巴黎银行-欧洲-宏观策略-欧元通胀指数变化：阳光下的季节-20190305-7页_793kb

FLASH | EUROZONE - Summary

Core Content

This report discusses the impact of a recent change in the German inflation calculation methodology on the seasonality of the EUR HICPxT index, which is used as a reference for euro-area inflation-linked bonds and swaps. The changes in the weighting of package holidays in the HICP (Harmonized Index of Consumer Prices) series have altered the seasonal patterns of the index, affecting the pricing and performance of certain inflation-linked instruments.

Key Messages

• Uncertainty and Resolution: Recent changes to German inflation statistics initially caused uncertainty in the inflation-linked bond and swap market. However, market liquidity has resumed after guidance from ISDA and sovereign debt management offices confirmed that no adjustments will be made to the terms of existing instruments.
• No Changes to Terms: The debt management offices of each eurozone country have stated that no amendments will be made to the terms of inflation-linked debt instruments.
• ISDA Guidance: ISDA has issued guidance indicating that inflation derivative transactions will not be adjusted under normal circumstances, except in very exceptional cases.

Impact on Seasonality

• New Seasonality Profile: The revised weighting methodology has significantly altered the seasonality of the EUR HICPxT index.
  • April and November now show much stronger positive and negative seasonality, respectively.
• Easter Effect: The Easter holiday, which typically affects March to May seasonality, has fallen on the latest date (19–22 April) since 2015, making this year's April seasonality more pronounced than in 2017.

Implications for Inflation-Linked Bonds

• Performance Differences: Bonds with cash flows linked to February–July (e.g., July OATEi, September BTPei) are expected to outperform those with cash flows linked to August–January (e.g., April BUNDei, November SPGBei).
• Relative Pricing: The seasonality effect influences the relative pricing of bonds. Bonds with positive seasonality will have higher market prices and lower real yields, while those with negative seasonality will have lower prices and higher real yields.

Important Legal and Disclosure Information

• Non-Independent Research: This document is non-independent research and is intended for marketing purposes under MiFID II.
• No Investment Advice: BNPP does not provide investment, financial, legal, or tax advice. Recipients are advised to seek independent professional advice.
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• Regulatory Information: The document is subject to various regulatory requirements and is distributed only to Relevant Persons as defined under MiFID II and other jurisdictions.

Jurisdictional Notes

• United States: The document contains important disclosures regarding options, ETFs, and securities not registered under US laws. It is only available to certain qualified investors.
• UK: This document is communicated by BNPP London Branch, which is authorized and regulated by the ECB, ACPR, and other UK authorities.
• France: The report is produced and distributed by BNPP SA and BNPP Arbitrage, both authorized and supervised by the ECB and ACPR.
• Germany: Distributed by BNPP S.A. Niederlassung Deutschland, authorized and supervised by the ECB and ACPR.
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Conclusion

The revised inflation methodology in Germany has impacted the seasonality of EUR HICPxT, with significant changes in April and November. These changes have implications for the relative pricing and performance of inflation-linked bonds and swaps. While the market has adapted, investors should be aware of the legal and regulatory context, and consider seeking independent advice before making any investment decisions.