Market Economics | Interest Rate Strategy - BNP PARIBAS ...

Table 1: BNP Paribas Carry Analysis
EUR
Pricing Date
06-May-10
Term 1
Term 2
3m
6m
12m
Repo Rate
0.36%
0.39%
0.45% 0.53%
0.64%
EUR DRI
108.34237
109.01935
109.47065 109.60318
109.29290
109.73865
FRF DRI
119.18032
119.58000 119.97325
120.14822
120.21343
120.67336
Sett. Date
11-May-10
01-Jun-10
01-Jul-10
11-Aug-10
12-Nov-10
11-May-11
Real BE Real BE Real BE Real BE Real BE Real BE
BTANEI Jul-10 -4.82% 5.03% 206.3 215.9 429.9 523.5 - - -
BTPEI Sep-10 -1.98% 3.23% 169.2 157.2 341.4 306.4 574.3 486.2 - - - -
OATEI Jul-12 -1.07% 1.70% 25.9 25.1 41.5 39.7 40.9 38.4 4.8 1.6 -35.3 -32.5
BTPEI Sep-12 0.70% 1.64% 28.8 23.7 50.2 37.7 59.8 36.8 53.5 3.2 102.2 -23.7
BOBLEI Apr-13 -0.45% 1.34% 20.4 19.2 33.5 30.7 35.4 30.6 15.8 6.9 9.2 -6.0
BTPEI Sep-14 1.28% 1.51% 16.7 12.9 29.2 20.0 35.3 18.8 34.6 0.7 60.9 -12.4
OATEI Jul-15 0.33% 1.65% 12.7 10.6 21.3 16.3 23.9 15.1 17.4 -0.5 24.3 -12.6
BUNDEI Apr-16 0.40% 1.60% 11.1 9.2 18.7 14.2 21.0 13.1 15.5 -0.4 21.9 -10.1
BTPEI Sep-17 1.91% 1.69% 10.7 7.5 19.0 11.2 23.5 9.6 25.1 -2.8 44.0 -13.4
BTPEI Sep-19 2.18% 1.79% 8.9 6.1 15.8 9.2 19.8 7.9 21.9 -2.4 38.3 -11.1
BUNDEI Apr-20 0.94% 1.85% 7.2 5.5 12.4 8.2 14.4 7.0 12.5 -2.3 19.2 -9.9
OATEI Jul-20 1.11% 2.03% 7.4 5.5 12.8 8.1 15.0 6.8 13.6 -3.0 21.4 -11.9
BTPEI Sep-23 2.44% 2.07% 6.7 4.2 12.0 6.0 15.2 4.3 17.2 -4.4 30.0 -13.4
GGBEI Jul-25 7.55% 2.10% 10.0 4.0 19.7 5.1 28.6 2.0 43.1 -11.8 82.5 -30.3
GGBEI Jul-30 6.05% 3.67% 7.0 1.1 13.4 -0.8 18.9 -6.9 27.1 -26.2 50.6 -58.8
OATEI Jul-32 1.36% 2.40% 4.1 2.7 7.1 3.6 8.4 2.3 8.0 -4.3 12.5 -11.2
BTPEI Sep-35 2.24% 2.68% 3.9 2.0 6.9 2.3 8.6 0.3 9.4 -7.0 15.9 -16.5
OATEI Jul-40 1.35% 2.47% 2.9 1.8 5.0 2.3 6.0 1.1 5.6 -4.1 8.8 -10.2
BTPEI Sep-41 2.49% 2.50% 3.5 1.8 6.3 2.1 7.9 0.5 8.9 -6.1 15.2 -14.3
FRF
OATI Jul-11 -1.17% 1.54% 21.3 21.2 41.1 41.5 42.0 44.9 0.4 18.4 - -
OATI Jul-13 -0.49% 1.54% 9.3 7.9 18.1 14.7 20.1 14.4 13.5 2.3 5.4 -16.2
OATI Jul-17 0.62% 1.92% 5.1 3.0 10.2 5.2 12.8 4.0 14.2 -3.7 20.5 -15.8
OATI Jul-19 0.98% 1.99% 4.3 2.3 8.7 3.9 11.3 2.7 13.5 -3.9 20.6 -14.4
OATI Jul-23 1.12% 2.36% 3.3 1.5 6.7 2.4 8.7 1.1 10.5 -4.7 16.2 -13.7
OATI Jul-29 1.27% 2.45% 2.6 1.1 5.3 1.7 7.0 0.4 8.6 -4.6 13.4 -12.8
USD
Pricing Date
06-May-10
Term 1
Term 2
3m
6m
12m
Repo Rate
0.20%
0.21%
0.22% 0.28%
0.45%
USD DRI
216.91326
217.63100
218.55190
218.96534
219.52698
219.94124
Sett. Date
07-May-10
01-Jun-10
01-Jul-10
09-Aug-10 08-Nov-10 09-May-11
Yield BE Real BE Real BE Real BE Real BE Real BE
TIPS Jan-11 -1.06% 1.36% 39.5 38.5 105.2 102.7 142.8 138.4 285.8 281.0 - -
TIPS Apr-11 -0.86% 1.27% 29.6 28.0 75.2 71.6 97.5 90.9 144.4 130.4 - -
TIPS Jan-12 -0.85% 1.56% 16.3 14.1 39.5 34.6 47.6 38.9 54.5 36.4 13.4 -21.9
TIPS Apr-12 -0.64% 1.44% 14.8 12.6 35.4 30.5 43.4 34.6 52.0 33.6 31.9 -5.4
TIPS Jul-12 -0.73% 1.65% 12.9 10.6 30.9 25.5 37.1 27.7 42.2 22.9 18.0 -20.7
TIPS Apr-13 -0.30% 1.64% 10.4 7.6 24.4 18.2 30.3 19.4 37.6 15.0 33.0 -14.3
TIPS Jul-13 -0.20% 1.66% 10.0 7.1 23.4 16.9 29.2 17.8 36.7 13.7 34.9 -12.7
TIPS Jan-14 0.05% 1.66% 9.2 6.1 21.4 14.6 27.1 15.3 35.4 11.4 38.4 -10.9
TIPS Apr-14 0.11% 1.77% 8.6 5.5 19.9 13.2 25.4 13.6 33.3 9.1 36.7 -13.7
TIPS Jul-14 0.17% 1.75% 8.3 5.2 19.3 12.4 24.7 12.6 32.5 8.2 36.5 -13.1
TIPS Jan-15 0.39% 1.78% 7.7 4.6 17.9 10.8 23.1 10.8 31.2 6.5 37.6 -12.9
TIPS Jul-15 0.45% 1.88% 7.1 4.0 16.5 9.5 21.3 9.2 28.9 4.6 35.0 -14.3
TIPS Jan-16 0.58% 1.93% 6.7 3.5 15.5 8.4 20.2 7.9 27.7 3.3 34.5 -14.8
TIPS Jul-16 0.64% 2.04% 6.3 3.2 14.6 7.5 19.1 6.8 26.2 1.8 33.0 -16.2
TIPS Jan-17 0.82% 2.02% 6.1 3.0 14.0 7.0 18.5 6.3 25.8 1.8 33.7 -14.7
TIPS Jul-17 0.87% 2.10% 5.8 2.7 13.3 6.4 17.6 5.6 24.6 0.9 32.2 -15.4
TIPS Jan-18 1.00% 2.15% 5.4 2.4 12.4 5.6 16.4 4.8 23.2 0.2 31.0 -15.0
TIPS Jul-18 1.04% 2.24% 5.1 2.0 11.6 4.9 15.4 3.8 21.9 -1.1 29.3 -16.7
TIPS Jan-19 1.14% 2.27% 5.0 2.1 11.5 5.1 15.4 4.3 21.9 0.0 29.8 -13.8
TIPS Jul-19 1.21% 2.28% 4.8 1.9 10.9 4.5 14.6 3.5 21.0 -1.0 28.7 -15.1
TIPS Jan-20 1.27% 2.24% 4.5 1.7 10.3 4.1 13.8 3.1 19.9 -1.4 27.4 -15.3
TIPS Jan-25 1.64% 2.36% 3.5 0.8 7.9 1.9 10.7 0.5 15.8 -4.3 22.4 -17.1
TIPS Jan-26 1.69% 2.38% 3.2 0.7 7.4 1.8 10.0 0.5 14.7 -3.9 21.0 -15.5
TIPS Jan-27 1.72% 2.37% 3.2 0.7 7.2 1.7 9.8 0.4 14.4 -3.9 20.6 -15.3
TIPS Jan-28 1.76% 2.38% 2.9 0.6 6.6 1.5 9.0 0.2 13.3 -4.2 19.0 -15.7
TIPS Apr-28 1.80% 2.38% 3.2 0.9 7.2 2.2 9.9 1.2 14.8 -2.3 21.2 -12.1
TIPS Jan-29 1.77% 2.43% 2.9 0.7 6.6 1.7 9.0 0.5 13.3 -3.3 19.1 -13.5
TIPS Apr-29 1.79% 2.41% 3.1 0.8 7.0 2.0 9.6 1.1 14.3 -2.4 20.5 -12.1
TIPS Apr-32 1.80% 2.43% 2.7 0.6 6.1 1.4 8.4 0.3 12.4 -3.4 17.7 -13.1
TIPS Feb-40 1.81% 2.56% 2.0 0.2 4.5 0.6 6.2 -0.5 9.1 -3.9 12.9 -12.4
GBP
Pricing Date
06-May-10 Term 1
Term 2
3m
6m
12m
Repo Rate
0.53%
0.53%
0.59%
0.65%
0.80%
Sett. Date
07-May-10
01-Jun-10 01-Jul-10 09-Aug-10
08-Nov-10
09-May-11
Yield BE Real BE Real BE Real BE Real BE Real BE
UKTi Aug-11 -0.77% 1.34% 24.0 23.7 37.0 36.1 58.7 59.5 99.6 112.1 - -
UKTi Aug-13 -0.95% 2.77% 9.0 6.1 12.9 6.3 19.1 7.8 25.6 2.5 54.2 5.2
UKTi Jul-16 0.16% 2.86% 6.2 3.2 9.9 3.1 15.2 3.6 23.3 0.1 47.4 -0.1
UKTi Nov-17 0.27% 3.15% 7.5 4.4 13.3 6.5 17.2 5.7 25.6 2.6 41.4 -5.1
UKTi Apr-20 0.62% 3.19% 4.4 1.5 7.1 0.8 11.0 0.3 17.5 -3.9 34.7 -8.3
UKTi Nov-22 0.70% 3.52% 5.0 2.7 9.0 3.8 11.8 2.9 17.9 0.3 29.1 -5.8
UKTi Jul-24 0.83% 3.39% 3.3 1.0 5.5 0.3 8.5 -0.4 13.5 -4.1 26.3 -8.6
UKTi Nov-27 0.79% 3.51% 3.6 1.5 6.5 1.8 8.6 0.7 12.9 -2.6 20.9 -9.7
UKTi Jul-30 0.81% 3.53% 2.6 0.8 4.4 0.3 6.7 -0.2 10.6 -2.9 20.5 -6.0
UKTi Nov-32 0.76% 3.58% 2.9 1.0 5.1 1.1 6.8 -0.1 10.2 -3.3 16.3 -10.2
UKTi Jan-35 0.78% 3.61% 2.0 0.3 3.3 -0.5 5.0 -1.3 7.9 -4.6 15.2 -9.3
UKTi Nov-37 0.72% 3.67% 2.4 0.7 4.2 0.6 5.6 -0.6 8.3 -3.8 13.2 -10.5
UKTi Nov-42 0.69% 3.69% 1.9 0.4 3.4 0.0 4.5 -1.3 6.7 -4.5 10.6 -11.3
UKTi Nov-47 0.63% 3.73% 1.7 0.2 3.0 -0.1 4.0 -1.4 5.9 -4.6 9.2 -11.1
UKTi Mar-50 0.62% 3.74% 1.5 0.1 2.8 -0.3 3.6 -1.6 5.3 -4.8 8.4 -11.4
UKTi Nov-55 0.58% 3.76% 1.5 0.2 2.7 -0.2 3.6 -1.3 5.3 -4.3 8.2 -10.4
JPY
Pricing Date
06-May-10
Term 1 Term 2
3m
6m
12m
Repo Rate
0.12%
0.12%
0.12%
0.13% 0.14%
JPY DRI
99.210
99.500
99.500
99.397
99.200 98.506
Sett. Date
11-May-10
10-Jun-10
10-Jul-10
11-Aug-10
11-Nov-10
11-May-11
Yield BE Yield BE Yield BE Real BE Real BE Real BE
JGBI-1 Mar-14 1.12% -0.80% 10.6 10.1 13.2 12.3 13.1 11.7 15.4 12.5 10.2 3.8
JGBI-2 Jun-14 1.24% -0.89% 10.1 9.6 12.8 11.8 13.0 11.4 16.0 12.9 13.4 6.3
JGBI-3 Dec-14 1.04% -0.61% 8.5 8.0 10.5 9.3 10.2 8.3 11.4 7.6 5.6 -2.7
JGBI-4 Jun-15 1.20% -0.71% 7.9 7.3 9.9 8.6 10.0 8.0 12.0 7.9 9.1 0.2
JGBI-5 Sep-15 1.11% -0.59% 7.5 6.9 9.3 8.0 9.1 7.1 10.5 6.3 6.5 -2.6
JGBI-6 Dec-15 1.16% -0.61% 7.3 6.6 9.0 7.7 8.9 6.9 10.5 6.2 7.2 -2.1
JGBI-7 Mar-16 1.17% -0.59% 7.0 6.3 8.7 7.3 8.6 6.5 10.2 5.7 7.1 -2.5
JGBI-8 Jun-16 1.31% -0.69% 6.9 6.2 8.7 7.3 8.9 6.7 11.0 6.4 9.6 -0.4
JGBI-9 Sep-16 1.22% -0.57% 6.6 5.8 8.2 6.7 8.2 5.9 9.9 5.0 7.5 -2.8
JGBI-10 Dec-16 1.24% -0.55% 6.4 5.6 8.0 6.4 8.0 5.6 9.6 4.7 7.5 -3.1
JGBI-11 Mar-17 1.30% -0.56% 6.2 5.4 7.9 6.2 8.0 5.5 9.8 4.6 8.3 -2.7
JGBI-12 Jun-17 1.36% -0.57% 6.1 5.2 7.7 6.0 7.9 5.3 9.9 4.6 9.1 -2.3
JGBI-13 Sep-17 1.35% -0.51% 5.9 5.0 7.5 5.7 7.6 4.9 9.5 4.0 8.5 -3.2
JGBI-14 Dec-17 1.37% -0.48% 5.7 4.8 7.2 5.4 7.4 4.7 9.3 3.6 8.4 -3.6
JGBI-15 Mar-18 1.44% -0.51% 5.7 4.8 7.3 5.4 7.5 4.7 9.6 3.8 9.3 -2.9
JGBI-16 June-18 1.53% -0.56% 5.6 4.7 7.2 5.3 7.6 4.7 9.9 3.9 10.2 -2.4
Source: BNP Paribas
Shahid Ladha / Herve Cros 7 May 2010
Market Mover, Non-Objective Research Section
53
www.GlobalMarkets.bnpparibas.com