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

P ric in g D a te
Repo Rate
EUR DRI
FRF DRI
S e tt. D a te
Table 1: BNP Paribas Carry Analysis
EUR
15-Jul-10
Term 1
Term 2
3m
6m
12m
0.48%
0.51%
0.56% 0.67%
0.82%
109.65968
109.71000
109.70000 109.45618
110.46848
111.26655
119.98581
120.04000 120.02000
120.07228
120.40630
121.62372
20-Jul-10
01-Aug-10
01-Sep-10
20-O ct-10
20-Jan-11
20-Jul-11
Real BE Real BE Real BE Real BE Real BE Real BE
BTPEI Sep-10 1.30% -0.45% 58.8 54.2 333.0 310.7 #VALUE! #VALUE! - - - -
O ATEI Jul-12 -0.65% 1.48% 0.4 -0 .2 -5 .4 -7 .7 -2 8 .3 -3 2 .7 4.2 -1 .8 -3 .2 -1 .9
BTPEI Sep-12 0.75% 1.20% 2.6 0.3 3.1 -5 .2 -7 .7 -2 6 .1 47.6 8.7 121.2 26.1
BO BLEI Apr-13 0.02% 0.84% 1.2 0.7 -0.9 -2.6 -13.4 -16.8 18.5 13.8 37.2 35.7
BTPEI Sep-14 1.54% 1.19% 2.1 0.0 4.0 -3 .2 1.5 -14.2 33.8 2.0 72.3 3.5
O ATEI Jul-15 0.59% 1.29% 1.0 0.0 0.9 -2 .8 -4 .0 -1 1 .8 15.9 0.5 31.5 1.5
BUNDEI Apr-16 0.60% 1.23% 0.9 0.0 0.9 -2 .3 -3 .4 -1 0 .1 13.9 1.0 26.9 2.4
BTPEI Sep-17 2.22% 1.36% 1.6 -0 .2 3.6 -2 .6 3.6 -9 .7 24.9 -1 .8 50.5 -4 .3
BTPEI Sep-19 2.53% 1.48% 1.4 -0 .2 3.4 -2 .2 3.8 -8 .1 21.8 -2 .2 43.7 -4 .3
BUNDEI Apr-20 1.01% 1.57% 0.7 -0 .1 1.1 -2 .0 -0 .9 -7 .3 10.7 -1 .9 20.3 -3 .8
O ATEI Jul-20 1.20% 1.79% 0.8 -0 .2 1.3 -2 .2 -0 .3 -7 .9 11.7 -3 .2 22.6 -6 .5
BTPEI Sep-23 2.76% 1.75% 1.1 -0 .3 2.7 -2 .2 3.3 -7 .1 17.0 -3 .8 33.5 -8 .2
G G BEI Jul-25 8.69% 1.24% 3.0 -0 .5 9.5 -3 .4 17.8 -10.1 47.3 -9 .7 97.6 -18.1
G G BEI Jul-30 6.92% 3.14% 1.9 -1 .6 5.8 -6 .9 10.3 -17.0 29.2 -26.7 59.3 -53.9
O ATEI Jul-32 1.32% 2.19% 0.4 -0 .3 0.8 -1 .8 0.0 -5 .5 6.4 -4 .1 12.2 -8 .2
BTPEI Sep-35 2.51% 2.54% 0.6 -0 .5 1.4 -2 .4 1.6 -6 .6 9.1 -7 .2 17.5 -14.8
O ATEI Jul-40 1.36% 2.23% 0.3 -0 .3 0.6 -1 .5 0.0 -4 .3 4.7 -3 .8 8.8 -7 .5
BTPEI Sep-41 2.79% 2.32% 0.6 -0 .4 1.5 -2 .1 1.8 -5 .8 8.8 -6 .3 16.9 -12.5
FRF
O ATI Jul-11 -0.43% 1.06% 1.3 0.7 -10.0 -11.9 -23.6 -26.3 -41.2 -30.8 - -
O ATI Jul-13 -0.15% 1.29% 0.8 -0 .1 -2 .0 -4 .9 -4 .1 -1 0 .1 -2 .8 -1 3 .6 19.1 1.0
O ATI Jul-17 0.72% 1.66% 0.8 -0 .3 0.7 -3 .0 1.7 -6 .2 5.9 -9 .6 21.5 -8 .9
O ATI Jul-19 0.99% 1.79% 0.7 -0 .3 0.9 -2 .7 2.1 -5 .6 6.3 -9 .0 20.2 -9 .7
O ATI Jul-23 1.20% 2.07% 0.6 -0 .3 0.9 -2 .3 2.0 -4 .8 5.6 -7 .8 16.4 -9 .5
O ATI Jul-29 1.19% 2.29% 0.4 -0 .3 0.7 -2 .1 1.5 -4 .4 4.2 -7 .4 12.3 -10.1
USD
P ric in g D a te
Repo Rate
USD DRI
S e tt. D a te
15-Jul-10
218.09077
16-Jul-10
Term 1
0.22%
218.17800
01-Aug-10
Term 2
0.22%
218.26695
01-Sep-10
3m
6m
12m
0.22% 0.23%
0.31%
218.63089
219.07293
220.75389
18-O ct-10 18-Jan-11 18-Jul-11
Yield BE Real BE Real BE Real BE Real BE Real BE
TIPS Jan-11 0.37% -0.17% 10.2 10.4 26.8 27.7 117.3 120.4 - -
TIPS Apr-11 0.37% -0.08% 6.7 6.3 16.2 15.0 58.5 55.6 218.1 209.1 - -
TIPS Jan-12 -0.12% 0.56% 1.8 1.1 2.8 0.7 13.0 8.8 27.7 17.8 161.6 138.9
TIPS Apr-12 0.00% 0.47% 1.8 1.2 3.3 1.3 13.0 8.7 27.2 17.3 123.1 101.2
TIPS Jul-12 -0.14% 0.67% 1.3 0.6 1.9 -0 .2 9.1 4.7 18.0 8.2 79.1 57.8
TIPS Apr-13 -0.09% 0.89% 1.0 0.0 1.5 -1 .3 6.7 0.7 12.7 -0 .4 46.6 18.0
TIPS Jul-13 -0.01% 0.96% 1.1 -0 .1 1.8 -1 .6 7.0 0.0 13.4 -1 .5 46.0 13.1
TIPS Jan-14 0.19% 0.99% 1.1 -0 .1 2.3 -1 .5 7.6 -0 .3 14.7 -1 .9 45.3 8.9
TIPS Apr-14 0.12% 1.17% 1.0 -0 .3 1.9 -1 .9 6.5 -1 .5 12.3 -4 .6 37.9 1.4
TIPS Jul-14 0.22% 1.13% 1.0 -0 .3 2.2 -1 .9 6.8 -1 .4 13.2 -4 .0 39.1 2.0
TIPS Jan-15 0.42% 1.18% 1.1 -0 .3 2.5 -1 .8 7.3 -1 .6 14.1 -4 .4 39.3 -0 .2
TIPS Jul-15 0.47% 1.28% 1.1 -0 .4 2.4 -2 .0 6.8 -2 .1 13.2 -5 .3 36.0 -3 .3
TIPS Jan-16 0.57% 1.38% 1.1 -0 .5 2.5 -2 .1 6.7 -2 .6 13.1 -6 .1 34.7 -5 .8
TIPS Jul-16 0.61% 1.47% 1.0 -0 .6 2.4 -2 .3 6.4 -2 .9 12.5 -6 .8 32.5 -7 .7
TIPS Jan-17 0.75% 1.51% 1.1 -0 .5 2.5 -2 .2 6.6 -2 .9 12.7 -6 .7 32.5 -8 .0
TIPS Jul-17 0.77% 1.55% 1.0 -0 .6 2.4 -2 .2 6.2 -2 .9 12.0 -6 .6 30.4 -8 .3
TIPS Jan-18 0.89% 1.59% 1.0 -0 .5 2.4 -2 .1 6.1 -2 .8 11.9 -6 .4 29.5 -8 .3
TIPS Jul-18 0.91% 1.69% 0.9 -0 .6 2.3 -2 .3 5.8 -3 .3 11.2 -7 .3 27.6 -10.5
TIPS Jan-19 1.02% 1.75% 1.0 -0 .5 2.4 -2 .0 6.0 -2 .9 11.6 -6 .4 28.1 -8 .8
TIPS Jul-19 1.06% 1.84% 0.9 -0 .6 2.3 -2 .3 5.7 -3 .4 11.1 -7 .4 26.7 -11.1
TIPS Jan-20 1.12% 1.81% 0.9 -0 .6 2.2 -2 .2 5.5 -3 .4 10.7 -7 .5 25.6 -11.5
TIPS Jan-25 1.56% 1.93% 0.8 -0 .7 2.0 -2 .3 4.8 -3 .8 9.4 -8 .0 21.5 -13.6
TIPS Jan-26 1.61% 1.95% 0.8 -0 .6 1.9 -2 .1 4.6 -3 .5 8.9 -7 .3 20.3 -12.4
TIPS Jan-27 1.66% 1.93% 0.7 -0 .6 1.9 -2 .0 4.5 -3 .4 8.8 -7 .1 20.0 -12.1
TIPS Jan-28 1.69% 1.96% 0.7 -0 .6 1.8 -2 .0 4.2 -3 .5 8.1 -7 .4 18.4 -12.7
TIPS Apr-28 1.75% 1.96% 0.8 -0 .5 2.0 -1 .7 4.8 -2 .7 9.2 -5 .8 20.6 -9 .4
TIPS Jan-29 1.71% 2.03% 0.7 -0 .6 1.8 -1 .9 4.2 -3 .1 8.2 -6 .5 18.6 -11.0
TIPS Apr-29 1.77% 1.97% 0.8 -0 .5 2.0 -1 .7 4.6 -2 .7 9.0 -5 .7 20.1 -9 .4
TIPS Apr-32 1.77% 2.02% 0.7 -0 .5 1.7 -1 .8 4.0 -3 .0 7.8 -6 .2 17.3 -10.7
TIPS Feb-40 1.78% 2.19% 0.5 -0 .5 1.3 -1 .6 2.9 -2 .8 5.6 -5 .9 12.6 -10.4
GBP
P ric in g D a te
15-Jul-10 Term 1 Term 2
3m
6m
12m
Repo Rate
0.54%
0.55%
0.61%
0.64%
0.74%
S e tt. D a te
16-Jul-10
01-Aug-10 01-Sep-10 18-O ct-10
17-Jan-11
18-Jul-11
Yield BE Real BE Real BE Real BE Real BE Real BE
UKTi Aug-11 -0.09% 0.66% 9.9 9.7 -5 .2 -5 .7 36.4 38.5 110.6 135.2 - -
UKTi Aug-13 -1.25% 2.46% 1.8 0.6 -7.1 -10.6 0.1 -6.8 2.6 -11.8 20.9 -9 .6
UKTi Jul-16 0.19% 2.37% 2.0 0.4 -0 .4 -5 .3 6.8 -2.8 15.3 -4 .3 40.0 -0 .2
UKTi Nov-17 0.37% 2.62% 2 .5 0 .9 5.6 0.6 7 .5 -2.4 14.7 -5 .3 36.7 -4 .0
UKTi Apr-20 0.76% 2.63% 1.6 0.0 0.6 -4 .2 6.1 -3.3 13.2 -5 .8 31.3 -7 .0
UKTi Nov-22 0.93% 2.75% 1.8 0.3 4.2 -0 .2 6.0 -2.7 11.7 -5 .7 27.4 -7 .4
UKTi Jul-24 1.14% 2.77% 1.3 -0 .1 0.8 -3 .3 5.2 -3.0 10.9 -5 .4 25.5 -7 .0
UKTi Nov-27 1.01% 3.06% 1.3 0.1 3.0 -0 .7 4.4 -3.0 8.5 -6 .1 19.6 -9 .5
UKTi Jul-30 0.96% 3.21% 1.0 -0 .1 0.5 -2 .8 3.8 -2.7 8.0 -4 .9 18.6 -7 .0
UKTi Nov-32 0.90% 3.27% 1.0 -0 .1 2.3 -1 .0 3.3 -3.2 6.4 -6 .4 14.8 -10.8
UKTi Jan-35 0.88% 3.32% 0.7 -0 .3 0.3 -2 .7 2.8 -3.3 5.8 -6 .1 13.4 -10.0
UKTi Nov-37 0.79% 3.40% 0.8 -0 .2 1.9 -1 .1 2.6 -3.2 5.1 -6 .4 11.6 -11.0
UKTi Nov-42 0.72% 3.47% 0.7 -0 .3 1.5 -1 .2 2.1 -3.3 4.0 -6 .6 9.1 -11.7
UKTi Nov-47 0.64% 3.54% 0.6 -0 .3 1.3 -1 .2 1.8 -3.2 3.4 -6 .4 7.9 -11.5
UKTi M ar-50 0.63% 3.55% 0.5 -0 .3 1.2 -1 .3 1.6 -3.2 3.1 -6 .4 7.1 -11.6
UKTi Nov-55 0.58% 3.58% 0.5 -0 .3 1.1 -1 .1 1.6 -3.0 3.0 -5 .9 6.9 -10.6
JPY
P ric in g D a te
Repo Rate
JPY DRI
S e tt. D a te
15-Jul-10
99.235
21-Jul-10
Term 1 Term 2
0.12%
0.12%
99.300
99.200
10-Aug-10
10-Sep-10
3m
0.12%
99.071
21-O ct-10
6m
0.13%
12m
0.14%
99.529 98.900
21-Jan-11
21-Jul-11
Yield BE Yield BE Yield BE Real BE Real BE Real BE
JG BI-1 M ar-14 1.13% -0.93% 4.5 4.4 4.1 3.8 4.7 4.1 26.4 25.2 27.0 24.6
JG BI-2 Jun-14 1.35% -1.13% 4.5 4.4 4.7 4.3 5.9 5.2 27.8 26.3 32.6 29.4
JG BI-3 Dec-14 1.17% -0.88% 3.7 3.5 3.5 2.9 4.0 3.0 21.6 19.5 21.9 17.3
JG BI-4 Jun-15 1.36% -1.01% 1.5 1.2 1.5 0.9 2.5 1.2 21.3 18.7 21.6 16.0
JG BI-5 Sep-15 1.34% -0.98% 3.4 3.1 3.5 2.8 4.4 3.1 20.2 17.5 22.6 16.8
JG BI-6 Dec-15 1.25% -0.86% 3.2 2.9 3.1 2.3 3.7 2.3 18.2 15.4 19.1 13.0
JG BI-7 M ar-16 1.34% -0.93% 3.1 2.8 3.2 2.4 4.0 2.5 18.3 15.4 20.2 13.8
JG BI-8 Jun-16 1.41% -0.96% 3.1 2.7 3.2 2.4 4.1 2.6 18.2 15.0 20.6 13.9
JG BI-9 Sep-16 1.40% -0.92% 3.0 2.6 3.1 2.2 3.9 2.3 17.4 14.1 19.5 12.6
JG BI-10 Dec-16 1.38% -0.87% 2.8 2.5 2.9 2.0 3.7 2.0 16.5 13.1 18.2 10.9
JG BI-11 M ar-17 1.46% -0.92% 2.8 2.4 3.0 2.1 3.9 2.1 16.6 13.0 19.1 11.4
JG BI-12 Jun-17 1.54% -0.96% 2.8 2.4 3.1 2.1 4.1 2.2 16.6 12.8 19.6 11.7
JG BI-13 Sep-17 1.44% -0.82% 2.6 2.2 2.8 1.7 3.6 1.6 15.3 11.3 17.3 8.9
JG BI-14 Dec-17 1.45% -0.79% 2.5 2.1 2.7 1.6 3.5 1.4 14.8 10.7 16.7 8.0
JG BI-15 M ar-18 1.48% -0.78% 2.5 2.0 2.7 1.6 3.5 1.4 14.6 10.4 16.6 7.7
JG BI-16 June-18 1.61% -0.87% 2.5 2.0 2.8 1.7 3.8 1.6 15.1 10.7 18.1 8.7
Source: BNP Paribas
Herve Cros / Shahid Ladha 16 July 2010
Market Mover, Non-Objective Research Section
38
www.GlobalMarkets.bnpparibas.com