Investment Research
14 January 2013
Fixed Income Market Watch Sweden Riksbank and Money Market Forecasted repo rates given Riba-pricing, Riksbank and Danske Markets
Repo Eff. Date 2013-02-20 2013-04-17 2013-07-10 2013-09-11 2013-10-30 2013-12-25 2014-02-19
Riba 0.88 0.78 0.82 0.82 0.81 0.83 0.83
Diff. (bp) -12 -10 3 0 -1 2 0
Riksbank 0.98 0.96 0.98 1.00 1.00 1.20 1.25
Danske Markets 1.00 0.75 0.75 0.75 0.75 0.75 0.75
Source: Danske Bank Markets
Source: Danske Bank Markets
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
Direction of the three latest data releases for a number of macro economic series
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 Number Number Number % % %
FRA rates
Sep ↑ ↓ ↓ ↓ ↑ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↓ ↑ → ↑ 3 13 1 17.6 76.5 5.9
Oct Nov Dec Next release 28-jan ↓ ↑ 30-jan ↓ ↓ ↓ 28-jan ↓ ↑ 08-feb ↑ ↓ 08-feb ↑ ↓ 01-feb ↓ ↑ ↑ 30-jan ↓ ↓ ↑ 05-feb ↓ ↑ 05-feb ↑ ↓ ↑ 30-jan ↓ ↓ ↑ 30-jan ↓ ↓ ↓ 30-jan ↓ ↓ ↑ 28-jan ↑ ↓ 28-jan ↑ ↓ 24-jan → ↓ 24-jan ↓ ↑ 08-feb ↑ ↑ ↑ 6 4 5 10 13 3 1 0 0 35.3 23.5 62.5 58.8 76.5 37.5 5.9 0.0 0.0
Riba prices and forecasts 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 0.90 0.80 0.70
Riba DM Forecast Riksbank Forecast
years 0
0.5
Source: Danske Bank Markets
Quant/Strategy Carl Milton +46-8-56880598
[email protected]
www.danskeresearch.com
1
1.5
Fixed Income Market Watch
Swap rates
TED-spread* and the spread between Riba and FRA contracts 120 TED Spread
100
3.50%
Now Last Month Last Year
Actual Market Implied
3.00%
80
2.50%
60
2.00%
40
1.50%
20
1.00%
years 1 2 3 4 5 6 7 8 9 10
Source: Danske Bank Markets * Spread between 3M Stibor and a generic 3 mths point on the Riba-curve
Source: Danske Bank Markets
Technical chart of the week Bobls are trading close to important support levels and appear oversold in a short-term perspective. A short term reversal thus appears likely and it might make sense to await better conditions before establishing short positions in rates again.
Source: Danske Bank
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14 January 2013
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Fixed Income Market Watch
Nominal Bonds Swedish government bonds
Mrg Spread Rate vs DE ASW Carry
Yield Week Mth YTD
Bond
RD
SGB1041 0.76%
-2.5 +6.5
+2.0
0.76%
55
-40
-3.6
0.1
SGB1049 0.92%
-1.5 +16.5
+8.0
1.09%
71
-38
-1.2
1.1
SGB1050 1.05%
+1.5 +23.0 +15.0
1.41%
76
-39
0.0
1.1
SGB1051 1.19%
+5.0 +27.5 +20.0
1.67%
69
-41
0.3
1.1
SGB1052 1.42%
+4.5 +31.0 +20.5
2.20%
60
-39
0.6
1.2
SGB1047 1.62%
+4.0 +32.0 +21.0
2.47%
46
-40
0.5
1.0
SGB1054 1.78%
+4.0 +33.0 +21.5
2.66%
32
-38
0.6
0.8
SGB1057 1.88%
+4.0 +32.0 +21.0
2.36%
18
-38
0.5
0.4
SGB1056 2.35%
+4.5 +31.0 +21.5
3.15%
2
-16
0.6
0.4
Source: Danske Bank Markets * Carry & Roll Down (RD) for one mth forward
German and Swedish government bonds swapped into a 3M Stibor based cash-flow 60 Swedish Govies
ASW (bp)
40
German Govies
20 0 -20 -40 Years to Maturity 30 35
-60 0
5
10
15
20
25
Source: Danske Bank Markets
Marginal rates* 4.00%
SEGOVT
3.50%
SHYP1580
SEKSWAP
3.00%
Stadshypotek
2.50%
SHYP1583
SHYP1578 SHYP1576
SGB1047
SHYP1575
2.00%
SHYP1574
1.50% 1.00%
SGB1052
SHYP1577
SHYP1573
SGB1054
SHYP1579
SGB1050 SGB1049
SGB1057
SGB1051
SGB1041
Years to Maturity
0.50% 0
2
4
6
8
10
12
Source: Danske Bank Markets *Computed from a zero-coupon curve
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14 January 2013
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Fixed Income Market Watch
Mortgage Bonds
Bond
Cpn
Mat.
Yield Wk Mth
YTD Mrg Rte
ASW Carry RD
SHYP1574
6.00%
s ep-13 1.19%
-6.5
-9.0
-7.0
1.19%
3.5
0.4
SHYP1575
6.00%
jun-14 1.25%
-5.5
-3.0
-4.0
1.30%
8.6
-4.3 0.8
SHYP1576
6.00%
ma r-15 1.42%
-3.5 +3.5
+1.0
1.76%
17.5
-2.1 2.0
SHYP1577
6.00%
dec-15 1.59%
-2.0 +6.0
+3.0
2.11%
23.3
-0.9 1.9
SHYP1578
6.00%
s ep-16 1.74%
-1.5 +7.5
+4.5
2.40%
27.7
0.7 1.7
SHYP1579
6.00%
jun-17 1.87%
-2.0 +8.0
+4.5
2.59%
30.1
0.9 1.4
SHYP1580
3.00%
ma r-18 2.01%
-1.5 +9.5
+5.5
2.80%
33.3
1.0 1.4
SHYP1583
4.25%
jun-20 2.36%
-0.5 +11.0
+7.0
3.32%
38.6
1.2 1.3
SHYP1586
4.50%
s ep-22 2.59%
-0.5 +11.0
+7.0
3.53%
41.0
1.2 0.8
SWH177
4.75%
jun-13 1.19%
-4.5
-9.0
-5.0
1.19%
2.0
0.8
SWH166
6.75%
ma j-14 1.22%
-5.5
-2.5
-3.0
1.23%
5.9
-5.1 0.3
SWH182
3.75%
ma r-15 1.42%
-3.5 +3.5
+1.0
1.74%
17.5
-2.0 2.0
SWH183
3.75%
s ep-15 1.54%
-1.5 +6.0
+3.0
2.07%
22.0
-1.2 1.9
SWH184
3.75%
jun-16 1.69%
-1.0 +8.0
+5.0
2.26%
26.1
0.6 1.7
SWH185
3.75%
ma r-17 1.83%
-2.0 +8.0
+4.5
2.51%
29.6
0.8 1.6
SWH186
3.75%
dec-17 2.00%
-1.5 +8.5
+5.0
3.01%
35.3
1.0 1.8
SWH180
5.70%
ma j-20 2.37%
-0.5 +9.5
+5.5
3.33%
40.7
1.3 1.3
NDH5525
4.25%
jun-13 1.19%
-4.5
-9.0
-5.0
1.19%
2.0
0.8
NDH5526
4.00%
jun-14 1.25%
-5.5
-3.0
-4.0
1.27%
8.6
-4.2 0.6
NDH5520
3.25%
jun-15 1.48%
-2.0 +5.0
+3.0
1.81%
19.6
-1.6 1.9
NDH5527
4.50%
jun-16 1.69%
-1.0 +8.5
+5.5
2.24%
26.1
0.6 1.8
NDH5528
3.00%
jun-17 1.87%
-2.0 +8.5
+5.0
2.49%
29.6
0.9 1.4
NDH5521
3.25%
jun-20 2.36%
0.0 +11.5
+7.5
3.19%
38.6
1.2 1.3
SEB566
4.25%
jun-13 1.19%
-4.5
-9.0
-5.0
1.19%
2.0
0.8
SEB567
4.50%
jun-14 1.25%
-5.0
-2.5
-3.0
1.27%
8.6
-4.3 0.6
SEB568
4.00%
jun-15 1.48%
-2.0 +4.5
+2.5
1.81%
19.6
-1.6 1.9
SEB569
4.25%
jun-16 1.69%
-1.0 +8.0
+5.0
2.24%
26.1
0.6 1.7
SEB570
3.00%
jun-17 1.89%
-2.5 +7.5
+4.0
2.59%
31.6
0.9 1.6
SEB571
3.00%
jun-18 2.09%
-1.5 +9.5
+5.5
3.05%
37.2
1.1 1.7
LFH505
4.50%
s ep-13 1.19%
-6.5
-9.0
-7.0
1.19%
3.5
0.4
LFH506
4.50%
ma j-14 1.22%
-5.5
-2.5
-3.5
1.24%
5.9
-5.0 0.5
LFH510
2.25%
jun-15 1.49%
-3.5 +2.5
+1.0
1.81%
20.6
-1.5 2.1
LFH508
4.00%
ma r-16 1.66%
-2.0 +6.5
+4.0
2.28%
27.2
0.6 2.0
LFH507
4.50%
jun-17 1.96%
-2.5 +6.0
+3.5
2.79%
39.1
1.1 2.0
LFH511
2.50%
jun-18 2.16%
-2.0 +7.5
+4.0
3.02%
44.2
1.2 1.5
SCBC125
4.00%
a pr-13 1.17%
-7.0 -11.5
-7.5
1.17%
-4.9
2.4
SCBC126
4.00%
a pr-14 1.22%
-5.5
-2.5
-4.0
1.22%
5.8
-5.2 0.4
SCBC127
4.00%
a pr-15 1.44%
-3.0 +4.5
+1.5
1.72%
18.2
-1.9 1.9
SCBC131
4.00%
nov-15 1.57%
-1.5 +6.0
+3.0
2.06%
22.4
-1.0 1.8
SCBC132
4.00%
s ep-16 1.74%
-1.0 +8.5
+5.0
2.37%
27.7
0.7 1.7
SCBC133
4.00%
jun-17 1.87%
-2.0 +8.5
+4.5
2.54%
29.6
0.9 1.4
Source: Danske Bank Markets * Carry & Roll Down (RD) for one mth forward
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14 January 2013
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Fixed Income Market Watch
Top 5 Monthly Winners
Top 5 Monthly Losers
Bond SCBC125
bp
Bond
bp
apr-13 4.00%
-11.5
SGB1053
mar-39 3.50%
34.5
SHYP1574 sep-13 6.00%
-9.0
SGB1054
jun-22 3.50%
33.0
SWH177
-9.0
SGB1047
dec-20 5.00%
32.0
NDH5525 jun-13 4.25%
-9.0
SGB1057
nov-23 1.50%
32.0
SEB566
-9.0
SGB1052
mar-19 4.25%
31.0
jun-13 4.75% jun-13 4.25%
Source: Danske Bank Markets
Source: Danske Bank Markets
Top 5 Largest Z-Score*
Top 5 Yield Volatility
Z-Score
Bond SCBC125
apr-13 4.00%
-2.78
SGB1051
aug-17 3.75%
SGB1052
mar-19 4.25%
SGB1047 SGB1056
bp/day
Bond jun-32 2.25%
3.7
2.54
SGB1057 nov-23 1.50%
3.6
2.53
SGB1054
3.6
dec-20 5.00%
2.44
SGB1053 mar-39 3.50%
3.5
jun-32 2.25%
2.39
SGB1047
3.5
Source: Danske Bank Markets *Std from 3 mths
SGB1056
jun-22 3.50% dec-20 5.00%
Source: Danske Bank Markets Period: Past Month
mean
Top 5 ASW
Top 5 ASW Gainers
bp
Bond SWH180
bp
Bond
maj-20 5.70%
48.3
SGB1047
dec-20 5.00%
18.3
SHYP1586 sep-22 4.50%
46.3
SGB1054
jun-22 3.50%
17.3
LFH511
jun-18 2.50%
44.0
SGB1052 mar-19 4.25%
17.1
SHYP1583
jun-20 4.25%
42.4
SGB1053 mar-39 3.50%
17.0
LFH507
jun-17 4.50%
41.9
SGB1051 aug-17 3.75%
14.7
Source: Danske Bank Markets
Source: Danske Bank Markets Change during last mth
Top 5 Winners Total Return
Top 5 Losers Total Return
Bond
YTD
Bond
YTD
NDH5526
jun-14 4.00%
0.13%
SGB1053 mar-39 3.50%
-4.59%
SHYP1575
jun-14 6.00%
0.13%
SGB1056
jun-32 2.25%
-3.83%
LFH505
sep-13 4.50%
0.12%
SGB1057 nov-23 1.50%
-2.41%
SHYP1574 sep-13 6.00%
0.12%
SGB1054
jun-22 3.50%
-1.99%
SCBC126
0.12%
SGB1047
dec-20 5.00%
-1.63%
apr-14 4.00%
Source: Danske Bank Markets Period: YTD
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14 January 2013
Source: Danske Bank Markets Period: YTD
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Fixed Income Market Watch
Top 5 Carry & Roll Down, Maturity<3Y
Carry RD
Bond
Top 5 Carry & Roll Down, Maturity>3Y
Carry RD
Bond
SHYP1577 dec-15 6.00% -0.9
1.9
LFH507
jun-17 4.50%
1.1
2.0
SCBC131 nov-15 4.00% -1.0
1.8
SWH186 dec-17 3.75%
1.0
1.8
SWH183 sep-15 3.75% -1.2
1.9
SEB571
jun-18 3.00%
1.1
1.7
LFH510
jun-15 2.25% -1.5
2.1
LFH511
jun-18 2.50%
1.2
1.5
SEB568
jun-15 4.00% -1.6
1.9
SWH180 maj-20 5.70% 1.3
1.3
Source: Danske Bank Markets Period: 1 mth
Source: Danske Bank Markets Period: 1 mth
forward
forward
2Y spread vs SGB1041
Bond SHYP1575 SWH166 NDH5526 SEB567 LFH506 SCBC126
5Y spread vs SGB1051
bp Week Month YTD jun-14 6.00% 49 -3.0 -9.5 -6.0 maj-14 6.75% 46 -3.0 -9.0 -5.0 jun-14 4.00% 49 -3.0 -9.5 -6.0 jun-14 4.50% 49 -2.5 -9.0 -5.0 maj-14 4.50% 46 -3.0 -9.0 -5.5 apr-14 4.00% 46 -3.0 -9.0 -6.0
Bond SHYP1579 SWH185 NDH5528 SEB570 LFH507 SCBC133
Source: Danske Bank Markets
bp Week Month YTD jun-17 6.00% 69 -7.0 -19.5 -15.5 mar-17 3.75% 64 -7.0 -19.5 -15.5 jun-17 3.00% 68 -7.0 -19.0 -15.0 jun-17 3.00% 70 -7.5 -20.0 -16.0 jun-17 4.50% 78 -7.5 -21.5 -16.5 jun-17 4.00% 68 -7.0 -19.0 -15.5
Source: Danske Bank Markets
Swedish mortgage vs government bonds 90
Spread vs Govies (bp)
80 70 60 50 40
Stadshypotek
Swedbank Hypotek
Nordea Hypotek
SEB
SCBC
Länsförsäkringar Hypotek Years to M
30 0
1
2
3
4
5
6
7
8
Source: Danske Bank Markets *Computed spread is based on a zero-coupon based Government curve
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14 January 2013
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9
Fixed Income Market Watch
Historic slope and curvature of Swap term-structure 240
10-2y
190
5-2y
5-2-10Y
BP
140 90 40 -10 -60
Source: Danske Bank Markets
Swap spreads vs government bonds
Bond SGB1041 SGB1051 SGB1054
Swap spreads vs EUR swaps
bp Week Month YTD maj-14 6.75% -47 +1.7 +5.5 +1.8 aug-17 3.75% -47 +4.7 +11.8 +9.3 jun-22 3.50% -43 +3.5 +15.0 +8.7
Source: Danske Bank Markets
Bond SWAP2Y jan-15 1.23% SWAP5Y jan-18 1.66% SWAP10Y jan-23 2.20%
bp Week Month YTD 72 -11.0 -17.7 -11.8 69 -6.3 -4.4 -7.1 43 -4.1 -0.9 -6.4
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
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14 January 2013
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Fixed Income Market Watch
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 -150
Source: Danske Bank Markets
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14 January 2013
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Fixed Income Market Watch
Inflation Linked Bonds Swedish Inflation Linked Bonds
Bond
Cpn
Mat.
Yield Week
Mth YTD Z-Cpn BEI CPI Delta Mrg Rte Nom. Bond BEI vs Nom Sprd vs DE
SGB3001
0.00% apr-14
0.45%
0.0
0.30%
8.33
0.45%
SGB1041
0.30%
-81.8
SGB3105
3.50% dec-15
-0.15%
-3.5
+8.0
+0.5
1.13%
3.60 -0.60%
SGB1049
1.07%
49.2
SGB3107
0.50% jun-17
-0.08%
-1.5 +10.0
+6.0
1.25%
2.31
0.07%
SGB1051
1.27%
83.8
SGB3102
4.00% dec-20
0.12%
+2.0 +12.5 +10.0
1.55%
1.43
0.39%
SGB1047
1.50%
59.6
SGB3108
0.25% jun-22
0.17%
+4.0 +15.5 +13.5
1.66%
1.08
0.39%
SGB1054
1.60%
47.4
SGB3104
3.50% dec-28
0.35%
+4.5 +17.5 +14.5
1.82%
0.77
0.69%
SGB1057
1.52%
59.0
0.0 +10.0
Source: Danske Bank Markets
Swedish CPI and forecast 0.05
CPI YoY
BEI Spreads in Sweden and Germany DM CPI Forecast YoY
0.04 1.50%
0.03 0.02
0.50%
0.01 -0.50%
0.00 -0.01
Sweden Germany
-1.50%
-0.02
Years to Maturity
-2.50% 0
5
10
Source: Danske Bank Markets * Zero-coupon based generic BEIs
Source: Danske Bank Markets
Carry @ 1.25% Repo
Forward BEI @ 1.25% Repo
Bond SGB3001 SGB3105 SGB3107 SGB3102 SGB3108 SGB3104
1M -1.4 -2.5 -1.5 -0.6 -0.4 -0.2
3M -78.8 -35.5 -21.7 -12.4 -9.1 -6.1
Source: Danske Bank Markets * Based on DM CPI forecast
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14 January 2013
6M -32.8 -23.1 -12.9 -6.1 -4.2 -2.3
Bond SGB3001 SGB3105 SGB3107 SGB3102 SGB3108 SGB3104
1M 0.42% 1.10% 1.23% 1.50% 1.62% 1.55%
3M 1.16% 1.42% 1.44% 1.64% 1.73% 1.62%
15
6M 0.53% 1.25% 1.34% 1.58% 1.69% 1.60%
Source: Danske Bank Markets * Based on DM CPI forecast
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Fixed Income Market Watch
Asset and Position Correlations Top 10 Correlations vs 10Y yld
Asset 5Y SEGOVT DE 10Y Norway 10Y US 10Y Slope UK 10Y 2Y SEGOVT S&P 500 MSCI World Eurostoxx
Top 10 Negative Corr. vs 10Y yld
Correlation 0.95 0.92 0.85 0.81 0.80 0.78 0.68 0.67 0.66 0.65
Asset ITRX Sr Fin ITRX Main ITRX X-over Italy 10Y VIX Nibor 3M STIB3M Index USDSEK Baltic Dry GBPSEK
Correlation -0.65 -0.59 -0.58 -0.46 -0.43 -0.31 -0.28 -0.24 -0.15 -0.12
Source: Danske Bank Markets *Weekly data, 24
Source: Danske Bank Markets*Weekly data, 24
weeks window
weeks window
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
Slope
Curvature
DE 10Y
US 10Y
ITRX Main
WTI Oil
OMX30
Gold
Source: Danske Bank Markets/Bloomberg
10 |
14 January 2013
(Correlations are computed from weekly data and a 24 weeks rolling window of log-returns)
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Fixed Income Market Watch
Disclosure This research report has been prepared by Danske Bank Markets, a division of Danske Bank. Danske Bank is under supervision by the Danish Financial Supervisory Authority. Danske Bank research reports are prepared in accordance with the Danish Society of Investment Professionals’ Ethical rules and the Recommendations of the Danish Securities Dealers Association. Danske Bank has established procedures to prevent conflicts of interest and to ensure the provision of high quality research based on research objectivity and independence. These procedures are documented in the Danske Bank Research Policy. Employees within the Danske Bank Research Departments have been instructed that any request that might impair the objectivity and independence of research shall be referred to Research Management and to the Compliance Officer. Danske Bank Research departments are organised independently from and do not report to other Danske Bank business areas. Research analysts are remunerated in part based on the over-all 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. Danske Bank is a market maker and may as such hold positions in the financial instruments mentioned in this research report. Please go to www.danskebank.com/Research for further disclosures and information.
Disclaimer This publication has been prepared by Danske Markets for information purposes only. It has been prepared independently, solely from publicly available information and does not take into account the views of Danske Bank’s internal credit department. It is not an offer or solicitation of any offer to purchase or sell any financial instrument. Whilst reasonable care has been taken to ensure that its contents are not untrue or misleading, no representation is made as to its accuracy or completeness and no liability is accepted for any loss arising from reliance on it. Danske Bank, its affiliates or staff may perform services for, solicit business from, hold long or short positions in, or otherwise be interested in the investments (including derivatives), of any issuer mentioned herein. The Equity and Corporate Bonds analysts are not permitted to invest in securities under coverage in their research sector. This publication is not intended for retail customers in the UK or any person in the US. Danske Markets is a division of Danske Bank A/S. Danske Bank A/S is authorized by the Danish Financial Supervisory Authority and is subject to provisions of relevant regulators in all other jurisdictions where Danske Bank A/S conducts operations. Moreover Danske Bank A/S is subject to limited regulation by the Financial Services Authority (UK). Details on the extent of our regulation by the Financial Services Authority are available from us on request. Copyright (C) Danske Bank A/S. All rights reserved. This publication is protected by copyright and may not be reproduced in whole or in part without permission.
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14 January 2013
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