EGB Relative Value Report March 30, 2015
Sep-16 Sep-17 Oct-18 Jun-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Oct-24 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan-62 Relative Value Report Austria, 27-Mar-15 15 bp 2Y 5Y 10Y 15Y 30Y 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 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, 27-Mar-15 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 09/15/16 15-Sep-16 1.5-0.175% -26.1-26.2 0.1 1.7-30.7-23.0 0.1 1.5 52 0.6-0.2 RAGB 3.2 02/20/17 20-Feb-17 1.9-0.160% -25.5-25.6 0.1 2.2-31.0-22.3 0.0 2.0 88 0.6-0.1 RAGB 4.3 09/15/17 15-Sep-17 2.5-0.147% -27.0-27.1 0.2 2.1-31.2-22.9 0.1 2.7 126 0.6 0.0 RAGB 4.65 01/15/18 15-Jan-18 2.8-0.136% -27.6-27.5-0.1 2.1-30.6-22.3 0.0 3.1 152 0.6 0.0 RAGB 1.15 10/19/18 19-Oct-18 3.6-0.080% -24.8-27.0 2.2 2.0-30.2-22.8 1.1 3.7 237 0.6 0.1 RAGB 4.35 03/15/19 15-Mar-19 4.0-0.050% -25.4-29.4 4.0 2.2-33.9-24.7 1.8 4.4 270 0.6 0.2 RAGB 1.95 06/18/19 18-Jun-19 4.2-0.023% -23.4-27.9 4.5 2.2-32.2-23.2 2.1 4.4 305 0.6 0.2 RAGB 0 1/4 10/18/19 18-Oct-19 4.6 0.002% -22.5-27.1 4.6 2.8-31.8-21.8 1.7 4.6 349 0.6 0.2 RAGB 3.9 07/15/20 15-Jul-20 5.3 0.030% -26.3-30.9 4.6 2.9-38.0-25.4 1.6 5.9 379 0.6 0.2 RAGB3 1/2 09/15/21 15-Sep-21 6.5 0.094% -28.3-31.5 3.2 3.3-38.6-24.0 1.0 7.3 469 0.5 0.3 RAGB 3.65 04/20/22 20-Apr-22 7.1 0.159% -25.7-29.4 3.7 4.3-37.5-19.5 0.9 8.0 526 0.5 0.3 RAGB 3.4 11/22/22 22-Nov-22 7.6 0.217% -23.4-27.8 4.3 4.8-37.0-16.4 0.9 8.6 592 0.5 0.4 RAGB 1 3/4 10/20/23 20-Oct-23 8.6 0.288% -21.3-25.4 4.0 5.0-34.8-14.1 0.8 9.0 681 0.5 0.4 RAGB 1.65 10/21/24 21-Oct-24 9.6 0.362% -19.3-22.2 2.9 5.4-31.2-8.6 0.5 10.0 754 0.5 0.4 RAGB 4.85 03/15/26 15-Mar-26 11.0 0.420% -20.3-23.4 3.1 6.3-32.5-7.8 0.5 13.5 772 0.4 0.4 RAGB6 1/4 07/15/27 15-Jul-27 12.3 0.479% -19.7-26.9 7.3 7.3-37.9-9.5 1.0 16.4 794 0.4 0.5 RAGB 2.4 05/23/34 23-May-34 19.1 0.677% -14.0-16.2 2.3 7.1-27.2-0.2 0.3 20.9 852 0.2 0.4 RAGB 4.15 03/15/37 15-Mar-37 22.0 0.703% -13.6-16.0 2.5 9.0-30.1 4.2 0.3 28.0 755 0.1 0.4 RAGB 3.15 06/20/44 20-Jun-44 29.2 0.775% -8.7-12.2 3.5 8.8-28.3 7.1 0.4 35.0 560 0.0 0.3 RAGB 3.8 01/26/62 26-Jan-62 46.8 0.906% 11.1-6.9 18.0 8.8-22.7 11.2 2.0 62.3 2,002 0.4 0.2 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 1bp 0bp Austria 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y Prob {Yield at horizon Forward Yield} (lhs) Austria 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Sep-16 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 Mar-41 Jun-45 Relative Value Report Belgium, 27-Mar-15 65 bp 2Y 5Y 10Y 15Y 30Y 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, 27-Mar-15 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 1/4 09/28/16 28-Sep-16 1.5-0.168% -25.3-24.6-0.8 1.2-27.2-21.9-0.7 1.6 5 0.3-0.3 BGB 4 03/28/17 28-Mar-17 2.0-0.177% -27.8-25.3-2.5 1.7-28.2-21.0-1.5 2.1 26 0.4-0.2 BGB 3 1/2 06/28/17 28-Jun-17 2.2-0.163% -27.4-25.4-2.1 2.0-28.6-20.1-1.1 2.4 48 0.4-0.2 BGB 5 1/2 09/28/17 28-Sep-17 2.5-0.155% -28.3-27.1-1.2 2.1-30.7-21.3-0.6 2.8 68 0.4-0.1 BGB 4 03/28/18 28-Mar-18 3.0-0.117% -26.1-25.7-0.4 2.0-29.7-21.1-0.2 3.2 132 0.5 0.0 BGB 1 1/4 06/22/18 22-Jun-18 3.2-0.100% -24.9-24.1-0.8 2.3-28.1-18.4-0.3 3.3 163 0.5 0.0 BGB 4 03/28/19 28-Mar-19 4.0-0.043% -24.7-26.3 1.5 2.6-31.5-20.3 0.6 4.4 256 0.6 0.1 BGB 3 09/28/19 28-Sep-19 4.5-0.012% -24.7-26.0 1.2 2.8-32.1-20.1 0.4 4.9 315 0.6 0.2 BGB 3 3/4 09/28/20 28-Sep-20 5.5 0.026% -28.4-29.3 0.9 3.9-38.2-20.7 0.2 6.2 411 0.6 0.2 BGB 4 1/4 09/28/21 28-Sep-21 6.5 0.100% -28.2-28.5 0.2 4.8-38.0-16.4 0.0 7.5 527 0.7 0.3 BGB 4 03/28/22 28-Mar-22 7.0 0.151% -26.3-24.7-1.5 5.4-34.0-11.4-0.3 8.0 601 0.7 0.3 BGB 4 1/4 09/28/22 28-Sep-22 7.5 0.209% -23.5-21.0-2.5 6.0-30.9-6.0-0.4 8.7 662 0.7 0.4 BGB 2 1/4 06/22/23 22-Jun-23 8.2 0.297% -18.4-15.7-2.6 6.1-26.6-1.3-0.4 8.8 784 0.7 0.4 BGB 2.6 06/22/24 22-Jun-24 9.2 0.383% -15.2-11.1-4.1 7.5-23.6 7.1-0.5 10.1 881 0.6 0.4 BGB 0.8 06/22/25 22-Jun-25 10.2 0.476% -11.2-8.9-2.3 5.9-19.6 6.4-0.4 10.1 1,021 0.6 0.4 BGB 4 1/2 03/28/26 28-Mar-26 11.0 0.494% -11.5-5.3-6.2 9.8-21.5 18.7-0.6 13.2 974 0.6 0.5 BGB 5 1/2 03/28/28 28-Mar-28 13.0 0.599% -7.1-1.6-5.5 11.3-22.5 26.2-0.5 16.7 1,017 0.5 0.5 BGB 1 06/22/31 22-Jun-31 16.2 0.794% 1.4-0.9 2.3 4.8-13.2 5.4 0.5 15.4 1,114 0.3 0.4 BGB 4 03/28/32 28-Mar-32 17.0 0.784% 3.4 7.3-3.9 11.7-15.1 35.0-0.3 20.3 999 0.3 0.5 BGB 3 06/22/34 22-Jun-34 19.2 0.859% 7.6 10.9-3.4 11.4-10.1 39.1-0.3 21.3 927 0.2 0.5 BGB 5 03/28/35 28-Mar-35 20.0 0.860% 10.6 15.3-4.7 13.5-9.3 48.4-0.3 26.0 870 0.1 0.5 BGB 4 1/4 03/28/41 28-Mar-41 26.0 0.953% 18.1 21.2-3.0 14.1-6.8 55.1-0.2 32.6 935 0.1 0.4 BGB 3 3/4 06/22/45 22-Jun-45 30.2 1.050% 28.5 29.2-0.6 13.0 2.7 60.4 0.0 36.0 1,810 0.5 0.4 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 Belgium 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 40bp 35bp 30bp 25bp 20bp 15bp 10bp 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Belgium 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Apr-17 Sep-18 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Apr-24 Jul-25 Jul-28 Apr-31 Jul-42 Relative Value Report Finland, 27-Mar-15 5 bp 2Y 5Y 10Y 15Y 30Y 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
Finland, 27-Mar-15 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) RFGB1 3/4 04/15/16 15-Apr-16 1.0-0.210% -29.1-27.8-1.3 1.7-31.3-23.8-0.7 1.1-32 0.2-0.6 RFGB 1 7/8 04/15/17 15-Apr-17 2.0-0.206% -30.3-27.0-3.3 2.6-33.6-23.3-1.3 2.1 10 0.4-0.3 RFGB3 7/8 09/15/17 15-Sep-17 2.5-0.182% -30.5-28.6-1.9 2.5-34.5-23.9-0.7 2.6 35 0.4-0.2 RFGB 1 1/8 09/15/18 15-Sep-18 3.5-0.121% -28.3-28.5 0.2 2.4-32.6-23.2 0.1 3.6 173 0.5 0.0 RFGB4 3/8 07/04/19 4-Jul-19 4.3-0.053% -28.1-30.5 2.4 2.6-36.0-25.7 0.9 4.8 241 0.5 0.1 RFGB3 3/8 04/15/20 15-Apr-20 5.0-0.002% -27.6-30.5 2.9 3.1-37.3-25.5 0.9 5.6 335 0.6 0.2 RFGB 0 3/8 09/15/20 15-Sep-20 5.5 0.011% -27.9-29.9 2.0 3.0-36.1-22.1 0.7 5.5 424 0.6 0.2 RFGB3 1/2 04/15/21 15-Apr-21 6.0 0.051% -29.7-29.8 0.1 4.1-40.3-20.8 0.0 6.8 433 0.6 0.2 RFGB 1 5/8 09/15/22 15-Sep-22 7.5 0.172% -26.3-26.1-0.1 4.7-36.8-14.3 0.0 7.9 635 0.6 0.3 RFGB 1 1/2 04/15/23 15-Apr-23 8.0 0.208% -26.4-25.6-0.8 4.8-37.1-13.7-0.2 8.4 684 0.6 0.3 RFGB 2 04/15/24 15-Apr-24 9.0 0.286% -24.7-24.0-0.6 5.3-35.6-10.1-0.1 9.7 756 0.6 0.4 RFGB 4 07/04/25 4-Jul-25 10.3 0.347% -25.3-23.0-2.3 7.1-33.7-4.4-0.3 12.1 776 0.5 0.4 RFGB 2 3/4 07/04/28 4-Jul-28 13.3 0.499% -21.1-17.9-3.2 6.6-30.6-2.3-0.5 14.8 844 0.4 0.4 RFGB 0 3/4 04/15/31 15-Apr-31 16.0 0.612% -16.5-17.5 1.0 3.9-24.0-12.7 0.3 15.4 804 0.2 0.4 RFGB 2 5/8 07/04/42 4-Jul-42 27.3 0.657% -22.6-21.1-1.5 8.8-36.3-2.6-0.2 31.6 1,074 0.2 0.3 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
Finland 1bp 0bp -1bp Finland 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 40% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Prob {Yield at horizon Forward Yield} (lhs) Finland 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Oct-16 Jul-17 Feb-18 Oct-18 May-19 Nov-19 Oct-20 Oct-21 Oct-22 May-23 May-24 Nov-24 Oct-25 Oct-27 Apr-29 May-30 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 Relative Value Report France, 27-Mar-15 75 bp 65 bp 55 bp 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp 2Y 5Y 10Y 15Y 30Y -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
France, 27-Mar-15 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 1/4 04/25/16 25-Apr-16 1.1-0.162% -24.3-24.6 0.3 1.3-26.9-21.1 0.3 1.1 56 0.6 0.0 BTNS 2 1/2 07/25/16 25-Jul-16 1.3-0.167% -25.0-23.7-1.2 1.3-26.1-20.6-0.9 1.4 41 0.6-0.3 FRTR 5 10/25/16 25-Oct-16 1.6-0.166% -25.6-24.9-0.7 1.2-28.2-21.8-0.6 1.7 56 0.6-0.2 FRTR 0 1/4 11/25/16 25-Nov-16 1.7-0.165% -24.9-23.2-1.6 1.2-26.1-20.2-1.3 1.7 65 0.6-0.2 BTNS 1 3/4 02/25/17 25-Feb-17 1.9-0.169% -26.2-23.4-2.7 1.4-26.6-19.9-1.9 2.0 77 0.6-0.2 FRTR3 3/4 04/25/17 25-Apr-17 2.1-0.164% -26.8-24.6-2.2 1.5-28.0-21.4-1.4 2.2 86 0.6-0.2 BTNS 1 07/25/17 25-Jul-17 2.3-0.160% -26.6-24.1-2.5 1.6-26.7-20.3-1.5 2.4 109 0.6-0.1 FRTR4 1/4 10/25/17 25-Oct-17 2.6-0.143% -27.1-25.8-1.3 1.8-29.1-21.6-0.7 2.8 132 0.6-0.1 FRTR 0 02/25/18 25-Feb-18 2.9-0.117% -24.3-23.6-0.7 0.6-24.4-22.6-1.1 2.9 178 0.6 0.0 FRTR 4 04/25/18 25-Apr-18 3.1-0.122% -27.1-25.7-1.4 2.0-29.3-21.2-0.7 3.3 172 0.6 0.0 FRTR 1 05/25/18 25-May-18 3.2-0.106% -24.9-23.9-1.0 2.1-27.8-19.2-0.5 3.2 198 0.6 0.0 FRTR4 1/4 10/25/18 25-Oct-18 3.6-0.079% -26.0-26.0 0.0 2.0-29.5-21.1 0.0 3.9 234 0.6 0.1 FRTR 1 11/25/18 25-Nov-18 3.7-0.067% -24.0-24.2 0.3 2.0-28.4-19.5 0.1 3.7 258 0.6 0.1 FRTR4 1/4 04/25/19 25-Apr-19 4.1-0.038% -24.9-26.1 1.2 2.3-31.2-21.6 0.5 4.5 286 0.6 0.2 FRTR 1 05/25/19 25-May-19 4.2-0.019% -22.2-23.3 1.1 2.2-28.2-18.9 0.5 4.3 320 0.6 0.2 FRTR8 1/2 10/25/19 25-Oct-19 4.6-0.021% -28.7-28.6-0.1 3.0-35.8-22.8 0.0 5.7 314 0.6 0.2 FRTR3 3/4 10/25/19 25-Oct-19 4.6-0.015% -25.8-25.8 0.0 2.7-32.5-20.9 0.0 5.1 335 0.6 0.2 FRTR 0 1/2 11/25/19 25-Nov-19 4.7 0.008% -22.7-22.5-0.1 2.6-28.2-17.3-0.1 4.7 374 0.6 0.2 FRTR3 1/2 04/25/20 25-Apr-20 5.1 0.037% -23.7-24.0 0.3 3.1-30.9-17.2 0.1 5.6 395 0.6 0.2 FRTR 0 05/25/20 25-May-20 5.2 0.059% -20.8-22.3 1.5 2.0-26.5-19.5 0.8 5.1 443 0.6 0.3 FRTR2 1/2 10/25/20 25-Oct-20 5.6 0.069% -23.7-23.7 0.0 3.4-32.0-16.6 0.0 6.0 454 0.6 0.3 FRTR3 3/4 04/25/21 25-Apr-21 6.1 0.106% -23.9-23.1-0.8 4.0-32.2-13.8-0.2 6.8 491 0.6 0.3 FRTR 3 1/4 10/25/21 25-Oct-21 6.6 0.146% -23.3-21.5-1.8 4.0-30.9-12.4-0.4 7.3 552 0.6 0.3 FRTR 3 04/25/22 25-Apr-22 7.1 0.196% -21.5-19.2-2.3 4.4-29.1-9.2-0.5 7.8 606 0.6 0.4 FRTR8 1/4 04/25/22 25-Apr-22 7.1 0.174% -25.7-24.1-1.6 4.5-35.5-14.8-0.4 9.3 547 0.6 0.4 FRTR 2 1/4 10/25/22 25-Oct-22 7.6 0.247% -19.3-17.0-2.4 4.6-27.4-6.7-0.5 8.1 678 0.6 0.4 FRTR8 1/2 04/25/23 25-Apr-23 8.1 0.230% -26.8-20.8-6.0 6.4-35.5-8.8-0.9 11.0 618 0.6 0.4 FRTR 1 3/4 05/25/23 25-May-23 8.2 0.294% -18.2-15.6-2.6 4.6-26.0-5.6-0.6 8.6 739 0.6 0.4 FRTR4 1/4 10/25/23 25-Oct-23 8.6 0.310% -19.3-16.1-3.2 5.3-27.3-3.9-0.6 10.0 736 0.6 0.4 FRTR 2 1/4 05/25/24 25-May-24 9.2 0.390% -14.1-11.0-3.1 5.0-20.5 1.3-0.6 9.8 835 0.6 0.4 FRTR 1 3/4 11/25/24 25-Nov-24 9.7 0.449% -10.7-8.2-2.4 5.5-18.2 5.6-0.4 10.1 906 0.6 0.5 FRTR 0 1/2 05/25/25 25-May-25 10.2 0.499% -8.7-8.4-0.4 2.8-15.5-3.5-0.1 9.9 985 0.6 0.5 FRTR 6 10/25/25 25-Oct-25 10.6 0.485% -9.7-5.2-4.5 7.7-19.9 13.3-0.6 13.5 892 0.5 0.5 FRTR3 1/2 04/25/26 25-Apr-26 11.1 0.544% -6.4-2.2-4.3 7.0-15.8 15.5-0.6 12.6 968 0.5 0.5 FRTR 2 3/4 10/25/27 25-Oct-27 12.6 0.648% -1.9 2.8-4.7 7.7-12.8 21.7-0.6 13.7 1,085 0.5 0.5 FRTR5 1/2 04/25/29 25-Apr-29 14.1 0.699% 2.0 5.7-3.7 9.9-14.0 30.2-0.4 18.1 1,069 0.5 0.5 FRTR 2 1/2 05/25/30 25-May-30 15.2 0.775% 4.0 7.2-3.1 8.9-10.4 29.3-0.4 16.2 1,181 0.4 0.5 FRTR5 3/4 10/25/32 25-Oct-32 17.6 0.806% 8.1 12.8-4.7 11.9-10.7 42.3-0.4 23.6 1,114 0.4 0.5 FRTR4 3/4 04/25/35 25-Apr-35 20.1 0.889% 14.0 19.4-5.4 11.7-3.3 48.3-0.5 25.5 1,118 0.3 0.5 FRTR 4 10/25/38 25-Oct-38 23.6 0.988% 22.9 24.8-1.9 11.3 2.1 52.2-0.2 28.3 1,085 0.2 0.5 FRTR4 1/2 04/25/41 25-Apr-41 26.1 1.022% 28.2 27.5 0.7 11.7 3.4 56.7 0.1 32.9 1,006 0.1 0.5 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, 27-Mar-15 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 3 1/4 05/25/45 25-May-45 30.2 1.123% 35.5 31.5 4.1 9.9 10.6 55.9 0.4 33.3 959 0.0 0.4 FRTR 4 04/25/55 25-Apr-55 40.1 1.226% 55.1 42.9 12.2 9.7 22.9 65.1 1.3 47.8 1,274 0.1 0.4 FRTR 4 04/25/60 25-Apr-60 45.1 1.277% 66.3 52.5 13.8 9.6 32.2 74.1 1.4 53.3 2,046 0.4 0.4 1M BES² (bp) France 2bp 1bp 0bp France 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 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 (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Oct-16 Jul-17 Jan-18 Oct-18 Jul-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 May-23 Jan-24 Aug-24 Feb-25 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, 27-Mar-15 0 bp 2Y 5Y 10Y 15Y 30Y -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. +44-20-7034-9850
Germany, 27-Mar-15 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) OBL 2 3/4 04/08/16 8-Apr-16 1.0-0.237% -31.8-30.3-1.6 1.8-34.1-26.8-0.9 1.1-21 0.1-0.3 BKO 0 1/4 06/10/16 10-Jun-16 1.2-0.247% -32.7-29.8-2.9 2.1-33.7-26.2-1.4 1.2-31 0.1-0.4 DBR 6 06/20/16 20-Jun-16 1.2-0.233% -32.1-31.4-0.6 2.2-36.5-26.8-0.3 1.3-21 0.1-0.3 DBR 4 07/04/16 4-Jul-16 1.3-0.237% -32.3-31.2-1.1 2.3-35.9-27.3-0.5 1.3-22 0.1-0.3 BKO 0 09/16/16 16-Sep-16 1.5-0.240% -32.0-30.2-1.8 2.4-34.9-26.3-0.8 1.5-18 0.2-0.3 OBL 1 1/4 10/14/16 14-Oct-16 1.5-0.241% -32.4-30.7-1.6 2.6-35.7-26.4-0.6 1.6-17 0.2-0.3 BKO 0 12/16/16 16-Dec-16 1.7-0.243% -32.7-31.1-1.6 2.6-35.6-26.8-0.6 1.7-12 0.2-0.3 DBR 3 3/4 01/04/17 4-Jan-17 1.8-0.242% -33.9-32.2-1.7 2.6-37.2-27.8-0.6 1.9-10 0.2-0.3 OBL 0 3/4 02/24/17 24-Feb-17 1.9-0.243% -33.3-30.9-2.4 2.5-35.2-26.6-1.0 1.9-5 0.2-0.2 BKO 0 03/10/17 10-Mar-17 1.9-0.249% -33.7-33.0-0.7 1.6-36.3-30.2-0.4 2.0-7 0.2-0.2 OBL 0 1/2 04/07/17 7-Apr-17 2.0-0.241% -33.4-31.4-2.0 2.7-35.7-26.6-0.7 2.0 1 0.2-0.2 DBR 4 1/4 07/04/17 4-Jul-17 2.3-0.233% -35.1-34.0-1.1 2.6-38.6-29.8-0.4 2.4 14 0.2-0.2 OBL 0 1/2 10/13/17 13-Oct-17 2.5-0.237% -35.1-33.4-1.7 2.8-37.9-28.9-0.6 2.6 26 0.3-0.2 DBR 4 01/04/18 4-Jan-18 2.8-0.233% -37.5-36.5-1.0 2.5-40.9-32.4-0.4 3.0 37 0.3-0.1 OBL 0 1/2 02/23/18 23-Feb-18 2.9-0.222% -35.0-33.9-1.1 2.5-37.9-29.6-0.5 3.0 55 0.3-0.1 OBL 0 1/4 04/13/18 13-Apr-18 3.0-0.217% -35.0-33.8-1.2 2.5-37.4-29.1-0.5 3.1 66 0.3-0.1 DBR 4 1/4 07/04/18 4-Jul-18 3.3-0.219% -39.0-38.5-0.5 2.7-43.1-34.1-0.2 3.6 69 0.3-0.1 OBL 1 10/12/18 12-Oct-18 3.5-0.202% -37.0-36.6-0.4 2.6-40.8-32.3-0.2 3.6 102 0.3 0.0 DBR 3 3/4 01/04/19 4-Jan-19 3.8-0.182% -38.3-39.3 1.0 2.6-43.9-35.0 0.4 4.1 124 0.4 0.0 OBL 1 02/22/19 22-Feb-19 3.9-0.174% -36.4-37.1 0.7 2.8-41.5-33.1 0.2 4.0 143 0.4 0.0 OBL 0 1/2 04/12/19 12-Apr-19 4.0-0.164% -35.9-36.3 0.5 3.0-40.7-32.0 0.2 4.1 159 0.4 0.0 DBR 3 1/2 07/04/19 4-Jul-19 4.3-0.160% -39.3-40.5 1.2 2.9-45.1-35.7 0.4 4.7 165 0.4 0.0 OBL 0 1/4 10/11/19 11-Oct-19 4.5-0.141% -36.7-35.9-0.8 3.0-40.2-30.9-0.3 4.6 206 0.4 0.1 DBR 3 1/4 01/04/20 4-Jan-20 4.8-0.138% -40.4-40.3-0.1 3.3-45.4-34.9 0.0 5.3 212 0.4 0.1 OBL 0 04/17/20 17-Apr-20 5.1-0.095% -35.3-35.9 0.7 2.0-39.0-30.3 0.3 5.1 272 0.4 0.1 DBR 3 07/04/20 4-Jul-20 5.3-0.103% -40.2-39.7-0.5 2.8-44.3-34.6-0.2 5.8 264 0.4 0.1 DBR 2 1/4 09/04/20 4-Sep-20 5.4-0.092% -39.7-40.3 0.6 2.6-44.2-35.8 0.2 5.9 286 0.4 0.1 DBR 2 1/2 01/04/21 4-Jan-21 5.8-0.070% -40.1-39.7-0.4 2.5-44.7-35.2-0.1 6.3 321 0.4 0.1 DBR 3 1/4 07/04/21 4-Jul-21 6.3-0.048% -42.3-42.0-0.3 2.6-47.2-36.7-0.1 7.0 357 0.5 0.2 DBR 2 1/4 09/04/21 4-Sep-21 6.4-0.043% -42.2-41.4-0.7 3.1-47.6-35.3-0.2 7.0 377 0.5 0.2 DBR 2 01/04/22 4-Jan-22 6.8-0.017% -41.6-40.3-1.3 2.7-46.1-34.5-0.5 7.3 418 0.5 0.2 DBR 1 3/4 07/04/22 4-Jul-22 7.3 0.006% -42.6-40.9-1.7 2.9-47.1-33.8-0.6 7.8 460 0.5 0.2 DBR 1 1/2 09/04/22 4-Sep-22 7.4 0.031% -40.8-39.4-1.4 2.9-46.0-32.0-0.5 7.9 490 0.5 0.2 DBR 1 1/2 02/15/23 15-Feb-23 7.9 0.046% -42.4-39.6-2.8 3.1-46.0-31.2-0.9 8.4 525 0.5 0.2 DBR 1 1/2 05/15/23 15-May-23 8.1 0.060% -42.5-39.5-3.0 3.5-46.5-30.4-0.8 8.6 543 0.5 0.2 DBR 2 08/15/23 15-Aug-23 8.4 0.078% -42.9-39.5-3.3 4.2-47.8-29.5-0.8 9.1 562 0.5 0.2 DBR 6 1/4 01/04/24 4-Jan-24 8.8 0.055% -53.8-48.9-4.9 5.9-58.7-34.8-0.8 11.4 523 0.5 0.2 DBR 1 3/4 02/15/24 15-Feb-24 8.9 0.123% -40.9-36.7-4.3 4.8-45.4-25.6-0.9 9.5 620 0.5 0.3 DBR 1 1/2 05/15/24 15-May-24 9.1 0.151% -39.2-34.9-4.2 4.7-43.5-23.8-0.9 9.7 649 0.5 0.3 DBR 1 08/15/24 15-Aug-24 9.4 0.179% -37.1-33.5-3.6 4.8-42.3-22.2-0.8 9.7 688 0.5 0.3 DBR 0 1/2 02/15/25 15-Feb-25 9.9 0.206% -36.5-34.3-2.2 3.1-40.4-23.7-0.7 9.9 735 0.5 0.3 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, 27-Mar-15 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 1/2 07/04/27 4-Jul-27 12.3 0.292% -45.4-42.4-3.0 6.6-56.5-29.4-0.5 16.9 735 0.4 0.4 DBR 5 5/8 01/04/28 4-Jan-28 12.8 0.323% -42.8-39.3-3.5 6.9-53.2-25.2-0.5 17.0 770 0.4 0.4 DBR 4 3/4 07/04/28 4-Jul-28 13.3 0.348% -40.8-37.0-3.8 6.7-50.7-23.3-0.6 17.0 787 0.4 0.4 DBR 6 1/4 01/04/30 4-Jan-30 14.8 0.376% -45.2-41.0-4.2 7.6-55.6-26.0-0.6 20.9 768 0.3 0.4 DBR 5 1/2 01/04/31 4-Jan-31 15.8 0.444% -38.2-33.8-4.4 8.2-49.7-17.2-0.5 21.5 794 0.3 0.4 DBR 4 3/4 07/04/34 4-Jul-34 19.3 0.513% -36.6-31.8-4.8 8.9-45.9-12.6-0.5 26.0 698 0.1 0.3 DBR 4 01/04/37 4-Jan-37 21.8 0.560% -32.8-28.3-4.4 9.1-42.6-9.4-0.5 28.2 624 0.1 0.3 DBR 4 1/4 07/04/39 4-Jul-39 24.3 0.585% -32.6-27.5-5.1 10.0-43.2-6.9-0.5 32.7 573 0.0 0.3 DBR 4 3/4 07/04/40 4-Jul-40 25.3 0.592% -33.4-29.0-4.4 10.4-45.9-7.3-0.4 35.8 576 0.0 0.3 DBR 3 1/4 07/04/42 4-Jul-42 27.3 0.600% -31.1-27.7-3.5 9.1-42.6-9.1-0.4 34.2 649 0.0 0.3 DBR 2 1/2 07/04/44 4-Jul-44 29.3 0.613% -29.2-26.2-2.9 8.5-40.4-8.7-0.3 34.1 859 0.1 0.3 DBR 2 1/2 08/15/46 15-Aug-46 31.4 0.647% -25.7-22.8-2.9 8.0-37.6-6.7-0.4 36.5 1,279 0.3 0.3 1M BES² (bp) Germany 1bp 0bp Germany 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 40% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Germany 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
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, 27-Mar-15 5Y 10Y 15Y 30Y 1670 bp 1590 bp 1510 bp 1430 bp 1350 bp 1270 bp 1190 bp 1110 bp 1030 bp 950 bp 870 bp 790 bp 710 bp 630 bp 550 bp 470 bp 390 bp 310 bp 230 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, 27-Mar-15 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 2.3 20.215% 1557.2 1260.4 296.8 230.2 839.6 1727.6 1.3 1.3 7,766-21.7 66.1 GGB 4 3/4 04/17/19 17-Apr-19 4.0 15.944% 1221.2 1043.5 177.7 139.1 777.6 1331.1 1.3 2.2 4,299-14.9 29.4 GGB 2 02/24/23 24-Feb-23 7.9 11.614% 676.1 612.6 63.5 47.7 518.9 730.8 1.3 3.3 2,841-5.3 9.8 GGB 2 02/24/24 24-Feb-24 8.9 11.045% 619.3 560.1 59.2 44.3 472.1 668.0 1.3 3.6 3,120-3.8 8.2 GGB 2 02/24/25 24-Feb-25 9.9 10.836% 583.2 527.1 56.2 39.6 451.4 625.2 1.4 3.7 3,596-2.7 7.4 GGB 2 02/24/26 24-Feb-26 10.9 10.871% 560.9 514.1 46.8 34.7 454.1 603.9 1.3 3.7 4,136-1.9 6.9 GGB 2 02/24/27 24-Feb-27 11.9 10.766% 535.1 490.4 44.6 32.6 433.5 573.8 1.4 3.8 4,449-1.3 6.4 GGB 2 02/24/28 24-Feb-28 12.9 10.527% 507.1 466.0 41.2 30.5 411.0 542.8 1.4 3.9 4,527-1.0 5.8 GGB 2 02/24/29 24-Feb-29 13.9 10.178% 477.6 441.8 35.8 27.9 391.5 512.5 1.3 4.1 4,386-0.8 5.3 GGB 2 02/24/30 24-Feb-30 14.9 10.003% 456.7 420.6 36.1 27.3 373.7 489.8 1.3 4.1 4,228-0.8 4.9 GGB 2 02/24/31 24-Feb-31 15.9 9.791% 436.3 401.2 35.2 25.9 354.6 465.7 1.4 4.2 3,932-1.0 4.6 GGB 2 02/24/32 24-Feb-32 16.9 9.644% 419.5 384.0 35.5 25.3 340.6 446.9 1.4 4.3 3,600-1.1 4.3 GGB 2 02/24/33 24-Feb-33 17.9 9.491% 403.9 368.8 35.2 24.6 327.3 429.3 1.4 4.3 3,221-1.3 4.1 GGB 2 02/24/34 24-Feb-34 18.9 9.334% 389.3 354.8 34.4 23.6 316.0 412.5 1.5 4.4 2,844-1.5 3.9 GGB 2 02/24/35 24-Feb-35 19.9 9.200% 376.4 343.1 33.4 22.7 305.9 400.1 1.5 4.4 2,541-1.6 3.7 GGB 2 02/24/36 24-Feb-36 20.9 9.058% 364.2 331.0 33.2 22.0 293.9 385.3 1.5 4.5 2,344-1.7 3.5 GGB 2 02/24/37 24-Feb-37 21.9 8.941% 353.5 320.2 33.3 21.4 285.6 373.1 1.6 4.5 2,341-1.6 3.4 GGB 2 02/24/38 24-Feb-38 22.9 8.856% 344.4 310.8 33.6 21.0 276.6 362.3 1.6 4.5 2,599-1.3 3.3 GGB 2 02/24/39 24-Feb-39 23.9 8.797% 336.5 301.9 34.6 20.7 268.7 352.4 1.7 4.5 3,179-0.8 3.2 GGB 2 02/24/40 24-Feb-40 24.9 8.723% 328.6 293.6 35.0 20.5 260.9 343.2 1.7 4.5 4,115-0.1 3.1 GGB 2 02/24/41 24-Feb-41 25.9 8.638% 320.8 285.8 35.1 20.4 254.0 334.8 1.7 4.5 5,484 0.9 3.0 GGB 2 02/24/42 24-Feb-42 26.9 8.539% 313.1 278.0 35.1 20.0 247.1 326.4 1.8 4.5 7,354 2.3 2.9 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
Greece 42bp 37bp 32bp 27bp 22bp 17bp 12bp 7bp 2bp -3bp -8bp -13bp -18bp -23bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Greece 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 235bp 215bp 195bp 175bp 155bp 135bp 115bp 95bp 75bp 50% 55bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Prob {Yield at horizon Forward Yield} (lhs) Greece 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-22 Mar-23 Mar-24 Mar-25 May-30 Feb-45 Relative Value Report Ireland, 27-Mar-15 90 bp 80 bp 70 bp 60 bp 50 bp 40 bp 30 bp 20 bp 10 bp 0 bp -10 bp -20 bp 2Y 5Y 10Y 15Y 30Y -30 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, 27-Mar-15 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 4.6 04/18/16 18-Apr-16 1.1-0.039% -11.6-12.6 1.0 1.8-17.1-8.7 0.6 1.1 10-0.3 0.4 IRISH 5 1/2 10/18/17 18-Oct-17 2.6-0.046% -16.8-5.5-11.3 8.8-19.6 12.8-1.3 2.8 114 0.4 0.1 IRISH 4 1/2 10/18 18-Oct-18 3.6-0.001% -17.5-4.4-13.1 9.4-19.3 11.9-1.4 3.9 280 0.7 0.2 IRISH 4.4 06/18/19 18-Jun-19 4.2 0.046% -16.8-1.4-15.4 11.4-18.3 17.8-1.4 4.7 408 0.8 0.2 IRISH 5.9 10/18/19 18-Oct-19 4.6 0.117% -11.5 2.9-14.3 11.3-15.2 21.8-1.3 5.3 503 0.9 0.4 IRISH 4 1/2 04/20 18-Apr-20 5.1 0.236% -1.7 11.8-13.5 11.9-6.4 31.4-1.1 5.7 655 1.0 0.5 IRISH 5 10/18/20 18-Oct-20 5.6 0.290% 0.7 13.6-12.9 11.5-5.3 33.9-1.1 6.3 768 1.0 0.5 IRISH 0.8 03/15/22 15-Mar-22 7.0 0.437% 4.0 16.2-12.2 10.1-1.3 34.6-1.2 6.9 1,099 1.1 0.5 IRISH 3.9 03/20/23 20-Mar-23 8.0 0.561% 13.0 28.6-15.6 13.8 6.0 54.1-1.1 8.9 1,198 1.1 0.7 IRISH 3.4 03/18/24 18-Mar-24 9.0 0.683% 19.8 34.4-14.6 13.8 10.4 60.6-1.1 9.8 1,311 1.0 0.7 IRISH 5.4 03/13/25 13-Mar-25 10.0 0.774% 28.6 48.3-19.6 18.5 16.6 77.5-1.1 11.9 1,304 0.9 0.7 IRISH 2.4 05/15/30 15-May-30 15.1 1.040% 32.3 49.5-17.2 17.8 15.9 78.2-1.0 15.4 641-0.1 0.6 IRISH 2 02/18/45 18-Feb-45 29.9 1.436% 60.9 62.0-1.0 14.5 37.0 85.6-0.1 26.1 9,200 3.5 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
Ireland 5bp 4bp 3bp 2bp 1bp 0bp Ireland 60% 59% 58% 57% 56% 55% 54% 53% 52% 51% 45bp 40bp 35bp 30bp 25bp 20bp 15bp 10bp 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Ireland 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Nov-16 Jun-17 Jan-18 Aug-18 Feb-19 Sep-19 Sep-20 May-21 Dec-21 Sep-22 May-23 Nov-23 Sep-24 Jun-25 Mar-26 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, 27-Mar-15 230 bp 215 bp 200 bp 185 bp 170 bp 155 bp 140 bp 125 bp 110 bp 95 bp 80 bp 65 bp 50 bp 35 bp 20 bp 5 bp 2Y 5Y 10Y 15Y 30Y -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. +44-20-7034-9850
Italy, 27-Mar-15 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 3/4 04/15/16 15-Apr-16 1.0 0.084% 0.8 8.4-7.6 6.1-1.6 20.4-1.2 1.1 237 1.5 1.0 BTPS 2 1/4 05/15/16 15-May-16 1.1 0.100% 2.1 10.9-8.8 7.1 0.2 26.7-1.2 1.1 263 1.5 1.0 BTPS3 3/4 08/01/16 1-Aug-16 1.3 0.131% 5.6 14.3-8.7 7.8 2.4 28.4-1.1 1.4 314 1.5 1.0 BTPS 4 3/4 09/15/16 15-Sep-16 1.5 0.150% 7.6 16.3-8.7 7.6 4.3 30.5-1.1 1.5 343 1.5 1.1 BTPS 2 3/4 11/15/16 15-Nov-16 1.6 0.163% 8.1 17.7-9.6 8.1 4.7 33.8-1.2 1.7 375 1.5 1.0 BTPS 1 1/2 12/15/16 15-Dec-16 1.7 0.184% 9.7 17.8-8.1 7.7 5.3 33.0-1.1 1.7 404 1.5 1.0 BTPS 4 02/01/17 1-Feb-17 1.8 0.193% 11.1 20.1-9.0 8.8 5.8 37.4-1.0 1.9 423 1.5 1.0 BTPS 4 3/4 05/01/17 1-May-17 2.1 0.241% 15.6 24.3-8.7 10.8 6.6 44.1-0.8 2.2 482 1.4 1.1 BTPS 1.15 05/15/17 15-May-17 2.1 0.242% 14.4 22.8-8.4 10.2 6.4 41.5-0.8 2.1 499 1.4 1.0 BTPS 4 3/4 06/01/17 1-Jun-17 2.2 0.263% 17.5 25.2-7.7 11.0 7.3 46.1-0.7 2.3 508 1.4 1.1 BTPS5 1/4 08/01/17 1-Aug-17 2.3 0.267% 17.5 25.4-7.8 11.2 6.8 46.2-0.7 2.5 532 1.4 1.1 BTPS 3 1/2 11/01/17 1-Nov-17 2.6 0.287% 18.0 25.8-7.8 11.2 8.0 46.5-0.7 2.7 577 1.4 1.0 BTPS 0 3/4 01/15/18 15-Jan-18 2.8 0.315% 18.8 26.6-7.8 11.1 9.6 47.4-0.7 2.8 635 1.4 1.0 BTPS4 1/2 02/01/18 1-Feb-18 2.8 0.329% 21.8 28.8-7.0 12.5 9.4 53.1-0.6 3.0 634 1.4 1.0 BTPS 3 1/2 06/01/18 1-Jun-18 3.2 0.372% 24.2 32.4-8.1 12.6 12.7 56.8-0.6 3.3 701 1.4 1.0 BTPS4 1/2 08/01/18 1-Aug-18 3.3 0.398% 26.7 34.9-8.2 12.5 14.7 58.5-0.7 3.6 733 1.4 1.0 BTPS 3 1/2 12/01/18 1-Dec-18 3.7 0.432% 27.7 35.5-7.9 13.5 12.9 61.4-0.6 3.9 793 1.3 1.0 BTPS4 1/4 02/01/19 1-Feb-19 3.8 0.459% 30.0 38.5-8.6 13.5 15.7 64.5-0.6 4.1 825 1.3 1.0 BTPS4 1/2 03/01/19 1-Mar-19 3.9 0.461% 30.0 38.1-8.2 13.6 14.3 63.4-0.6 4.2 833 1.3 1.0 BTPS 2 1/2 05/01/19 1-May-19 4.1 0.521% 33.6 41.7-8.0 13.1 18.2 65.9-0.6 4.2 901 1.3 1.1 BTPS 1 1/2 08/01/19 1-Aug-19 4.3 0.555% 34.4 41.6-7.2 13.6 17.6 66.4-0.5 4.4 961 1.3 1.0 BTPS4 1/4 09/01/19 1-Sep-19 4.4 0.548% 35.9 44.1-8.1 14.2 18.0 70.5-0.6 4.7 939 1.3 1.1 BTPS 1.05 12/01/19 1-Dec-19 4.7 0.617% 37.9 45.6-7.7 13.5 20.3 68.6-0.6 4.6 1,038 1.3 1.1 BTPS4 1/2 02/01/20 1-Feb-20 4.8 0.626% 42.0 50.4-8.4 15.2 22.1 76.7-0.6 5.2 1,022 1.3 1.1 BTPS4 1/4 03/01/20 1-Mar-20 4.9 0.644% 43.1 51.3-8.3 14.9 23.0 76.8-0.6 5.3 1,045 1.2 1.1 BTPS 4 09/01/20 1-Sep-20 5.4 0.723% 47.7 56.7-8.9 15.4 27.0 83.0-0.6 5.8 1,138 1.2 1.1 BTPS3 3/4 03/01/21 1-Mar-21 5.9 0.811% 53.4 62.9-9.5 16.0 30.9 87.9-0.6 6.3 1,233 1.2 1.2 BTPS 3 3/4 05/01/21 1-May-21 6.1 0.886% 60.3 69.3-9.0 16.1 37.2 96.1-0.6 6.4 1,288 1.2 1.2 BTPS3 3/4 08/01/21 1-Aug-21 6.3 0.925% 62.8 71.4-8.7 16.1 39.5 98.4-0.5 6.7 1,334 1.1 1.2 BTPS4 3/4 09/01/21 1-Sep-21 6.4 0.931% 65.0 73.6-8.6 16.4 40.9 100.4-0.5 7.0 1,330 1.1 1.3 BTPS 2.15 12/15/21 15-Dec-21 6.7 0.969% 60.8 69.1-8.3 16.2 36.8 96.6-0.5 6.7 1,409 1.1 1.2 BTPS 5 03/01/22 1-Mar-22 6.9 0.981% 67.9 78.7-10.8 18.2 42.8 108.2-0.6 7.6 1,384 1.1 1.2 BTPS 1.35 04/15/22 15-Apr-22 7.0 1.018% 61.3 58.2 3.1 11.5 39.5 81.3 0.3 6.8 1,481 1.1 1.2 BTPS 5 1/2 09/01/22 1-Sep-22 7.4 1.095% 79.0 88.3-9.3 18.5 51.7 120.5-0.5 8.3 1,474 1.1 1.3 BTPS 5 1/2 11/01/22 1-Nov-22 7.6 1.131% 82.1 91.4-9.3 18.5 54.2 123.1-0.5 8.5 1,495 1.1 1.3 BTPS 4 1/2 05/01/23 1-May-23 8.1 1.173% 80.6 90.1-9.4 18.3 53.3 121.8-0.5 8.7 1,555 1.0 1.3 BTPS4 3/4 08/01/23 1-Aug-23 8.3 1.190% 82.2 91.7-9.5 18.3 54.9 124.1-0.5 9.1 1,574 1.0 1.3 BTPS 9 11/01/23 1-Nov-23 8.6 1.214% 100.6 111.5-10.9 21.3 67.7 147.6-0.5 10.9 1,526 1.0 1.4 BTPS 4 1/2 03/01/24 1-Mar-24 8.9 1.283% 88.1 94.6-6.5 17.1 59.1 126.4-0.4 9.6 1,655 1.0 1.3 BTPS 3 3/4 09/01/24 1-Sep-24 9.4 1.340% 88.5 94.1-5.6 16.8 59.4 126.0-0.3 9.8 1,716 0.9 1.2 BTPS 2 1/2 12/01/24 1-Dec-24 9.7 1.351% 82.7 87.1-4.3 15.9 54.1 117.3-0.3 9.5 1,752 0.9 1.2 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)
Italy, 27-Mar-15 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 5 03/01/25 1-Mar-25 9.9 1.343% 92.6 101.9-9.4 19.8 62.2 139.4-0.5 10.9 1,695 0.9 1.2 BTPS 1 1/2 06/01/25 1-Jun-25 10.2 1.382% 78.5 65.2 13.3 8.8 49.8 78.5 1.5 9.5 1,801 0.9 1.1 BTPS4 1/2 03/01/26 1-Mar-26 10.9 1.444% 97.4 106.4-9.0 21.2 65.9 147.0-0.4 11.7 1,771 0.8 1.2 BTPS7 1/4 11/01/26 1-Nov-26 11.6 1.487% 115.7 128.1-12.4 25.6 79.2 176.3-0.5 14.1 1,733 0.8 1.3 BTPS6 1/2 11/01/27 1-Nov-27 12.6 1.570% 118.8 134.4-15.6 27.4 81.3 184.3-0.6 14.8 1,782 0.7 1.2 BTPS 4 3/4 09/01/28 1-Sep-28 13.4 1.660% 115.1 128.4-13.2 24.9 80.7 173.7-0.5 14.4 1,862 0.6 1.2 BTPS5 1/4 11/01/29 1-Nov-29 14.6 1.721% 123.8 136.8-13.1 27.2 84.6 185.8-0.5 16.0 1,846 0.6 1.2 BTPS 3 1/2 03/01/30 1-Mar-30 14.9 1.717% 108.7 120.1-11.4 24.0 75.4 163.7-0.5 14.7 1,877 0.5 1.1 BTPS 6 05/01/31 1-May-31 16.1 1.771% 134.7 149.2-14.5 27.6 95.4 198.2-0.5 18.4 1,807 0.5 1.1 BTPS 1.65 03/01/32 1-Mar-32 16.9 1.761% 93.6 92.3 1.3 2.4 87.1 95.1 0.6 14.3 1,875 0.4 0.9 BTPS5 3/4 02/01/33 1-Feb-33 17.8 1.885% 145.3 157.3-12.0 28.3 102.4 206.7-0.4 20.0 1,813 0.4 1.1 BTPS 5 08/01/34 1-Aug-34 19.3 1.983% 148.4 158.3-9.9 27.7 105.8 207.4-0.4 20.3 1,820 0.3 1.1 BTPS 4 02/01/37 1-Feb-37 21.8 2.088% 147.6 155.0-7.3 24.5 107.5 198.9-0.3 20.7 1,796 0.2 1.0 BTPS 5 08/01/39 1-Aug-39 24.3 2.132% 167.9 174.1-6.2 26.7 122.7 222.4-0.2 24.8 1,745 0.1 1.0 BTPS 5 09/01/40 1-Sep-40 25.4 2.152% 170.9 178.4-7.4 27.2 126.1 227.8-0.3 25.8 1,748 0.1 0.9 BTPS 4 3/4 09/01/44 1-Sep-44 29.4 2.172% 172.4 176.6-4.2 27.3 123.9 226.4-0.2 28.8 1,869 0.2 0.9 BTPS 3 1/4 09/01/46 1-Sep-46 31.4 2.209% 150.5 145.9 4.6 17.6 109.5 185.2 0.3 25.7 2,097 0.2 0.8 1M BES² (bp) Italy 3bp 2bp 1bp 0bp Italy 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 65bp 55bp 45bp 35bp 25bp 15bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Italy 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Jan-17 Jan-18 Jan-19 Jan-20 Jul-21 Jul-22 Jan-23 Jul-24 Jul-25 Jan-28 Jan-33 Jan-37 Jan-42 Jan-47 Relative Value Report Netherland, 27-Mar-15 5 bp 2Y 5Y 10Y 15Y 30Y 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. +44-20-7034-9850
Netherland, 27-Mar-15 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 0 04/15/16 15-Apr-16 1.0-0.211% -29.1-27.2-1.9 1.7-29.9-22.4-1.1 1.0-20 0.4-0.6 NETHER 4 07/15/16 15-Jul-16 1.3-0.201% -28.6-28.5-0.1 1.9-32.5-24.1-0.1 1.4-3 0.4-0.4 NETHER 2 1/2 01/15/17 15-Jan-17 1.8-0.195% -28.8-26.7-2.1 2.0-30.3-23.4-1.0 1.9 27 0.4-0.3 NETHER 0 1/2 04/15/17 15-Apr-17 2.0-0.196% -28.9-25.8-3.1 2.0-29.7-22.3-1.6 2.1 40 0.4-0.2 NETHER 4 1/2 07/17 15-Jul-17 2.3-0.189% -30.7-28.4-2.3 2.2-32.6-23.6-1.0 2.5 54 0.5-0.2 NETHER 1 1/4 01/15/18 15-Jan-18 2.8-0.166% -29.3-27.2-2.1 2.1-30.7-22.8-1.0 2.9 104 0.5-0.1 NETHER 0 04/15/18 15-Apr-18 3.0-0.141% -27.3-26.0-1.3 2.0-29.2-21.7-0.6 3.1 139 0.5 0.0 NETHER 4 07/15/18 15-Jul-18 3.3-0.123% -28.7-29.5 0.7 2.1-32.7-24.8 0.3 3.6 157 0.5 0.0 NETHER 1 1/4 01/15/19 15-Jan-19 3.8-0.097% -28.0-28.2 0.2 1.9-31.8-23.9 0.1 3.9 214 0.5 0.1 NETHER 4 07/15/19 15-Jul-19 4.3-0.065% -29.4-31.1 1.7 2.0-35.5-26.8 0.8 4.8 254 0.5 0.1 NETHER 0 1/4 01/15/20 15-Jan-20 4.8-0.026% -26.8-28.9 2.1 2.1-33.2-24.7 1.0 4.8 330 0.5 0.2 NETHER 3 1/2 07/20 15-Jul-20 5.3-0.003% -29.8-31.6 1.8 2.6-37.9-26.7 0.7 5.9 354 0.5 0.2 NETHER 3 1/4 07/21 15-Jul-21 6.3 0.062% -30.3-30.9 0.6 3.8-40.3-22.4 0.2 7.0 450 0.6 0.2 NETHER 2 1/4 07/15/22 15-Jul-22 7.3 0.150% -27.8-27.7 0.0 4.1-37.8-18.0 0.0 7.9 563 0.5 0.3 NETHER 3 3/4 01/23 15-Jan-23 7.8 0.185% -28.3-28.4 0.1 4.7-40.0-18.1 0.0 8.9 595 0.5 0.3 NETHER 7 1/2 01/23 15-Jan-23 7.8 0.172% -31.9-32.1 0.2 5.4-45.6-20.3 0.0 10.2 559 0.5 0.3 NETHER 1 3/4 07/15/23 15-Jul-23 8.3 0.239% -24.8-24.7-0.1 4.6-35.3-13.5 0.0 8.8 666 0.5 0.3 NETHER 2 07/15/24 15-Jul-24 9.3 0.297% -24.8-23.1-1.7 5.2-33.3-9.1-0.3 9.9 726 0.5 0.4 NETHER 0 1/4 07/15/25 15-Jul-25 10.3 0.376% -21.4-19.9-1.5 1.4-21.4-17.4-1.1 10.0 828 0.5 0.4 NETHER 5 1/2 01/28 15-Jan-28 12.8 0.444% -26.6-24.5-2.1 7.1-39.3-9.4-0.3 16.7 768 0.4 0.4 NETHER 2 1/2 01/15/33 15-Jan-33 17.8 0.559% -25.6-24.0-1.6 7.1-34.7-8.5-0.2 19.9 648 0.1 0.3 NETHER 4 01/15/37 15-Jan-37 21.8 0.591% -28.6-25.9-2.7 8.6-39.7-7.3-0.3 28.1 474 0.0 0.3 NETHER 3 3/4 01/42 15-Jan-42 26.8 0.632% -27.3-26.4-0.9 9.6-42.6-5.9-0.1 34.9 632 0.0 0.3 NETHER 2 3/4 01/15/47 15-Jan-47 31.8 0.740% -14.1-16.1 2.1 7.8-31.3 0.1 0.3 37.1 1,879 0.5 0.3 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
Netherland 1bp 0bp -1bp Netherland 60% 58% 56% 54% 52% 50% 48% 46% 44% 42% 20bp 18bp 16bp 14bp 12bp 10bp 8bp 6bp 4bp 2bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Source: Bloomberg, Sunrise Brokers 40% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Netherland 1M 60d yield volatility (rhs)
Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Oct-25 Feb-30 Apr-37 Feb-45 Relative Value Report Portugal, 27-Mar-15 2Y 5Y 10Y 15Y 30Y 275 bp 260 bp 245 bp 230 bp 215 bp 200 bp 185 bp 170 bp 155 bp 140 bp 125 bp 110 bp 95 bp 80 bp 65 bp 50 bp 35 bp 20 bp 5 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. +44-20-7034-9850
Portugal, 27-Mar-15 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 4.2 10/15/16 15-Oct-16 1.5 0.071% -0.7 13.8-14.6 9.3-0.9 32.9-1.6 1.6 353 2.3 0.1 PGB 4.35 10/16/17 16-Oct-17 2.5 0.494% 40.3 54.1-13.8 15.6 27.7 85.9-0.9 2.7 817 2.1 1.4 PGB 4.45 06/15/18 15-Jun-18 3.2 0.652% 54.4 70.9-16.5 21.7 37.7 105.2-0.8 3.4 1,003 2.0 1.5 PGB 4 3/4 06/14/19 14-Jun-19 4.2 0.770% 62.1 89.5-27.4 29.8 46.1 133.1-0.9 4.5 1,173 1.8 1.4 PGB 4.8 06/15/20 15-Jun-20 5.2 0.984% 79.2 105.7-26.6 31.0 57.1 148.9-0.9 5.6 1,381 1.6 1.5 PGB 3.85 04/15/21 15-Apr-21 6.0 1.138% 87.7 120.2-32.5 34.2 64.7 168.5-1.0 6.3 1,521 1.4 1.5 PGB 4.95 10/25/23 25-Oct-23 8.6 1.503% 116.8 155.6-38.9 39.1 88.9 212.2-1.0 9.3 1,780 1.0 1.5 PGB 5.65 02/15/24 15-Feb-24 8.9 1.566% 126.0 166.8-40.9 40.7 98.9 228.3-1.0 9.8 1,810 1.0 1.5 PGB 2 7/8 10/15/25 15-Oct-25 10.5 1.748% 120.4 147.1-26.7 33.7 95.2 209.5-0.8 10.1 1,955 0.8 1.4 PGB 3 7/8 02/15/30 15-Feb-30 14.9 2.079% 149.4 189.9-40.5 40.5 119.4 249.5-1.0 14.4 1,960 0.4 1.3 PGB 4.1 04/15/37 15-Apr-37 22.0 2.278% 169.1 204.1-35.0 38.2 130.3 258.2-0.9 20.4 1,826 0.2 1.1 PGB 4.1 02/15/45 15-Feb-45 29.9 2.415% 186.4 209.6-23.2 35.5 147.8 279.0-0.7 25.9 1,927 0.1 0.9 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 4bp 3bp 2bp 1bp 0bp Portugal 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 145bp 125bp 105bp 85bp 65bp 45bp 25bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Prob {Yield at horizon Forward Yield} (lhs) Portugal 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
Apr-16 Oct-16 Jul-17 Jan-18 Oct-18 Jul-19 Jan-20 Oct-20 Jan-22 Jan-23 Oct-23 Oct-24 Jul-25 Jul-26 Oct-28 Jul-30 Jul-32 Jan-37 Jul-40 Jul-41 Oct-44 Oct-64 Relative Value Report Spain, 27-Mar-15 225 bp 2Y 5Y 10Y 15Y 30Y 50Y 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 0 bp -15 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, 27-Mar-15 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) SPGB3 1/4 04/30/16 30-Apr-16 1.1 0.029% -4.9 5.9-10.8 5.8-4.9 18.7-1.9 1.1 205 1.7 0.4 SPGB 3.3 07/30/16 30-Jul-16 1.3 0.050% -2.8 8.6-11.4 7.1-2.8 22.0-1.6 1.4 258 1.6 0.5 SPGB 4 1/4 10/31/16 31-Oct-16 1.6 0.065% -1.4 10.9-12.3 8.2-1.4 25.4-1.5 1.7 305 1.6 0.5 SPGB 3.8 01/31/17 31-Jan-17 1.8 0.114% 2.9 15.5-12.6 9.2 1.1 30.2-1.4 1.9 377 1.6 0.6 SPGB 2.1 04/30/17 30-Apr-17 2.1 0.157% 6.4 18.0-11.6 9.7 2.3 33.6-1.2 2.1 437 1.6 0.7 SPGB5 1/2 07/30/17 30-Jul-17 2.3 0.188% 9.4 21.0-11.6 11.1 3.1 38.3-1.1 2.5 480 1.5 0.7 SPGB 4 3/4 09/30/17 30-Sep-17 2.5 0.235% 13.5 13.0 0.5 9.7-0.5 30.4 0.1 2.7 537 1.5 0.8 SPGB 0 1/2 10/31/17 31-Oct-17 2.6 0.234% 11.6 22.2-10.6 10.9 5.1 38.9-1.0 2.6 564 1.5 0.8 SPGB 4 1/2 01/31/18 31-Jan-18 2.8 0.263% 15.0 27.0-11.9 12.1 7.3 45.8-1.0 3.1 600 1.5 0.8 SPGB 4.1 07/30/18 30-Jul-18 3.3 0.325% 18.9 30.2-11.3 12.9 9.1 49.0-0.9 3.6 688 1.4 0.8 SPGB 3 3/4 10/31/18 31-Oct-18 3.6 0.375% 22.5 32.4-9.9 12.4 11.8 50.6-0.8 3.8 754 1.4 0.9 SPGB 2 3/4 04/30/19 30-Apr-19 4.1 0.459% 27.6 37.0-9.3 11.8 17.5 54.1-0.8 4.3 858 1.4 0.9 SPGB 4.6 07/30/19 30-Jul-19 4.3 0.486% 30.5 40.5-10.0 12.4 19.4 58.7-0.8 4.7 883 1.3 1.0 SPGB 4.3 10/31/19 31-Oct-19 4.6 0.532% 33.6 42.9-9.2 12.2 21.9 62.1-0.8 5.0 942 1.3 1.0 SPGB 1.4 01/31/20 31-Jan-20 4.8 0.602% 35.9 43.2-7.3 12.4 20.9 61.7-0.6 4.9 1,043 1.3 1.0 SPGB 4 04/30/20 30-Apr-20 5.1 0.655% 43.2 50.0-6.8 12.8 26.0 70.0-0.5 5.5 1,055 1.3 1.1 SPGB 4.85 10/31/20 31-Oct-20 5.6 0.720% 48.3 55.1-6.7 13.9 28.6 78.0-0.5 6.2 1,131 1.2 1.1 SPGB5 1/2 04/30/21 30-Apr-21 6.1 0.816% 56.9 61.7-4.7 14.5 32.6 85.5-0.3 6.9 1,202 1.2 1.2 SPGB 5.85 01/31/22 31-Jan-22 6.8 0.933% 66.0 69.2-3.2 15.1 39.2 93.8-0.2 7.8 1,328 1.1 1.2 SPGB 5.4 01/31/23 31-Jan-23 7.8 1.085% 76.1 78.9-2.8 15.7 47.1 103.8-0.2 8.9 1,466 1.0 1.2 SPGB 4.4 10/31/23 31-Oct-23 8.6 1.168% 77.8 80.3-2.6 14.6 50.4 105.3-0.2 9.4 1,546 1.0 1.2 SPGB 4.8 01/31/24 31-Jan-24 8.8 1.182% 79.5 82.7-3.2 14.8 51.7 108.7-0.2 9.8 1,558 0.9 1.2 SPGB 3.8 04/30/24 30-Apr-24 9.1 1.238% 80.2 81.1-1.0 13.8 52.9 104.6-0.1 9.6 1,600 0.9 1.2 SPGB 2 3/4 10/31/24 31-Oct-24 9.6 1.281% 77.7 78.9-1.2 13.6 51.7 101.6-0.1 9.6 1,669 0.9 1.1 SPGB 1.6 04/30/25 30-Apr-25 10.1 1.318% 73.5 72.3 1.2 11.8 50.3 95.6 0.1 9.5 1,732 0.8 1.0 SPGB 4.65 07/30/25 30-Jul-25 10.3 1.329% 88.6 93.1-4.6 16.6 60.6 122.1-0.3 11.3 1,653 0.8 1.2 SPGB 5.9 07/30/26 30-Jul-26 11.3 1.440% 104.3 110.2-5.9 19.1 73.3 145.3-0.3 13.1 1,695 0.8 1.2 SPGB 5.15 10/31/28 31-Oct-28 13.6 1.616% 113.9 123.4-9.5 20.5 84.4 159.8-0.5 15.1 1,787 0.6 1.1 SPGB 6 01/31/29 31-Jan-29 13.8 1.610% 118.9 129.6-10.7 21.8 87.6 168.2-0.5 16.1 1,766 0.6 1.1 SPGB 1.95 07/30/30 30-Jul-30 15.3 1.717% 95.6 85.1 10.4 9.2 67.8 97.2 1.1 13.6 1,882 0.5 0.9 SPGB5 3/4 07/30/32 30-Jul-32 17.3 1.754% 131.0 138.2-7.3 21.2 94.9 176.0-0.3 19.9 1,731 0.4 1.0 SPGB 4.2 01/31/37 31-Jan-37 21.8 1.969% 138.9 139.2-0.4 18.2 105.4 172.4 0.0 21.7 1,706 0.2 0.9 SPGB 4.9 07/30/40 30-Jul-40 25.3 2.017% 155.5 155.9-0.4 20.9 115.8 193.8 0.0 26.4 1,585 0.1 0.9 SPGB 4.7 07/30/41 30-Jul-41 26.3 2.050% 157.0 157.2-0.2 21.0 116.9 195.7 0.0 26.7 1,575 0.1 0.9 SPGB 5.15 10/31/44 31-Oct-44 29.6 2.085% 170.7 172.9-2.2 22.8 128.1 214.0-0.1 31.0 1,514 0.0 0.8 SPGB 4 10/31/64 31-Oct-64 49.6 2.372% 197.3 185.3 12.0 15.3 153.8 207.6 0.8 38.5 2,892 0.5 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
Spain 3bp 2bp 1bp 0bp Spain 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 85bp 75bp 65bp 55bp 45bp 35bp 25bp 15bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y Prob {Yield at horizon Forward Yield} (lhs) Spain 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers
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