20181025-法国巴黎银行-Large_eurozone_October_index_duration_extension_8页_1006kb

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

Core Content Overview

This document provides an analysis of the expected changes in the duration of the Eurozone Government Bond Index (iBoxx) at the end of October, focusing on the impact of bond entries and exits on index composition and duration. It also includes market views on yield movements and regulatory disclosures regarding the nature of the report and potential conflicts of interest.

Key Messages

• Overall Index Duration Extension: The Eurozone Government Bond Index is expected to lengthen by +0.12 years in October, which is slightly above the average for the past eight years (0.10 years) but below the average of the last two years (0.14 years).
• Largest Duration Increase: Ireland is expected to see the largest increase in duration, at +0.45 years, driven by the exit of IRISH 5.9% 18 Oct 2019 and the entry of IRISH 1.35% 18 Mar 2031.
• Weighting Changes:
  • Spain will have the largest increase in index weighting at +0.25pp.
  • France and Italy will see weighting decreases of -0.27pp and -0.10pp, respectively.
• Index Entries and Exits:
  • Total Entries: EUR60bn
  • Total Exits: EUR100bn
  • The majority of the duration increase is attributed to France, which contributes ~30% of the total rise.

Detailed Index Extension

• Ireland:

  • Exit: IRISH 5.9% 18 Oct 2019 (EUR6.0bn)
  • Entry: IRISH 1.35% 18 Mar 2031 (EUR3.0bn)
  • Duration increase: +0.45 years

• Spain:

  • Entry: SPGB 0.05% 31 Oct 2021 (EUR2.7bn)
  • Weighting increase: +0.25pp

• France:

  • Exit: FRTR 8.5% 25 Oct 2019 (EUR8.8bn) and FRTR 3.75% 25 Oct 2019 (EUR33.1bn)
  • Weighting decrease: -0.27pp

• Italy:

  • Exit: CTZ 0% 30 Oct 2019 (EUR12.7bn) and BTPS 0.05% 15 Oct 2019 (EUR13.8bn)
  • Weighting decrease: -0.10pp

• Austria:

  • Exit: RAGB 0.25% 18 Oct 2019 (EUR7.2bn)
  • Duration increase: +0.25 years

Market Views

• Yield Stabilisation: Near-term yield stabilisation is expected, but yields may rise toward the end of the year.
• Year-End Target: A 75bp level on 10y Bund is projected for the year-end.
• Index Duration Impact: France will be the largest contributor to the duration increase, followed by Germany, Spain, and to a lesser extent, the Netherlands, Ireland, and Belgium.

Regulatory and Disclosure Information

• This document is non-independent research and is intended for Relevant Persons as defined by MiFID II.
• It is not investment research and should not be relied upon for investment decisions.
• BNP Paribas may have conflicts of interest due to its involvement in investment banking, underwriting, and advisory services related to the issuers mentioned.
• The document includes hypothetical and back-tested performance data, which is not indicative of future results.
• Indicative prices are based on internal models and may not reflect actual market terms.
• The document may contain option risk disclosures, ETF disclosures, and convertible securities disclosures, highlighting the complexity and risks associated with these instruments.
• Securities may not be available in all jurisdictions or to all investors.

Legal and Compliance Notes

• This document is not a prospectus or an investment offer.
• It is intended for information purposes only and does not constitute financial, legal, or tax advice.
• Confidentiality: The document is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.
• Regulatory Bodies:
  • UK: Communicated by BNPP London Branch, authorised by ECB, ACPR, and FCA.
  • France: Produced by BNPP SA and BNPP Arbitrage, supervised by ECB and ACPR.
  • Germany: Distributed by BNPP Niederlassung Deutschland, supervised by ECB and ACPR.
  • Netherlands: Distributed by BNPP Fortis SA/NV, supervised by ECB, NBB, and AFM.
  • Belgium: Supervised by ECB and NBB, and under FSMA for investor protection.
  • Portugal: Mentioned as BNPP - S, but details are incomplete.

Summary of Key Changes

Conclusion

The Eurozone Government Bond Index is expected to experience a moderate duration extension of 0.12 years in October, with Ireland leading in duration increase and France and Italy seeing significant weighting reductions. The market is anticipated to stabilize yields in the short term, with a potential rise into the year-end. The report highlights the complexity and risks associated with the instruments discussed and includes regulatory disclosures for various jurisdictions.