Investment Research
20 May 2013
Fixed Income Market Watch Sweden The Riksbank and Money Market Forecast repo rates given Riba pricing, Riksbank and Danske Bank Markets
Repo Eff. Date 2013-07-10 2013-09-11 2013-10-30 2013-12-25 2014-02-19 2014-04-15 2014-07-02
Riba 0.86 0.82 0.80 0.80 0.81 0.82 0.86
Diff. (bp) -14 -4 -2 0 1 1 4
Riksbank 1.00 0.94 0.94 0.94 0.94 0.94 1.00
Danske Markets 1.00 1.00 1.00 1.00 1.00 1.00 1.00
FRA rates Now Last Month Last Year
2.40% 2.20% 2.00%
1.80% 1.60% 1.40% 1.20%
years
1.00% 0
0.5
1
1.5
2
Source: Danske Bank Markets
Source: Danske Bank Markets
Direction of past three data releases for a number of macro-economic series
Momentum monitor Retail sales, mom Consumer confidence Credit growth, households, yoy Industrial production Industrial orders Manufacturing PMI Manufacturing confidence Service production Service PMI Service producers' confidence Construction confidence Economic tendency barometer Trade balance, yoy Credit growth corporates Employment, s.a Unemployment, s.a Lay-offs, yoy
Jan ↑ ↑ ↑ ↓ ↓ ↑ ↓ ↑ ↑ ↑ ↓ ↑ ↓ ↓ ↓ → ↑
Feb ↑ ↑ ↑ ↑ ↑ ↑ ↑ ↑ ↑ ↑ → ↑ ↑ ↓ ↓ ↑ ↓
Source: Danske Bank Markets
Mar ↓ ↑ ↑ ↑ ↑ ↑ → ↓ ↓ ↑ ↓ ↑ ↑ ↑ ↑ ↑ ↑
apr Next release 27-maj ↑ 23-maj 29-maj 10-jun 10-jun ↓ 03-jun ↑ 23-maj 04-jun ↑ 05-jun ↓ 23-maj ↑ 23-maj ↓ 23-maj 28-maj 29-maj 21-maj 21-maj ↑ 14-jun
Riba prices and forecasts 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 0.90 0.80
Riba DM Forecast Riksbank Forecast
years 0
0.5
1
Source: Danske Bank Markets
Quant/Strategy Susanne Perneby +46-8-56880585
[email protected]
Important disclosures are contained from page 10. www.danskeresearch.com
1.5
Fixed Income Market Watch
Swap rates
TED-spread* and the spread between Riba and FRA contracts
3.50%
120 Actual
TED Spread
100
Market Implied
Now Last Month Last Year
3.00%
80
2.50%
60
2.00%
40
1.50%
20
1.00%
years 1
* Spread between 3M Stibor and a generic 3M point on the Riba-curve
2
3
4
5
6
7
8
9 10
Source: Danske Bank Markets
Source: Danske Bank Markets
Technical chart of the week The Swedish 10Y government bond (SGB 1057) is set in a small range between 1.815% to 1.72%. If this range is broken 1.675% to 1.64 % applies downwards and 1.87% to 2.02% upwards.
Source: Danske Bank Markets
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Fixed Income Market Watch
Nominal Bonds Swedish government bonds
Bond
Yield Week Mth YTD
Mrg Spread Rate vs DE ASW Carry
RD
SGB1041 0.78%
-2.5
-4.5
+4.0
0.78%
74
-37
0.2
SGB1049 0.79%
-2.5
-6.5
-5.0
0.80%
75
-44
-0.3
0.1
SGB1050 0.89%
-4.0
-5.5
-1.0
1.13%
81
-46
0.0
0.9
SGB1051 1.03%
-4.5
-1.5
+4.0
1.46%
82
-47
0.3
1.1
SGB1052 1.28%
-4.0 +4.5
+6.0
2.04%
75
-44
0.7
1.3
SGB1047 1.50%
-2.0 +11.5
+9.0
2.40%
65
-44
0.7
1.0
SGB1054 1.66%
-1.0 +15.0 +10.0
2.53%
47
-43
0.8
0.8
SGB1057 1.76%
-1.0 +15.5
+9.5
2.24%
30
-44
0.7
0.4
SGB1056 2.27%
+1.5 +18.5 +13.0
3.08%
7
-30
0.8
0.4
SGB1053 2.49%
+3.0 +20.5 +18.5
3.62%
23
-15
0.8
0.3
* Carry & Roll Down (RD) for 1M forward Source: Danske Bank Markets
German and Swedish government bonds swapped into a 3M stibor based cash-flow 60
ASW (bp)
40 20
0 Swedish Govies
-20
German Govies
-40
Years to Maturity 30 35
-60 0
5
10
15
20
25
Source: Danske Bank Markets
Marginal rates* 4.00% 3.50%
3.00%
SEGOVT SHYP1583
SEKSWAP
Stadshypotek
2.50% 2.00%
SHYP1580 SHYP1579
SHYP1578
SHYP1577 1.50% SHYP1574 SHYP1576 SGB1051 SGB1050 SHYP1575 1.00% SGB1049 SGB1041 0.50% 0 2 4
SGB1047
SHYP1586
SGB1054
SGB1052 SGB1057
Years to Maturity 6
8
10
12
*Computed from a zero-coupon curve Source: Danske Bank Markets
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Fixed Income Market Watch
Mortgage Bonds
Bond
Cpn
SHYP1574
6.00%
SHYP1575 SHYP1576
Mat.
Yield Wk Mth
YTD Mrg Rte
ASW Carry RD
s ep-13 1.06%
0.0
-1.0
-20.5
1.06%
-15.0
0.2
6.00%
jun-14 1.12%
-4.0
-9.0
-17.0
1.15%
-3.0
-0.7 0.9
6.00%
ma r-15 1.26%
-2.5 -10.5
-15.0
1.47%
6.9
0.4 1.6
SHYP1577
6.00%
dec-15 1.39%
-4.0 -12.5
-17.0
1.72%
11.2
0.8 1.4
SHYP1578
6.00%
s ep-16 1.54%
-5.0 -12.0
-15.5
2.11%
16.8
1.1 1.6
SHYP1579
6.00%
jun-17 1.72%
-4.0
-9.0
-11.0
2.58%
24.2
1.4 1.9
SHYP1580
3.00%
ma r-18 1.88%
-5.5
-6.5
-8.0
2.73%
29.6
1.4 1.6
SHYP1583
4.25%
jun-20 2.35%
-5.5
0.0
+6.0
3.55%
45.9
1.8 1.6
SHYP1586
4.50%
s ep-22 2.63%
-3.0 +3.0 +11.0
3.72%
51.2
1.7 0.9
SWH177
4.75%
jun-13 1.15%
-0.5
-0.5
-9.0
1.15%
-2.6
SWH166
6.75%
ma j-14 1.09%
-2.5
-7.5
-16.0
1.08%
-6.7
-0.2
SWH182
3.75%
ma r-15 1.25%
-2.5 -10.0
-16.5
1.42%
5.4
0.3 1.6
SWH183
3.75%
s ep-15 1.34%
-3.0 -10.5
-17.0
1.68%
9.1
0.6 1.5
SWH184
3.75%
jun-16 1.48%
-4.5 -12.0
-16.0
1.93%
13.8
0.9 1.6
SWH185
3.75%
ma r-17 1.65%
-4.0
-9.5
-13.5
2.39%
21.0
1.2 1.9
SWH186
3.75%
dec-17 1.84%
-4.0
-7.5
-10.5
2.90%
29.6
1.4 2.1
SWH187
3.75%
s ep-18 1.99%
-6.0
-7.5
2.97%
33.2
1.5 1.6
SWH180
5.70%
ma j-20 2.33%
-5.5
-1.5
+2.0
3.74%
45.6
1.8 1.8
NDH5525
4.25%
jun-13 1.15%
-0.5
-0.5
-9.0
1.15%
-2.6
NDH5526
4.00%
jun-14 1.12%
-4.0
-9.0
-17.0
1.12%
-3.0
-0.7 0.1
NDH5520
3.25%
jun-15 1.30%
-2.5 -11.0
-14.5
1.50%
8.3
0.5 1.5
NDH5527
4.50%
jun-16 1.49%
-4.5 -12.0
-14.5
1.90%
14.8
1.0 1.5
NDH5528
3.00%
jun-17 1.71%
-3.5
-9.0
-10.5
2.42%
23.7
1.3 1.8
NDH5529
2.00%
jun-18 1.93%
-5.0
-6.0
2.86%
31.4
1.4 1.7
NDH5521
3.25%
jun-20 2.35%
-5.5
0.0
+6.5
3.57%
45.9
1.7 1.7
SEB566
4.25%
jun-13 1.15%
-0.5
-0.5
-9.0
1.15%
-2.6
SEB567
4.50%
jun-14 1.12%
-4.0
-9.0
-16.0
1.12%
-3.0
-0.7 0.1
SEB568
4.00%
jun-15 1.30%
-2.5 -11.0
-15.0
1.50%
8.3
0.5 1.5
SEB569
4.25%
jun-16 1.49%
-4.5 -12.5
-15.0
1.90%
14.8
1.0 1.5
SEB570
3.00%
jun-17 1.72%
-4.0
-9.0
-13.0
2.44%
24.2
1.3 1.8
SEB571
3.00%
jun-18 1.93%
-5.5
-6.5
-10.0
2.88%
31.4
1.5 1.7
LFH505
4.50%
s ep-13 1.06%
0.0
-1.0
-20.5
1.06%
-15.0
0.2
LFH506
4.50%
ma j-14 1.09%
-2.5
-7.5
-16.5
1.10%
-6.7
0.7
LFH510
2.25%
jun-15 1.30%
-2.5 -11.0
-17.5
1.49%
8.3
0.5 1.6
LFH508
4.00%
ma r-16 1.44%
-4.0 -12.5
-18.5
1.84%
13.2
0.9 1.5
LFH507
4.50%
jun-17 1.76%
-4.0
-9.5
-16.5
2.55%
28.7
1.4 2.1
LFH511
2.50%
jun-18 1.98%
-5.5
-6.0
-14.0
2.87%
35.9
1.5 1.6
SCBC126
4.00%
a pr-14 1.08%
-2.0
-8.0
-18.0
1.08%
-7.6
0.2
SCBC127
4.00%
a pr-15 1.26%
-2.5 -11.5
-16.5
1.43%
6.0
0.4 1.6
SCBC131
4.00%
nov-15 1.38%
-3.0 -12.5
-16.0
1.76%
10.9
0.7 1.6
SCBC132
4.00%
s ep-16 1.53%
-5.0 -12.5
-16.0
2.02%
15.8
1.0 1.5
SCBC133
4.00%
jun-17 1.70%
-4.0
-9.5
-12.0
2.52%
22.7
1.3 1.9
SCBC134
4.00%
ma r-18 1.86%
-5.5
-6.5
2.82%
28.1
1.4 1.8
* Carry & Roll Down (RD) for 1M forward Source: Danske Bank Markets
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Fixed Income Market Watch
Top 5 Monthly Winners
Bond
Top 5 Monthly Losers
bp
Bond
bp
SHYP1577 dec-15 6.00%
-12.5
SGB1053
mar-39 3.50%
20.5
SEB569
jun-16 4.25%
-12.5
SGB1056
jun-32 2.25%
18.5
LFH508
mar-16 4.00%
-12.5
SGB1057
nov-23 1.50%
15.5
SCBC131
nov-15 4.00%
-12.5
SGB1054
jun-22 3.50%
15.0
SCBC132
sep-16 4.00%
-12.5
SGB1047
dec-20 5.00%
11.5
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 Largest Z-Score*
Top 5 Yield Volatility
Z-Score
Bond
bp/day
Bond
SHYP1575
jun-14 6.00%
-1.58
SGB1047
dec-20 5.00%
3.0
NDH5526
jun-14 4.00%
-1.58
SGB1056
jun-32 2.25%
3.0
SEB567
jun-14 4.50%
-1.58
SGB1054
jun-22 3.50%
3.0
SCBC126
apr-14 4.00%
-1.53
SGB1053 mar-39 3.50%
3.0
SWH166
maj-14 6.75%
-1.50
SGB1052 mar-19 4.25%
2.9
*Std from 3M mean
Period: past month
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 ASW
Top 5 ASW Gainers
bp
Bond
bp
Bond
SHYP1586
sep-22 4.50%
56.9
SGB1054
jun-22 3.50%
14.8
SWH180
maj-20 5.70%
53.3
SGB1053 mar-39 3.50%
14.7
SHYP1583
jun-20 4.25%
49.9
SGB1047
dec-20 5.00%
14.2
NDH5521
jun-20 3.25%
47.3
SGB1057 nov-23 1.50%
12.1
LFH511
jun-18 2.50%
36.0
SGB1056
10.7
Source: Danske Bank Markets
jun-32 2.25%
Change during past month Source: Danske Bank Markets
Top 5 Winners Total Return
Bond
Top 5 Losers Total Return
YTD
Bond
YTD
LFH511
jun-18 2.50%
1.50%
SGB1053 mar-39 3.50%
-2.33%
LFH507
jun-17 4.50%
1.38%
SGB1056
jun-32 2.25%
-1.15%
SEB571
jun-18 3.00%
1.27%
SGB1057 nov-23 1.50%
-0.27%
SEB570
jun-17 3.00%
1.23%
SGB1054
jun-22 3.50%
-0.16%
SWH186
dec-17 3.75%
1.22%
SGB1047
dec-20 5.00%
-0.03%
Period: YTD
Period: YTD
Source: Danske Bank Markets
Source: Danske Bank Markets
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Fixed Income Market Watch
Top 5 Carry & Roll Down, Maturity<3Y
Top 5 Carry & Roll Down, Maturity>3Y
Carry RD Repo
Bond LFH508
mar-16 4.00% 0.9
Carry RD Repo
Bond
1.5 1.15%
SWH180 maj-20 5.70% 1.8
1.8 1.15%
SCBC131 nov-15 4.00%
0.7
1.6 1.15%
LFH507
jun-17 4.50%
1.4
2.1 1.15%
SHYP1577 dec-15 6.00%
0.8
1.4 1.15%
SWH186 dec-17 3.75%
1.4
2.1 1.15%
SWH183 sep-15 3.75%
0.6
1.5 1.15%
SHYP1583 jun-20 4.25%
1.8
1.6 1.15%
LFH510
0.5
1.6 1.15%
NDH5521 jun-20 3.25%
1.7
1.7 1.15%
jun-15 2.25%
Period: 1M forward
Period: 1M forward
Source: Danske Bank Markets
Source: Danske Bank Markets
2Y spread vs SGB1049
Bond SHYP1576 SWH183 NDH5520 SEB568 LFH510 SCBC127
5Y spread vs SGB1052
bp Week Month YTD mar-15 6.00% 47 0.0 -4.0 -10.0 sep-15 3.75% 55 -0.5 -4.0 -12.0 jun-15 3.25% 51 0.0 -4.5 -9.5 jun-15 4.00% 51 0.0 -4.5 -10.0 jun-15 2.25% 51 0.0 -4.5 -12.5 apr-15 4.00% 47 0.0 -5.0 -11.5
Source: Danske Bank Markets
Bond SHYP1580 SWH187 NDH5529 SEB571 LFH511 SCBC134
bp Week Month YTD mar-18 3.00% 60 -1.5 -11.0 -14.0 sep-18 3.75% 71 -2.0 -12.0 jun-18 2.00% 66 -1.0 -10.5 jun-18 3.00% 66 -1.5 -11.0 -16.0 jun-18 2.50% 70 -1.5 -10.5 -20.0 mar-18 4.00% 59 -1.5 -11.0
Source: Danske Bank Markets
Swedish mortgage vs government bonds 100
Spread vs Govies (bp)
80
60
40
20
Stadshypotek
Swedbank Hypotek
Nordea Hypotek
SCBC
LF Hypotekx509
SEB Years to Maturity
0 0
1
2
3
4
5
6
7
*Computed spread is based on a zero-coupon based government curve Source: Danske Bank Markets
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Fixed Income Market Watch
Historical slope and curvature of swap term structure 240
10-2y
5-2y
5-2-10Y
190
BP
140
90 40 -10 -60
Source: Danske Bank Markets
Swap spreads vs government bonds
Bond SGB1049 SGB1052 SGB1057
Swap spreads vs EUR swaps
bp Week Month YTD aug-15 4.50% -43 +0.9 +1.2 -4.0 mar-19 4.25% -35 0.0 +7.3 -1.5 nov-23 1.50% -43 +0.0 +9.8 -2.3
Source: Danske Bank Markets
Bond bp Week Month YTD SWAP2Y maj-15 1.22% 87 +0.7 -1.6 +3.0 SWAP5Y maj-18 1.62% 84 +0.2 -1.4 +7.9 SWAP10Y maj-23 2.19% 58 +0.5 +0.7 +9.4 Source: Danske Bank Markets
Forward swap rates 6.00
Swap 1Y1Y
Swap 2Y2Y
Swap 5Y5Y
5.00
Rate
4.00 3.00
2.00 1.00 0.00
Source: Danske Bank Markets
Forward swap spread vs euro 150 100
SW vs EU Swap 1Y1Y SW vs EU Swap 5Y5Y
SW vs EU Swap 2Y2Y
Spread (bp)
50 0 -50
-100
Source: Danske Bank Markets
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20 May 2013
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Fixed Income Market Watch
Inflation Linked Bonds Swedish inflation linked bonds Cpn
Mat.
Yield Week
Mth
SGB3105
3.50%
dec-15
-0.15% +12.5
+37.5
0.0
0.97%
4.11 -0.15%
SGB1049
0.94%
66.2
SGB3107
0.50%
jun-17
-0.06% +10.0
+33.0
+8.5
1.06%
2.51
0.11%
SGB1051
1.08%
74.3
SGB3102
4.00%
dec-20
0.15%
+6.5
+29.0
+13.5
1.38%
1.50
0.43%
SGB1047
1.34%
73.2
SGB3108
0.25%
jun-22
0.21%
+6.0
+26.0
+17.0
1.51%
1.12
0.39%
SGB1054
1.45%
58.7
SGB3104
3.50%
dec-28
0.42%
+4.0
+23.0
+21.5
1.63%
0.79
0.81%
SGB1057
1.34%
73.5
Bond
YTD
Z-Cpn BEI CPI Delta Mrg Rte Nom. Bond
BEI vs Nom Sprd vs DE
Source: Danske Bank Markets
Swedish CPI and forecast 0.05
CPI YoY
BEI Spreads in Sweden and Germany DM CPI Forecast YoY
0.04
2.00% Sweden
1.80%
0.03
Germany
1.60%
0.02
1.40%
0.01
1.20%
0.00
1.00%
-0.01
0.80%
-0.02
Years to Maturity
0.60% 0 * Zero-coupon based generic BEIs
5
10
15
Source: Danske Bank Markets
Source: Danske Bank Markets
Carry @ 1% Repo
Bond SGB3105 SGB3107 SGB3102 SGB3108 SGB3104
Forward BEI @ 1% Repo
1M -7.1 -4.0 -2.1 -1.5 -0.9
3M -11.7 -6.2 -2.8 -1.9 -0.9
6M -17.7 -8.3 -3.1 -1.9 -0.5
Bond SGB3105 SGB3107 SGB3102 SGB3108 SGB3104
1M 1.00% 1.12% 1.37% 1.48% 1.36%
* Based on DM CPI forecast
* Based on DM CPI forecast
Source: Danske Bank Markets
Source: Danske Bank Markets
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20 May 2013
3M 1.03% 1.14% 1.39% 1.49% 1.37%
6M 1.04% 1.16% 1.42% 1.52% 1.39%
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Fixed Income Market Watch
Asset and Position Correlations Top 10 Correlations vs 10Y yld
Asset 5Y SEGOVT DE 10Y US 10Y Slope UK 10Y 2Y SEGOVT S&P 500 Norway 10Y MSCI World OMX30
Top 10 Negative Corr. vs 10Y yld
Correlation 0.97 0.82 0.81 0.80 0.79 0.73 0.65 0.63 0.63 0.61
Asset VIX ITRX X-over ITRX Main GBPSEK ITRX Sr Fin USDSEK STIB3M Index NOKSEK EURSEK Baltic Dry
Correlation -0.63 -0.53 -0.47 -0.43 -0.42 -0.41 -0.33 -0.33 -0.28 -0.27
*Weekly data, 24 weeks window
*Weekly data, 24 weeks window
Source: Danske Bank Markets
Source: Danske Bank Markets
Correlation
Correlations between the yield of a 10Y generic Swedish government bond and other assets and indices 1.00 0.90 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00 -0.10 -0.20 -0.30 -0.40 -0.50 -0.60 -0.70 -0.80 -0.90 -1.00 -1.10
Slope
Curvature
DE 10Y
US 10Y
ITRX Main
WTI Oil
OMX30
Gold
(Correlations are computed from weekly data and a 24-week rolling window of log-returns) Source: Danske Bank Markets/Bloomberg
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Fixed Income Market Watch
Disclosures This research report has been prepared by Danske Bank Markets, a division of Danske Bank A/S (‘Danske Bank’). The author of this research report is Marcus Söderberg, Quant/Strategy analyst. Analyst certification Each research analyst responsible for the content of this research report certifies that the views expressed in the research report accurately reflect the research analyst’s personal view about the financial instruments and issuers covered by the research report. Each responsible research analyst further certifies that no part of the compensation of the research analyst was, is or will be, directly or indirectly, related to the specific recommendations expressed in the research report. Regulation Danske Bank is authorised and subject to regulation by the Danish Financial Supervisory Authority and is subject to the rules and regulation of the relevant regulators in all other jurisdictions where it conducts business. Danske Bank is subject to limited regulation by the Financial Services Authority (UK). Details on the extent of the regulation by the Financial Services Authority are available from Danske Bank upon request. The research reports of Danske Bank are prepared in accordance with the Danish Society of Financial Analysts’ rules of ethics and the recommendations of the Danish Securities Dealers Association. Conflicts of interest Danske Bank has established procedures to prevent conflicts of interest and to ensure the provision of highquality research based on research objectivity and independence. These procedures are documented in Danske Bank’s research policies. Employees within Danske Bank’s Research Departments have been instructed that any request that might impair the objectivity and independence of research shall be referred to Research Management and the Compliance Department. Danske Bank’s Research Departments are organised independently from and do not report to other business areas within Danske Bank. Research analysts are remunerated in part based on the overall profitability of Danske Bank, which includes investment banking revenues, but do not receive bonuses or other remuneration linked to specific corporate finance or debt capital transactions. Financial models and/or methodology used in this research report Calculations and presentations in this research report are based on standard econometric tools and methodology as well as publicly available statistics for each individual security, issuer and/or country. Documentation can be obtained from the authors upon request. Risk warning Major risks connected with recommendations or opinions in this research report, including as sensitivity analysis of relevant assumptions, are stated throughout the text. Date of first publication See the front page of this research report for the date of first publication.
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Fixed Income Market Watch
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