巴黎银行-欧洲-宏观策略-欧元区4月份指数持续时间延长-20190425-7页_864kb

报告摘要

FLASH | EUROZONE - April 2019 Summary

Core Content Overview

This report from BNP Paribas provides an analysis of the Eurozone Government Bond Index (iBoxx) changes in April 2019, focusing on the duration extension and weighting adjustments for various countries. The report also includes market views and disclosures regarding the use of the document.

Key Findings

Overall Index Extension

The Eurozone Government Bond Index is expected to see a duration extension of +0.11 years in April 2019.
This extension is in line with the average of +0.12 years for April since 2010.
The extension is more influenced by exits (EUR96bn) than entries (EUR65bn).

Country-Specific Duration Extension

Ireland experiences the largest duration increase of +0.63 years, surpassing its historical average of +0.18 years.
Finland follows with a +0.52 years increase, which is also above its historical average of +0.17 years.

Index Weighting Changes

Spain is expected to see the largest increase in index weighting of +0.19pp.
Ireland will experience the largest decrease in index weighting of -0.17pp.

Detailed Index Changes

Index Entries

France: EUR3.76bn in FRTR 0% 25 Mar 2025 (ISIN: FR0013415627)
Italy:
- BTPS 1.75% 1 Jul 2024 (IT0005367492) - EUR4.22bn
- BTPS 2.1% 15 Jul 2026 (IT0005370306) - EUR4.88bn
Spain: EUR2.70bn in SPGB 0.25% 30 Jul 2024 (ES0000012E85)
Slovakia: EUR1.00bn in SLOVGB 0.75% 9 Apr 2030 (SK4120015173)

Index Exits

Finland: EUR6.50bn in RFGB 3.375% 15 Apr 2020 (FI4000010848)
France: EUR38.95bn in FRTR 3.5% 25 Apr 2020 (FR0010854182)
Germany: EUR20.00bn in OBL 0% 17 Apr 2020 (DE0001141711)
Ireland: EUR10.60bn in IRISH 4.5% 18 Apr 2020 (IE0034074488)
Italy: EUR15.97 in ICTZ 0% 30 Mar 2020 (IT0005329336)
Slovakia: EUR3.00bn in SLOVGB 4% 27 Apr 2020 (SK4120007204)

Market View

The upward correction in the 10y Bund yield near 10bp is expected to be over.
Weakness in peripheral markets may cause temporary downward pressure on Bund yields.
The index extension at the end of April is anticipated, with peripheral market weakness being a key factor.

Contribution to Duration Change

France and Italy are expected to be the largest contributors to the index duration increase, accounting for ~56% of the rise.
Germany and Spain are also expected to contribute to the increase.

Legal and Regulatory Disclosures

The document is non-independent research and is a marketing communication.
It is intended for Relevant Persons as defined by MiFID II and other financial regulations.
Confidentiality is emphasized, and the document should not be used or copied without prior written consent.
Conflict of interest is noted, as BNPP may have financial interests or act as an advisor, manager, or underwriter for the issuers mentioned.
The document may contain performance data based on back-testing and is not a prospectus or public offering.
Options, ETFs, and convertible securities discussed may involve high risk and are not suitable for all investors.
U.S. and UK disclosures are included, highlighting that the document is not intended for retail investors and may be subject to specific regulations and exemptions.

Additional Notes

The report is produced by a BNP Paribas group company and is for the intended recipients only.
Important information is provided at the end of the report, including details on the legal framework and investment risks.
The document may be subject to change or discontinued without prior notice.
BNP Paribas may not be liable for any losses arising from reliance on the information contained in the document.