investment research yield forecast update...3 | 16 september 2016 e 5-year steepening of the eur...
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Important disclosures and certifications are contained from page 10 of this report. www.danskeresearch.com
Investment Research — General Market Conditions
The ECB disappointed the market last week. Many market participants had expected further
policy easing in the form of new interest rate cuts or an extension/expansion of QE. The
ECB delivered none of the above and, if anything, was slightly more optimistic about the
effects of its current policy programme. The ECB did, however, acknowledge a need to
change the rules governing the instruments it can buy as part of its asset purchase
programme. The issue has now been handed over to a committee, which is unlikely to
present its recommendations until December.
The ECB’s wait-and-see stance, combined with Fed members’ rather hawkish rhetoric and
a Bank of Japan apparently also hesitant to ease policy further, prompted a rise in global
yields and a steepening of the 2-10Y and 10-30Y curves, thus hitting mainly the long end.
So, do we face an extended period of higher yields? The past three years have witnessed
two periods of rising global yields. In 2013, yields rose on the Fed announcing a tapering
of its asset purchase programme. In spring 2015, German 10Y yields increased by almost
one percentage point – ostensibly due to a combination of the market concluding that the
ECB’s QE was more than fully priced in and bad positioning in the fixed income market.
The latter should be viewed in light of the ‘risk capacity’ of banks now being much lower
than before. Hence, major market movements could be reinforced in either direction as
there is no one to take the opposite position.
We do not seem to be facing an extended period of higher yields
The future intentions of central banks remain unclear and the market may well have been
wrong-footed once again. Hence, we cannot rule out a repeat performance of the yield
increases in spring 2015, when very few market participants expected German 10Y yields
to rise almost one percentage point within six weeks. However, our overall expectation is
that global central banks will continue their expansionary monetary policies. We do not
expect the Fed to raise interest rates this year – especially in light of recent weak numbers
for the US economy. Given the still very low level of inflation, we also expect the ECB to
extend its comprehensive QE programme to run throughout 2017 and not just until March.
Furthermore, we believe global bond investors will take advantage of even minor yield
rises to increase their positions and duration. While it may sound odd to many investors, a
German 10Y yield in positive territory is a ‘good deal’.
We generally maintain our forecast of long DKK and EUR yields being range-bound over
the coming three-six months with a slight downside risk on a 3M horizon. However, we
still see yields rising slightly on a 12M horizon as the Fed, despite everything, begins to
raise rates and the market can begin to price the ECB ending its asset purchases by the end
of 2017.
16 September 2016
Quick links
Eurozone forecast
US forecast
UK forecast
Denmark forecast
Sweden forecast
Norway forecast
Forecast table
Policy rate outlook
Source: Danske Bank Markets
10-year bond yield outlook
Source: Danske Bank Markets
Yield Forecast Update
No bond sell-off this year
Editors:
Chief Analyst Arne Lohmann Rasmussen +45 45 12 85 32 [email protected]
Assistant Analyst Nina T. B. Andersen +45 45 12 82 87 [email protected]
Country Spot +3m +6m +12m
USD 0.50 0.50 0.50 0.75
EUR 0.00 0.00 0.00 0.00
GBP 0.25 0.10 0.10 0.10
DKK 0.05 0.05 0.05 0.05
SEK -0.50 -0.50 -0.50 -0.50
NOK 0.50 0.50 0.50 0.50
Country Spot +3m +6m +12m
USD 1.67 1.50 1.70 1.90
GER 0.01 -0.10 0.00 0.30
GBP 0.87 0.80 0.95 1.20
DKK 0.07 0.00 0.10 0.40
SEK 0.28 0.05 0.15 0.40
NOK 1.26 1.10 1.20 1.40
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Contents and contributors
Eurozone ...................................................................................................................................................................................................................................................................... 3
Macro Senior Analyst Pernille B. Henneberg +45 45 13 20 21 [email protected]
Interest rates Chief Analyst Arne Lohmann Rasmussen +45 45 12 85 32 [email protected]
US ...................................................................................................................................................................................................................................................................................... 4
Macro & Interest rates Senior Analyst Mikael Olai Milhøj +45 45 12 76 07 [email protected]
Interest rates Chief Analyst Arne Lohmann Rasmussen +45 45 12 85 32 [email protected]
UK ...................................................................................................................................................................................................................................................................................... 5
Macro & Interest rates Senior Analyst Morten Helt +45 45 12 85 18 [email protected]
Denmark ....................................................................................................................................................................................................................................................................... 6
Macro Chief Economist Las Olsen +45 45 12 85 36 [email protected]
Interest rates Chief Analyst Arne Lohmann Rasmussen +45 45 12 85 32 [email protected]
Sweden .......................................................................................................................................................................................................................................................................... 7
Macro & Interest rates Chief Analyst Michael Boström +46 (0)8-568 805 87 [email protected]
Senior Analyst Michael Grahn +46 (0)8-568 807 00 [email protected]
Senior Analyst Marcus Söderberg +46 (0)8-568 805 64 [email protected]
Senior Analyst Carl Milton +46 (0)8-568 805 98 [email protected]
Norway .......................................................................................................................................................................................................................................................................... 8
Macro & Interest rates Chief Analyst Jostein Tvedt +47 23 13 91 84 [email protected]
Forecast table .......................................................................................................................................................................................................................................................... 9
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Eurozone forecast
Euro-area GDP growth showed fairly solid GDP growth of 0.3% q/q in Q2 16, while the
unemployment rate in July remained at 10.1%. Furthermore, initial survey indicators suggest
fairly resilient economic conditions post the Brexit vote. However, we still mainly have
observations for survey data for two months and little hard data covering the period beyond
July. All in all, however, it seems that the impact on the euro area economy has been relatively
limited. Headline inflation stayed unchanged at 0.2% y/y in August.
At the September meeting, the ECB kept all its policy rates unchanged and maintained its
monthly QE purchases of EUR80bn and still intends to end its purchases in March 2017. The
ECB reiterated that it ‘continues to expect the key ECB interest rates to remain at present or
lower levels for an extended period of time, and well past the horizon of the net asset
purchases’. All in all, however, it was a slightly more hawkish message than expected in the
market. Despite the September decision to keep the QE purchase horizon unchanged, we
believe the ECB will extend purchases by six months at the meeting in December. We expect
this because of the lack of any upward trend in the underlying price pressure and the
persistently low market-based inflation expectations. Related to this, we do not believe a rise
in inflation later this year would be enough for the ECB to end QE purchases, as any higher
inflation would be driven mainly by the higher oil price.
Focus in the European government is now on how the ECB will handle an extension of the
QE programme without running into problems with the different rules. The issue is that there
is basically not enough German government paper to buy with the current rules. The ECB has
said that a ‘committee’ will look into how the purchase programme can be extended.
Following the ECB meeting, we have seen slight upward pressure on EUR yields. However,
given our view that the QE purchases will be extended at the December meeting, we do not
expect a prolonged rise in yields for the next three months. However, we still see modest
upward pressure on 10Y yields on a 12M horizon, as we still expect upward pressure on the
long end of US yields in 2017. Thus, on a 6M and 12M horizon, we still look for a modest
steepening of the EUR curve for 2Y10Y and 5Y10Y. Additionally, we expect 3M Euribor
fixings to stay around -30bp throughout the forecast horizon. Note, we have seen no effect on
Euribor fixings from the higher USD Libor fixings.
3M Euribor
10Y EUR swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
EUR Forecast summary
Source: Danske Bank Markets
EUR swap curve
Source: Danske Bank Markets
EUR Spot +3m +6m +12m
ECB 0.00 0.00 0.00 0.00
3M -0.30 -0.30 -0.30 -0.30
2-year -0.66 -0.62 -0.60 -0.55
5-year -0.51 -0.50 -0.50 -0.45
10-year -0.01 -0.10 0.00 0.30
2-year -0.23 -0.22 -0.20 -0.15
5-year -0.12 -0.10 -0.10 -0.05
10-year 0.35 0.30 0.40 0.70
Money market
German government bonds
Swaprates
-202468101214
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16-Aug-16 16-Sep-16
% bp
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US forecast
We continue to believe that the Fed will not raise the federal funds target range this year. In
Presentation US: 10 reasons why we believe the Fed will not hike this year, 14 September,
we outline why we have this non-consensus view on the Fed.
To summarise, GDP growth has slowed markedly to just around 1% q/q AR over the past
three quarters (Chart 1 in the presentation above) and ISM activity indicators are at the
weakest level since 2010, suggesting that growth in Q3 may disappoint as well (Chart 6).
Unemployment and underemployment rates have moved sideways for some time, suggesting
there is still more slack left in the labour market (Chart 2), wage growth is still subdued (Chart
3) and PCE core inflation continues to run somewhat below the 2% target (it has only been at
or above target for five months since 2008 – Chart 4). Also, we think it is an overlooked fact
that the Fed has already tightened monetary policy equivalent to 330bp due to QE tapering
and hiking expectations (Chart 8). In addition, most voting FOMC members have a dovish-
to-neutral stance on monetary policy, in our view (Chart 9).
At the time of writing, markets have priced in just a 10% probability of a hike in September
and a 60% probability of a hike in December. Although a December hike cannot be ruled out
if we see a rebound in data, it is not our base case and we think US yields will move lower
over the next 3M as markets price out the probability of a Fed hike this year. We anticipate
2Y and 10Y US yields declining to 0.70% and 1.60%, respectively, by year-end.
As we still expect a Fed hike in H1 17, we expect US yields to climb up again in 3-12M as
markets begin to price in a continuation of the Fed’s hiking cycle. We expect 2Y and 10Y US
yields to trade at 1.20% and 1.90% in 12M, respectively.
Note that we continue to see USD Libor fixings moving higher due to the effects of the US
Money market reform. See also The US Money Market Reform: The Scandi angle, 9 August
2016. We assume that the regulatory changes to the US Money Market will have a lasting
effect on USD Libor fixings. Hence, we expect 3M USD Libor to stay relatively elevated for
the next six months, despite our view that the Fed will not hike the Fed funds target range this
year.
3M USD Libor rates 10Y USD swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
USD Forecast summary
Source: Danske Bank Markets
USD swap curve
Source: Danske Bank Markets
USD Spot +3m +6m +12m
FED 0.50 0.50 0.50 0.75
3M 0.85 0.80 0.95 1.05
2-year 0.73 0.70 0.80 1.20
5-year 1.17 1.10 1.30 1.60
10-year 1.67 1.50 1.70 1.90
2-year 0.99 0.95 1.05 1.45
5-year 1.19 1.10 1.30 1.65
10-year 1.50 1.40 1.60 1.85
Swap rates
Money market
Government bonds
0
2
4
6
8
10
12
14
0.0
0.5
1.0
1.5
2.0
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16-Aug-16 16-Sep-16
% bp
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UK forecasts
Soft economic indicators suggest that the UK rebounded in August after the initial
deceleration in July, suggesting that the UK economy may avoid a Brexit recession. PMIs
have rebounded sharply across sectors: the NIESR GDP estimate has been positive and
consumer confidence is still at a relatively high level. As the economic data has been better
than expected, we now expect quarterly GDP growth to stay positive during H2 16, i.e. we no
longer expect a Brexit recession although the probability of a recession is still relatively high.
Also, it is worth noting that the economy is still expected to slow markedly compared with
pre-referendum growth rates due to Brexit uncertainty. However, we stress that uncertainty
surrounding our forecasts is higher than usual as the Brexit withdrawal negotiations are set to
begin early next year when the UK triggers Article 50 and we still await the release of hard
economic data. For more details, see our presentation Post-Brexit Status – UK may avoid a
Brexit-recession as data have surprised positively, 13 September 2016.
As expected, the Bank of England (BoE) made no policy changes at the September meeting
meaning that the Bank Rate was kept at 0.25%, the target for the stock of government bond
and corporate bond purchases was unchanged at GBP435bn and GBP10bn, respectively, and
there were no changes to the new Term Funding Scheme (TFS). Despite better economic data,
the Bank of England left the door open for additional easing later this year. We still expect a
15bp rate cut from 0.25% to 0.10% in November but it is a close call and will depend largely
on how data comes out. There is only about a 5bp BoE rate cut priced in for November;
therefore, we think markets are too complacent about the probability of further easing.
After yields on Gilts fell sharply on the back of the restart of BoE’s asset purchase programme
and expectations of further BoE easing, 10Y Gilts yields have increased from the 0.52% low
in the middle of August to 0.90% currently. We expect UK yields to drop slightly in the
autumn as markets begin to price in more BoE easing, the ECB extends QE and Fed hikes are
priced out.
3M GBP Libor rates
10Y UK swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
GBP Forecast summary
Source: Danske Bank Markets
GBP swap curve
Source: Danske Bank Markets
GBP Spot +3m +6m +12m
Base rate 0.25 0.10 0.10 0.10
3M 0.38 0.19 0.19 0.20
2-year 0.14 0.10 0.10 0.15
5-year 0.29 0.25 0.35 0.50
10-year 0.87 0.80 0.95 1.20
2-year 0.44 0.40 0.40 0.45
5-year 0.55 0.50 0.60 0.75
10-year 0.87 0.80 0.95 1.20
Swap rates
Money market
Government bonds
0
5
10
15
20
25
0.0
0.2
0.4
0.6
0.8
1.0
1.2
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16-Aug-16 16-Sep-16
% bp
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Denmark forecasts
Growth in Q2 was only slightly weaker than in the previous quarter and employment growth
has accelerated; therefore, the overall economic picture has brightened somewhat. However,
productivity growth remains low and consumer spending seems to have slowed somewhat. A
large drop in the price of cell phone services has pulled inflation down further but the
government no longer plans to scrap the PSO tax on electricity in 2017. Therefore, the overall
outlook is unchanged.
The Danish Central Bank did not need to intervene in the FX market in August. EUR/DKK
has settled in the range of 7.44-7.4450 since early August – at this level we do not expect DN
to be active in the FX market. We expect DN to keep the rate of interest on certificates of
deposits unchanged at -0.65% on a 12M horizon. However, if the need to sell DKK in FX
intervention accelerates, or if the ECB decides to cut its deposit rate further (not our main
scenario), DN may opt to cut to -0.75% – a level we still view as the lower bound for the key
policy rate in Denmark. Tight excess liquidity in the DKK money market has eased on the
back of DN selling DKK in FX intervention and buybacks of government bonds. With further
buybacks in the pipeline, the liquidity situation is expected to ease further in the coming
months. This should maintain moderate downward pressure on Danish money market fixings.
The Danish CITA money market rates and Cibor fixings have recently edged marginally
higher along with EONIA rates, as the market now prices in a lower probability of further rate
cuts from the ECB. The money market does not expect CITA rates to move above EONIA
rates before spring 2018. Our forecasts for the deposit rate and money-market rates are more
or less in line with market pricing. However, we still believe that the significant Danish current
account surplus will ensure that the Danish policy rate can stay below that of the ECB for the
near future and in 2018 and beyond. We expect the general ‘hunt for yield’ in the wake of the
stepped-up ECB QE programme to attract investors to the marginally higher yields in
Denmark. We forecast that 6M CIBOR fixings will stay marginally below zero, while we
expect 3M fixings to stay negative by some 20bp. We expect 10Y swap rates to rise lightly
on a 12M horizon in line with EUR rates.
3M Cibor rate 10Y DKK swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
Forecasts summary
Source: Danske Bank Markets
DKK swap curve
Source: Danske Bank Markets
DKK Spot +3m +6m +12m
CD -0.65 -0.65 -0.65 -0.65
REPO 0.05 0.05 0.05 0.05
3M -0.19 -0.20 -0.20 -0.20
6M -0.04 -0.05 -0.05 -0.02
2-year -0.53 -0.52 -0.50 -0.45
5-year -0.35 -0.25 -0.25 -0.20
10-year 0.05 0.00 0.10 0.40
2-year -0.03 -0.02 0.00 0.055-year 0.14 0.12 0.12 0.2010-year 0.63 0.55 0.70 1.00
Swap rates
Money market
Government bonds
0
2
4
6
8
10
12
14
-0.20.00.20.40.60.81.01.21.4
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16-Aug-16 16-Sep-16
% bp
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Sweden forecast
There are several signs that Swedish growth has shifted to a lower gear. Exporters face more
headwind, which is less of a surprise considering sluggish global demand for investment
goods. Perhaps a bit more puzzling is the fact that consumers have started to hold back too
and retailers have become more worried about business going forward. Mandatory
amortisation on new mortgage loans was introduced this summer and it appears that price
pressures have abated both for owner-occupied flats and single-family houses. Inflation
showed a steady upward trend in 2014-15 but so far this year, CPIF inflation has been stuck
at around 1.5% – indeed, excluding the effects of higher energy prices, the inflation trend
appears to have turned down again.
So far, the Riksbank has expressed satisfaction with the development of inflation but if it fails
to tack another step upwards again (as we suspect), it is likely to become more concerned.
The question is how the Riksbank will move forward when the current QE programme
(purchases of government bonds) expires in December. Should inflation fail to rise further in
coming months, with the ECB likely to announce an extension of its QE programme, the
Riksbank is likely to consider an extension too. The problem is that the Riksbank is probably
approaching the limit for how large a share of bonds it can buy without damaging market
liquidity. To avoid distressed market conditions, it may have to consider other assets too. We
see another repo rate cut below -0.5% as rather improbable but at the same time, we see little
reason to expect it to hike rates before end-2017.
Despite very low yields, we still see powerful forces pushing down rates. Growth has peaked,
the pick-up in inflation is likely to be over and central banks, via QE, have taken command
over market pricing. We have for a long time held the view that the Swedish yield curve is
too steep out to five years, reflecting expectations of more rapid rate hikes than we regard as
warranted. More recently though the 2Y/5Y curve has indeed flattened rather significantly
and now looks more ‘fair’. The five-year swap rate close to zero probably has a rather limited
downside, which is why we think that continued downward pressure on rates will result in a
5Y/10y flattening.
3M Stibor rates
10Y SEK swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
Forecast summary
Source: Danske Bank Markets
SEK swap curve
Source: Danske Bank Markets
SEK Spot +3m +6m +12m
Repo -0.50 -0.50 -0.50 -0.50
3M -0.47 -0.55 -0.50 -0.50
2-year -0.65 -0.65 -0.65 -0.65
5-year -0.26 -0.30 -0.20 -0.10
10-year 0.27 0.05 0.15 0.40
2-year -0.43 -0.50 -0.50 -0.50
5-year 0.00 0.00 0.05 0.15
10-year 0.73 0.60 0.65 0.85
Swap rates
Money market
Government bonds
0
5
10
15
20
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16/08/2016 16/09/2016
% bp
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Norway forecast
We expect Norges Bank to be on hold at the upcoming board meeting on 22 September.
Norges Bank’s June Monetary Policy Report guided towards a cut at the September meeting
unless a major surprise on the upside should occur. Inflation has recently been significantly
higher than expected by Norges Bank. Key economic data has been fairly strong. The market
no longer expects a target rate cut in September.
However, the market may have underestimated the probability of a target rate cut going
forward. An unusually high spread between the 3M Nibor and the target rate may be a concern
to Norges Bank. To keep the currency weak is a top priority for Norges Bank’s board. Both
factors suggest that Norges Bank should stick to the original plan and cut the target rate at the
upcoming meeting.
Norwegian inflation during the summer has been above target and significantly higher than
expected by Norges Bank. Core inflation in August was 3.3% y/y – down from an elevated
3.7% y/y in July. The high inflation seems mainly to be a delayed effect of the weakening of
the NOK. Inflation will probably drop significantly going forward as the inflationary effect
of the past weakening of the NOK fades. Wage-generated inflation is still very muted. That
is, Norges Bank, being forward looking, could rightly defend a cut to the target rate at the
upcoming board meeting, regardless of the recent high inflation numbers.
The recent Regional Network report was significantly stronger than expected. The six- month
forward looking index increased from 0.28 to 0.75, i.e. the highest level since September
2014. The report confirms the recent strong PMI and production indexes. That is, the business
cycle trough seems to be behind us and activity seems to be picking up slightly. The drag on
total activity from the oil investment slowdown is reduced.
The fiscal policy is expansionary. The fiscal budget for 2017 is due to be released on 6
October. The recent economic slowdown is the perfect excuse for the government for
releasing an expansionary fiscal budget ahead of the general election on 11 September 2017.
A current target rate of 0.50% seems to be the trough of this interest rate cycle as fiscal
stimulus gradually kicks in and the drag on total demand from the oil investment downturn
fades. However, Norges Bank will probably indicate that a cut in December cannot be ruled
out at the upcoming board meeting. The dovish stance is motivated by the ambition to
maintain a weak NOK. This weak NOK policy will probably prevail for some time, which
suggests fairly stable interest rates spreads versus European peers going forward.
3M Nibor rates 10Y NOK swap rates
Source: Macrobond Financial, Danske Bank Markets Source: Macrobond Financial, Danske Bank Markets
Forecast summary
Source: Danske Bank Markets
NOK swap curve
Source: Danske Bank Markets
NOK Spot +3m +6m +12m
ON DEP 0.50 0.50 0.50 0.50
3M 1.08 1.00 1.00 0.85
2-year 0.61 0.60 0.60 0.70
5-year 0.88 0.85 0.85 0.90
10-year 1.25 1.10 1.20 1.40
2-year 1.18 1.20 1.20 1.30
5-year 1.22 1.25 1.25 1.30
10-year 1.49 1.40 1.50 1.70
Swap rates
Money market
Government bonds
-10
-5
0
5
10
15
20
0.7
0.9
1.1
1.3
1.5
1.7
1.9
0 3 6 9 12 15 18 21 24 27
Change,bp (rhs) 16/08/2016 16/09/2016
% bp
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Forecast table
Forecast table
Source: Danske Bank Markets
Horizon Policy rate 3m xIbor 2-yr swap 5-yr swap 10-yr swap 2-yr gov 5-yr gov 10-yr gov
Spot 0.50 0.85 0.99 1.19 1.50 0.73 1.17 1.67
+3m 0.50 0.80 0.95 1.10 1.40 0.70 1.10 1.50
+6m 0.50 0.95 1.05 1.30 1.60 0.80 1.30 1.70
+12m 0.75 1.05 1.45 1.65 1.85 1.20 1.60 1.90
Spot 0.00 -0.30 -0.22 -0.11 0.36 -0.65 -0.50 0.01
+3m 0.00 -0.30 -0.22 -0.10 0.30 -0.62 -0.50 -0.10
+6m 0.00 -0.30 -0.20 -0.10 0.40 -0.60 -0.50 0.00
+12m 0.00 -0.30 -0.15 -0.05 0.70 -0.55 -0.45 0.30
Spot 0.25 0.38 0.44 0.55 0.87 0.14 0.29 0.87
+3m 0.10 0.19 0.40 0.50 0.80 0.10 0.25 0.80
+6m 0.10 0.19 0.40 0.60 0.95 0.10 0.35 0.95
+12m 0.10 0.20 0.45 0.75 1.20 0.15 0.50 1.20
Spot 0.05 -0.19 -0.02 0.14 0.65 -0.53 -0.34 0.07
+3m 0.05 -0.20 -0.02 0.12 0.55 -0.52 -0.25 0.00
+6m 0.05 -0.20 0.00 0.12 0.70 -0.50 -0.25 0.10
+12m 0.05 -0.20 0.05 0.20 1.00 -0.45 -0.20 0.40
Spot -0.50 -0.46 -0.42 0.01 0.74 -0.64 -0.26 0.28
+3m -0.50 -0.55 -0.50 0.00 0.60 -0.65 -0.30 0.05
+6m -0.50 -0.50 -0.50 0.05 0.65 -0.65 -0.20 0.15
+12m -0.50 -0.50 -0.50 0.15 0.85 -0.65 -0.10 0.40
Spot 0.50 1.08 1.18 1.23 1.49 0.61 0.88 1.26
+3m 0.50 1.00 1.20 1.25 1.40 0.60 0.85 1.10
+6m 0.50 1.00 1.20 1.25 1.50 0.60 0.85 1.20
+12m 0.50 0.85 1.30 1.30 1.70 0.70 0.90 1.40
Note: * German government bonds are used, EUR swap rates are used
US
DE
UR
*G
BP
NO
KD
KK
SE
K
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