5.0 risk premium against eurozone - allianz
TRANSCRIPT
04 How sovereign are euro government bonds?
07 The Allianz Euro Fragility Index
08 Redenomination premium and implied exit probability
Sources: Refinitiv, Allianz Research
-5.0
-2.5
0.0
2.5
5.0
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
France Germany Italy
Spain Portugal AustriaSafe haven premium against Eurozone
Risk premium against Eurozone
Source: Allianz Research
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
2005 2007 2009 2011 2013 2015 2017 2019
Redenomination premium
Default premium
Sources: Refinitiv, Allianz Research
Sources: Refinitiv, Allianz Research
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
France Germany Italy
Spain Austria
-3.5
-2.5
-1.5
-0.5
0.5
1.5
2.5
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
France Germany Italy
Spain Austria
Source: Refinitiv, Allianz Research
40
60
80
100
120
140
160
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
2000 2004 2008 2012 2016Redenomination premium*
EPU Index Italy (rhs)**
Italy
0
20
40
60
80
100
120
140
160
180-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.52000 2004 2008 2012 2016
Redenomination premium (inverted)*EPU Index Netherlands (rhs)**
Netherlands
*derived from 2y spread vs Euro area, in pp
**Economic Policy Uncertainty Index, filtered
Source: Refinitiv, Allianz Research
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
2y yield 10y yield 2y yield 10y yield
Jul 2018 Jan 2020
Euro area yield
Default risk premium
Redenomination premium
Source: Refinitiv, Allianz Research
*based on cross-sectional volatility of 2y and 10y redenomination premia, normalized (DE, FR, AT, NL,
BE, IT, ES, PT, GR, IE, FI)
Sources: Allianz Research
0.04
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
*as of end of January 2020
Sources: Refinitiv, Allianz Research
Spread vs
EA (10y, in
bp)
Redenominati
on premium
(10y, in bp)
Currency
Valuation
Given Exit
(CVGE)
Implied
exit
probability
(10y, p.a.)
Spread vs
EA (2y, in
bp)
Redenomination
premium (2y, in
bp)
Implied
exit
probability
(2y, p.a.)
-64.4 -12.7 6.0 2.1% -20.9 -4.0 0.7%
-47.2 -10.1 -4.2 2.4% -16.6 -4.1 1.0%
98.8 19.9 3.4 5.8% n.a. n.a. n.a.
1.6 0.1 -7.5 0.0% 2.4 0.4 0.1%
2.3 0.1 -4.9 0.0% -4.5 -2.0 0.4%
97.2 23.6 -3 .6 6.6% 39.1 17.5 4.9%
-37.9 -7.3 -1.6 4.6% -7.2 -7.2 4.6%
-39.0 -6.4 5.1 1.3% -17.7 -4.5 0.9%
-55.6 -12.7 -2.6 4.9% -20.0 -5.0 2.0%
-40.7 -6.5 -2.5 2.6% -16.7 -6.4 2.6%
-45.0 -11.8 -1.6 7.5% -19.1 -4.3 2.7%
-18.1 -6.8 -20.0 0.3% 17.2 1.1 0.1%
-36.9 -7.4 -7.2 1.0% 13.4 13.4 1.9%
Finland
Slovenia
Slovakia
Germany
Austria
Greece
Portugal
Spain
Ireland
France
Italy
Netherlands
Belgium
Sources: Refinitiv, Allianz Research
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
2008 2010 2012 2014 2016 2018
Redenomination premium
Germany 10y
Germany 10y w/o redenomination risk
