20181227-法国巴黎银行-Limited_December_eurozone_index_duration_extension_8页_1002kb

G10 Interest Rates Summary: Eurozone Government Bond Index Duration Extension in December 2018

Core Content

This document provides an analysis of the December 2018 Eurozone Government Bond Index (iBoxx) duration extension, highlighting the changes in index structure and market implications. It is prepared by BNP Paribas and is intended as a marketing communication, not investment research.

Key Messages

• Overall index extension: +0.02 years
• Largest index extension: Germany +0.07 years
• Largest increase in index country weightings: France +0.11pp
• Largest decrease in index country weightings: Germany -0.14pp

Market Views

The market is expected to see the core bonds cheapen as January supply approaches. This is due to:

• Negligible index extension at the end of December
• End of new ECB asset purchases
• UK parliament in recess until 7 January
• Non-core bonds holding up well

Detailed Index Extension

• Germany: Duration increased by 0.07 years, driven by the exit of the BKO 0% 13 Dec 2019 (EUR13bn)
• Italy: Duration increased by 0.05 years, below its average of 0.07 years
• France: Weighting increased by 0.11pp, contributing about 33% to the overall duration increase
• Spain and other countries: Also contribute to the duration increase

Changes to Index Structure

• France: Biggest rise in weighting
• Germany: Largest drop in weighting
• Index exits: EUR29bn
• Index entries: EUR19bn (primarily in France and Italy)

Figures and Tables

• Fig. 1: Compares December 2018 index extension with the average from 2010-2017
• Fig. 2: Compares country-specific duration extension in December 2018 with the average from 2010-2017
• Fig. 3: Shows the change in country weightings in the index
• Fig. 4: Details index entries and exits by country
• Fig. 5: Lists December index entries by bond (data not fully provided)
• Fig. 6: Lists December index exits by bond

Legal and Compliance Notes

• The document is non-independent research and may be subject to conflicts of interest
• It is a marketing communication under MiFID II and not intended for retail investors
• No investment advice is provided, and the information is for informational purposes only
• Indicative prices are not actual transaction terms
• No liability is accepted for any losses arising from reliance on the document
• The document is not a prospectus and does not constitute an offer to buy or sell securities

Regulatory Disclosures

• United States:

  • Options and ETFs discussed are subject to specific risks and disclosures
  • Certain securities may not be registered under U.S. securities laws and are restricted
  • Transactions must be conducted through BNPP Securities Corp. (BNPPSC) unless authorized otherwise

• United Kingdom:

  • Document is communicated by BNPP London Branch
  • Subject to limited regulation by the Financial Conduct Authority (FCA) and Prudential Regulation Authority (PRA)

• France:

  • Produced by BNPP SA and BNPP Arbitrage
  • Supervised by ECB and ACPR

• Germany:

  • Distributed by BNPP S.A. Niederlassung Deutschland
  • Supervised by ECB, ACPR, and BaFin

• Belgium:

  • Supervised by ECB, National Bank of Belgium, and FSMA

• Ireland:

  • Distributed by BNPP S.A., Dublin Branch
  • Regulated by ECB and ACPR

• Italy:

  • Distributed by BNPP Succursale Italia
  • Supervised by ECB, ACPR, and AMVF

• Netherlands:

  • Distributed by BNPP Fortis SA/NV, Netherlands Branch
  • Supervised by ECB, National Bank of Belgium, and AFM

• Portugal:

  • Distributed by BNPP - Sucursal em Portugal
  • Supervised by ECB, ACPR, and Banco de Portugal

• Spain:

  • Distributed by BNPP S.A., S.E.
  • Supervised by ECB, ACPR, and Bank of Spain

• Switzerland:

  • Document is available in Geneva

Important Notes

• The document may include back-tested performance data, which is for illustrative purposes only
• All estimates and opinions are as of the date of the document and may change without notice
• No guarantee is given regarding the accuracy or completeness of the information
• The information is confidential and may not be distributed without prior consent