 4 1/2 04/20 18-Apr-20 4.0-0.063% -0.1 2.0-2.1 3.9-4.0 10.6-0.5 4.4 668 1.3 0.5 IRISH 5 10/18/20 18-Oct-20 4.5 0.004% 2.9 4.7-1.8 3.7-1.6 14.4-0.5 5.1 793 1.4 0.6 IRISH 0.8 03/15/22 15-Mar-22 5.9 0.208% 7.5 7.5-0.1 3.6-0.5 16.0 0.0 6.0 1,246 1.5 0.7 IRISH 3.9 03/20/23 20-Mar-23 6.9 0.426% 21.4 18.3 3.1 4.4 8.6 28.7 0.7 7.7 1,474 1.5 0.9 IRISH 3.4 03/18/24 18-Mar-24 7.9 0.657% 33.3 30.9 2.5 5.3 20.9 41.6 0.5 8.6 1,728 1.5 1.0 IRISH 5.4 03/13/25 13-Mar-25 8.9 0.822% 45.2 43.7 1.5 6.8 30.1 58.3 0.2 10.4 1,821 1.3 1.1 IRISH 1 05/15/26 15-May-26 10.1 0.911% 28.4 28.6-0.3 6.9 15.6 44.0 0.0 9.6 1,985 1.2 0.9 IRISH 2.4 05/15/30 15-May-30 14.1 1.329% 43.9 44.6-0.7 7.1 30.6 58.9-0.1 13.7 1,541 0.3 1.0 IRISH 2 02/18/45 18-Feb-45 28.8 1.899% 73.8 74.9-1.1 6.7 63.7 89.1-0.2 22.3 8,784 3.3 0.7 1M 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
Ireland 5bp 4bp 3bp 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Ireland 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Ireland 1M 60d yield volatility (GARCH, rhs) 10bp 10bp 9bp 9bp 8bp 8bp 7bp 7bp 6bp 6bp
May-17 Nov-17 May-18 Dec-18 Aug-19 Feb-20 Sep-20 May-21 Dec-21 Sep-22 Mar-23 Nov-23 Sep-24 Jun-25 Dec-25 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Mar-32 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Sep-44 Sep-46 Relative Value Report Italy, 22-Apr-16 210 bp 195 bp 180 bp 165 bp 150 bp 135 bp 120 bp 105 bp 90 bp 75 bp 60 bp 45 bp 30 bp 15 bp 2Y 5Y 10Y 15Y 30Y 0 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. +44-20-7034-9850
Italy, 22-Apr-16 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) BTPS 4 3/4 05/01/17 1-May-17 1.0-0.059% 11.0 13.4-2.3 3.4 8.4 22.0-0.7 1.0 339 1.3 2.4 BTPS 1.15 05/15/17 15-May-17 1.1-0.052% 10.7 12.7-2.0 3.2 7.8 20.8-0.6 1.1 355 1.3 2.4 BTPS 4 3/4 06/01/17 1-Jun-17 1.1-0.044% 12.6 14.3-1.7 3.3 8.4 23.0-0.5 1.1 364 1.3 2.4 BTPS5 1/4 08/01/17 1-Aug-17 1.3-0.029% 14.3 14.9-0.6 3.2 8.3 23.6-0.2 1.3 399 1.3 2.1 BTPS 3 1/2 11/01/17 1-Nov-17 1.5-0.016% 15.3 15.7-0.5 3.2 8.3 26.0-0.1 1.6 441 1.4 1.8 BTPS 0 3/4 01/15/18 15-Jan-18 1.7-0.013% 14.5 16.1-1.6 3.9 8.0 29.1-0.4 1.7 484 1.4 1.6 BTPS4 1/2 02/01/18 1-Feb-18 1.8 0.002% 17.2 18.3-1.2 4.2 9.7 31.5-0.3 1.9 495 1.4 1.6 BTPS 0 1/4 05/15/18 15-May-18 2.1 0.012% 16.4 17.5-1.1 4.5 9.7 32.4-0.2 2.1 555 1.4 1.4 BTPS 3 1/2 06/01/18 1-Jun-18 2.1 0.021% 18.3 19.2-0.9 4.8 10.7 34.7-0.2 2.2 558 1.4 1.4 BTPS4 1/2 08/01/18 1-Aug-18 2.3 0.028% 18.9 20.1-1.2 5.2 11.8 36.4-0.2 2.4 587 1.4 1.4 BTPS 0.3 10/15/18 15-Oct-18 2.5 0.044% 18.3 19.6-1.3 4.8 12.1 34.8-0.3 2.5 646 1.5 1.2 BTPS 3 1/2 12/01/18 1-Dec-18 2.6 0.046% 19.4 20.9-1.5 5.4 12.0 37.7-0.3 2.7 652 1.5 1.2 BTPS4 1/4 02/01/19 1-Feb-19 2.8 0.068% 21.4 22.5-1.0 5.6 12.5 39.4-0.2 3.0 693 1.5 1.2 BTPS4 1/2 03/01/19 1-Mar-19 2.8 0.087% 23.4 24.0-0.6 6.1 13.6 42.6-0.1 3.0 718 1.5 1.2 BTPS 0.1 04/15/19 15-Apr-19 3.0 0.121% 24.2 22.7 1.6 1.0 21.0 24.2 1.5 3.0 785 1.5 1.2 BTPS 2 1/2 05/01/19 1-May-19 3.0 0.123% 25.6 25.5 0.1 6.0 15.2 43.8 0.0 3.1 773 1.5 1.2 BTPS 1 1/2 08/01/19 1-Aug-19 3.3 0.157% 26.7 27.4-0.7 6.8 16.1 46.9-0.1 3.3 850 1.5 1.2 BTPS4 1/4 09/01/19 1-Sep-19 3.4 0.177% 29.9 30.3-0.4 7.4 18.6 50.7 0.0 3.6 860 1.5 1.3 BTPS 1.05 12/01/19 1-Dec-19 3.6 0.197% 28.1 29.0-0.8 7.8 16.4 49.9-0.1 3.6 935 1.5 1.2 BTPS4 1/2 02/01/20 1-Feb-20 3.8 0.228% 32.7 32.5 0.3 8.6 18.4 55.5 0.0 4.1 955 1.5 1.3 BTPS4 1/4 03/01/20 1-Mar-20 3.8 0.239% 33.2 33.4-0.2 9.2 18.5 57.3 0.0 4.2 978 1.5 1.2 BTPS 0.7 05/01/20 1-May-20 4.0 0.295% 34.6 34.4 0.2 8.8 20.3 57.1 0.0 4.0 1,074 1.6 1.2 BTPS 4 09/01/20 1-Sep-20 4.4 0.355% 41.2 39.4 1.8 9.7 24.3 64.5 0.2 4.7 1,136 1.6 1.3 BTPS 0.65 11/01/20 1-Nov-20 4.5 0.404% 40.8 39.6 1.2 9.2 24.5 62.8 0.1 4.5 1,233 1.6 1.3 BTPS3 3/4 03/01/21 1-Mar-21 4.8 0.476% 49.5 48.1 1.4 10.1 31.7 74.4 0.1 5.2 1,293 1.6 1.4 BTPS 3 3/4 05/01/21 1-May-21 5.0 0.525% 53.4 51.4 2.0 9.9 35.8 77.2 0.2 5.4 1,334 1.6 1.4 BTPS 0.45 06/01/21 1-Jun-21 5.1 0.531% 47.5 41.5 6.0 4.9 33.7 49.1 1.2 5.0 1,420 1.6 1.3 BTPS3 3/4 08/01/21 1-Aug-21 5.3 0.558% 54.1 53.7 0.4 11.0 37.6 81.5 0.0 5.6 1,405 1.6 1.4 BTPS4 3/4 09/01/21 1-Sep-21 5.4 0.578% 57.0 56.5 0.5 11.8 39.1 85.6 0.0 5.9 1,418 1.6 1.4 BTPS 2.15 12/15/21 15-Dec-21 5.6 0.652% 56.5 55.8 0.7 10.7 40.0 82.7 0.1 5.8 1,546 1.6 1.4 BTPS 5 03/01/22 1-Mar-22 5.8 0.719% 67.7 66.5 1.2 11.5 49.3 95.6 0.1 6.5 1,572 1.6 1.5 BTPS 1.35 04/15/22 15-Apr-22 6.0 0.743% 60.3 59.3 0.9 10.0 44.0 84.9 0.1 5.9 1,675 1.6 1.4 BTPS 5 1/2 09/01/22 1-Sep-22 6.4 0.823% 74.7 74.6 0.1 12.1 56.5 104.4 0.0 7.1 1,691 1.6 1.6 BTPS 1.45 09/15/22 15-Sep-22 6.4 0.825% 63.4 64.0-0.6 10.7 47.7 90.2-0.1 6.3 1,782 1.6 1.4 BTPS 5 1/2 11/01/22 1-Nov-22 6.5 0.875% 78.5 78.6-0.1 12.3 60.4 108.8 0.0 7.3 1,717 1.5 1.6 BTPS 0.95 03/15/23 15-Mar-23 6.9 0.940% 67.1 57.6 9.5 6.4 49.2 69.8 1.5 6.6 1,936 1.5 1.4 BTPS 4 1/2 05/01/23 1-May-23 7.0 0.957% 79.0 78.4 0.6 12.3 59.9 107.8 0.0 7.6 1,842 1.5 1.6 BTPS4 3/4 08/01/23 1-Aug-23 7.3 1.006% 82.1 80.8 1.3 12.3 61.9 110.4 0.1 8.0 1,915 1.5 1.6 BTPS 9 11/01/23 1-Nov-23 7.5 1.100% 106.9 103.5 3.5 13.4 82.6 135.8 0.3 9.4 1,884 1.5 1.8 BTPS8 1/2 12/22/23 22-Dec-23 7.7 1.136% 108.1 104.2 3.9 13.6 82.0 137.6 0.3 9.4 1,957 1.5 1.8 BTPS 4 1/2 03/01/24 1-Mar-24 7.8 1.198% 95.0 91.5 3.5 12.1 72.5 120.4 0.3 8.4 2,101 1.5 1.7 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)
4bp Italy, 22-Apr-16 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) BTPS 3 3/4 09/01/24 1-Sep-24 8.4 1.305% 97.0 93.4 3.7 11.8 74.0 121.0 0.3 8.7 2,227 1.5 1.7 BTPS 2 1/2 12/01/24 1-Dec-24 8.6 1.329% 90.6 88.0 2.6 11.3 69.5 114.2 0.2 8.5 2,294 1.4 1.6 BTPS 5 03/01/25 1-Mar-25 8.8 1.373% 105.2 100.5 4.7 12.8 79.2 130.0 0.4 9.6 2,264 1.4 1.7 BTPS 1 1/2 06/01/25 1-Jun-25 9.1 1.388% 85.4 81.7 3.8 10.1 64.8 105.0 0.4 8.5 2,404 1.4 1.5 BTPS 2 12/01/25 1-Dec-25 9.6 1.473% 90.9 87.8 3.1 11.1 69.7 113.4 0.3 9.1 2,459 1.4 1.5 BTPS4 1/2 03/01/26 1-Mar-26 9.8 1.494% 105.4 101.5 3.8 12.4 81.2 130.6 0.3 10.4 2,391 1.3 1.6 BTPS 1.6 06/01/26 1-Jun-26 10.1 1.542% 89.8 81.4 8.4 8.2 67.4 98.6 1.0 9.3 2,539 1.3 1.5 BTPS7 1/4 11/01/26 1-Nov-26 10.5 1.583% 126.5 124.2 2.3 14.6 99.5 159.4 0.2 12.5 2,341 1.3 1.7 BTPS6 1/2 11/01/27 1-Nov-27 11.5 1.745% 132.4 130.4 2.0 13.6 108.5 164.5 0.1 13.1 2,454 1.2 1.7 BTPS 4 3/4 09/01/28 1-Sep-28 12.4 1.804% 119.3 117.4 1.9 12.4 98.0 149.1 0.2 12.9 2,555 1.1 1.6 BTPS5 1/4 11/01/29 1-Nov-29 13.5 1.882% 124.7 124.2 0.5 13.4 102.9 157.9 0.0 14.4 2,487 0.9 1.6 BTPS 3 1/2 03/01/30 1-Mar-30 13.8 1.891% 108.4 108.8-0.4 12.1 89.9 139.5 0.0 13.4 2,565 0.9 1.4 BTPS 6 05/01/31 1-May-31 15.0 2.007% 139.8 139.9-0.1 14.6 117.7 177.6 0.0 16.5 2,428 0.7 1.6 BTPS 1.65 03/01/32 1-Mar-32 15.8 1.954% 87.8 88.9-1.1 9.6 73.7 114.6-0.1 13.2 2,498 0.6 1.2 BTPS5 3/4 02/01/33 1-Feb-33 16.8 2.112% 142.3 143.4-1.1 14.2 121.4 179.6-0.1 18.0 2,362 0.5 1.5 BTPS 5 08/01/34 1-Aug-34 18.3 2.197% 140.3 142.9-2.6 13.9 121.7 179.3-0.2 18.5 2,268 0.4 1.4 BTPS 4 02/01/37 1-Feb-37 20.8 2.363% 141.7 144.1-2.5 12.7 123.9 178.3-0.2 18.8 2,140 0.1 1.3 BTPS 5 08/01/39 1-Aug-39 23.3 2.457% 165.6 167.3-1.7 13.7 144.5 204.9-0.1 22.2 2,075 0.1 1.3 BTPS 5 09/01/40 1-Sep-40 24.4 2.532% 173.9 176.8-2.9 13.4 154.8 213.2-0.2 22.8 2,144 0.1 1.3 BTPS 4 3/4 09/01/44 1-Sep-44 28.4 2.600% 181.0 182.4-1.3 12.7 162.2 217.1-0.1 25.1 2,835 0.4 1.2 BTPS 3 1/4 09/01/46 1-Sep-46 30.4 2.622% 154.2 156.9-2.7 10.9 139.2 186.4-0.2 22.4 3,766 0.8 1.1 BTPS 2.7 03/01/47 1-Mar-47 30.8 2.657% 146.4 149.6-3.2 10.0 132.2 175.8-0.3 20.9 4,140 1.0 1.0 Italy Italy 90% 1M BES² (bp) 25bp 3bp 2bp 1bp 0bp 85% 80% 75% 70% 65% 60% 55% 20bp 15bp 10bp 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Italy 1M 60d yield volatility (GARCH, rhs)
Jul-17 Jan-18 Jan-19 Jan-20 Jul-21 Jul-22 Jan-23 Jul-24 Jul-25 Jul-26 Jan-28 Jan-33 Jan-37 Jan-42 Jan-47 Relative Value Report Netherland, 22-Apr-16 10 bp 2Y 5Y 10Y 15Y 30Y 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 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. +44-20-7034-9850
Netherland, 22-Apr-16 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 4 1/2 07/17 15-Jul-17 1.2-0.501% -34.7-34.0-0.7 2.8-40.5-28.1-0.3 1.3-22 0.3-0.5 NETHER 1 1/4 01/15/18 15-Jan-18 1.7-0.485% -32.8-31.2-1.7 2.2-35.3-25.6-0.8 1.8 24 0.4-0.3 NETHER 0 04/15/18 15-Apr-18 2.0-0.470% -31.2-28.5-2.8 1.8-32.7-24.5-1.5 2.0 53 0.5-0.2 NETHER 4 07/15/18 15-Jul-18 2.2-0.456% -31.9-31.6-0.4 2.3-35.5-25.6-0.2 2.4 80 0.5-0.1 NETHER 1 1/4 01/15/19 15-Jan-19 2.7-0.443% -31.4-29.9-1.5 2.3-34.1-25.6-0.6 2.8 141 0.6-0.1 NETHER 4 07/15/19 15-Jul-19 3.2-0.423% -33.4-31.8-1.6 2.4-36.6-27.2-0.6 3.6 196 0.7 0.0 NETHER 0 1/4 01/15/20 15-Jan-20 3.7-0.386% -31.2-30.0-1.2 2.1-34.3-26.0-0.6 3.8 293 0.7 0.1 NETHER 3 1/2 07/20 15-Jul-20 4.2-0.351% -33.6-32.5-1.1 2.3-36.7-27.3-0.5 4.7 355 0.8 0.1 NETHER 3 1/4 07/21 15-Jul-21 5.2-0.243% -32.0-30.8-1.1 2.3-34.8-26.2-0.5 5.8 543 0.9 0.3 NETHER 2 1/4 07/15/22 15-Jul-22 6.2-0.113% -29.6-29.1-0.4 2.1-32.8-25.0-0.2 6.8 754 0.9 0.4 NETHER 3 3/4 01/23 15-Jan-23 6.7-0.060% -30.9-30.1-0.8 2.7-35.2-24.9-0.3 7.7 828 0.9 0.4 NETHER 7 1/2 01/23 15-Jan-23 6.7-0.066% -33.0-32.6-0.5 2.9-38.0-26.7-0.2 8.7 785 0.9 0.5 NETHER 1 3/4 07/15/23 15-Jul-23 7.2 0.022% -27.7-26.0-1.6 2.2-30.0-22.3-0.7 7.7 957 1.0 0.5 NETHER 2 07/15/24 15-Jul-24 8.2 0.160% -25.7-24.5-1.2 2.5-28.9-19.8-0.5 8.8 1,132 1.0 0.6 NETHER 0 1/4 07/15/25 15-Jul-25 9.2 0.306% -22.8-19.8-3.0 3.2-24.8-14.7-0.9 9.0 1,358 0.9 0.6 NETHER 0 1/2 07/15/26 15-Jul-26 10.2 0.435% -20.3-20.2-0.1 0.9-21.6-17.3-0.1 10.0 1,489 0.9 0.6 NETHER 5 1/2 01/28 15-Jan-28 11.7 0.505% -23.9-20.9-2.9 4.9-30.0-13.0-0.6 14.9 1,405 0.8 0.7 NETHER 2 1/2 01/15/33 15-Jan-33 16.7 0.813% -22.8-18.6-4.1 5.1-28.0-11.2-0.8 17.8 1,366 0.3 0.6 NETHER 4 01/15/37 15-Jan-37 20.7 0.900% -22.3-17.8-4.5 6.3-29.7-9.2-0.7 24.9 991 0.0 0.6 NETHER 3 3/4 01/42 15-Jan-42 25.7 0.997% -14.9-13.0-1.9 5.0-23.0-5.4-0.4 30.5 1,029 0.0 0.5 NETHER 2 3/4 01/15/47 15-Jan-47 30.7 1.106% -4.4-3.2-1.2 3.9-11.0 3.1-0.3 32.2 2,791 0.8 0.5 1M 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
Netherland 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Netherland 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 40% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Netherland 1M 60d yield volatility (GARCH, rhs) 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp
Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-22 Oct-23 Oct-25 Jul-26 Feb-30 Apr-37 Feb-45 Relative Value Report Portugal, 22-Apr-16 365 bp 2Y 5Y 10Y 15Y 30Y 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 25 bp 5 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. +44-20-7034-9850
Portugal, 22-Apr-16 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 4.35 10/16/17 16-Oct-17 1.5 0.292% 47.7 50.8-3.1 20.2 24.3 104.5-0.2 1.5 1,113 5.5 2.7 PGB 4.45 06/15/18 15-Jun-18 2.1 0.681% 87.5 89.6-2.0 22.9 54.9 144.1-0.1 2.2 1,608 5.0 3.4 PGB 4 3/4 06/14/19 14-Jun-19 3.1 1.246% 144.3 145.5-1.1 25.1 100.5 203.9 0.0 3.3 2,232 4.2 3.8 PGB 4.8 06/15/20 15-Jun-20 4.1 1.703% 185.8 184.6 1.2 28.6 136.8 255.7 0.0 4.3 2,672 3.6 3.8 PGB 3.85 04/15/21 15-Apr-21 5.0 2.043% 208.8 203.5 5.4 27.3 152.9 275.0 0.2 4.9 3,026 3.1 3.7 PGB 2.2 10/17/22 17-Oct-22 6.5 2.527% 225.8 218.0 7.8 24.0 179.2 289.2 0.3 5.8 3,367 2.4 3.4 PGB 4.95 10/25/23 25-Oct-23 7.5 2.865% 271.7 259.7 12.0 28.4 212.3 339.0 0.4 7.2 3,406 2.0 3.6 PGB 5.65 02/15/24 15-Feb-24 7.8 3.024% 291.4 279.1 12.3 28.8 229.5 359.7 0.4 7.6 3,475 1.8 3.6 PGB 2 7/8 10/15/25 15-Oct-25 9.5 3.100% 246.7 239.4 7.3 23.0 201.1 311.0 0.3 8.0 3,444 1.3 3.0 PGB 2 7/8 07/21/26 21-Jul-26 10.2 3.276% 253.3 246.2 7.1 22.2 211.8 317.8 0.3 8.4 3,484 1.1 2.9 PGB 3 7/8 02/15/30 15-Feb-30 13.8 3.719% 277.5 271.6 5.9 22.1 235.1 343.2 0.3 10.8 3,416 0.6 2.7 PGB 4.1 04/15/37 15-Apr-37 21.0 4.042% 285.8 282.5 3.4 19.7 248.7 344.9 0.2 14.0 3,543 0.4 2.2 PGB 4.1 02/15/45 15-Feb-45 28.8 4.213% 296.3 292.2 4.1 17.9 257.7 346.3 0.2 16.3 2,703-0.3 1.9 1M 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
Portugal 9bp 8bp 7bp 6bp 5bp 4bp 3bp 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers Portugal 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 50% 30bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Portugal 1M 60d yield volatility (GARCH, rhs) 55bp 50bp 45bp 40bp 35bp
Apr-17 Oct-17 Jul-18 Jan-19 Oct-19 Jul-20 Apr-21 Jan-22 Jan-23 Oct-23 Oct-24 Jul-25 Apr-26 Oct-28 Jul-30 Jul-32 Jan-37 Jul-40 Jul-41 Oct-44 Oct-46 Oct-64 Relative Value Report Spain, 22-Apr-16 250 bp 2Y 5Y 10Y 15Y 30Y 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 10 bp -5 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. +44-20-7034-9850
Spain, 22-Apr-16 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) SPGB 2.1 04/30/17 30-Apr-17 1.0-0.127% 3.4 12.1-8.7 4.4 2.3 20.8-2.0 1.0 354 2.1 1.8 SPGB5 1/2 07/30/17 30-Jul-17 1.3-0.108% 6.6 14.0-7.4 4.7 4.9 24.9-1.6 1.3 413 2.0 1.6 SPGB 0 1/2 10/31/17 31-Oct-17 1.5-0.063% 9.7 16.2-6.6 3.7 9.4 26.4-1.8 1.5 502 2.0 1.5 SPGB 4 1/2 01/31/18 31-Jan-18 1.8-0.039% 13.0 20.4-7.3 5.4 10.8 34.5-1.4 1.9 559 2.0 1.4 SPGB 0 1/4 04/30/18 30-Apr-18 2.0-0.036% 11.8 20.9-9.0 5.4 10.9 33.8-1.7 2.0 612 2.0 1.2 SPGB 4.1 07/30/18 30-Jul-18 2.3-0.007% 15.4 23.2-7.9 6.2 14.5 38.4-1.3 2.4 657 1.9 1.2 SPGB 3 3/4 10/31/18 31-Oct-18 2.5 0.018% 17.0 23.7-6.7 6.1 15.3 38.6-1.1 2.7 720 1.9 1.2 SPGB 0 1/4 01/31/19 31-Jan-19 2.8 0.088% 21.7 28.6-6.9 6.1 20.5 43.7-1.1 2.8 829 1.9 1.2 SPGB 2 3/4 04/30/19 30-Apr-19 3.0 0.135% 27.1 33.1-6.0 6.3 24.3 48.8-1.0 3.2 869 1.9 1.2 SPGB 4.6 07/30/19 30-Jul-19 3.3 0.187% 32.2 36.9-4.7 7.1 27.3 53.6-0.7 3.6 937 1.9 1.3 SPGB 4.3 10/31/19 31-Oct-19 3.5 0.222% 33.9 40.7-6.7 8.3 30.5 59.5-0.8 3.8 1,003 1.8 1.3 SPGB 1.4 01/31/20 31-Jan-20 3.8 0.296% 37.1 42.1-4.9 8.3 31.4 61.1-0.6 3.8 1,118 1.8 1.3 SPGB 4 04/30/20 30-Apr-20 4.0 0.359% 44.9 49.3-4.4 9.5 36.4 71.2-0.5 4.3 1,138 1.8 1.4 SPGB 1.15 07/30/20 30-Jul-20 4.3 0.414% 44.8 48.1-3.3 9.1 36.0 69.1-0.4 4.3 1,266 1.8 1.4 SPGB 4.85 10/31/20 31-Oct-20 4.5 0.458% 52.5 55.6-3.1 10.5 41.5 78.8-0.3 5.0 1,282 1.7 1.4 SPGB5 1/2 04/30/21 30-Apr-21 5.0 0.530% 57.4 62.5-5.1 11.3 47.3 87.3-0.5 5.7 1,335 1.7 1.4 SPGB 0 3/4 07/30/21 30-Jul-21 5.3 0.607% 53.6 52.9 0.7 5.4 46.0 64.8 0.1 5.2 1,534 1.7 1.4 SPGB 5.85 01/31/22 31-Jan-22 5.8 0.670% 65.6 73.3-7.6 12.4 57.1 99.8-0.6 6.6 1,542 1.6 1.5 SPGB 5.4 01/31/23 31-Jan-23 6.8 0.915% 80.7 90.5-9.8 11.8 74.4 114.9-0.8 7.6 1,791 1.5 1.6 SPGB 4.4 10/31/23 31-Oct-23 7.5 1.126% 91.5 98.0-6.5 10.5 82.7 119.6-0.6 8.1 1,991 1.5 1.6 SPGB 4.8 01/31/24 31-Jan-24 7.8 1.182% 96.3 102.6-6.3 10.8 86.6 124.6-0.6 8.5 2,042 1.4 1.7 SPGB 3.8 04/30/24 30-Apr-24 8.0 1.297% 101.0 106.3-5.3 10.3 91.0 127.6-0.5 8.4 2,103 1.4 1.7 SPGB 2 3/4 10/31/24 31-Oct-24 8.5 1.389% 99.2 103.9-4.7 9.7 89.6 124.3-0.5 8.5 2,265 1.4 1.7 SPGB 1.6 04/30/25 30-Apr-25 9.0 1.434% 91.4 94.8-3.4 9.1 81.2 114.6-0.4 8.5 2,336 1.3 1.5 SPGB 4.65 07/30/25 30-Jul-25 9.3 1.477% 111.2 115.0-3.8 10.6 99.1 138.1-0.4 9.9 2,284 1.3 1.7 SPGB 2.15 10/31/25 31-Oct-25 9.5 1.519% 97.5 101.0-3.5 9.5 87.0 121.8-0.4 9.1 2,412 1.3 1.6 SPGB 1.95 04/30/26 30-Apr-26 10.0 1.593% 98.0 102.2-4.3 9.6 87.9 123.4-0.4 9.4 2,485 1.2 1.5 SPGB 5.9 07/30/26 30-Jul-26 10.3 1.623% 125.8 130.1-4.3 11.3 112.9 155.8-0.4 11.6 2,366 1.2 1.8 SPGB 5.15 10/31/28 31-Oct-28 12.5 1.901% 133.1 139.4-6.3 10.6 123.1 165.9-0.6 13.3 2,575 1.0 1.7 SPGB 6 01/31/29 31-Jan-29 12.8 1.894% 138.1 145.5-7.4 11.3 128.7 174.3-0.7 14.3 2,552 1.0 1.7 SPGB 1.95 07/30/30 30-Jul-30 14.3 2.033% 105.7 112.1-6.4 9.6 98.7 136.9-0.7 12.2 2,750 0.9 1.4 SPGB5 3/4 07/30/32 30-Jul-32 16.3 2.131% 147.0 156.0-9.0 12.4 138.9 188.3-0.7 17.6 2,577 0.7 1.5 SPGB 4.2 01/31/37 31-Jan-37 20.8 2.496% 158.5 166.4-7.9 11.0 150.3 197.5-0.7 18.7 2,599 0.4 1.4 SPGB 4.9 07/30/40 30-Jul-40 24.3 2.631% 183.4 191.8-8.4 11.9 173.5 225.8-0.7 22.2 2,421 0.2 1.4 SPGB 4.7 07/30/41 30-Jul-41 25.3 2.657% 183.4 191.4-8.0 11.5 173.1 225.2-0.7 22.5 2,373 0.2 1.3 SPGB 5.15 10/31/44 31-Oct-44 28.5 2.740% 204.3 211.2-7.0 11.8 190.0 245.4-0.6 25.6 2,229 0.0 1.3 SPGB 2.9 10/31/46 31-Oct-46 30.5 2.826% 164.2 165.9-1.7 5.4 157.8 182.1-0.3 20.5 2,194 0.0 1.1 SPGB 4 10/31/64 31-Oct-64 48.5 2.945% 217.0 207.0 10.0 16.6 175.3 238.5 0.6 30.7 3,713 0.6 1.0 1M 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
Spain 4bp 3bp 2bp 1bp 0bp Spain 90% 85% 80% 75% 70% 65% 60% 55% 80bp 70bp 60bp 50bp 40bp 30bp 20bp 10bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y Prob {Yield at horizon Forward Yield} (lhs) Spain 1M 60d yield volatility (GARCH, rhs)
Fixed Income Trading Desk +44 020 7612 8311 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.