MARKET MOVER - BNP PARIBAS - Investment Services India
MARKET MOVER - BNP PARIBAS - Investment Services India
MARKET MOVER - BNP PARIBAS - Investment Services India
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Table 1: <strong>BNP</strong> Paribas Carry Analysis<br />
EUR<br />
Pricing Date<br />
23-Sep-10<br />
Term 1<br />
Term 2<br />
3m<br />
6m<br />
12m<br />
Repo Rate<br />
0.47%<br />
0.51%<br />
0.58% 0.70%<br />
0.87%<br />
EUR DRI<br />
109.34900<br />
109.54000<br />
109.79265 110.12671<br />
109.81139<br />
110.88334<br />
FRF DRI<br />
119.71400<br />
119.97000 119.85339<br />
119.94133<br />
119.88290<br />
121.17136<br />
Sett. Date<br />
28-Sep-10<br />
01-Nov-10<br />
01-Dec-10<br />
28-Dec-10<br />
28-Mar-11<br />
28-Sep-11<br />
Real BE Real BE Real BE Real BE Real BE Real BE<br />
OATEI Jul-12 -0.99% 1.68% 2.2 0.8 8.5 6.4 20.0 18.3 -32.3 -31.0 -56.8 -22.0<br />
BTPEI Sep-12 0.12% 1.76% 7.7 0.6 19.0 5.7 35.0 16.3 9.3 -30.1 67.8 -33.0<br />
BOBLEI Apr-13 -0.40% 1.12% 3.9 2.8 10.6 8.7 20.7 18.9 -6.3 -6.8 7.8 20.0<br />
BTPEI Sep-14 1.01% 1.52% 6.1 0.6 13.6 3.2 23.0 8.5 17.5 -11.8 54.5 -9.2<br />
OATEI Jul-15 0.05% 1.54% 3.0 0.5 7.2 2.6 13.0 6.8 2.3 -9.3 15.7 -5.8<br />
BUNDEI Apr-16 0.10% 1.43% 2.7 0.6 6.4 2.6 11.5 6.4 2.5 -6.8 14.1 -2.6<br />
BTPEI Sep-17 1.72% 1.54% 4.6 0.1 9.9 1.4 16.1 4.2 15.7 -8.0 40.9 -7.8<br />
BTPEI Sep-19 2.05% 1.65% 4.1 -0.1 8.6 0.8 13.9 3.0 14.5 -7.0 36.2 -7.0<br />
BUNDEI Apr-20 0.61% 1.62% 2.2 0.1 4.9 1.0 8.3 3.0 4.5 -5.5 14.3 -4.6<br />
OATEI Jul-20 0.85% 1.80% 2.4 -0.1 5.3 0.6 8.9 2.5 5.8 -6.7 17.4 -7.0<br />
BTPEI Sep-21 2.29% 1.60% 3.6 -0.2 7.6 0.4 12.1 2.1 13.2 -6.4 32.1 -7.2<br />
OATEI Jul-22 1.04% 1.72% 2.1 -0.4 4.6 0.0 7.6 1.3 5.5 -6.7 15.5 -8.2<br />
RFFEI Feb-23 1.42% 1.51% 2.5 0.2 5.4 1.2 8.8 3.0 7.7 -3.4 19.8 -2.0<br />
BTPEI Sep-23 2.44% 1.77% 3.3 -0.3 6.9 0.1 11.0 1.5 12.4 -6.5 29.6 -8.4<br />
GGBEI Jul-25 8.49% 1.57% 8.9 -1.8 17.5 -2.6 26.3 -2.4 42.7 -15.2 94.7 -23.4<br />
GGBEI Jul-30 7.14% 3.09% 5.9 -4.5 11.8 -8.1 17.7 -10.5 27.7 -29.5 61.1 -55.0<br />
OATEI Jul-32 1.23% 2.00% 1.5 -0.4 3.2 -0.2 5.3 0.5 4.2 -4.9 11.1 -6.6<br />
BTPEI Sep-35 2.37% 2.38% 1.9 -0.9 4.0 -1.4 6.3 -1.2 6.9 -7.8 16.2 -13.1<br />
OATEI Jul-40 1.26% 2.04% 1.1 -0.4 2.3 -0.4 3.8 0.0 3.0 -4.3 7.9 -6.1<br />
BTPEI Sep-41 2.69% 2.13% 1.8 -0.8 3.8 -1.1 6.0 -0.9 6.9 -6.6 15.9 -10.7<br />
FRF<br />
OATI Jul-11 -1.01% 1.50% 9.5 9.2 -24.7 -23.5 -36.5 -28.6 -214.6 -73.5 - -<br />
OATI Jul-13 -0.54% 1.48% 4.3 2.4 -3.0 -6.3 -3.7 -7.7 -21.0 -27.0 -10.9 -15.5<br />
OATI Jul-17 0.28% 1.82% 2.9 0.3 1.0 -3.8 1.8 -4.9 -1.2 -14.0 11.0 -13.6<br />
OATI Jul-19 0.58% 1.90% 2.7 0.1 1.4 -3.4 2.3 -4.4 1.0 -11.9 12.4 -12.5<br />
OATI Jul-23 0.92% 2.01% 2.2 -0.1 1.6 -2.6 2.4 -3.4 2.2 -8.9 12.1 -9.8<br />
OATI Jul-29 1.09% 2.10% 1.8 -0.2 1.4 -2.3 2.1 -3.1 2.3 -7.9 10.3 -9.2<br />
USD<br />
Pricing Date<br />
23-Sep-10<br />
Term 1<br />
Term 2<br />
3m<br />
6m<br />
12m<br />
Repo Rate<br />
0.20%<br />
0.20%<br />
0.21% 0.23%<br />
0.27%<br />
USD DRI<br />
218.00027<br />
218.31200<br />
218.71229<br />
219.22253<br />
219.73273<br />
222.12726<br />
Sett. Date<br />
24-Sep-10<br />
01-Nov-10<br />
01-Dec-10<br />
24-Dec-10 24-Mar-11 26-Sep-11<br />
Yield BE Real BE Real BE Real BE Real BE Real BE<br />
TIPS Jan-11 0.24% -0.07% 71.6 73.5 271.2 277.0 945.6 964.8 -<br />
TIPS Apr-11 -0.01% 0.24% 26.8 26.3 77.5 76.5 164.3 163.4 - - - -<br />
TIPS Jan-12 -0.27% 0.60% 7.9 7.0 21.6 19.7 42.3 39.9 68.1 63.1 450.4 438.2<br />
TIPS Apr-12 -0.27% 0.60% 6.6 5.7 17.6 15.8 33.9 31.7 52.0 47.3 245.0 235.5<br />
TIPS Jul-12 -0.44% 0.80% 4.5 3.6 13.0 11.3 26.1 23.8 35.8 31.2 147.9 138.3<br />
TIPS Apr-13 -0.43% 0.95% 3.1 1.8 8.8 6.3 17.3 14.0 22.5 15.5 75.4 59.8<br />
TIPS Jul-13 -0.34% 0.92% 3.3 1.8 8.8 6.0 16.9 13.2 22.6 14.9 71.7 54.2<br />
TIPS Jan-14 -0.17% 0.93% 3.4 1.5 8.5 5.0 15.7 11.0 21.8 12.1 64.3 42.2<br />
TIPS Apr-14 -0.19% 1.04% 3.0 1.0 7.6 4.0 14.1 9.2 19.4 9.1 56.3 33.2<br />
TIPS Jul-14 -0.11% 1.03% 3.1 1.0 7.7 3.8 13.9 8.8 19.5 8.7 55.1 30.8<br />
TIPS Jan-15 0.06% 1.06% 3.1 0.8 7.5 3.2 13.3 7.4 19.2 7.0 52.2 25.0<br />
TIPS Apr-15 -0.07% 1.26% 2.6 0.2 6.4 2.0 11.5 5.6 16.0 3.7 43.5 16.6<br />
TIPS Jul-15 0.09% 1.17% 2.9 0.4 6.9 2.4 12.1 6.0 17.5 4.9 46.4 18.6<br />
TIPS Jan-16 0.20% 1.22% 2.9 0.2 6.7 1.9 11.5 5.1 16.9 3.6 44.0 14.7<br />
TIPS Jul-16 0.20% 1.36% 2.7 -0.1 6.2 1.2 10.7 4.0 15.6 1.9 40.2 10.2<br />
TIPS Jan-17 0.35% 1.39% 2.7 -0.1 6.2 1.0 10.5 3.5 15.7 1.4 39.5 8.4<br />
TIPS Jul-17 0.34% 1.52% 2.5 -0.4 5.7 0.5 9.8 2.7 14.5 0.0 36.3 5.0<br />
TIPS Jan-18 0.43% 1.56% 2.4 -0.4 5.5 0.3 9.2 2.3 13.8 -0.4 34.2 3.7<br />
TIPS Jul-18 0.45% 1.66% 2.3 -0.6 5.1 -0.1 8.6 1.5 13.0 -1.5 31.8 0.8<br />
TIPS Jan-19 0.56% 1.70% 2.4 -0.5 5.2 0.0 8.7 1.7 13.3 -1.0 32.2 1.8<br />
TIPS Jul-19 0.60% 1.78% 2.3 -0.7 5.0 -0.3 8.3 1.1 12.7 -2.0 30.5 -0.6<br />
TIPS Jan-20 0.66% 1.76% 2.2 -0.8 4.8 -0.6 7.9 0.7 12.2 -2.5 29.1 -1.7<br />
TIPS Jul-20 0.72% 1.77% 2.1 -0.8 4.6 -0.6 7.6 0.5 11.8 -2.6 28.1 -2.2<br />
TIPS Jan-25 1.15% 1.89% 2.0 -1.0 4.1 -1.2 6.6 -0.6 10.5 -4.0 24.2 -6.3<br />
TIPS Jan-26 1.20% 1.93% 1.9 -0.9 3.9 -1.2 6.2 -0.6 9.9 -3.8 22.7 -5.9<br />
TIPS Jan-27 1.25% 1.92% 1.8 -0.9 3.8 -1.1 6.0 -0.6 9.7 -3.7 22.2 -5.8<br />
TIPS Jan-28 1.28% 1.96% 1.7 -1.0 3.5 -1.4 5.6 -1.0 9.0 -4.3 20.5 -6.9<br />
TIPS Apr-28 1.33% 1.97% 1.9 -0.7 4.0 -0.8 6.2 -0.2 10.1 -2.7 22.9 -3.8<br />
TIPS Jan-29 1.30% 2.04% 1.7 -0.9 3.6 -1.1 5.6 -0.6 9.1 -3.5 20.6 -5.6<br />
TIPS Apr-29 1.37% 1.97% 1.9 -0.7 3.9 -0.8 6.1 -0.2 9.9 -2.7 22.4 -3.8<br />
TIPS Apr-32 1.39% 2.04% 1.6 -0.9 3.4 -1.1 5.3 -0.7 8.6 -3.6 19.3 -5.8<br />
TIPS Feb-40 1.54% 2.15% 1.3 -0.9 2.6 -1.2 4.0 -1.1 6.6 -3.7 14.7 -6.5<br />
GBP<br />
Pricing Date<br />
23-Sep-10 Term 1 Term 2<br />
3m<br />
6m<br />
12m<br />
Repo Rate<br />
0.55%<br />
0.55%<br />
0.55%<br />
0.61%<br />
0.70%<br />
Sett. Date<br />
24-Sep-10<br />
01-Nov-10 01-Dec-10 24-Dec-10<br />
24-Mar-11<br />
26-Sep-11<br />
Yield BE Real BE Real BE Real BE Real BE Real BE<br />
UKTi Aug-11 -0.33% 0.82% 9.2 10.9 52.7 56.7 79.7 87.0 - - - -<br />
UKTi Aug-13 -1.63% 2.53% -2.2 -3.9 5.3 2.3 7.8 3.7 7.8 -0.1 12.5 -1.8<br />
UKTi Jul-16 -0.30% 2.41% 1.4 -1.7 7.3 1.6 10.2 2.5 16.8 1.4 34.7 2.6<br />
UKTi Nov-17 -0.07% 2.60% 4.2 0.8 5.0 -1.0 8.8 0.7 16.1 -0.3 31.7 -2.1<br />
UKTi Apr-20 0.30% 2.66% 1.7 -1.6 6.0 0.0 8.2 0.2 14.1 -2.1 28.3 -4.8<br />
UKTi Nov-22 0.53% 2.73% 3.2 0.1 4.2 -1.5 6.8 -0.7 12.6 -2.5 24.7 -6.1<br />
UKTi Jul-24 0.60% 2.93% 1.4 -1.5 4.7 -0.6 6.5 -0.7 11.2 -3.1 22.4 -6.6<br />
UKTi Nov-27 0.66% 3.06% 2.3 -0.4 3.1 -1.8 5.0 -1.5 9.3 -3.7 17.9 -8.5<br />
UKTi Jul-30 0.60% 3.29% 1.1 -1.3 3.7 -0.7 5.1 -0.8 8.8 -2.9 17.4 -6.3<br />
UKTi Nov-32 0.64% 3.26% 1.8 -0.6 2.4 -2.0 3.9 -2.0 7.2 -4.5 13.9 -9.9<br />
UKTi Jan-35 0.62% 3.35% 0.9 -1.4 2.8 -1.3 3.9 -1.7 6.6 -4.3 13.1 -8.9<br />
UKTi Nov-37 0.59% 3.38% 1.5 -0.7 2.0 -2.0 3.2 -2.1 5.9 -4.6 11.2 -10.1<br />
UKTi Mar-40 0.61% 3.38% 1.3 -0.8 1.7 -2.1 2.8 -2.3 5.2 -5.1 9.8 -10.7<br />
UKTi Nov-42 0.58% 3.41% 1.2 -0.8 1.6 -2.1 2.6 -2.3 4.7 -5.0 9.0 -10.7<br />
UKTi Nov-47 0.54% 3.46% 1.1 -0.9 1.4 -2.1 2.3 -2.3 4.2 -5.0 7.9 -10.5<br />
UKTi Mar-50 0.54% 3.46% 1.0 -0.9 1.3 -2.1 2.1 -2.4 3.8 -5.0 7.1 -10.6<br />
UKTi Nov-55 0.50% 3.48% 0.9 -0.8 1.2 -1.9 2.0 -2.2 3.7 -4.6 7.0 -9.6<br />
JPY<br />
Pricing Date<br />
23-Sep-10<br />
Term 1 Term 2<br />
3m<br />
6m<br />
12m<br />
Repo Rate<br />
0.12%<br />
0.12%<br />
0.12%<br />
0.13% 0.14%<br />
JPY DRI<br />
99.120<br />
99.100<br />
99.200<br />
99.432<br />
98.752 98.600<br />
Sett. Date<br />
28-Sep-10<br />
10-Nov-10<br />
10-Dec-10<br />
28-Dec-10<br />
28-Mar-11<br />
28-Sep-11<br />
Yield BE Yield BE Yield BE Real BE Real BE Real BE<br />
JGBI-1 Mar-14 1.07% -0.89% 3.3 3.1 9.0 8.7 17.1 16.7 5.8 4.9 17.7 16.1<br />
JGBI-2 Jun-14 1.22% -1.03% 3.7 3.4 9.4 9.0 17.1 16.6 8.0 6.8 22.1 19.9<br />
JGBI-3 Dec-14 1.11% -0.87% 2.9 2.5 7.6 7.0 14.1 13.4 5.2 3.6 14.8 11.5<br />
JGBI-4 Jun-15 1.21% -0.94% 2.8 2.4 7.2 6.5 15.4 14.5 5.9 4.0 15.8 11.9<br />
JGBI-5 Sep-15 1.17% -0.88% 2.5 2.1 6.6 5.9 12.2 11.3 4.9 3.1 13.5 9.6<br />
JGBI-6 Dec-15 1.10% -0.79% 2.3 1.9 6.1 5.3 11.3 10.4 4.0 2.0 11.1 7.0<br />
JGBI-7 Mar-16 1.19% -0.86% 2.3 1.9 6.1 5.3 11.2 10.1 4.7 2.5 12.6 8.0<br />
JGBI-8 Jun-16 1.30% -0.94% 2.6 2.0 6.3 5.4 11.3 10.2 5.7 3.3 14.5 9.5<br />
JGBI-9 Sep-16 1.28% -0.90% 2.3 1.8 5.9 5.0 10.7 9.6 5.2 2.7 13.4 8.2<br />
JGBI-10 Dec-16 1.27% -0.85% 2.3 1.7 5.7 4.7 10.3 9.0 4.9 2.2 12.4 6.8<br />
JGBI-11 Mar-17 1.31% -0.87% 2.2 1.6 5.6 4.5 10.0 8.7 5.0 2.2 12.6 6.8<br />
JGBI-12 Jun-17 1.37% -0.90% 2.3 1.7 5.7 4.5 10.0 8.5 3.7 0.8 13.4 7.1<br />
JGBI-13 Sep-17 1.33% -0.82% 2.1 1.4 5.3 4.1 9.4 7.9 4.8 1.7 12.1 5.4<br />
JGBI-14 Dec-17 1.33% -0.78% 2.1 1.3 5.2 3.9 9.1 7.5 4.7 1.3 11.6 4.6<br />
JGBI-15 Mar-18 1.37% -0.78% 2.0 1.3 5.0 3.7 9.0 7.3 4.7 1.3 11.7 4.4<br />
JGBI-16 June-18 1.48% -0.85% 2.2 1.4 5.3 3.9 9.2 7.4 5.4 1.8 13.1 5.3<br />
Source: <strong>BNP</strong> Paribas<br />
Shahid Ladha / Herve Cros 23 September 2010<br />
Market Mover, Non-Objective Research Section<br />
37<br />
www.GlobalMarkets.bnpparibas.com