Investment Research
27 January 2015
Fixed Income Market Watch Sweden The Riksbank and money market Forecast repo rates given Riba pricing, Riksbank and Danske Bank Markets
Repo Eff. Date 2015-02-18 2015-05-06 2015-07-08 2015-09-09 2015-11-04 2015-12-16 2016-02-17
Riba 0.0 -0.1 -0.1 -0.1 -0.1 -0.09 -0.07
Diff. (bp) -3 -4 -2 -1 0 1 2
Danske Riksbank Markets 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
FRA rates 2.00%
Last Year Last Month Now
1.50% 1.00% 0.50%
years
0.00% 0
0.5
1
1.5
2
Source: Danske Bank Markets
Source: Danske Bank Markets, Sveriges Riksbank
Surprise index
Riba prices and forecasts 0.2 %
Riksbank Forecast DM Forecast Riba
0.15 0.1 0.05 0 -0.05 -0.1 -0.15
years
-0.2 0 Source: Macrobond Financial, Danske Bank Markets
0.5
1
Source: Danske Bank Markets, Sveriges Riksbank
10-year yield Momentum vs. surprise index
Source: Macrobond Financial, Danske Bank Markets
Quant/Strategy Susanne Perneby +46-8-568 805 85
[email protected]
Important disclosures and certifications are contained from page 10 this report.
1.5
www.danskeresearch.com
Fixed Income Market Watch
TED-spread* and the spread between Riba and FRA contracts
Swap rates 3.00%
TED Spread
110 90
Actual Market Implied
2.50%
Last Year Last Month Now
2.00%
70
1.50%
50
1.00%
30
0.50%
10
0.00%
years 1 2 3 4 5 6 7 8 9 10
Source: Danske Bank Markets * Spread between 3M Stibor and a generic 3M point on the Riba-curve Source: Danske Bank Markets
Technical chart of the week OMX30 is trading very close to highs from 2000. After performing well in conjunction with the announcement of ECB QE, we could see a short term setback.
Source: Danske Bank Markets
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Fixed Income Market Watch
Nominal bonds Swedish government bonds Spread Bond
Yield 1 Wk 1 Mth YTD Mrg Rte
vs DE
ASW Carry RD
SGB1049 0.04%
-3.0
-6.0
-6.0
0.04%
19.3
-6.9
0.0
SGB1050 -0.01%
0.0
-2.5
-2.5
-0.03%
14.9
-10.9
1.0 -0.4
SGB1051 -0.06% +3.0
-5.5
-5.5
-0.12%
7.9
-23.8
0.3 -0.4
SGB1052 0.06%
+3.5
-6.5
-6.0
0.26%
13.7
-30.9
0.3
0.6
SGB1047 0.29%
+3.0
-12.0
-11.5
0.92%
25.0
-31.2
0.6
1.1
SGB1054 0.46%
+1.0
-15.5
-14.5
1.18%
32.1
-31.8
0.7
0.9
SGB1057 0.62%
-1.0
-19.5
-18.5
1.36%
34.3
-30.6
0.7
0.7
SGB1058 0.73%
-1.5
-21.5
-20.5
1.53%
34.3
-31.9
0.8
0.6
SGB1056 1.12%
-4.5
-31.5
-30.5
1.82%
33.0
-30.6
0.8
0.4
SGB1053 1.31%
-3.0
-30.5
-29.5
2.08%
33.4
-27.2
0.7
0.2
* Carry & Roll Down (RD) for 1M forward Source: Danske Bank Markets
German and Swedish government bonds swapped into 3M Stibor-based cashflow 30
Swedish Govies German Govies
20
ASW (bp)
10 0 -10
-20 -30 Years to Maturity
-40
0
5
10
15
20
25
30
35
Source: Danske Bank Markets
Marginal rates* 3.00%
SEGOVT SEKSWAP
2.00%
SHYP1586 SHYP1583
Stadshypotek
SHYP1582 SHYP1581 SHYP1580 SHYP1579 SHYP1578 SHYP1577 SHYP1576 0.00% SGB1052 SGB1049 SGB1050 SGB1051 1.00%
SGB1047
SGB1054
SGB1057
SGB1058
Years to Maturity
-1.00% 0
2
4
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
Mat.
Yield 1 Wk 1 Mth
YTD Mrg Rte ASW Carry RD
SHYP1576 6.00% ma r-15 0.16%
-1.5
-8.0
-8.0
0.16%
8.2
-0.3
SHYP1577 6.00% dec-15 0.12%
-4.0
-10.5
-10.5
0.11%
2.5
SHYP1578 6.00% s ep-16 0.14%
-3.0
-14.0
-14.0
0.16%
2.8
0.1
0.2
SHYP1579 6.00% jun-17 0.20%
-1.5
-15.0
-15.0
0.34%
3.2
0.4
0.6
SHYP1580 3.00% ma r-18 0.29%
-1.5
-17.5
-18.0
0.59%
4.3
0.7
0.9
SHYP1581 3.00% dec-18 0.42%
-1.0
-20.0
-19.5
1.00%
8.0
0.9
1.4
SHYP1582 2.50% s ep-19 0.54%
-1.5
-24.0
-24.0
1.20%
10.0
1.0
1.2
SHYP1583 4.25% jun-20 0.70%
-0.5
-24.0
-24.0
1.82%
15.4
1.2
1.7
SHYP1586 4.50% s ep-22 1.11%
-1.5
-26.5
-26.5
2.28%
29.9
1.5
1.4
SWH182
3.75% ma r-15 0.16%
-1.5
-7.5
-7.5
0.16%
8.2
-0.3
SWH183
3.75% s ep-15 0.12%
-4.0
-10.5
-10.5
0.11%
1.9
-0.7
SWH184
3.75% jun-16 0.13%
-4.0
-13.0
-13.0
0.13%
2.4
0.1
0.0
SWH185
3.75% ma r-17 0.17%
-2.0
-14.5
-14.5
0.25%
2.6
0.3
0.5
SWH186
3.75% dec-17 0.25%
-1.0
-17.0
-17.5
0.46%
2.5
0.4
0.8
SWH187
3.75% s ep-18 0.38%
-0.5
-18.0
-17.5
0.91%
6.7
0.8
1.4
SWH188
3.75% jun-19 0.49%
-1.5
-23.0
-23.0
1.06%
7.9
1.0
1.2
SWH180
5.70% ma j-20 0.65%
-1.5
-25.0
-25.0
1.58%
11.7
1.2
1.4
NDH5520 3.25% jun-15 0.16%
-1.5
-7.5
-7.5
0.16%
4.9
-0.2
NDH5527 4.50% jun-16 0.13%
-4.0
-13.0
-13.0
0.11%
2.4
0.1 -0.3
NDH5528 3.00% jun-17 0.20%
-1.5
-15.0
-15.0
0.31%
3.2
0.4
0.6
NDH5529 2.00% jun-18 0.35%
-0.5
-17.5
-17.0
0.72%
7.3
0.8
1.2
NDH5530 2.25% jun-19 0.50%
-1.5
-23.0
-23.0
1.02%
8.9
1.0
1.1
NDH5521 3.25% jun-20 0.70%
-0.5
-24.0
-24.0
1.68%
15.4
1.2
1.6
SEB568
4.00% jun-15 0.16%
-1.5
-7.5
-7.5
0.16%
4.9
-0.2
SEB569
4.25% jun-16 0.13%
-4.0
-13.0
-13.0
0.11%
2.4
0.1 -0.3
SEB570
3.00% jun-17 0.20%
-1.5
-15.0
-15.0
0.31%
3.2
0.4
0.6
SEB571
3.00% jun-18 0.35%
-0.5
-17.5
-17.0
0.73%
7.3
0.8
1.2
SEB572
3.00% jun-19 0.50%
-1.5
-23.0
-23.0
1.02%
8.9
1.0
LFH510
2.25% jun-15 0.16%
-1.5
-7.5
-7.5
0.16%
4.9
-0.2
LFH508
4.00% ma r-16 0.12%
-4.5
-11.5
-11.5
0.10%
2.4
0.0 -0.4
LFH507
4.50% jun-17 0.21%
-1.5
-15.0
-15.0
0.29%
4.2
0.4
0.5
LFH511
2.50% jun-18 0.36%
-1.0
-18.0
-17.5
0.72%
7.8
0.8
1.1
LFH512
2.50% jun-19 0.51%
-1.5
-23.5
-23.5
1.05%
9.9
1.0
1.2
LFH513
3.25% s ep-20 0.76%
-0.5
-24.0
-24.0
1.73%
18.0
1.3
1.6
LFH514
1.75% s ep-21 0.96%
-1.0
2.09%
25.6
1.3
1.5
SCBC127
4.00% a pr-15 0.16%
-1.5
-8.0
-8.0
0.16%
5.8
-0.4
SCBC131
4.00% nov-15 0.12%
-4.0
-10.5
-10.5
0.11%
2.0
-0.6
SCBC132
4.00% s ep-16 0.14%
-3.0
-13.5
-13.5
0.16%
2.8
0.2
0.2
SCBC133
4.00% jun-17 0.20%
-1.5
-15.0
-15.0
0.32%
2.7
0.3
0.6
SCBC134
4.00% ma r-18 0.29%
-1.5
-17.5
-18.0
0.59%
3.8
0.7
1.0
SCBC139
4.00% dec-18 0.42%
-1.0
-20.0
-19.5
1.01%
7.5
0.9
1.4
SCBC140
4.00% s ep-19 0.54%
-1.5
-24.0
-24.0
1.22%
9.5
1.0
1.3
-0.5
1.1
* Carry & Roll Down (RD) for 1M forward Source: Danske Bank Markets
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Fixed Income Market Watch
Top 5 monthly winners Bond SGB1056
Top 5 monthly losers bp
Bond
bp
jun-32 2.25%
-31.5
SGB1050
jul -16 3.00%
-2.5
SGB1053 ma r-39 3.50%
-30.5
SGB1051
a ug-17 3.75%
-5.5
SHYP1586 s ep-22 4.50%
-26.5
SGB1049
a ug-15 4.50%
-6.0
SWH180
ma j-20 5.70%
-25.0
SGB1052 ma r-19 4.25%
-6.5
SCBC141
jun-20 2.00%
-24.5
SWH182
-7.5
ma r-15 3.75%
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 largest Z-score*
Top 5 yield volatility
Bond
Z-Score
Bond
bp/day
NDH5527
jun-16 4.50%
-2.5
LFH514
s ep-21 1.75%
3.6
SEB569
jun-16 4.25%
-2.5
SGB1053 ma r-39 3.50%
3.3
SHYP1578 s ep-16 6.00%
-2.5
SGB1056
jun-32 2.25%
3.1
SWH184
jun-16 3.75%
-2.4
SHYP1583 jun-20 4.25%
2.8
SCBC132
s ep-16 4.00%
-2.4
NDH5521
2.8
jun-20 3.25%
* Std from 3M mean
Period: past month
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 ASW
Top 5 ASW losers
Bond
bp
Bond
bp
SHYP1586 s ep-22 4.50%
37.3
SGB1050
jul -16 3.00%
10.3
LFH514
s ep-21 1.75%
26.7
SGB1052 ma r-19 4.25%
9.6
LFH513
s ep-20 3.25%
21.0
SHYP1576 ma r-15 6.00%
9.3
SHYP1583 jun-20 4.25%
19.1
SWH182
ma r-15 3.75%
8.9
NDH5521
18.0
SGB1051
a ug-17 3.75%
7.7
jun-20 3.25%
* Change during past month
* Change during past month
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 winners total return
Top 5 losers total return
Bond
YTD
Bond
YTD
SGB1053 ma r-39 3.50%
6.07%
SWH182
ma r-15 3.75%
0.03%
SGB1056
jun-32 2.25%
5.18%
SHYP1576 ma r-15 6.00%
0.03%
SGB1058
ma j-25 2.50%
2.19%
SCBC127
a pr-15 4.00%
0.04%
SHYP1586 s ep-22 4.50%
2.09%
SGB1050
jul -16 3.00%
0.04%
SGB1057
1.79%
SGB1049
a ug-15 4.50%
0.04%
nov-23 1.50%
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 Bond
Top 5 carry & roll down, maturity>3Y
Carry RD Repo
Bond
Carry RD Repo
SWH186 dec-17 3.75% 0.4 0.8 0.12%
SHYP1583 jun-20 4.25% 1.2 1.7 0.08%
SHYP1579 jun-17 6.00% 0.4 0.6 0.12%
SHYP1586 s ep-22 4.50% 1.5 1.4 0.08%
LFH507
LFH513
jun-17 4.50% 0.4 0.5 0.12%
NDH5528 jun-17 3.00% 0.4 0.6 0.12% SEB570
s ep-20 3.25% 1.3 1.6 0.08%
SCBC141 jun-20 2.00% 1.2 1.6 0.08%
jun-17 3.00% 0.4 0.6 0.12%
LFH514
s ep-21 1.75% 1.3 1.5 0.08%
Period: 1M forward
Period 1M forward
Source: Danske Bank Markets
Source: Danske Bank Markets
2Y spread vs. SGB1051
Bond
5Y spread vs. SGB1047
bp 1 Week 1 Month YTD
Bond
bp 1 Week 1 Month YTD
SHYP1579
jun-17 6.00% 26
-4.50
-9.5
-9.5
SHYP1583
jun-20 4.25% 41
-3.5
-12.0
-12.5
SWH185
ma r-17 3.75% 23
-5.00
-9.0
-9.0
SWH188
jun-19 3.75% 20
-4.5
-11.0
-11.5
NDH5528
jun-17 3.00% 26
-4.50
-9.5
-9.5
NDH5530
jun-19 2.25% 21
-4.5
-11.0
-11.5
SEB570
jun-17 3.00% 26
-4.50
-9.5
-9.5
SEB572
jun-19 3.00% 21
-4.5
-11.0
-11.5
LFH507
jun-17 4.50% 27
-4.50
-9.5
-9.5
LFH512
jun-19 2.50% 22
-4.5
-11.5
-12.0
SCBC133
jun-17 4.00% 25
-4.50
-9.5
-9.5
SCBC140
s ep-19 4.00% 25
-4.5
-12.0
-12.5
Source: Danske Bank Markets
Source: Danske Bank Markets
Swedish mortgage vs. government bonds 65
Spread vs Govies (bp)
55 45 35 25 15
Stadshypotek
Swedbank Hypotek
Nordea Hypotek
SEB
LF Hypotek
SCBC
5 0
1
2
3
4
5
6
7 Years to Maturity
* Computed spread is based on a zero-coupon based government curve Source: Danske Bank Markets
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Fixed Income Market Watch
Historic slope and curvature of swap term-structure 235
10-2y
5-2y
5 - 2/10y
bp
185 135 85 35 -15 -65
Source: Danske Bank Markets
Swap spread vs. government bonds Bond
Swap spread vs. EUR swaps
bp 1 Week 1 Month YTD
Bond
bp 1 Week 1 Month YTD
SGB1051
a ug-17 3.75% -24
+2.3
+8.7
+8.6
SWAP2Y
ja n-17 0.14%
1
-1.9
-8.0
-8.4
SGB1047
dec-20 5.00% -31
+0.8
+7.2
+6.3
SWAP5Y
ja n-20 0.49% 17
+0.5
-11.1
-11.0
SGB1058
ma j-25 2.50% -32
-1.4
+5.2
+4.1
SWAP10Y
ja n-25 1.02% 29
-2.0
-15.3
-15.0
Source: Danske Bank Markets
Source: Danske Bank Markets
Forward swap rates 6.00
Swap 1Y1Y
5.00
Swap 2Y2Y
Swap 5Y5Y
4.00 Rate
3.00 2.00 1.00 0.00
Source: Bloomberg, Danske Bank Markets
Forward swap spread vs. euro 150
SW vs EU Swap 1Y1Y
SW vs EU Swap 2Y2Y
SW vs EU Swap 5Y5Y
Spread (bp)
100
50 0 -50 -100
Source: Bloomberg, Danske Bank Markets
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27 January 2015
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Fixed Income Market Watch
Inflation-linked bonds Swedish inflation-linked bonds
Bond
Cpn
Mat.
Yield 1 Week 1 Mth YTD Z-Cpn BEI CPI Delta Mrg Rte Nom. Bond BEI vs Nom Sprd vs DE
SGB3105 3.50% dec-15 -0.23%
-7.5
-20.0
-22.0
0.26%
11.90
-0.22%
SGB1050
0.22%
-118.8
SGB3107 0.50% jun-17 -0.58%
-12.0
-27.0
-29.5
0.52%
4.28
-0.58%
SGB1051
0.52%
-87.5
SGB3102 4.00% dec-20 -0.49%
-11.5
-22.0
-24.0
0.80%
1.86
-0.48%
SGB1047
0.78%
4.9
SGB3108 0.25% jun-22 -0.50%
-11.0
-24.0
-25.5
1.00%
1.37
-0.50%
SGB1054
0.96%
10.6
SGB3109 1.00% jun-25 -0.45%
-13.5
-29.0
-29.5
1.22%
1.01
-0.45%
SGB1058
1.18%
16.6
SGB3104 3.50% dec-28 -0.38%
-12.5
-28.5
-28.0
1.37%
0.85
-0.36%
SGB1057
0.99%
20.0
Source: Danske Bank Markets
Swedish CPI and forecast
BEI* Spreads in Sweden and Germany
CPI YoY Danske Bank Markets CPI Forecast YoY
5.0% 4.0% 3.0% 2.0%
1.0% 0.0% -1.0% -2.0%
1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00% -0.25% -0.50% -0.75% -1.00% -1.25%
Sweden Germany
Years to Maturity 0
5
10
15
* Zero-coupon based generic BEIs
Source: Danske Bank Markets
Source: Danske Bank Markets
Carry @ 0.0% Repo
Bond SGB3105 SGB3107 SGB3102 SGB3108 SGB3109 SGB3104
Forward BEI @ 0.0% Repo
1M 7.5 1.0 0.6 0.4 0.4 0.4
3M -110.9 -35.6 -14.0 -10.3 -7.4 -6.0
6M -58.2 -20.3 -6.7 -4.9 -3.3 -2.4
Bond SGB3105 SGB3107 SGB3102 SGB3108 SGB3109 SGB3104
1M 0.14% 0.51% 0.77% 0.96% 1.18% 0.99%
* Based on Danske Bank Markets CPI forecast
* Based on Danske Bank Markets CPI forecast
Source: Danske Bank Markets
Source: Danske Bank Markets
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27 January 2015
3M 1.33% 0.87% 0.93% 1.08% 1.27% 1.07%
6M 0.80% 0.71% 0.87% 1.05% 1.25% 1.05%
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Fixed Income Market Watch
Asset and position correlations Top 10 correlations vs. 10Y yld
Top 10 negative corr. vs. 10Y yld
Asset Correlation 5Y SEGOVT 0.92 Slope 0.86 DE 10Y 0.79 Norway 10Y 0.71 US 10Y 0.67 UK 10Y 0.56 USDJPY 0.49 LIBOR3M 0.42 ICE Libor USD 3M 0.39 Italy 10Y 0.20
Asset AUDSEK Euribor 3M Curvature Copper VIX Gold EURSEK Nibor 3M GBPSEK NOKSEK
Correlation -0.37 -0.31 -0.27 -0.21 -0.20 -0.17 -0.12 -0.09 -0.04 -0.01
* Weekly data, 24 weeks window
* Weekly data, 24 weeks window
Source: Bloomberg, Danske Bank Markets
Source: Bloomberg, Danske Bank Markets
Correlations between the yield of 10Y generic Swedish government bond and other assets and indices Slope
Curvature
DE 10Y
US 10Y
WTI Oil
OMX30
Gold
1.00 0.90 0.80 0.70 0.60 0.50 0.40
Correlation
0.30 0.20 0.10 0.00 -0.10 -0.20 -0.30 -0.40 -0.50 -0.60 -0.70 -0.80
* Correlations are computed from weekly data and a 24-week rolling window of log-returns Source: Bloomberg, Danske Bank Markets
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Fixed Income Market Watch
Disclosure 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 Susanne Perneby, Quant/Strategy Analyst. Analyst certification Each research analyst responsible for the content of this research report certifies that the views expressed in this 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 Conduct Authority and the Prudential Regulation Authority (UK). Details on the extent of the regulation by the Financial Conduct Authority and the Prudential Regulation Authority are available from Danske Bank on 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 on request. Risk warning Major risks connected with recommendations or opinions in this research report, including a 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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