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

|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 weightings: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 Paribas 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 Branch 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(EUR70bn).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 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 0.030.040.130.140.210.150.160.100.000.050.100.150.200.252010201120122013201420152016201720182019Years0.190.160.160.140.100.040.040.010.00-0.07-0.10-0.050.000.050.100.150.200.250.30Years2019 index extension2010-2018 average index extension|FOCUS 27/02/2019 2 Changes to index structure Germany is likely to see the biggest rise in its 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 France 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:BNP 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 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%09/15/29FI4000369467EUR3bnFranceFRTR 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%01/31/20ES00000126C0EUR23.1bnExits|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 from their interaction with sales and trading which could affect the objectivity of this 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