Deutsche Bank
Research
Global
Economics
Rates
Inflation
Date
30 January 2015
Markus Heider
Alex Li
Strategist
Research Analyst
(+44) 20 754-52167
(+1) 212 250-5483
[email protected] [email protected]
DB Inflation Report
Weekly Inflation Update
Global
Three weeks of relative stability in oil prices has allowed some modest rise in
TIPS B/Es; the USD 10y30y B/E slope remains unusually flat. 5y and 10y
GBP/USD B/E spreads have tightened from rich levels, we would turn neutral.
EUR inflation watch
Core inflation was lower than expected in January, headline inflation could fall
further in February and risks remain to the downside of forecasts for now.
EUR
5y has recently outperformed v 2y and 10y against the backdrop of weakness
in spot inflation, perceived downside risks to the longer-term inflation outlook
and FX depreciation. Swap-cash B/E spreads remain wider than (1y) averages,
despite likely future support for ILBs from ECB purchases.
GBP
The repricing of UK B/Es continues as near-term RPI forecasts are being
revised lower, with valuations now 3.5 to 4 standard-deviations below 1y or 2y
averages. We stay neutral for now given the negative sentiment.
Change in breakevens, US & UK
GBP
USD
15
10
1W change in BEI
carry adjusted
5
0
-5
-10
-15
-20
5y
10y
20y
30y
5y
10y
20y
30y
Source: Deutsche Bank
Change in breakevens, EUR & FRF
USD
30y B/Es have remained cheap on the curve ahead of the 30y TIPS auction in
February; we expect a USD9bn new 2/15/2045 issue. At the front end, the
Jan16 TIPS B/E appears cheap relative to our CPI forecast.
EUR
FRF
0.0
-1.0
-2.0
-3.0
-4.0
-5.0
-6.0
Inflation Markets
-7.0
-8.0
Bond
Yld
BEI 1M fwd
ASW
ASW
discnt
ZC
Rate
Sprd
ZC-BEI
CPI/
RPI
fcst
1W change in BEI
-9.0
carry adjusted
-10.0
5y
10y
20y
30y
5y
10y
20y
30y
US CPI
TIIJan20
-0.28
1.47
1.61
0
15
5y
1.61
14
spot
0.8
TIIJan24
0.02
1.60
1.68
10
20
10y
1.87
27
Jun-15
-0.8
TIIFeb44
0.50
1.73
1.76
40
32
30y
2.03
30
Dec-15
0.7
OATei20
-0.61
0.68
0.73
-11
14
5y
0.67
-1
spot
-0.2
OATei24
-0.49
0.96
0.99
3
17
10y
1.12
16
Jun-15
-0.4
30
OATei40
-0.08
1.33
1.34
68
44
30y
1.68
36
Dec-15
0.4
25
OATi19
-0.72
0.70
0.72
-8
20
5y
0.88
18
spot
0.0
15
OATi23
-0.67
1.05
1.07
9
26
10y
1.32
27
Jun-15
-0.1
10
OATi29
-0.43
1.26
1.27
45
43
20y
1.71
45
Dec-15
0.5
UKTi19
-1.32
2.18
2.19
-1
27
5y
2.48
30
spot
1.6
UKTi24
-1.02
2.33
2.34
20
31
10y
2.73
40
Jun-15
1.3
UKTi44
-0.91
2.96
2.96
57
30
30y
3.17
21
Dec-15
2.0
Source: Deutsche Bank
ILB rich/cheap v nominals
EA HICPxt
35
Rich (-) / cheap (+) vs nominal
GBP
DEM
USD
FRF
20
FR CPIxt
UK RPI
5
0
2014
2019
2025
2030
2036
2041
Source: Deutsche Bank
Source: Deutsche Bank
________________________________________________________________________________________________________________
Deutsche Bank AG/London
DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/04/2014.
30 January 2015
DB Inflation Report: Weekly Inflation Update
Global
Inflation market trends were mixed this week (chart 1). USD B/Es continue to
consolidate as oil prices have now moved broadly sideways for three
consecutive weeks, while EUR B/Es gave back some of the pre-ECB gains; UK
inflation continues to correct lower in the context of weak momentum in spot
inflation, and the recent decline in EURGBP. The usual ripple effects from a
significant drop in oil prices continue to weigh on global inflation sentiment:
declines in business survey price indices, spot inflation as well as indicators of
household inflation expectations, which maintain some downward pressure on
forecasts. This backdrop argues against a significant recovery in B/Es for now,
although with oil prices at current levels some normalization in inflation
momentum can be expected into Q2, which should provide some support for
valuations. We would remain generally neutral for now.
Cross-markets B/E spreads have recently seen some significant moves, with
GBP B/Es underperforming from comparatively rich levels. UK inflation markets
had first proved relatively resilient in the oil-led sell-off in B/Es since last
summer, not least given the lower RPI sensitivity to oil. A relatively strong
slowdown in ex-energy spot inflation momentum (chart 2), the decline in
EURGBP, somewhat weaker economic data, as well as delayed policy rate hike
expectations (via lower RPI-MIPs) have led to a correction lower in UK B/E
valuations since last December. GBPEUR and GBPUSD B/E spreads are now
below 3m (and mostly) 6m averages (chart 3). The exception is 30y GBP/USD
spreads, which remain wide, but this is above all the reflection of the
cheapness in 30y USD inflation, as suggested by 30y USDEUR B/E spreads
three standard-deviations below 2y averages (chart 3), as well as by an
unusually flat 10y30y USD B/E slope, especially when taking into account the
level of B/Es. In 5y and 10y, GBPUSD B/E spreads have gone from significantly
rich to somewhat cheap when benchmarked against trends in FX, oil, spot
inflation and PMIs (chart 4); we would turn neutral from here—given the weak
UK spot inflation backdrop (supermarket competition, utility bill cuts, downside
risk to EURGBP), we would not be long GBP v USD B/Es for now.
1. USD B/Es consolidate
10
1w change in BEI on 29-Jan, carry adj., bp
5
EUR
FRF
GBP
USD
0
-5
-10
-15
-20
5y
10y
20y
30y
Source: Deutsche Bank
2. UK core CPI has fallen more
quickly than elsewhere
2.0
core CPI
H114
Dec-14
change (rhs)
1.2
1.0
1.5
0.8
1.0
0.6
0.4
0.5
0.2
0.0
0.0
-0.2
-0.5
-0.4
-1.0
-0.6
USD
GBP
EUR
Source: Deutsche Bank
Markus Heider (+44) 20 754 52167
3. GBP B/Es have underperformed recently
USDEUR
3.0
4. But from rich levels
GBPEUR
GBPUSD
CPI swap spreads: z-scores
30
2.0
GBP/USD CPI swap differential, residual
f(PMIs, FX, oil, spotCPIs)
5y
10y
20
1.0
10
0.0
0
-1.0
-2.0
3m
6M
-3.0
1Y
2Y
-10
-20
-30
-4.0
2Y
5Y
Source: Deutsche Bank
Page 2
40
10Y 30Y
2Y
5Y
10Y 30Y
2Y
5Y
10Y 30Y
-40
Jan-12
Jun-12
Nov-12
Apr-13
Sep-13
Feb-14
Jul-14
Dec-14
Source: Deutsche Bank
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
EUR inflation watch
Euro area inflation fell to -0.6% y/y in January. The decline was mostly driven
by energy, although food and core inflation eased as well (chart 1). German
core inflation in particular was lower than expected, on the back of declines in
package holiday (chart 4), education and health care inflation (clothing inflation
as expected fell as well). The former is likely to have been exacerbated by
monthly volatility (although the trend has recently been slowing as well; chart
4), while the latter two have led to a downward revision to the core inflation
profile for 2015. Although only few other country details are available so far,
recent data suggest that the underlying inflation trend remains weak and that
the risks remain skewed to the downside of baseline forecasts. Downward
pressure can be expected from indirect effects of past commodity price
declines, and the January EC business surveys released this week showed a
further easing in price setting intentions in the manufacturing, retail and
services sectors (chart 3). Against that, improving trends in activity and credit
indicators as well as the depreciation in the currency should provide
progressive support for inflation in the coming quarters (see charts 5 & 6, as
well as last week’s update). We see the risk of a further fall in core inflation in
February, and expect headline inflation at -0.6%/-0.7% y/y.
Markus Heider (+44) 20 754 52167
1. Major HICP components lower
2.5
contribution to EUR HICP inflation, pp
2.0
core
0.5
0.0
-0.5
-1.0
-1.5
1999
2001
2003
2005
6mma
10
2011
2013
2015
Source: Haver, Deutsche Bank
2. DB inflation forecasts
3.5
EUR HICP
forecast
core
1.5
Germany CPI, package tours, % y/y
15
2009
2.0
15
EC survey: selling price expectations, 3mma
20
2007
2.5
4. German CPI package holidays
25
energy
1.0
3.0
3. Survey indices lower
food
1.5
1.0
12mma
0.5
10
5
5
0.0
-0.5
0
0
-1.0
Aug-11
-5
manufacturing
-10
retail
services
-15
-20
2003
Apr-12
Dec-12
Aug-13
Apr-14
Dec-14
Source: Haver, Deutsche Bank
2005
2007
2009
2011
2013
-10
Jan-10
2015
Source: Deutsche Bank
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Source: Deutsche Bank
5. Economic sentiment and…
6. …credit trends improving
EC economic sentiment, 12m lead (lhs)
135
2.0
EUR core inflation, 1y change in % y/y (rhs)
125
1.5
1.0
115
3.0
HICP recreational & personal services, 1y change in y/y
1.0
1.0
0.5
0.0
0.0
-0.5
-1.0
-0.5
-1.0
-2.0
0.0
95
85
75
-1.5
-1.0
-1.5
-3.0
-2.0
-2.0
1994
1997
2000
Source: Haver, Deutsche Bank
Deutsche Bank AG/London
2003
2006
2009
2012
2015
2.0
1.5
credit impulse (12m lead, rhs)
2.0
0.5
105
65
1991
Aug-15
-5
-4.0
2000
2002
2004
2006
2008
2010
2012
2014
-2.5
2016
Source: Haver, Deutsche Bank
Page 3
30 January 2015
DB Inflation Report: Weekly Inflation Update
EUR
EUR B/Es across all markets and maturities tightened this week. Profit taking
after the rally into the ECB decision as well as a lower than expected German
January CPI were negatives. Economic data in general and credit data in
particular continue to be encouraging, but January business surveys also
highlight the ongoing divergence between activity data (improving) and price
trends (declining). The latter underscores the risks of larger than expected
indirect effects from the drop in commodity costs. Last week we argued that
the ECB announcements were a triple positive for EUR B/Es: (i) the explicit
linkage of the duration of the program to the inflation outlook should reduce
downside risks (i.e. support inflation risk premia), (ii) the currency depreciation
resulting from policy divergence should support inflation expectations over the
coming few years and (iii) the inclusion of ILBs in the purchase program could
be an additional flow support for bond B/Es; chart 3 shows that assuming total
monthly government bond purchases of EUR42bn and a split according to
relative market size would result in significant ILB demand relative to typical
monthly issuance volumes. In any case, the market appears to have given little
credit to (i) and (iii), with 5y5y B/Es retracing all of the gains recorded in the
week into the meeting (chart 1), while swap-cash B/E spreads remain wider
than one-year averages (chart 5). Looking at RV across sectors suggests that
(ii) on the other hand seems to have been a support for valuations. 5y B/Es
remain well above the levels seen two weeks ago (see 2y1y and 4y1y in chart
1), and have richened significantly v 2y and 10y (charts 4 & 2). With 1y1y and
2y1y valuations low relative to baseline inflation forecasts, 5y cash B/Es remain
our preferred sector. Weakness in near-term spot inflation momentum remains
however a significant headwind for now.
1. 5y5y retraces gains
30.0
HICP swap, 2w change on 29-Jan, bp
25.0
20.0
15.0
10.0
5.0
0.0
-5.0
-10.0
-15.0
1y
1y1y
2y1y
4y1y
9y1y
5y5y
Source: Deutsche Bank
2. Curve spreads v past means
5.0
EUR HICP swaps: z-scores
4.0
3m
6M
1Y
2Y
3.0
2.0
1.0
0.0
-1.0
-2.0
-3.0
2Y5Y
5Y10Y
10Y30Y
2Y5Y10Y
5Y10Y20Y
5Y10Y30Y
Source: ECB, Eurostat, Deutsche Bank
Markus Heider (+44) 20 754 52167
3. Potential ECB ILB purchases if proportional to market share
ESCB m onthly ILB purchases assum ing total of EUR42.2bn split proportional to m arket size
capital bond market ILB market
ILB
monthly 2014 monthly
share of
key
size
size
share ILB buying
issuance
supply
%
2y-30y
2y-30y
%
EURbn
EURbn
%
DEM
25.6
806
54
6.7
0.7
0.9
79
FRF
20.1
1064
166
15.6
1.3
1.4
97
ITL
17.5
1239
120
9.7
0.7
1.1
63
ESP
12.6
521
12
2.4
0.1
1.0
12
Source: Deutsche Bank
4. 5y B/Es have richened v 2y and 10y
5. Swap-cash B/E spreads remain above average
20
35
ILB B/E rich (-) / cheap (+) vs CPI swaps
30
15
10
EU5 EU2 EU10
25
average
20
15
5
10
5
0
0
-5
-5
-15
OATei18
May-12
Source: Deutsche Bank
Page 4
1y mean
1y max
1y min
-20
-15
-20
Dec-11
spot
-10
-10
Oct-12
Mar-13
Aug-13
Jan-14
Jun-14
OATei20
OATei22
OATei24
OATei27
OATei32
OATei40
Nov-14
Source: Deutsche Bank
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
GBP
3. Lower policy rate and…
4.0
2.0
3.4
5y UKTi B/E (-40bp from 10-Jan-13)
-10
6m change in 2y nominal yield (rhs)
1.5
3.2
TWGBP, % 3m (rhs, inverted)
-8
1.0
3.0
2.0
1.5
-2
-0.5
2.6
0
-1.0
2.4
2
-1.5
2.2
-2.0
1.0
-2.5
-3.0
2007
2009
2011
2013
2015
Source: Deutsche Bank
3.4
Real Yld
Nom Yld
5
0
-5
-10
-15
UKTi68
UKTi62
UKTi58
UKTi52
UKTi50
UKTi47
UKTi44
UKTi42
UKTi40
UKTi37
UKTi34
UKTi32
UKTi29
UKTi27
UKTi24
UKTi22
UKTi19
-20
Source: Deutsche Bank
2. B/Es 3-4stddev below 2y means
0.0
-0.5
-1.0
-1.5
-2.0
-2.5
-3.0
-3.5
-4.0
-4.5
3m
GBP RPI swaps: z-scores
6M
1Y
2Y
-5.0
5Y
10Y
20Y
30Y
Source: Deutsche Bank
4
6
2.0
8
1.8
Jan-10
10
Oct-10
Jul-11
Apr-12
Jan-13
Oct-13
Jul-14
Source: Deutsche Bank
5. 5y B/Es v FX, commodities and spot RPI
3.6
BEI
10
-4
2.8
0.0
2.5
2005
1w change, on 29-Jan, cary adj, bp
15
-6
3.0
0.5
2003
20
4. …stronger FX negatives for B/Es
GBP BEI 5y
3.5
0.5
2001
1. B/Es decline further
UKTi17
The repricing lower of UK inflation valuations continued this week, with the
rally in nominal gilts entirely driven by falling breakevens and nominal-real
yield betas negative across the curve (chart 1). The main driver appears to be a
re-assessment of the near-term inflation outlook following the decline in
commodity prices, some renewed appreciation in the currency (chart 4),
weaker than expected core inflation trends in recent months (see chart 2 in the
‘global’ section above), announcements of utility bill cuts and further
supermarket discounts, a slowdown in economic (in particular housing market)
data momentum as well as the related delay in policy rate expectations
(leading to lower projections for MIPs inflation; chart 3). Evidence of the weak
inflation backdrop this week has come from the January round of business
surveys showing a significant drop in price setting intentions across
manufacturing, retail and services sectors. We expect RPI inflation to fall to 1%
y/y in the coming months. Supply in the form of the GBP3bn (GBP4.6bn cash)
IL58 syndication may also have weighed on B/Es. Valuations across the curve
are now between 3.5 and 4 standard-deviations below 1y or 2y averages (chart
2). At the shorter-end the sell-off has gone somewhat (about 10bp) beyond
what was implied by commodities, the currency and spot RPI trends alone
(chart 5). Still, we are reluctant to fade the cheapening, given the weak spot
RPI momentum and negative inflation sentiment and remain neutral. The B/E
curve has steepened over the past couple of weeks and now looks slightly less
out of line with the level of B/Es; we would maintain a steepening bias for now,
but see less upside from here. Cash has continued to underperform swaps in
the context of bond issuance and inflation weakness, and swap-cash B/E
spreads in 10y-20y are close to 1y wides (chart 6). We would have a
preference for bond B/Es from here.
Markus Heider (+44) 20 754 52167
6. Bond B/Es relatively cheap against swaps
50
GBPBE5Y
fitted, f(FX, commodities, spot RPI, formula effect dummy)
ILB rich (-) / cheap (+) vs CPI swaps
spot
40
1y mean
3.2
30
1y max
3.0
20
2.8
10
2.6
0
2.4
-10
2.2
-20
Source: Deutsche Bank
Deutsche Bank AG/London
Jul-13
UKTi68
UKTi62
UKTi55
UKTi52
UKTi50
UKTi47
UKTi44
UKTi42
UKTi40
UKTi37
UKTi35
UKTi34
UKTi32
UKTi30
UKTi29
UKTi27
UKTi24
UKTi22
UKTi19
2.0
Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12
UKTi17
1y min
Feb-14 Sep-14
Source: Deutsche Bank
Page 5
30 January 2015
DB Inflation Report: Weekly Inflation Update
USD

The ten-year sector has cheapened this week in both real yields and
breakevens, and looks less rich than it did a week ago. Some profit taking
has probably contributed.

In the long end, 30s have remained cheap given the recent flattening of the
breakeven curve. There will be a 30-year bond TIPS auction in February.
We expect a $9 billion new 2/15/2045 issue.

In the front end, the 1/2016 TIPS appear cheap relative to our NSA CPI
forecast, as the issue leaves the index at January month end. In our CPI
forecast, we expect the headline CPI to post a 0.7% monthly decline in
January, and the year-on-year CPI to be negative for most of 2015. In the
intermediate sector, 5s look cheap, as long as oil prices remain stable or
rise.

In the FOMC statement this week, the Fed acknowledged the recent
substantial decline in market-based measures of inflation compensation,
and that “inflation is anticipated to decline further in the near term.”
Mean-Reversion Trade?
The ten-year sector has cheapened this week in both real yields and
breakevens, and looks less rich than it did a week ago. Some profit taking has
probably contributed. One has to adjust the real yield spread and breakeven
spread between the 7/2024 and the new 1/2025 ten-year TIPS when evaluating
the spreads on a historical basis.
In the FOMC statement this week, the Fed acknowledged the recent
substantial decline in market-based measures of inflation compensation, and
that “inflation is anticipated to decline further in the near term.” However,
policymakers held the view that inflation gradually rises towards 2% over the
medium term, as the labor market recovers and energy prices stabilize.
5s-10s-30s real yield spread
5s-10s-30s breakeven spread
0.5
50
0.3
40
5s-10s-30s TIPS BE spread
0.1
30
-0.1
20
-0.3
10
-0.5
-0.7
Jan-12
Real Yield 5s-10s-30s
Jul-12
Jan-13
Source: Bloomberg and Deutsche Bank
Jul-13
Jan-14
Jul-14
Jan-15
0
-10
1/1/12
7/1/12
1/1/13
7/1/13
1/1/14
7/1/14
1/1/15
Source: Bloomberg and Deutsche Bank
In the long end, 30s have remained cheap given the recent flattening of the
breakeven curve. There will be a 30-year bond TIPS auction in February. We
expect a $9 billion new 2/15/2045 issue.
Page 6
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
The breakeven curve has flattened; 30-year looks cheap
1.2
5s-30s BE
1.0
0.8
0.6
0.4
0.2
0.0
1/1/10
1/1/11
1/1/12
1/1/13
1/1/14
1/1/15
Source: Bloomberg and Deutsche Bank
In the front end, the 1/2016 TIPS appear cheap relative to our NSA CPI forecast,
as the issue leaves the index at January month end. In our CPI forecast, we
expect the headline CPI to post a 0.7% monthly decline in January, and the
year-on-year CPI to be negative for most of 2015. In the intermediate sector, 5s
look cheap, as long as oil prices remain stable or go higher.
5s look cheap on asset swaps against Treasuries
Source: Deutsche Bank
1/2016 TIPS look cheap to our CPI forecast
BE Inflation
Implied CPI
DB forecast CPI
Rich/ Cheap
TII 1.875% 7/15/2015
TIPS
-0.92%
235.31
235.72
Cheap: 6 ti cks (37bp)
TII 2.000% 1/15/2016
0.01%
236.33
236.91
Cheap: 8 ti cks (25bp)
TII 0.125% 4/15/2016
0.36%
237.34
237.35
Cheap: 0 ti cks (00bp)
TII 2.500% 7/15/2016
1.02%
239.87
239.77
Ri ch: 1 ti cks (-03bp)
TII 2.375% 1/15/2017
1.00%
241.02
241.00
Ri ch: 0 ti cks (00bp)
Prices as of 1/28/2015. Source: Bloomberg and Deutsche Bank
Deutsche Bank AG/London
Page 7
30 January 2015
DB Inflation Report: Weekly Inflation Update
US CPI-U NSA y/y, actual and forecast
MoM CPI-U, actual and forecast (non-seasonallyadjusted)
6.0
0.6
%Y/Y
5.0
Projections
4.0
%MoM NSA
Projected
0.4
0.2
3.0
0.0
2.0
-0.2
1.0
0.0
-0.4
-1.0
-0.6
-2.0
-3.0
Jan-04
-0.8
Jan-06
Jan-08
Jan-10
Source: Bureau of Labor Statistics and Deutsche Bank
Jan-12
Jan-14
Jan-16
Source: Bureau of Labor Statistics and Deutsche Bank
Alex Li (+1) 212 250-5483
Page 8
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
DB Inflation Forecasts
Euro area
Headline HICP
Index % m/m
France
HICP excl. tobacco
% y/y
Index % m/m
HICP xefat*
% y/y
Index % m/m
UK
CPI excl. tobacco
% y/y
Index % m/m
RPI
% y/y
Index % m/m
% y/y
Mar-14
118.0
0.9
0.47 117.39
1.0
0.38
113.2
1.5
0.7 126.29
0.5
0.5
254.8
0.2
2.5
Apr-14
118.2
0.2
0.72 117.57
0.2
0.63
113.5
0.3
1.0 126.24
0.0
0.6
255.7
0.4
2.5
May-14
118.1
-0.1
0.49 117.44
-0.1
0.42
113.4
-0.1
0.7 126.27
0.0
0.6
255.9
0.1
2.4
Jun-14
118.2
0.1
0.50 117.57
0.1
0.43
113.5
0.1
0.8 126.22
0.0
0.3
256.3
0.2
2.6
Jul-14
117.4
-0.7
0.38 116.78
-0.7
0.34
112.6
-0.8
0.8 125.81
-0.3
0.4
256.0
-0.1
2.5
Aug-14
117.6
0.1
0.37 116.91
0.1
0.33
112.9
0.3
0.9 126.38
0.5
0.4
257.0
0.4
2.4
Sep-14
118.1
0.4
0.31 117.43
0.4
0.27
113.5
0.5
0.8 125.88
-0.4
0.2
257.6
0.2
2.3
Oct-14
118.0
-0.1
0.38 117.35
-0.1
0.33
113.6
0.0
0.7 125.92
0.0
0.4
257.7
0.0
2.3
Nov-14
117.8
-0.2
0.28 117.12
-0.2
0.22
113.5
-0.1
0.7 125.70
-0.2
0.3
257.1
-0.2
2.0
Dec-14
117.7
-0.1
-0.16 117.01
-0.1
-0.23
113.9
0.4
0.7 125.81
0.1
0.0
257.5
0.2
1.6
Jan-15
115.9
-1.6
-0.61 115.13
-1.6
-0.69
111.7
-1.9
0.6 124.60
-1.0
-0.4
255.5
-0.8
1.1
Feb-15
116.2
0.3
-0.65 115.43
0.3
-0.73
112.1
0.4
0.5 124.84
0.2
-0.7
256.9
0.5
1.1
Mar-15
117.5
1.1
-0.47 116.75
1.1
-0.55
113.9
1.6
0.6 125.76
0.7
-0.4
257.6
0.3
1.1
Apr-15
117.6
0.1
-0.49 116.91
0.1
-0.56
114.1
0.2
0.6 125.80
0.0
-0.3
258.9
0.5
1.3
May-15
117.7
0.1
-0.30 116.99
0.1
-0.38
114.2
0.0
0.7 125.93
0.1
-0.3
259.4
0.2
1.4
Jun-15
117.8
0.1
-0.33 117.08
0.1
-0.42
114.3
0.1
0.7 126.10
0.1
-0.1
259.6
0.1
1.3
Jul-15
117.0
-0.7
-0.34 116.28
-0.7
-0.43
113.3
-0.8
0.7 125.69
-0.3
-0.1
259.5
0.0
1.4
Q1 15
116.5
-1.1
-0.6
115.8
-1.2
-0.7
112.6
-0.9
0.5
125.1
-0.6
-0.5
256.7
-0.3
1.1
Q2 15
117.7
1.0
-0.4
117.0
1.1
-0.5
114.2
1.4
0.7
125.9
0.7
-0.2
259.3
1.0
1.3
Q3 15
117.3
-0.3
-0.3
116.6
-0.4
-0.4
113.7
-0.4
0.7
125.9
0.0
-0.1
260.5
0.5
1.4
Q4 15
118.0
0.6
0.2
117.3
0.6
0.1
114.5
0.7
0.79
126.1
0.2
0.3
262.1
0.6
1.8
Q1 16
117.7
-0.3
1.1
116.9
-0.3
1.0
113.7
-0.7
0.97
126.4
0.2
1.1
263.5
0.5
2.7
Q2 16
119.0
1.1
1.1
118.2
1.1
1.1
115.2
1.4
0.9
127.3
0.7
1.1
266.7
1.2
2.9
2013
117.2
1.4
116.6
1.3
112.1
1.1
125.4
0.7
250.1
3.0
2014
117.7
0.4
117.1
0.4
113.0
0.8
125.9
0.4
256.0
2.4
2015
117.4
-0.3
116.7
-0.4
113.8
0.7
125.8
-0.1
259.7
1.4
2016
118.8
1.2
118.0
1.2
114.9
1.0
127.2
1.1
267.1
2.8
Next release
Jan: 24-Jan
Jan: 19-Feb
Jan: 17-Feb
*HICP excluding energy, food, alcohol and tobacco
Source: Deutsche Bank
Deutsche Bank AG/London
Page 9
30 January 2015
DB Inflation Report: Weekly Inflation Update
DB Inflation Forecasts
US
Japan
CPI-U nsa
Sweden
Core CPI
Australia
CPI
CPI
Index
% m/m
% y/y
Index
% m/m
% y/y
Index
% m/m
% y/y
Mar-14
236.29
0.6
1.5
100.8
0.3
1.3
312.7
0.0
-0.6
Apr-14
237.07
0.3
2.0
103.0
2.2
3.2
313.9
0.4
0.0
May-14
237.90
0.3
2.1
103.4
0.4
3.4
314.1
0.1
-0.2
Jun-14
238.34
0.2
2.1
103.4
0.0
3.4
314.7
0.2
0.2
Jul-14
238.25
0.0
2.0
103.5
0.1
3.4
313.7
-0.3
0.0
Aug-14
237.85
-0.2
1.7
103.5
0.0
3.1
313.4
-0.1
-0.2
Sep-14
238.03
0.1
1.7
103.5
0.0
3.0
313.9
0.2
-0.4
Oct-14
237.43
-0.3
1.7
103.6
0.1
2.9
314.0
0.1
-0.1
Nov-14
236.15
-0.5
1.3
103.4
-0.2
2.7
313.6
-0.1
-0.2
Dec-14
234.81
-0.6
0.8
103.2
-0.2
2.6
314.1
0.2
-0.3
Jan-15
233.18
-0.7
-0.3
310.2
-1.2
-0.4
Feb-15
233.50
0.1
-0.5
311.8
0.5
-0.3
Mar-15
234.27
0.3
-0.9
313.3
0.5
0.2
Apr-15
235.39
0.5
-0.7
314.2
0.3
0.1
May-15
236.04
0.3
-0.8
314.7
0.2
0.2
Jun-15
236.42
0.2
-0.8
315.1
0.1
0.1
Jul-15
236.61
0.1
-0.7
314.6
-0.2
0.3
Q1 15
233.7
-1.1
-0.6
311.8
-0.7
-0.2
Q2 15
236.0
1.0
-0.8
314.7
0.9
0.1
Q3 15
237.0
0.4
-0.4
315.3
0.2
0.5
Q4 15
236.8
-0.1
0.3
317.5
0.7
1.2
Q1 16
237.7
0.4
1.7
316.8
-0.2
1.6
Q2 16
240.0
1.0
1.7
319.7
0.9
1.6
2013
233.0
1.5
100.1
0.4
314.1
0.0
2014
236.7
1.6
102.7
2.6
313.5
-0.2
2015
235.8
-0.4
314.8
0.4
2016
239.9
1.7
319.9
1.6
Next release
Jan: 26-Feb
Jan: 26-Feb
Index
% m/m
% y/y
Jan: 17-Feb
Source: Deutsche Bank
Page 10
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
DB Inflation Forecasts
Hong Kong
Korea
CPI
Thailand
CPI
CPI
Index
% m/m
% y/y
Index
% m/m
% y/y
Index
% m/m
% y/y
Mar-14
118.5
-0.3
3.9
109.0
0.2
1.3
106.9
0.2
2.1
Apr-14
119.3
0.7
3.7
109.1
0.1
1.5
107.5
0.5
2.5
May-14
119.2
-0.1
3.7
109.2
0.2
1.7
107.9
0.4
2.6
Jun-14
119.3
0.1
3.6
109.1
-0.1
1.7
107.8
-0.1
2.4
Jul-14
120.5
1.0
4.0
109.3
0.1
1.6
107.7
-0.1
2.2
Aug-14
117.6
-2.4
3.9
109.5
0.2
1.4
107.6
-0.1
2.1
Sep-14
121.2
3.1
6.6
109.4
-0.1
1.1
107.4
-0.2
1.8
Oct-14
122.9
1.4
5.2
109.1
-0.3
1.2
107.3
-0.1
1.5
Nov-14
123.1
0.2
5.1
108.8
-0.2
1.0
107.2
-0.1
1.3
Dec-14
123.4
0.2
4.9
108.8
0.0
0.8
106.7
-0.5
0.6
Jan-15
123.0
-0.3
4.0
109.4
0.5
0.8
106.8
0.1
0.3
Feb-15
123.6
0.4
4.0
110.0
0.6
1.1
107.0
0.2
0.3
Mar-15
123.2
-0.3
4.0
110.2
0.2
1.1
107.4
0.3
0.4
Apr-15
124.1
0.7
4.0
110.3
0.1
1.1
108.0
0.6
0.5
May-15
124.1
0.0
4.1
110.4
0.2
1.1
108.4
0.4
0.5
Jun-15
124.2
0.1
4.1
110.4
0.0
1.2
108.5
0.1
0.7
Jul-15
124.5
0.2
3.3
110.8
0.3
1.4
108.7
0.1
0.9
Q1 15
123.3
0.1
4.0
109.8
0.9
1.0
107.1
0.0
0.3
Q2 15
124.1
0.7
4.1
110.4
0.5
1.1
108.3
1.2
0.6
Q3 15
123.4
-0.5
3.1
111.2
0.7
1.7
108.8
0.4
1.1
Q4 15
126.6
2.5
2.8
111.2
0.0
2.1
108.9
0.1
1.8
Q1 16
126.7
0.1
2.8
112.0
0.7
2.0
109.6
0.6
2.3
Q2 16
127.7
0.7
2.9
112.8
0.7
2.2
110.9
1.3
2.4
2013
115.1
4.3
107.7
1.3
105.3
2.2
2014
120.2
4.4
109.0
1.3
107.3
1.9
2015
124.4
3.5
110.6
1.5
108.3
0.9
2016
128.4
3.2
113.0
2.1
110.8
2.4
Next release
Jan: 23 -Feb
Jan: 3- Feb
Jan: 2- Feb
Source: Deutsche Bank
Deutsche Bank AG/London
Page 11
30 January 2015
DB Inflation Report: Weekly Inflation Update
CPI data calendar
Date
Time (GMT)
Country
03-Feb
10:00
Italy
03-Feb
10:00
Euro Area
Indicator
Forecast
HICP preliminary, Jan, % mom
Consensus
Previous
-2.4
HICP preliminary, Jan, % yoy
0.0
-0.4
0.0
PPI, Dec, % mom
-1.1
-0.7
-0.3
PPI, Dec, % yoy
-2.8
-2.5
-1.6
Source: Deutsche Bank
Mon, 02
Reserve Bank of Australia to hold board meeting and announce interest rate decision –
00.00 GMT
Wed, 04
ECB to hold Governing Council non-monetary policy meeting in Frankfurt 8:00 GMT;
Page 12
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
Inflation linked bonds auction calendar
Date
Country
Bond
Volume
04-Feb-15
UK
UKTI - 03/24
GBP 1.2 bn
05-Feb-15
SE
SGBi - 06/19
SEK 1 bn
05-Feb-15*
ES
SPGBei
10-Feb-15
DE
OBLi/DBRi
10-Feb-15
AU
ACGBi
19-Feb-15
US
30y TIPS
19-Feb-15
SE
SGBi
19-Feb-15
FR
OATi/OATei
24-Feb-15
IT
BTPSi
05-Mar-15*
ES
SPGBei
05-Mar-15
SE
SGBi
10-Mar-15
DE
OBLi/DBRi
11-Mar-15
CA
30Y RRB
12-Mar-15
UK
UKTI – 11/37
19-Mar-15
US
10y TIPS
19-Mar-15
SE
SGBi
19-Mar-15
FR
OATi/OATei
26-Mar-15
IT
BTPSi
07-Apr-15
DE
OBLi/DBRi
09-Apr-15*
ES
SPGBei
16-Apr-15
SE
SGBi
16-Apr-15
FR
OATi/OATei
23-Apr-15
US
5y TIPS
Source: Deutsche Bank
Gross sovereign inflation supply
US
UK
France
Germany
Italy
Japan
Spain
Sweden
Australia
Canada
USD, bn
GBP, bn
EUR, bn
EUR, bn
EUR, bn
JPY, bn
EUR, bn
SEK, bn
AUD, bn
CAD, bn
65
14.5
18
6
16.1
3040
-
5
0
2.2
2008
62
16.1
15.5
7
18
2095
-
2.6
0
2.2
2009
59.4
28.2
12.3
5
17.3
0
-
3
4.3
2.2
2010
87.8
30.7
20.4
11
16.3
0
-
7.7
3.9
2.2
2011
134.6
33
20
8
15.5
0
-
6
1.8
2.2
2012
135.8
27.2
17.1
9
9.9
0
-
6.5
0.50
1.5
2013
155
32.6
16.8
10.0
10.8
344
-
11.5
4.6
2.2
2014
155
29.3
17.6
11
14.5
1657.4
12.4
16.8
4.1
2.2
15
4.04
1.8
1
1
559.1
0
1
0
0
2007
2015 ytd
2015 fcst
Source: Deutsche Bank * indicates respective fiscal year estimates. Figures are either official debt advisory or management agencies’ estimates or DB forecasts. All figures indicate nominal amount issued.
*As per Spanish Treasury, Indexed Linked bonds could be auctioned on these dates .
Deutsche Bank AG/London
Page 13
30 January 2015
DB Inflation Report: Weekly Inflation Update
USD inflation-linked bonds
size
Local
bn
price
risk
real-yield
real
clean
nom
dirty
mod
durat
dv01
spot
%
1W
bp
breakeven
1M
bp
spot
%
1W
bp
ASW
1M Netz
bp prcds sprd
z-sprd
diff
Richness
comparator
US CPI Urban NSA
TIIApr 0.50 Apr-15
21.2
99.0
108.0
0.2
0.2
5.66
5
69
-5.62
-4
-66
T 2.50 Apr-15
TIIJul 1.88 Jul-15
17.0
100.5
122.1
0.4
0.5
0.86
-42
-45
-0.76
41
38
T 4.25 Aug-15
TIIJan 2.00 Jan-16
17.0
101.8
121.2
0.9
1.1
0.11
-23
-44
0.10
23
33
T 4.50 Feb-16
TIIApr 0.13 Apr-16
38.4
100.4
107.4
1.2
1.3
-0.18
-21
-54
0.45
22
40
-7
-7
14
14
T 2.00 Apr-16
TIIJul 2.50 Jul-16
20.0
104.8
122.6
1.4
1.8
-0.76
-21
-52
1.08
17
30
-19
-19
5
2
T 4.88 Aug-16
TIIJan 2.38 Jan-17
17.2
105.8
124.0
1.9
2.4
-0.56
-19
-53
1.04
15
28
-18
-18
5
4
T 4.63 Feb-17
TIIApr 0.13 Apr-17
44.4
101.3
105.4
2.2
2.3
-0.47
-21
-60
1.03
16
31
-12
-13
10
10
T 0.88 Apr-17
TIIJul 2.63 Jul-17
14.0
108.5
123.8
2.4
3.0
-0.81
-22
-63
1.45
14
30
-18
-19
4
4
T 4.75 Aug-17
TIIJan 1.63 Jan-18
16.4
106.5
120.1
2.9
3.5
-0.55
-23
-66
1.37
14
31
-11
-11
5
9
T 3.50 Feb-18
TIIApr 0.13 Apr-18
50.0
101.7
103.9
3.2
3.3
-0.39
-22
-66
1.26
14
26
-3
-3
14
15
T 0.63 Apr-18
TIIJul 1.38 Jul-18
15.0
106.9
117.1
3.4
4.0
-0.59
-23
-67
1.48
14
28
-5
-5
15
12
T 4.00 Aug-18
TIIJan 2.13 Jan-19
14.7
110.1
121.2
3.8
4.6
-0.41
-24
-70
1.44
12
27
-4
-4
12
11
T 2.75 Feb-19
TIIApr 0.13 Apr-19
50.0
101.8
102.6
4.2
4.3
-0.30
-24
-71
1.37
12
22
-1
-1
16
15
T 1.63 Apr-19
TIIJul 1.88 Jul-19
15.2
110.4
122.2
4.3
5.3
-0.44
-24
-72
1.57
11
25
-1
-1
12
14
T 3.63 Aug-19
TIIJan 1.38 Jan-20
19.0
108.3
118.3
4.8
5.7
-0.28
-23
-69
1.47
10
20
0
0
16
16
T 3.63 Feb-20
TIIJul 1.25 Jul-20
32.4
108.6
117.7
5.3
6.2
-0.32
-22
-68
1.62
9
17
1
1
13
15
T 2.63 Aug-20
TIIJan 1.13 Jan-21
36.7
107.7
116.3
5.8
6.7
-0.16
-21
-64
1.53
8
13
5
5
15
15
T 3.63 Feb-21
TIIJul 0.63 Jul-21
35.8
105.3
110.3
6.3
7.0
-0.19
-21
-64
1.63
8
12
6
6
15
16
T 2.13 Aug-21
TIIJan 0.13 Jan-22
41.3
101.5
105.9
6.9
7.3
-0.09
-20
-61
1.56
7
9
5
5
17
16
T 2.00 Feb-22
TIIJul 0.13 Jul-22
41.0
101.8
104.5
7.4
7.8
-0.11
-20
-60
1.63
7
7
7
7
18
18
T 1.63 Aug-22
TIIJan 0.13 Jan-23
41.0
101.3
103.6
7.9
8.2
-0.03
-20
-59
1.59
7
7
6
6
17
17
T 2.00 Feb-23
TIIJul 0.38 Jul-23
41.0
103.6
105.2
8.3
8.8
-0.05
-18
-59
1.65
5
7
8
8
19
19
T 2.50 Aug-23
TIIJan 0.63 Jan-24
41.0
105.4
106.7
8.7
9.3
0.02
-19
-57
1.60
6
5
10
10
21
20
T 2.75 Feb-24
TIIJul 0.13 Jul-24
41.0
101.4
100.8
9.4
9.5
-0.02
-18
-57
1.68
5
5
9
9
19
19
T 2.38 Aug-24
TIIJan 0.25 Jan-25
15.0
102.2
101.8
9.8
10.0
0.03
-16
1.63
3
9
8
20
19
T 2.25 Nov-24
TIIJan 2.00 Jan-26
20.0
120.3
143.2
10.0
14.3
0.13
-15
-52
1.61
4
2
18
18
24
23
T 6.00 Feb-26
TIIJan 2.38 Jan-27
16.5
125.7
147.3
10.6
15.7
0.20
-16
-47
1.60
6
-1
23
23
26
27
T 6.63 Feb-27
TIIJan 1.75 Jan-28
15.6
119.1
134.3
11.8
15.8
0.25
-14
-43
1.61
5
-2
27
27
27
29
T 6.13 Nov-27
TIIApr 3.63 Apr-28
16.8
143.9
211.6
11.0
23.3
0.24
-14
-42
1.67
5
-2
24
25
23
28
T 5.50 Aug-28
TIIJan 2.50 Jan-29
14.2
130.4
143.5
12.1
17.4
0.28
-13
-41
1.65
5
-3
28
28
27
29
T 5.25 Nov-28
TIIApr 3.88 Apr-29
19.5
150.0
217.0
11.6
25.2
0.28
-13
-41
1.66
5
-2
26
28
25
29
T 5.25 Feb-29
TIIApr 3.38 Apr-32
5.0
150.0
200.9
13.9
28.0
0.37
-13
-41
1.62
5
-2
31
32
30
32
T 5.38 Feb-31
TIIFeb 2.13 Feb-40
15.2
139.3
153.3
20.3
31.2
0.46
-13
-37
1.72
1
-12
35
33
25
22
T 4.63 Feb-40
TIIFeb 2.13 Feb-41
24.0
140.7
152.8
21.0
32.1
0.46
-13
-37
1.69
1
-12
35
33
28
26
T 4.75 Feb-41
TIIFeb 0.75 Feb-42
23.1
106.0
111.1
24.5
27.2
0.51
-12
-36
1.70
-1
-16
44
36
28
24
T 3.13 Feb-42
TIIFeb 0.63 Feb-43
23.0
103.1
106.2
25.7
27.2
0.51
-13
-37
1.73
0
-15
43
35
25
20
T 3.13 Feb-43
TIIFeb 1.38 Feb-44
23.0
123.7
126.0
24.5
30.8
0.50
-12
-38
1.73
-1
-14
40
35
25
22
T 3.63 Feb-44
valuation date: 30-Jan-15
*Net-prcds is the net proceeds ASW margin vs 3M Libor in bp; z-sprd is the z-spread of the linker vs 3M Libor in bp; z-sprd diff is the z-spread of the linker and that of its nominal comparator; richness is the ‘CPI swap
richness or the cheapness (+) or richness (-) of the linker relative to the underlying nominal government bond curve
Source: Bloomberg Finance LP, Deutsche Bank
Page 14
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
EUR inflation-linked bonds
size
price
risk
real-yield
Local
bn
real
clean
nom
dirty
mod
durat
dv01
DBRei 1.50 Apr-16
15.0
100.5
118.1
1.2
OBLei 0.75 Apr-18
15.0
103.0
110.0
3.2
DBRei 1.75 Apr-20
15.0
112.1
124.2
5.0
DBRei 0.10 Apr-23
16.0
107.1
110.9
DBRei 0.50 Apr-30
5.0
118.5
120.0
OATei 1.60 Jul-15
11.6
100.3
120.8
OATei 0.25 Jul-18
10.6
102.4
OATei 2.25 Jul-20
20.0
OATei 1.10 Jul-22
breakeven
ASW
spot
%
1W
bp
1M
bp
spot
%
1W
bp
1M
bp
Par/
z
par sprd
z-sprd
diff
Richness
1.4
1.04
11
23
-1.22
-12
-30
3.5
-0.19
9
-8
0.00
-11
-1
-26
6.2
-0.54
0
-14
0.44
-3
4
8.2
9.1
-0.74
1
-29
0.85
-4
14.8
17.7
-0.66
-7
-44
1.14
-6
0.5
0.6
0.93
6
38
-1.08
-8
-48
106.5
3.5
3.7
-0.43
6
-13
0.37
-8
115.9
142.8
5.2
7.4
-0.61
0
-30
0.68
17.1
112.9
123.0
7.2
8.9
-0.58
7
-30
OATei 0.25 Jul-24
9.5
107.2
108.9
9.4
10.2
-0.49
5
OATei 1.85 Jul-27
9.9
129.0
138.8
11.4
15.8
-0.41
OATei 0.70 Jul-30
3.9
116.1
116.6
14.8
17.2
-0.31
OATei 3.15 Jul-32
9.6
161.4
201.4
14.5
29.2
-0.28
OATei 1.80 Jul-40
9.4
148.5
170.9
21.5
36.8
-0.08
BTPei 2.10 Sep-16
9.1
102.1
110.1
1.6
1.7
0.77
BTPei 2.10 Sep-17
13.8
104.2
121.9
2.5
3.1
0.49
BTPei 1.70 Sep-18
10.7
104.7
106.4
3.5
3.7
BTPei 2.35 Sep-19
17.3
108.7
121.2
4.3
BTPei 2.10 Sep-21
16.4
109.8
119.8
6.1
BTPei 2.60 Sep-23
16.5
115.9
133.3
BTPei 2.35 Sep-24
8.2
114.8
116.1
BTPei 3.10 Sep-26
6.6
123.9
BTPei 2.35 Sep-35
13.1
BTPei 2.55 Sep-41
7.2
SPGei 0.55 Nov-19
SPGei 1.80 Nov-24
comparator
-16
12
11
DBR 4.00 Jan-18
-31
-19
11
10
DBR 3.25 Jan-20
9
-37
-26
6
6
DBR 1.50 Feb-23
4
-28
-18
11
9
DBR 6.25 Jan-30
7
-8
1
17
17
OAT 4.00 Apr-18
-2
15
-11
-1
14
13
OAT 3.50 Apr-20
0.84
-9
11
-4
5
15
14
OAT 3.00 Apr-22
-28
0.96
-6
2
3
11
16
15
OAT 2.25 May-24
3
-38
1.08
-6
3
12
16
12
9
OAT 3.50 Apr-26
-1
-47
1.25
-5
1
21
24
14
13
OAT 2.50 May-30
1
-44
1.27
-7
-3
41
26
15
13
OAT 5.75 Oct-32
3
-41
1.33
-9
-9
68
44
21
17
OAT 4.00 Oct-38
27
9
-0.48
-25
-26
23
-10
-0.01
-18
-5
66
63
24
24
BTP 3.50 Nov-17
0.39
27
-22
0.20
-22
8
66
73
25
23
BTP 4.50 Aug-18
5.3
0.44
28
-13
0.33
-20
0
95
90
30
29
BTP 4.25 Sep-19
7.4
0.58
19
-23
0.58
-13
5
122
114
28
26
BTP 3.75 Aug-21
7.7
10.3
0.70
23
-29
0.76
-18
4
149
125
24
22
BTP 4.75 Aug-23
8.6
10.0
0.76
22
-36
0.82
-16
8
136
130
26
24
BTP 3.75 Sep-24
132.5
9.9
13.1
0.93
23
-36
0.82
-18
1
174
146
32
27
BTP 4.50 Mar-26
123.3
148.3
16.6
24.7
1.09
8
-51
1.32
-14
2
233
158
11
1
BTP 5.00 Aug-34
127.0
138.9
20.0
27.8
1.34
11
-67
1.27
-18
11
267
184
25
19
BTP 5.00 Sep-40
5.0
101.3
101.4
4.8
4.8
0.28
35
-7
0.49
-22
6
68
76
18
15
SPG 4.30 Oct-19
7.4
112.9
113.3
9.1
10.3
0.45
23
-21
0.97
-18
3
101
99
12
10
SPG 2.75 Oct-24
BTANi 0.45 Jul-16
12.1
101.2
106.3
1.5
1.6
-0.37
15
-23
0.26
-14
16
OATi 1.00 Jul-17
20.2
103.9
118.1
2.5
2.9
-0.56
4
-32
0.47
-5
27
-19
-9
8
8
OAT 3.75 Apr-17
OATi 1.30 Jul-19
10.8
109.2
116.9
4.4
5.1
-0.72
2
-31
0.70
-4
20
-8
1
18
18
OAT 4.25 Apr-19
OATi 0.10 Jul-21
6.7
105.6
106.5
6.5
6.9
-0.74
2
-36
0.90
-4
19
0
9
21
20
OAT 3.75 Apr-21
OATi 2.10 Jul-23
12.9
124.2
137.3
7.9
10.9
-0.67
3
-34
1.05
-4
11
9
14
21
21
OAT 4.25 Oct-23
OATi 3.40 Jul-29
8.0
157.3
198.8
12.2
24.3
-0.43
2
-37
1.26
-7
-5
45
30
23
21
OAT 5.50 Apr-29
CADESi 1.85 Jul-17
2.0
105.7
118.3
2.4
2.9
-0.45
1
0.40
-2
CADESi 1.85 Jul-19
2.4
110.9
128.7
4.3
5.6
-0.55
3
0.60
-6
CADES 4.00 Oct-19
CADESi 1.50 Jul-21
3.3
113.8
120.0
6.2
7.5
-0.58
3
0.77
-5
CADES 3.38 Apr-21
euro-zone HICP ex-tob
DBR 3.50 Jan-16
OAT 3.50 Apr-15
BTP 3.75 Aug-16
French CPI ex tob
OAT 3.25 Apr-16
CADES 4.13 Apr-17
valuation date: 30-Jan-15
*Par/par is the par/par ASW margin vs 6M Libor in bp; z-sprd is the z-spread of the linker vs 3M Libor in bp; z-sprd diff is the z-spread of the linker and that of its nominal comparator; richness is the ‘CPI swap richness or
the cheapness (+) or richness (-) of the linker relative to the underlying nominal government bond curve
Source: Bloomberg Finance LP, Deutsche Bank
Deutsche Bank AG/London
Page 15
30 January 2015
DB Inflation Report: Weekly Inflation Update
GBP inflation-linked bonds
size
price
risk
Local
bn
real
clean
nom
dirty
mod
durat
UKTi8 2.50 Jul-16
7.9
327.5
327.7
UKTi8 2.50 Apr-20
6.6
366.6
368.9
UKTi8 2.50 Jul-24
6.8
350.6
UKTi8 4.13 Jul-30
4.8
UKTi8 2.00 Jan-35
9.1
UKTi 1.25 Nov-17
UKTi 0.13 Nov-19
real-yield
breakeven
ASW
dv01
spot
%
1W
bp
1M
bp
spot
%
1W
bp
1M Netz
bp prcds sprd
z-sprd
diff
Richness
1.5
4.8
-1.21
19
36
1.56
-17
-45
4.9
18.2
-1.21
12
11
2.12
-19
-46
9
350.9
8.7
30.5
-1.03
4
-7
2.34
-18
-40
347.2
347.4
12.8
44.5
-0.96
5
-14
2.64
-16
241.8
241.8
17.5
42.4
-0.97
3
-21
2.88
-13
11.8
107.6
143.2
2.8
4.0
-1.41
10
7
1.93
8.2
107.2
110.4
4.8
5.3
-1.32
9
2
2.18
UKTi 1.88 Nov-22
15.7
124.8
156.4
7.4
11.5
-1.15
5
-7
UKTi 0.13 Mar-24
13.1
111.0
117.8
9.1
10.8
-1.02
2
UKTi 1.25 Nov-27
14.2
130.8
173.6
12.1
20.9
-1.00
UKTi 0.13 Mar-29
14.2
116.1
125.8
14.1
17.7
-0.94
UKTi 1.25 Nov-32
12.8
143.9
170.7
16.4
28.0
UKTi 0.75 Mar-34
14.6
135.5
150.3
18.1
UKTi 1.13 Nov-37
12.1
153.2
195.0
20.9
UKTi 0.63 Mar-40
12.4
144.4
171.8
UKTi 0.63 Nov-42
11.9
150.5
182.3
UKTi 0.13 Mar-44
15.7
134.7
UKTi 0.75 Nov-47
11.7
UKTi 0.50 Mar-50
UKTi 0.25 Mar-52
comparator
19
36
35
UKT 4.75 Mar-20
22
34
33
31
UKT 5.00 Mar-25
-38
30
42
24
24
UKT 4.75 Dec-30
-30
39
45
13
11
UKT 4.25 Mar-36
-12
-26
-8
0
32
32
UKT 1.00 Sep-17
-15
-33
-1
9
28
24
UKT 3.75 Sep-19
2.32
-16
-36
13
24
30
29
UKT 1.75 Sep-22
-12
2.33
-16
-35
20
30
29
27
UKT 5.00 Mar-25
1
-17
2.50
-14
-34
30
39
29
27
UKT 4.25 Dec-27
2
-19
2.61
-14
-32
37
43
24
25
UKT 4.75 Dec-30
-1.00
2
-21
2.76
-14
-30
36
42
18
12
UKT 4.25 Jun-32
27.3
-0.94
3
-22
2.80
-13
-29
42
45
17
11
UKT 4.50 Sep-34
40.7
-0.96
4
-24
2.90
-15
-27
46
48
15
9
UKT 4.75 Dec-38
23.8
40.8
-0.94
5
-25
2.94
-15
-26
50
48
11
5
UKT 4.25 Dec-40
26.2
47.7
-0.96
5
-26
2.95
-15
-25
51
47
11
4
UKT 4.50 Dec-42
143.0
28.8
41.2
-0.91
5
-26
2.96
-15
-25
57
49
11
4
UKT 3.25 Jan-44
165.3
204.7
30.2
61.9
-0.94
5
-27
2.96
-15
-25
52
46
11
7
UKT 4.25 Dec-46
12.2
160.0
193.0
33.1
63.9
-0.94
4
-27
2.94
-15
-25
53
45
11
7
UKT 4.25 Dec-49
12.0
152.4
162.0
36.0
58.4
-0.93
5
-27
2.95
-15
-25
58
46
10
6
UKT 3.75 Jul-52
UKTi 1.25 Nov-55
10.2
209.9
281.1
35.3
99.3
-0.95
5
-27
2.93
-15
-25
51
45
12
11
UKT 4.25 Dec-55
UKTi 0.13 Mar-58
8.0
155.6
156.4
42.5
66.4
-0.92
4
-28
2.92
-15
-25
64
47
13
13
UKT 4.00 Jan-60
UKTi 0.38 Mar-62
12.5
178.0
194.2
44.6
86.6
-0.94
5
-27
2.93
-15
-25
65
47
14
12
UKT 4.00 Jan-60
UKTi 0.13 Mar-68
9.8
173.6
178.8
52.2
93.3
-0.94
4
-29
2.95
-15
-24
75
48
13
11
UKT 3.50 Jul-68
UK RPI
UKT 4.00 Sep-16
valuation date: 30-Jan-15
*Net-prcds is the net proceeds ASW margin vs 6M Libor in bp; z-sprd is the z-spread of the linker vs 3M Libor in bp; z-sprd diff is the z-spread of the linker and that of its nominal comparator; richness is the ‘CPI swap
richness or the cheapness (+) or richness (-) of the linker relative to the underlying nominal government bond curve
Source: Bloomberg Finance LP, Deutsche Bank
Page 16
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
Other inflation-linked bonds
size
price
risk
real-yield
breakeven
ASW
Local
bn
real
clean
nom
dirty
mod
durat
dv01
spot
%
1W
bp
1M
bp
spot
%
1W
bp
1M Netz
bp prcds sprd
z-sprd
diff
Richness
comparator
JGBi 0.50 Jun-15
54.8
101.1
105.3
0.4
0.4
-3.00
-9
-25
3.02
10
26
JGB 1.30 Jun-15
JGBi 0.80 Sep-15
61.5
102.0
106.1
0.6
0.6
-2.73
-5
-16
2.74
6
17
JGB 1.40 Sep-15
JGBi 0.80 Dec-15
93.8
102.7
106.3
0.9
0.9
-2.49
-3
-10
2.50
4
11
JGB 1.50 Dec-15
JGBi 0.80 Mar-16
52.5
104.1
108.0
1.1
1.2
-3.03
-4
-12
3.04
6
15
JGB 1.60 Mar-16
JGBi 1.00 Jun-16
203.4
105.2
109.2
1.4
1.5
-2.90
-4
-11
2.91
5
13
JGB 1.90 Jun-16
JGBi 1.10 Sep-16
141.3
106.2
109.9
1.6
1.8
-2.79
-3
-9
2.80
4
12
JGB 1.70 Sep-16
JGBi 1.10 Dec-16
249.4
107.0
110.2
1.9
2.0
-2.68
-2
-7
2.69
6
11
JGB 1.70 Dec-16
JGBi 1.20 Mar-17
128.3
108.7
112.7
2.1
2.4
-2.89
-2
-8
2.91
5
13
JGB 1.70 Mar-17
JGBi 1.20 Jun-17
277.4
108.6
112.8
2.3
2.6
-2.42
-2
-5
2.44
4
9
JGB 1.80 Jun-17
JGBi 1.30 Sep-17
113.0
109.6
113.6
2.6
2.9
-2.32
-2
-5
2.34
4
8
JGB 1.70 Sep-17
JGBi 1.20 Dec-17
381.3
109.7
113.1
2.8
3.2
-2.14
-1
-3
2.15
4
6
JGB 1.50 Dec-17
JGBi 1.40 Mar-18
134.3
111.2
114.4
3.1
3.5
-2.13
-1
-3
2.15
5
7
JGB 1.30 Mar-18
JGBi 1.40 Jun-18
431.3
111.2
114.2
3.3
3.8
-1.88
-1
-2
1.90
3
4
JGB 1.80 Jun-18
JGBi 0.10 Sep-23
646.7
105.6
109.2
8.6
9.4
-0.55
3
-3
0.74
1
-1
JGB 0.80 Sep-23
JGBi 0.10 Mar-24
821.7
105.6
108.6
9.1
9.9
-0.52
3
-2
0.75
2
-1
JGB 0.60 Mar-24
JGBi 0.10 Sep-24
1091.8
106.1
106.1
9.6
10.2
-0.53
3
-2
0.79
1
-2
JGB 0.50 Sep-24
SGBi 3.50 Dec-15
23.3
126.1
126.9
0.8
1.0
-0.16
-3
-24
0.12
-6
5
SGB 4.50 Aug-15
SGBi 0.50 Jun-17
38.3
106.2
106.5
2.3
2.5
-0.60
-3
-30
0.46
-2
17
SGB 3.75 Aug-17
SGBi 4.00 Dec-20
29.4
162.3
163.2
5.4
8.8
-0.52
-3
-27
0.70
-3
4
SGB 5.00 Dec-20
SGBi 0.25 Jun-22
28.8
106.6
106.7
7.3
7.8
-0.52
0
-26
0.87
-5
1
SGB 3.50 Jun-22
SGBi 1.00 Jun-25
15.8
115.2
115.9
9.9
11.5
-0.46
0
-30
1.08
-5
0
SGB 2.50 May-25
SGBi 3.50 Dec-28
43.4
190.7
191.4
11.8
22.6
-0.41
1
-33
1.41
-10
-9
SGB 2.25 Jun-32
CANi 4.25 Dec-21
5.2
134.2
203.6
6.1
12.4
-0.65
-19
-75
1.39
1
2
CAN 9.75 Jun-21
CANi 4.25 Dec-26
5.3
154.9
222.1
9.9
22.1
-0.31
-18
-68
1.67
0
5
CAN 8.00 Jun-27
CANi 4.00 Dec-31
5.8
168.8
232.4
13.5
31.4
-0.07
-23
-56
1.78
8
2
CAN 5.75 Jun-33
CANi 3.00 Dec-36
5.9
163.5
199.6
17.5
34.9
0.07
-19
-50
1.74
4
-2
CAN 5.00 Jun-37
CANi 2.00 Dec-41
6.6
148.3
167.5
22.1
37.0
0.16
-16
-47
1.70
2
-3
CAN 4.00 Jun-41
CANi 1.50 Dec-44
7.7
138.0
149.9
25.1
37.6
0.19
-16
-46
1.68
1
-2
CAN 3.50 Dec-45
CANi 1.25 Dec-47
2.9
133.3
133.5
27.9
37.8
0.20
-15
-46
1.67
0
-3
CAN 3.50 Dec-45
ACGBi 4.00 Aug-15
1.2
176.3
177.8
0.5
0.9
1.41
-2
3
0.86
-23
-23
ACG 6.25 Apr-15
ACGBi 1.00 Nov-18
3.8
104.9
105.1
3.7
3.9
0.42
-10
-8
1.51
-9
-18
ACG 3.25 Oct-18
ACGBi 4.00 Aug-20
5.0
192.9
194.2
5.0
9.7
0.38
-8
-13
1.64
-12
-19
ACG 4.50 Apr-20
ACGBi 1.25 Feb-22
4.3
113.2
113.5
6.7
7.7
0.37
-8
-14
1.83
-17
-26
ACG 5.75 Jul-22
ACGBi 3.00 Sep-25
5.5
146.0
146.4
9.3
13.6
0.39
-7
-23
1.99
-18
-22
ACG 3.25 Apr-25
ACGBi 2.50 Sep-30
3.3
144.9
145.3
13.3
19.3
0.54
-9
-28
2.04
-17
-21
ACG 3.25 Apr-29
ACGBi 2.00 Aug-35
2.7
130.5
131.0
17.3
22.6
0.66
-7
-32
1.92
-18
-16
ACG 3.25 Apr-29
JPY CPI
SEK CPI
CAD CPI
AUD CPI
Source: Bloomberg Finance LP, Deutsche Bank
Deutsche Bank AG/London
Page 17
30 January 2015
DB Inflation Report: Weekly Inflation Update
TIPS forwards
Real yield
spot
Breakeven
carry (bp)
(%) 02-Mar
1M 02-Apr
2M
spot
3M
6M
9M
B/E protection (bp)
(%) 02-Mar
1M 02-Apr
2M
3M
6M
9M
150
US CPI-U NSA
TIIApr15
5.66
-124
-124
TIIJul15
0.86
-138
-138
-391
-5.62
-120
-120
-0.76
-138
TIIJan16
0.11
-66
-66
-159
-159
-156
-10
-138
-389
136
0.10
-67
-67
-160
-160
-158
-15
TIIApr16
-0.18
-53
-53
-125
-125
-122
TIIJul16
-0.77
-47
-47
-109
-109
-110
-28
12
0.45
-54
-54
-127
-127
-125
-34
12
-52
-56
1.08
-48
-48
-111
-111
-113
-59
-61
TIIJan17
-0.56
-34
-34
-77
-77
TIIApr17
-0.47
-29
-29
-66
-66
-75
-27
-20
1.04
-35
-35
-80
-80
-80
-38
-33
-63
-20
-11
1.03
-31
-31
-69
-69
-68
-31
TIIJul17
-0.81
-28
-28
-62
-26
-62
-61
-27
-26
1.45
-29
-29
-66
-66
-67
-39
TIIJan18
-0.55
-22
-22
-42
-49
-49
-47
-16
-10
1.37
-24
-24
-53
-53
-54
-29
TIIApr18
-0.39
-20
-30
-20
-44
-44
-41
-11
-4
1.26
-21
-21
-48
-48
-47
-24
TIIJul18
-0.59
-22
-19
-19
-42
-42
-40
-14
-10
1.48
-21
-21
-46
-46
-46
-27
TIIJan19
-27
-0.41
-16
-16
-36
-36
-34
-9
-4
1.44
-18
-18
-40
-40
-40
-22
-22
TIIApr19
-0.30
-15
-15
-33
-33
-30
-7
-1
1.37
-16
-16
-36
-36
-36
-19
-19
TIIJul19
-0.44
-15
-15
-32
-32
-30
-9
-4
1.57
-16
-16
-36
-36
-36
-21
-22
TIIJan20
-0.28
-13
-13
-28
-28
-26
-6
-1
1.47
-15
-15
-32
-32
-32
-18
-18
TIIJul20
-0.32
-12
-12
-26
-26
-24
-5
-1
1.62
-13
-13
-29
-29
-30
-18
-19
TIIJan21
-0.16
-10
-10
-23
-23
-21
-3
1
1.54
-12
-12
-27
-27
-27
-16
-16
TIIJul21
-0.19
-10
-10
-21
-21
-19
-3
1
1.63
-11
-11
-24
-24
-25
-15
-15
TIIJan22
-0.09
-9
-9
-19
-19
-17
-2
2
1.56
-10
-10
-22
-22
-22
-13
-13
TIIJul22
-0.11
-8
-8
-18
-18
-16
-2
2
1.63
-10
-10
-21
-21
-21
-13
-13
TIIJan23
-0.03
-7
-7
-16
-16
-15
-2
2
1.59
-9
-9
-20
-20
-20
-12
-12
TIIJul23
-0.05
-7
-7
-16
-16
-14
-2
2
1.65
-9
-9
-19
-19
-19
-12
-12
TIIJan24
0.02
-7
-7
-15
-15
-13
-1
3
1.59
-8
-8
-18
-18
-18
-11
-11
TIIJul24
-0.02
-6
-6
-14
-14
-12
-1
2
1.68
-8
-8
-17
-17
-17
-11
-11
TIIJan25
0.03
-6
-6
-13
-13
-12
-1
2
1.63
-7
-7
-16
-16
-16
-10
-10
TIIJan26
0.13
-6
-6
-13
-13
-11
0
3
1.61
-7
-7
-16
-16
-16
-10
-11
TIIJan27
0.20
-5
-5
-12
-12
-10
0
3
1.60
-7
-7
-15
-15
-15
-9
-10
TIIJan28
0.25
-5
-5
-11
-11
-9
0
3
1.61
-6
-6
-13
-13
-14
-9
-10
TIIApr28
0.25
-5
-5
-11
-11
-10
0
3
1.67
-6
-6
-14
-14
-14
-9
-9
TIIJan29
0.28
-5
-5
-10
-10
-9
0
3
1.65
-6
-6
-13
-13
-13
-8
-9
TIIApr29
0.28
-5
-5
-11
-11
-9
0
4
1.66
-6
-6
-13
-13
-13
-8
-9
TIIApr32
0.37
-4
-4
-9
-9
-7
1
3
1.62
-5
-5
-11
-11
-11
-8
-8
TIIFeb40
0.46
-3
-3
-6
-6
-5
1
3
1.71
-4
-4
-8
-8
-8
-6
-6
TIIFeb41
0.46
-3
-3
-6
-6
-5
1
3
1.69
-4
-4
-8
-8
-8
-5
-6
TIIFeb42
0.51
-2
-2
-5
-5
-4
1
2
1.70
-3
-3
-7
-7
-7
-5
-5
TIIFeb43
0.51
-2
-2
-5
-5
-4
1
2
1.73
-3
-3
-6
-6
-7
-5
-6
TIIFeb44
0.50
-2
-2
-5
-5
-4
1
2
1.73
-3
-3
-7
-7
-7
-5
-5
Source: Bloomberg Finance LP, Deutsche Bank
Page 18
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
EUR/FRF forwards
Real yield
spot
Breakeven
carry (bp)
(%) 02-Mar
1M 02-Apr
2M
spot
3M
6M
9M
B/E protection (bp)
(%) 02-Mar
1M 02-Apr
2M
3M
6M
9M
euro-zone HICP ex-tob
DBRei16
1.04
-5
-14
-150
-146
-1.22
-4
-13
-147
-143
OBLei18
-0.19
-5
-8
-57
-56
-46
-6
-26
0.00
-4
-8
-56
-55
-44
-4
-22
DBRei20
-0.54
-4
-6
-37
-36
-30
-8
-21
0.44
-3
-6
-36
-36
-30
-7
-21
DBRei23
-0.74
-2
-4
-22
-22
-18
-6
-14
0.85
-2
-4
-23
-22
-19
-7
-16
DBRei30
-0.66
-1
-2
-12
-12
-10
-3
-7
-13
-13
-11
-5
-11
OATei15
0.93
-17
-43
OATei18
-0.43
-5
-8
-53
-52
-43
-9
OATei20
-0.61
-3
-6
-35
-35
-29
-8
OATei22
-0.58
-2
-4
-25
-25
-20
OATei24
-0.49
-2
-3
-19
-19
OATei27
-0.41
-1
-2
-16
OATei30
-0.31
-1
-2
OATei32
-0.28
-1
OATei40
-0.08
BTPei16
BTPei17
1.14
-2
-2
-1.08
-12
-37
-29
0.37
-5
-8
-53
-52
-43
-9
-30
-20
0.68
-4
-6
-36
-35
-29
-9
-23
-5
-14
0.84
-3
-4
-26
-25
-22
-8
-18
-15
-3
-10
0.96
-2
-3
-20
-20
-17
-7
-15
-15
-12
-2
-7
1.08
-2
-3
-17
-17
-14
-6
-13
-12
-12
-9
-1
-5
1.25
-2
-2
-13
-13
-11
-5
-11
-2
-12
-12
-9
-1
-5
1.27
-2
-2
-13
-13
-11
-6
-11
-1
-1
-8
-8
-6
0
-3
1.33
-1
-2
-9
-9
-8
-4
-9
0.77
-5
-12
-110
-107
-82
29
11
-0.48
-7
-14
-114
-112
-89
10
-27
0.49
-4
-8
-68
-66
-51
9
-6
-0.01
-5
-10
-71
-69
-56
-4
-28
BTPei18
0.39
-3
-6
-49
-47
-37
4
-7
0.20
-4
-8
-52
-51
-42
-8
-26
BTPei19
0.44
-2
-5
-38
-37
-29
4
-4
0.33
-4
-6
-41
-41
-34
-7
-22
BTPei21
0.58
-2
-3
-27
-26
-19
4
-1
0.58
-3
-5
-30
-29
-25
-8
-19
BTPei23
0.70
-1
-2
-21
-20
-15
4
1
0.76
-3
-4
-24
-24
-20
-7
-17
BTPei24
0.76
-1
-2
-18
-18
-13
4
1
0.82
-2
-4
-22
-21
-18
-7
-15
BTPei26
0.93
-1
-2
-16
-15
-11
4
2
0.82
-2
-3
-19
-19
-16
-6
-14
BTPei35
1.09
0
-1
-9
-9
-6
3
2
1.32
-2
-2
-12
-12
-11
-6
-12
BTPei41
1.34
0
-1
-7
-7
-5
3
3
1.27
-1
-2
-10
-10
-9
-5
-10
SPGei19
0.28
-2
-5
-36
-35
-27
2
-6
0.49
-4
-6
-39
-38
-32
-9
-24
SPGei24
0.45
-1
-2
-18
-18
-13
2
-2
0.97
-2
-4
-21
-21
-18
-7
-16
BTANi16
-0.37
2
-3
-71
-69
-56
4
15
0.26
2
-2
-70
-68
-54
6
18
OATi17
-0.56
0
-2
-42
-41
-33
-3
-2
0.47
1
-2
-41
-41
-32
-2
-1
OATi19
-0.72
0
-2
-23
-23
-19
-4
-4
0.70
0
-2
-23
-23
-19
-4
-6
OATi21
-0.74
0
-1
-16
-15
-12
-2
-3
0.90
0
-1
-16
-16
-13
-5
-7
OATi23
-0.67
0
-1
-13
-12
-10
-1
-2
1.05
0
-1
-14
-13
-11
-5
-7
OATi29
-0.43
0
0
-8
-8
-6
0
1
1.26
0
-1
-9
-9
-8
-4
-6
CADESi17
-0.45
1
-2
-42
-41
-32
0
3
0.40
1
-2
-42
-41
-32
-1
1
CADESi19
-0.55
0
-1
-23
-23
-18
-1
-1
0.60
0
-1
-23
-23
-18
-3
-4
CADESi21
-0.58
0
-1
-16
-16
-12
-1
-1
0.77
0
-1
-17
-16
-13
-4
-5
French CPI ex-tob
Source: Bloomberg Finance LP, Deutsche Bank
Deutsche Bank AG/London
Page 19
30 January 2015
DB Inflation Report: Weekly Inflation Update
UKTi forwards
Real yield
spot
Breakeven
carry (bp)
(%) 02-Mar
1M 02-Apr
spot
2M
3M
6M
9M
B/E protection (bp)
(%) 02-Mar
1M 02-Apr
2M
3M
6M
9M
UK RPI
UKTi816
-1.21
7
7
16
16
26
65
127
1.56
8
8
17
17
29
72
143
UKTi820
-1.21
2
2
4
4
7
14
21
2.12
1
1
3
3
4
9
14
UKTi824
-1.03
1
1
3
3
4
9
13
2.34
1
1
1
1
2
4
6
UKTi830
-0.96
1
1
2
2
3
6
9
2.64
0
0
0
0
0
1
1
UKTi835
-0.97
1
1
1
1
2
4
6
2.88
0
0
0
0
0
0
-1
UKTi17
-1.41
-1
-1
-34
-34
-21
2
1
1.93
-1
-1
-34
-34
-21
2
1
UKTi19
-1.32
0
0
-19
-19
-11
2
2
2.18
-1
-1
-20
-20
-13
-2
-5
UKTi22
-1.15
0
0
-12
-12
-6
2
3
2.32
-1
-1
-13
-13
-9
-2
-4
UKTi24
-1.02
0
0
-9
-9
-5
3
4
2.33
-1
-1
-11
-11
-7
-2
-4
UKTi27
-1.00
0
0
-7
-7
-4
2
3
2.50
-1
-1
-8
-8
-6
-3
-5
UKTi29
-0.94
0
0
-6
-6
-3
2
3
2.61
-1
-1
-7
-7
-5
-3
-5
UKTi32
-1.00
0
0
-5
-5
-3
2
2
2.76
-1
-1
-7
-7
-5
-3
-5
UKTi34
-0.94
0
0
-4
-4
-2
2
2
2.80
-1
-1
-6
-6
-5
-3
-5
UKTi37
-0.96
0
0
-4
-4
-2
1
2
2.90
-1
-1
-5
-5
-4
-3
-5
UKTi40
-0.94
0
0
-3
-3
-2
1
2
2.94
-1
-1
-5
-5
-4
-3
-5
UKTi42
-0.96
0
0
-3
-3
-2
1
1
2.95
-1
-1
-4
-4
-4
-3
-5
UKTi44
-0.91
0
0
-3
-3
-1
1
1
2.96
-1
-1
-4
-4
-3
-3
-4
UKTi47
-0.94
0
0
-3
-3
-1
1
1
2.96
-1
-1
-4
-4
-3
-3
-4
UKTi50
-0.94
0
0
-2
-2
-1
1
1
2.94
0
0
-4
-4
-3
-3
-4
UKTi52
-0.93
0
0
-2
-2
-1
1
1
2.95
0
0
-3
-3
-3
-3
-4
UKTi55
-0.95
0
0
-2
-2
-1
1
1
2.93
0
0
-3
-3
-3
-2
-4
UKTi58
-0.92
0
0
-2
-2
-1
1
1
2.92
0
0
-3
-3
-2
-2
-3
UKTi68
-0.94
0
0
-2
-2
-1
1
1
2.95
0
0
-2
-2
-2
-2
-3
Source: Bloomberg Finance LP, Deutsche Bank
Page 20
Deutsche Bank AG/London
30 January 2015
DB Inflation Report: Weekly Inflation Update
Zero-coupon swap B/Es
US CPI
spot
1D
EUR HICPxt
1W
1M
FR CPIxt
UK RPI
spot
1D
1W
1M
spot
1D
1W
1M
spot
1D
1W
1M
%
bp
bp
bp
%
bp
bp
bp
%
bp
bp
bp
level
2
1.05
11
21
-0.06
-17
-5
0.18
-9
7
1.97
-24
-33
3
1.38
14
24
0.26
-12
5
0.47
-7
11
2.25
-23
-37
4
1.52
11
18
0.49
-10
11
0.70
-9
13
2.41
-22
-38
5
1.61
10
13
0.67
-9
9
0.88
-9
12
2.48
-22
-40
6
1.67
8
9
0.80
-7
7
1.01
-7
11
2.55
-21
-38
7
1.72
7
5
0.91
-6
7
1.11
-6
9
2.60
-20
-38
8
1.77
5
2
0.99
-9
4
1.19
-7
6
2.66
-18
-36
9
1.82
4
-1
1.05
-10
0
1.27
-7
5
2.69
-17
-35
10
1.86
3
-3
1.12
-9
-2
1.32
-9
2
2.73
-16
-34
12
1.92
1
-6
1.24
-10
-4
1.44
-10
0
2.82
-16
-34
15
1.98
1
-8
1.39
-12
-4
1.57
-11
-1
2.96
-15
-30
20
2.00
-2
-14
1.52
-12
-8
1.71
-9
-4
3.11
-13
-29
25
2.02
-3
-18
1.60
-12
-10
1.79
-9
-6
3.17
-13
-29
30
2.03
-4
-19
1.68
-12
-10
1.84
-8
-7
3.17
-13
-28
valuation date: 30-Jan-15
Source: Bloomberg Finance LP, Deutsche Bank
Zero-coupon swap B/Es
2.5
4.0
ZC swap, USD CPI
2.0
3.5
1.5
3.0
1.0
ZC swap, GBP RPI
2.5
spot
0.5
1W ago
0.0
1M ago
-0.5
spot
2.0
1W ago
1.5
1M ago
1.0
1
2.0
2
3
4
5
6
7
8
9
10 12 15 20 25 30
1
2.5
ZC swap, EUR HICPxt
1.5
2.0
1.0
1.5
0.5
2
3
4
5
6
7
8
9
10 12 15 20 25 30
ZC swap, FRF CPIcxt
1.0
spot
0.0
1W ago
-0.5
1M ago
-1.0
1
2
3
4
5
6
7
8
9
10 12 15 20 25 30
spot
0.5
1W ago
0.0
1M ago
-0.5
1
2
3
4
5
6
7
8
9
10 12 15 20 25 30
Source: Bloomberg Finance LP, Deutsche Bank
Deutsche Bank AG/London
Page 21
30 January 2015
DB Inflation Report: Weekly Inflation Update
Appendix 1
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Page 22
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30 January 2015
DB Inflation Report: Weekly Inflation Update
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Page 23
30 January 2015
DB Inflation Report: Weekly Inflation Update
(f) Risks to Fixed Income Positions
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Page 24
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