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巴黎银行-欧洲-宏观策略-2月欧元区指数期限延长-20190227-9页.pdf

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1、|FOCUS 27/02/2019 1 FOCUS|EUROZONE 27 February 2019 February eurozone index duration extension KEY MESSAGES Overall index extension:+0.10 years Largestindex extension by country:+0.19 years(Belgium).Largest increase in index country weightings:+0.32pp(Germany).Largest decrease in index country weigh

2、tings:0.32pp(Spain).Please refer to important information and MAR disclosures at the end of this report Fig.1:BNP Paribas estimates of index extension in February 2019 vs February 20102018 Fig.2:BNP Paribas estimates of countries duration extension in February 2019 vs February 20102018 Source:BNP Pa

3、ribas Source:BNP Paribas G10 INTEREST RATES February index extension is average overall,but meaningful for Belgium,France,Spain and Italy.Those countries may show modest outperformance if month-end rebalancing flows materialize.MARKET VIEW Agne Stengeryte,Europe Rates Strategist|BNP Paribas London B

4、ranch Overall index extension We expect the duration of the Eurozone Government Bond Index(iBoxx)to lengthen by 0.10 years at the end of February in line with the 0.10-year average for February since 2010.Similar to January,this months extension is affected more by entries(EUR110bn)than exits(EUR70b

5、n).Figure 1 compares this months extension with the February extension over the last nine years.Detailed index extension We expect Belgium to see the longest duration increase of 0.19 years,significantly above its average February duration increase since 2010,mostly due to the entry of BGB Jun-2045

6、into the index.France is likely to follow,we think,with a duration rise of 0.16 years,also above its 0.06-year average February duration increase since 2010.Figure 2 compares this months extension with the February average over the last nine years by country.0.040.03 0.030.040.130.140.210.150.160.10

7、0.000.050.100.150.200.252010201120122013201420152016201720182019Years0.190.160.160.140.100.040.040.010.00-0.07-0.10-0.050.000.050.100.150.200.250.30Years2019 index extension2010-2018 average index extension|FOCUS 27/02/2019 2 Changes to index structure Germany is likely to see the biggest rise in it

8、s weighting and Spain the largest drop,+0.32pp and-0.32pp,respectively.See figures 3 and 4 for BNP Paribas estimates of the change in each countrys weighting in the index in February.Table 1 shows index entries;Table 2 shows index exits.Contribution to the overall duration change Belgium,Italy and F

9、rance looks set to be the largest contributors to the iBoxx duration increase in February,accounting for about 52%of the rise.Germany will also contribute to the increase.G10 INTEREST RATES Fig.3:BNP Paribas estimates of February change in country weightings in the index Source:BNP Paribas Source:BN

10、P Paribas.Table 1:BNP Paribas estimates of February index entries by bond Fig.4:BNP Paribas estimates of February index entries and exits by country Source:BNP Paribas Source:BNP Paribas Table 2:BNP Paribas estimates of February index exits by bond Agne Stengeryte,Europe Rates Strategist|BNP Paribas

11、 London Branch 0.32%-0.18%-0.03%-0.32%0.04%0.06%0.06%0.04%0.01%-0.01%-0.40%-0.30%-0.20%-0.10%0.00%0.10%0.20%0.30%0.40%-30-20-10010203040EUR bnEntriesExitsCountryBondISINAmountAustriaRAGB 0.5%02/20/29AT0000A269M8EUR5bnBelgiumBGB 1.7%06/22/50BE0000348574EUR5bnFinlandRFGB 0.5%09/15/29FI4000369467EUR3bn

12、FranceFRTR 1.5%05/25/50FR0013404969EUR7bnGermanyBKO 0%03/12/21DE0001104750EUR5bnItalyBTPS 3.85%09/01/49IT0005363111EUR8bnThe NethsNETHER 0.25%07/15/29NL0013332430EUR5.9bnEntriesCountryBondISINAmountFranceFRTR 0%02/25/20FR0013232485EUR28bnItalyBTPS 4.5%02/01/20IT0003644769EUR23.4bnSpainSPGB 1.4%01/31

13、/20ES00000126C0EUR23.1bnExits|DATA WATCH 27/02/2019 3 DISCLAIMER This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting f

14、rom their interaction with sales and trading which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-ind

15、ependent research constitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition on dealing ah

16、ead of the dissemination of investment research.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules

17、and have signed up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use the Research con

18、tent in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP Paribas This document constitutes a marketing communicatio

19、n and has been prepared by BNPP for,and is directed at,(a)Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to investments fallin

20、g within Article 19(5)of the Financial Services and Markets Act 2000(Financial Promotion)Order 2005,and at other persons to whom it may lawfully be communicated(together“Relevant Persons”)under the regulations of any relevant jurisdiction.Any investment or investment activity to which this document

21、relates is available only to and will be engaged in only with Relevant Persons.Any person who is not a Relevant Person should not act or rely on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.The inform

22、ation and opinions contained in this document have been obtained from,or are based on,public sources believed to be reliable,but there is no guarantee of the accuracy,completeness or fitness for any particular purpose of such information and such information may not have been independently verified

23、by BNPP or by any person.None of BNPP,any of its subsidiary undertakings or affiliates or its members,directors,officers,agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of the inform

24、ation or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any part of it nor

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27、 to provide the sole basis of any evaluation of the instruments discussed herein.In providing this document,BNPP does not offer investment,financial,legal,tax or any other type of advice to,nor has any fiduciary duties towards,recipients.Any reference to past performance is not indicative of future

28、performance,which may be better or worse than prior results.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditions,and historical data selected by BNPP,and should not be used as guidance,in any way,of f

29、uture performance.To the fullest extent permitted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility of such losses

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31、this document or derivatives thereon.Prices,yields and other similar information included in this document are included for information purposes however numerous factors will affect market pricing at any particular time,such information may be subject to rapid change and there is no certainty that t

32、ransactions could be executed at any specified price.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in their securities and/or options,futures or other derivative instruments based thereon,or vice versa.BNPP,including its offi

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34、nder)within the last 12 months for any person referred to in this document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to the extent permitted by law,have acted upon or used the information contained herein,or the analysis on which it was

35、based,before the document was published.BNPP may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document.Any person mentioned in this document may have been provided with relevant sections of this do

36、cument prior to its publication in order to verify its factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into on such indicative terms.Any indicative price(s)contained herein have been prepared in good faith in accordance w

37、ith BNPPs own internal models and calculation methods and/or are based on or use available price sources where considered relevant.Indicative price(s)based on different models or assumptions may yield different results.Numerous factors may affect the price(s),which may or may not be taken into accou

38、nt.Therefore,these indicative price(s)may vary significantly from indicative price(s)obtained from other sources or market participants.BNPP expressly disclaims any responsibility for the accuracy or completeness of its own internal models or calculation methods,the accuracy or reliability of any pr

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40、nsactions could be unwound,(iii)the calculation or estimate of an amount that would be payable following an early termination of the transactions or(iv)the price(s)given to the transactions by BNPP in its own books of account for financial reporting,credit or risk management purposes.As an investmen

41、t bank with a wide range of activities,BNPP may face conflicts of interest,which are resolved under applicable legal provisions and internal guidelines.You should be aware,however,that BNPP may engage in transactions in a manner inconsistent with the views expressed in this document,either for its o

42、wn account or for the account of its clients.This document may contain certain performance data based on back-testing,i.e.simulations of performance of a strategy,index or assets as if it had actually existed during a defined period of time.To the extent any such performance data is included,the sce

43、narios,simulations,development expectations and forecasts contained in this document are for illustrative purposes only.All estimates and opinions included in this document constitute the judgment of BNPP and its affiliates as of the date of the document and may be subject to change without notice.T

44、his type of information has inherent limitations which recipients must consider carefully.While the information has been prepared in good faith in accordance with BNPPs own internal models and other relevant sources,an analysis based on different models or assumptions may yield different results.Unl

45、ike actual performance records,simulated performance returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints,fees and transactions costs.Actual historical or back tested past performance does not constitute an indication of future results or performance.

46、This document is only intended to generate discussion regarding particular products and investments and is subject to change or may be discontinued.We are willing to discuss it with you on the understanding that you have sufficient knowledge,experience and professional advice to understand and make

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49、sactions may be highly volatile.Such risks include,without limitation,risk of adverse or unanticipated market developments,risk of counterparty or issuer default,risk of adverse events involving any underlying reference obligation or entity and risk of illiquidity.In certain transactions,counterpart

50、ies may lose their entire investment or incur an unlimited loss.The information relating to performance contained in this document is illustrative and no assurance is given that any indicated returns,performance or results will be achieved.Moreover,past performance is not indicative of future result

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