Market Economics | Interest Rate Strategy - BNP PARIBAS ...

Pricing Date
Repo Rate
Sett. Date
Table 1: BNP Paribas Carry Analysis
Benchmark Carry
20-Jan-11
Term 1
Term 2
2m
3m
6m
12m
0.42% 0.42% 0.34% 0.34% 0.34% 0.56%
21-Jan-11 01-Feb-11 01-Mar-11
21-Mar-11 21-Apr-11 21-Jul-11 23-Jan-12
Yield BE Real BE Real BE Real BE Real BE Real BE Real BE
Short-end
OATei Jul-12 -1.09% 2.15% -0.9 -1.4 31.8 29.2 -16.3 -20.7 -20.0 -26.5 29.5 22.0 -1.8 46.4
OATI Jul-13 -0.39% 1.87% -0.5 -1.1 14.0 10.7 10.4 4.7 21.0 12.2 48.4 33.0 48.3 23.8
TIPS Jul-12 -1.36% 1.80% -2.3 -2.8 1.3 -0.5 12.1 9.3 20.4 15.9 63.8 52.4 -92.6 -124.4
UKTi Aug-13 -1.66% 2.94% 0.9 -0.2 0.6 -3.3 2.3 -3.7 22.7 13.9 50.3 33.0 130.1 97.0
5y
OATei Jul-15 0.50% 1.81% 0.4 -0.4 14.0 10.2 1.0 -5.6 3.7 -6.5 28.2 8.8 47.0 9.7
OATi Jul-17 0.80% 2.08% 0.2 -0.6 7.2 3.4 7.0 0.7 12.6 2.8 26.5 7.9 35.7 -0.6
TIPS Apr-15 -0.20% 1.88% 0.1 -1.1 3.5 -0.5 8.6 2.5 13.7 4.0 32.5 12.0 22.8 -23.0
UKTi Jul-16 -0.06% 2.81% 1.4 0.0 3.7 -1.0 6.3 -0.9 18.5 7.7 38.8 17.2 85.3 41.1
JGBI-4 June-15 0.86% -0.42% -1.7 -1.9 -2.6 -3.5 -9.1 -10.4 -22.6 -24.6 -14.0 -18.2 -2.4 -11.5
10y
OATei Jul-20 1.33% 2.12% 0.4 -0.3 8.0 4.7 2.1 -3.6 4.3 -4.4 18.6 1.9 31.7 -0.8
OATI Jul-19 1.12% 2.16% 0.2 -0.5 6.0 2.4 6.1 0.1 10.8 1.5 22.6 4.9 31.4 -3.0
TIPS Jul-20 1.01% 2.29% 0.4 -0.7 3.1 -1.2 6.2 -0.3 9.7 -0.4 21.4 0.8 24.4 -18.9
UKTi Nov-22 0.80% 3.09% 1.5 0.4 8.3 4.3 9.6 3.5 14.0 4.9 29.0 10.7 46.0 9.3
JGBI-16 June-18 1.30% -0.44% -0.8 -1.2 -0.8 -2.2 -4.6 -6.4 -12.3 -15.1 -5.2 -10.8 5.6 -6.4
30y
OATei Jul-40 1.61% 2.40% 0.2 -0.2 3.1 1.2 1.0 -2.2 1.9 -2.9 7.3 -1.8 12.2 -5.1
OATI Jul-29 1.58% 2.36% 0.2 -0.3 3.7 1.1 3.9 -0.4 6.8 0.1 13.9 1.3 19.9 -4.4
TIPS Feb-40 1.97% 2.61% 0.3 -0.5 1.7 -1.2 3.2 -1.2 5.0 -1.8 10.7 -3.3 13.9 -14.6
UKTI Mar-40 0.86% 3.58% 0.6 -0.1 3.4 0.8 3.9 0.0 5.6 -0.2 11.5 0.0 17.7 -4.8
Short-end
Term 1 -> Term 2 Term 1 -> Term 2 Term 2 -> 3m
3m -> 6m
6m -> 12m
OATei Jul-12 32.7 30.7 -43.2 -45.4 -3.7 -5.8 49.5 48.5 -31.3 24.4
OATI Jul-13 14.5 11.8 -1.6 -4.4 10.5 7.5 27.5 20.8 -0.1 -9.1
TIPS Jul-12 3.6 2.3 11.7 10.4 8.3 6.6 43.4 36.5 -156.4 -176.7
UKTi Aug-13 -0.2 -3.0 2.2 -0.6 20.4 17.7 27.7 19.1 79.8 64.0
5y
OATei Jul-15 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
OATi Jul-17 13.6 10.5 -11.0 -14.2 2.7 -0.9 24.5 15.3 18.8 0.8
TIPS Apr-15 7.0 4.0 0.8 -2.2 5.5 2.1 14.0 5.1 9.1 -8.5
UKTi Jul-16 3.4 0.5 6.0 3.1 5.1 1.6 18.8 8.0 -9.7 -35.0
JGBI-4 June-15 -0.9 -1.6 -8.2 -8.8 -13.5 -14.2 8.6 6.4 11.7 6.6
10y
OATei Jul-20 7.6 4.9 -4.8 -7.5 2.2 -0.9 14.3 6.3 13.1 -2.7
OATI Jul-19 5.8 2.9 0.9 -2.0 4.7 1.4 11.7 3.3 8.9 -7.8
TIPS Jul-20 2.6 -0.4 3.8 0.8 3.5 -0.1 11.7 1.2 3.0 -19.7
UKTi Nov-22 6.8 3.9 3.2 0.4 4.4 1.3 14.9 5.8 17.0 -1.4
JGBI-16 June-18 0.0 -1.0 -4.5 -5.4 -7.7 -8.6 7.1 4.2 10.8 4.4
30y
OATei Jul-40 2.9 1.4 -1.7 -3.2 0.9 -0.8 5.4 1.1 4.9 -3.3
OATI Jul-29 3.5 1.4 0.7 -1.3 2.8 0.5 7.1 1.2 6.0 -5.7
TIPS Feb-40 1.4 -0.7 1.9 -0.2 1.8 -0.6 5.7 -1.4 3.2 -11.3
UKTI Mar-40 2.7 0.9 1.3 -0.5 1.7 -0.2 5.8 0.2 6.3 -4.9
Source: BNP Paribas
Shahid Ladha / Herve Cros / Sergey Bondarchuk 20 January 2011
Market Mover, Non-Objective Research Section
55
www.GlobalMarkets.bnpparibas.com