20181128-法国巴黎银行-Typical_November_eurozone_index_duration_extension_8页_1005kb

G10 Interest Rates Summary: Eurozone Government Bond Index Duration Extension in November

Core Content

This document provides an analysis of the expected changes in the duration of the Eurozone Government Bond Index (iBoxx) at the end of November 2018, including the impact on individual countries and the broader market outlook.

Key Messages

• The overall duration of the Eurozone Government Bond Index (iBoxx) is expected to lengthen by +0.06 years in November 2018, aligning with the average since 2010.
• Spain will experience the largest duration increase of +0.18 years, primarily due to the exit of the SPGB 4.3% 31 October 2019 from the index.
• Germany is expected to see the largest increase in index weighting of +0.15pp, while Spain will have the largest decrease in weighting of -0.28pp.
• France will be the main contributor to the overall duration increase, accounting for ~40% of the rise.

Market Views

• Near-term yield stabilisation is expected to be followed by higher yields into year-end, influenced by several factors:
  • Continued tensions in Italy
  • Oil price collapse
  • End of the bullish seasonality on Bunds
  • Recent stabilisation of risk assets
• These factors are likely to be negative for Bunds (German government bonds) as the year progresses.

Detailed Index Extension

• Spain: +0.18 years duration increase
• France: +0.11 years duration increase
• The overall extension is driven more by entries (EUR59bn) than exits (EUR45bn).

Changes to Index Structure

• Germany will see the largest increase in weighting (+0.15pp)
• Spain will see the largest decrease in weighting (-0.28pp)
• France will also see a decrease in weighting (-0.09pp)

Index Entries and Exits

Entries (EUR4bn)

• Germany: BKO 0% 12/11/2020 (ISIN: DE0001104743)

Exits

• France: FRTR 0.5% 11/25/2019 (ISIN: FR0011993179) - EUR22.4bn
• Spain: SPGB 4.3% 10/31/2019 (ISIN: ES00000121O6) - EUR21.2bn

Disclaimer and Legal Information

• The document is non-independent research and may be subject to conflicts of interest due to limited knowledge of sales and marketing.
• It is intended for Relevant Persons, including Professional Clients and Eligible Counterparties under MiFID II.
• It does not constitute an offer to sell or an investment recommendation.
• The information is not investment advice and is subject to change without notice.
• BNPP may have financial interests in the issuers or act as a market maker or advisor.
• The document may contain hypothetical or back-tested performance data for illustrative purposes only.
• No guarantee is made regarding the accuracy or completeness of the information.

Regulatory Disclosures

• The document is not a prospectus and does not constitute an advertisement.
• It is not suitable for retail investors and is intended for institutional investors.
• In the United States, the document is not registered and may be restricted securities.
• It is distributed only to institutional investors under FINRA rules or through BNPP Securities Corp.
• Options and ETFs discussed are complex instruments with high risk, and risk disclosure is required.
• BNPP may engage in transactions inconsistent with the views expressed in the document.

Jurisdictional Information

• UK: Communicated by BNPP London Branch, authorized by ECB, ACPR, and FCA.
• France: Produced and distributed by BNPP SA and BNPP Arbitrage, authorized by ECB and ACPR.
• Germany: Distributed by BNPP S.A. Niederlassung Deutschland, authorized by ECB and ACPR.
• Belgium: Authorized by ECB and National Bank of Belgium, under supervision of FSMA.
• Ireland: Distributed by BNPP S.A., Dublin Branch, regulated in France.
• Italy: Distributed by BNPP Italian Branch, authorized by ECB and ACPR, regulated by AMF.
• Netherlands: Distributed by BNPP Fortis SA/NV, Netherlands Branch, supervised by ECB and AFM.
• Portugal: Distributed by BNPP Sucursal em Portugal, authorized by ECB, ACPR, and Banco de Portugal.
• Spain: Distributed by BNPP S.A., S.E., a branch of BNPP S.A., authorized by ECB and ACPR.

Summary of Key Points

• Overall Duration Extension: +0.06 years
• Top Duration Increase: Spain (+0.18 years)
• Top Weighting Increase: Germany (+0.15pp)
• Top Weighting Decrease: Spain (-0.28pp)
• Main Contributors to Duration Increase: France (~40%), Germany, Italy, Spain, Belgium
• Entries vs Exits: Entries (EUR59bn) > Exits (EUR45bn)