Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Marktinformatie Aantal pagina's: 5 Bestemd voor: Financiën/Treasury Auteur: Bericht Goedemorgen, De financiële stabiliteitsraad (FSB) publiceerde gisteren een bijgewerkte lijst van de belangrijke systeembanken (G-SIBs) en verzekeraars (G-SIIs). China Construction bank is aan de lijst toegevoegd terwijl BBVA bank van de lijst is verwijderd. Van de Nederlandse banken staat ING nog steeds op de lijst en is verzekeraar Aegon toegevoegd. Bill Gross, een van de bekendste investeerders in obligaties, waarschuwde gisteren dat de vlakke Treasury yield curve ernstige effecten op de kapitaalmarkten kan verrichten. Het vooruitzicht is dat de yield curve vlak blijft met een snellere stijging van de korte termijn rentetarieven dan de lange termijn rentetarieven. Bill Gross spoort de Fed aan om de rentetarieven snel te herstellen omdat de huidige rentetarieven volgens Gross de economie beschadigen en de balansen van verzekeraars aantasten. De dekkingsgraden van pensioenfondsen zijn gestegen in oktober. De Nederlandse pensioenfondsen zagen in de maand oktober de gemiddelde dekkingsgraad met 3 procent stijgen van 99 naar 102 procent. Volgens adviesbureau Aon Hewiit zijn de belangrijkste oorzaken van de stijging positieve rendementen op aandelen en vastgoed.
De 6M Euribor is ongewijzigd gebleven op 0,01%. De 10Y Swap is gedaald met 2 basispunten naar 0,95%. Met vriendelijke groet, Tim Schilders
Vergelijking rentemarkt Vandaag en de vorige werkdag (Euribor rates worden weergegeven met een werkdag vertraging) 3M Euribor 6M Euribor 1Y Swap 5Y Swap Vorige werkdag -0.07 0.01 -0.03 0.29 Vandaag -0.07 0.01 -0.03 0.29 Verschil (in bp) 0 0 0 0
10Y Swap 0.93 0.95 2
1
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
2
Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Interest Rate Swap (IRS) tarieven (EUR) Rij: duur van de fixatie. Kolom: storting per ASK
Spot
Zero
3 maands
6 maands
9 maands
1 jaar
1,5 jaar
2 jaar
3 jaar
4 jaar
6-Nov-15
6-Nov-15
8-Feb-16
6-May-16
8-Aug-16
7-Nov-16
8-May-17
6-Nov-17
6-Nov-18
6-Nov-19
1 jaar
-0.03
-0.03
-0.02
-0.05
-0.08
-0.02
0.08
0.18
0.50
0.84
2 jaar
-0.02
-0.02
0.00
0.02
0.02
0.08
0.21
0.34
0.67
1.01
3 jaar
0.04
0.04
0.09
0.12
0.15
0.22
0.36
0.50
0.84
1.17
4 jaar
0.15
0.15
0.21
0.26
0.31
0.38
0.52
0.67
1.00
1.30
5 jaar
0.29
0.29
0.35
0.41
0.46
0.53
0.68
0.83
1.14
1.42
6 jaar
0.43
0.44
0.50
0.56
0.61
0.69
0.83
0.97
1.26
1.53
7 jaar
0.58
0.59
0.65
0.70
0.76
0.83
0.97
1.10
1.38
1.64
8 jaar
0.71
0.72
0.78
0.84
0.89
0.96
1.09
1.22
1.49
1.71
9 jaar
0.84
0.85
0.91
0.96
1.01
1.08
1.21
1.33
1.57
1.78
10
jaar
0.95
0.97
1.02
1.07
1.13
1.19
1.31
1.42
1.64
1.83
15
jaar
1.36
1.41
1.42
1.45
1.49
1.54
1.61
1.69
1.83
1.94
20 jaar
1.52
1.58
1.57
1.59
1.62
1.65
1.70
1.76
1.86
1.94
30 jaar 40 jaar 50 jaar
1.59 1.62 1.57
1.64 1.67 1.59
1.63 1.64 1.59
1.64 1.65 1.60
1.66 1.66 1.61
1.68 1.68 1.63
1.71 1.71 1.65
1.75 1.74 1.67
1.81 1.79 1.71
1.86 1.83 1.74
Interest Rate Swap (IRS) tarieven 2.50 4 jaar
2.00 1 jaar
1.50
6 maanden
1.00
0.50
3 maanden
0.00 1
6
11
16
21
26
31
36
41
46
Spot
-0.50
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
3
Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Geldmarkt EURIBOR Fixings (act/360) USD Libor Fixings (act/360) Geldmarkt Euro 2/nov/15 2/nov/15 Looptijd Yield Looptijd Yield Mid EONIA -0.129 3MO -0.066 O/N 0.131 3MO 0.334 O/N -0.150 1WK -0.148 6MO 0.007 1WK 0.154 6MO 0.556 T/N -0.170 1MO -0.119 9MO 0.047 1MO 0.190 12MO 0.875 1W -0.125 2MO -0.084 12MO 0.109 2MO 0.254 2W -0.160 * Vanwege een verandering in het beleid van de Euribor en Libor organisaties, worden de Euribor en Libor rates weergegeven 1 M -0.100 met een werkdag vertraging. 2M -0.025 3M 0.035 6M 0.003 9M 0.035 12M 0.070
Kapitaalmarkt Euro swap tarieven Looptijd Bid 1Y -0.04 2Y -0.03 3Y 0.04 4Y 0.15 5Y 0.29 6Y 0.43 7Y 0.57 8Y 0.70 9Y 0.83 10Y 0.95 11Y 1.06 12Y 1.15 13Y 1.23 14Y 1.30 15Y 1.36 20Y 1.52 25Y 1.58 30Y 1.59 40Y 1.59 50Y 1.55
Ask -0.03 -0.02 0.04 0.15 0.29 0.43 0.58 0.71 0.84 0.95 1.06 1.16 1.24 1.30 1.36 1.52 1.59 1.59 1.62 1.57
USD swap tarieven Looptijd Bid 1Y 0.57 2Y 0.87 3Y 1.13 4Y 1.34 5Y 1.53 6Y 1.68 7Y 1.81 8Y 1.92 9Y 2.01 10Y 2.09 11Y 2.16 12Y 2.22 13Y 2.26 14Y 2.31 15Y 2.35 20Y 2.47 25Y 2.53 30Y 2.56 40Y 2.59 50Y 2.57
Ask 0.57 0.87 1.13 1.35 1.53 1.69 1.82 1.92 2.01 2.09 2.18 2.22 2.29 2.31 2.35 2.47 2.53 2.56 2.60 2.57
GBP swap tarieven Looptijd Bid 1Y 0.81 2Y 1.03 3Y 1.22 4Y 1.39 5Y 1.56 6Y 1.67 7Y 1.77 8Y 1.84 9Y 1.92 10Y 1.97 11Y 2.03 12Y 2.06 13Y 2.10 14Y 2.13 15Y 2.15 20Y 2.21 25Y 2.19 30Y 2.17 40Y 2.13 50Y 2.10
Ask 0.85 1.05 1.26 1.42 1.56 1.71 1.78 1.88 1.93 1.99 2.05 2.10 2.13 2.16 2.19 2.22 2.20 2.21 2.15 2.11
CHF swap tarieven Looptijd Bid 1Y -0.79 2Y -0.80 3Y -0.75 4Y -0.66 5Y -0.55 6Y -0.41 7Y -0.27 8Y -0.12 9Y 0.00 10Y 0.09 11Y 0.15 12Y 0.23 13Y 0.30 14Y 0.33 15Y 0.41 20Y 0.59 25Y 0.70 30Y 0.74 40Y 0.81 50Y 0.85
Ask -0.75 -0.79 -0.74 -0.63 -0.47 -0.33 -0.19 -0.08 0.03 0.12 0.23 0.28 0.32 0.43 0.46 0.64 0.75 0.79 0.91 0.95
Nederlandse Staatsobligaties Coupon Loopt tot 1Y 0.50 15-Apr-17 2Y 1.25 15-Jan-18 3Y 1.25 15-Jan-19 5Y 3.50 15-Jul-20 6Y 3.25 15-Jul-21 7Y 2.25 15-Jul-22 8Y 1.75 15-Jul-23 12 Y 5.50 15-Jan-28 17 Y 2.50 15-Jan-33 21 Y 4.00 15-Jan-37 31 Y 2.75 15-Jan-47
Prijs 101.17 103.36 104.61 116.58 117.88 113.28 110.07 152.59 119.81 149.63 130.82
Yield -0.31 -0.27 -0.19 -0.03 0.10 0.25 0.42 0.92 1.22 1.31 1.51
Duitse Staatsobligaties Coupon 1Y 4.00 2Y 4.25 3Y 4.25 4Y 3.50 6Y 3.25 7Y 1.75 8Y 1.75 13 Y 4.75 19 Y 4.75 24 Y 4.25 31 Y 2.50
Loopt tot 4-Jul-16 4-Jul-17 4-Jul-18 4-Jul-19 4-Jul-21 4-Jul-22 15-Feb-24 4-Jul-28 4-Jul-34 4-Jul-39 15-Aug-46
Prijs 102.86 107.63 112.16 113.67 118.47 110.94 111.48 148.08 161.09 161.11 128.61
Yield -0.33 -0.33 -0.30 -0.22 -0.01 0.10 0.34 0.75 1.11 1.25 1.36
Zwitserse Staatsobligaties Coupon Loopt tot 1Y 2.00 12-Oct-16 2Y 3.00 8-Jan-18 4Y 3.00 12-May-19 5Y 2.25 6-Jul-20 5Y 2.00 28-Apr-21 7Y 4.00 11-Feb-23 9Y 1.25 11-Jun-24 16 Y 2.25 22-Jun-31 22 Y 1.25 27-Jun-37 26 Y 1.50 30-Apr-42 33 Y 4.00 6-Jan-49
Prijs 102.78 108.83 114.33 114.94 115.56 133.78 114.67 133.42 119.44 126.96 204.07
Yield -0.95 -1.00 -0.98 -0.87 -0.77 -0.55 -0.42 0.09 0.32 0.42 0.56
Forward Rate Agreements
Beleidsrentes
Euro Vanaf X Einde (In maanden) 1X4 -0.13 0.02 2X5 0.01 0.02 3X6 0.02 0.03 4X7 0.02 0.03 5X8 0.02 0.03 6X9 0.01 0.03 7 X 10 0.05 0.06 8 X 11 0.05 0.06 9 X 12 0.02 0.04
Centrale Banken 1X7 2X8 3X9 6 X12 9 X15 12X18 18X24 6X18 12X24
0.06 0.06 0.06 0.09 0.09 0.13 0.22 0.20 0.27
0.08 0.11 0.11 0.10 0.14 0.15 0.23 0.21 0.28
ECB Refirente BoE Refirente Federal Funds rate
0.05 0.50 0.00 - 0.25
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
4
Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Forward Valuta prijzen Versus euro EUR/USD
Bid
Ask
EUR/GBP
Bid
Ask
Spot O/N 2D 3D 1W 1M 2M 3M
1.09370 1.09374 1.09369 1.09367 1.09379 1.09414 1.09498 1.09576
1.09370 1.09374 1.09369 1.09368 1.09380 1.09415 1.09499 1.09578
Spot O/N 2D 3D 1W 1M 2M 3M
0.70894 0.70891 0.70893 0.70898 0.70903 0.70937 0.70992 0.71050
0.70896 0.70893 0.70895 0.70901 0.70906 0.70940 0.70996 0.71054
4M 5M 6M 9M 12M 18M 2Y
1.09646 1.09729 1.09819 1.10134 1.10497 1.11370 1.12345
1.09649 1.09734 1.09823 1.10143 1.10506 1.11400 1.12385
4M 5M 6M 9M 12M 18M 2Y
0.71100 0.71158 0.71220 0.71430 0.71662 0.72178 0.72762
0.71107 0.71166 0.71228 0.71442 0.71675 0.72212 0.72864
EUR/CHF Spot O/N 2D 3D 1W 1M 2M 3M 4M 5M 6M 9M 12M 18M 2Y
Bid
Ask
1.08494 1.08496 1.08495 1.08489 1.08481 1.08437 1.08382 1.08322 1.08267 1.08194 1.08126 1.07889 1.07660 1.07174 1.06722
1.08504 1.08496 1.08506 1.08499 1.08492 1.08450 1.08396 1.08336 1.08282 1.08217 1.08157 1.07929 1.07724 1.07291 1.06836
EUR/JPY Spot O/N 2D 3D 1W 1M 2M 3M 4M 5M 6M 9M 12M 18M 2Y
Bid
Ask
132.47000 132.46580 132.46780 132.47250 132.47490 132.47960 132.44590 132.46500 132.48340 132.43720 132.44840 132.45660 132.44730 132.30250 132.09080
132.47000 132.47059 132.47035 132.47280 132.47800 132.49890 132.45060 132.48830 132.48860 132.44520 132.46570 132.47210 132.45150 132.37160 132.20570
Euro/Dollar Volatiliteit O/N 1W 1M 2M 3M 6M 9M 1Y
11.57 10.96 11.44 11.07 10.96 10.56 10.37 10.26
14.89 11.86 11.74 11.41 11.38 10.86 10.68 10.57
Olie/ Diesel Brent crude oil (Europa) Spot 48.90 USD per vat Spot 3.42
US centen per Gallon
vorig 48.90
verschil 0.00%
vorig 3.36
verschil 1.62%
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
5
Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Credit Ratings Rating
S&P Outlook
Rating
Moody's Outlook
Rating
Fitch Outlook
5Y CDS spread
Currency
N/A
N/A
POS
0.073
EUR
N/A
N/A
N/A
ABN AMRO BANK NV
A
NEG
A2
STABLE
A
STABLE
ALLIED IRISH BANKS PLC
BB+
STABLE
Ba1
STABLE
BB
ANGLO IRISH BANK CORP LTD
NR
N/A
WR
N/A
WD
BANCO SANTANDER SA
A-
STABLE
A3
POS
A-
STABLE
5.196
EUR
BANK NEDERLANDSE GEMEENTEN
AA+
POS
Aaa
STABLE
AA+
STABLE
N/A
N/A
BANK OF AMERICA CORP
A-
N/A
Baa1
STABLE
A
STABLE
17.18
USD
BANK OF IRELAND
BBB-
POS
Baa2
STABLE
BB+
POS
0.335
EUR
BARCLAYS BK PLC-ADR C
A-
STABLE
A2
STABLE
A
STABLE
N/A
N/A
BAYERISCHE LANDESBANK
NR
N/A
A3
POS
A-
STABLE
N/A
N/A
BNP PARIBAS
A+
NEG
A1
STABLE
A+
STABLE
55.31
EUR
CITIBANK NA
A
N/A
A1
STABLE
A+
STABLE
N/A
N/A
COMMERZBANK AG
BBB+
NEG
Baa1
POS
BBB
POS
10.77
EUR
CREDIT SUISSE
A
STABLE
A1 *-
N/A
A
POS
N/A
N/A
DEUTSCHE BANK AG-REGISTERED
BBB+
STABLE
A3
POS
A
NEG
25.84
EUR
FRIESLAND BANK
N/A
N/A
Aa2
STABLE
WD
N/A
N/A
N/A
GOLDMAN SACHS GROUP INC
A-
N/A
A3
STABLE
A
STABLE
190.69
USD
HSBC BANK PLC
AA-
STABLE
Aa2
STABLE
AA-
STABLE
N/A
N/A
ING BANK NV
A
STABLE
A1
STABLE
A
STABLE
N/A
N/A
JPMORGAN CHASE BANK NA
A+
STABLE
Aa3
STABLE
AA-
STABLE
N/A
N/A
KFW
AAA
STABLE
Aaa
STABLE
AAA
STABLE
N/A
N/A
LLOYDS TSB BANK PLC
A
N/A
A1
STABLE
A+
STABLE
N/A
N/A
MORGAN STANLEY
A-
N/A
A3
STABLE
A
STABLE
33.29
USD
NEDERLANDSE WATERSCHAPSBANK
AA+
POS
Aaa
STABLE
NR
N/A
N/A
N/A
NIBC BANK NV
BBB-
STABLE
Baa1
STABLE
BBB-
STABLE
N/A
N/A
RABOBANK
A+
NEG
Aa2
STABLE
AA-
STABLE
53.6596
EUR
ROYAL BANK OF SCOTLAND PLC
BBB+
STABLE
A3
STABLE
BBB+
STABLE
N/A
N/A
SNS BANK NV
BBB
NEG
Baa1
POS
BBB
STABLE
N/A
N/A
SOCIETE GENERALE
A
NEG
A2
STABLE
A
STABLE
42.51
EUR
UBS AG-REG
A
STABLE
A2 *+
N/A
A
STABLE
N/A
N/A
VAN LANSCHOT BANKIERS
BBB+
STABLE
NR
N/A
BBB+
STABLE
N/A
N/A
*-
*+
*-
*-
N.B: De ratings in bovenstaande tabel zijn van de desbetreffende moedermaatschappijen. Dochtermaatschappijen kunnen een afwijkende rating hebben. *-: Op de watchlist NR: Rating niet beschikbaar N/A: Outlook niet beschikbaar Rood vetgedrukt: Verandering in de afgelopen 30 dagen
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
6
Zanders: Treasury and Finance Solutions 4-Nov-15 8:57 www.zanders.eu
tel.: 035 - 692 89 89
Credit Ratings Rating
S&P Outlook
Rating
Moody's Outlook
Rating
Fitch Outlook
5Y CDS spread
Currency
BELGIE
AAu
STABLE
Aa3
STABLE
AA
NEG
35.04044
USD
BULGARIJE
BB+
STABLE
Baa2
STABLE
BBB
STABLE
CYPRUS
BB-
POS
B3
STABLE
B+
POS
DENEMARKEN
AAA
STABLE
Aaa
STABLE
AAA
DUITSLAND
AAAu
STABLE
Aaa
STABLE
AAA
ESTLAND
AA-
STABLE
A1
STABLE
A+
STABLE
FINLAND
AA+
NEG
Aaa
NEG
AAA
NEG
FRANKRIJK
AAu
NEG
Aa2
STABLE
AA
STABLE
GRIEKENLAND
CCC+
STABLE
Caa3
STABLE
CCC
N/A
Niet beschikbaar
N/A
HONGARIJE
BB+
STABLE
Ba1
STABLE
BBB-
POS
160.964
USD
IERLAND
A+
STABLE
Baa1
POS
A-
POS
46.46973
USD
IJSLAND
BBB
STABLE
Baa2
STABLE
A-
STABLE
Niet beschikbaar
N/A
ITALIE
BBB-u
STABLE
Baa2
STABLE
BBB+
STABLE
102.028
USD
LETLAND
A-
STABLE
A3
STABLE
A-
STABLE
90.27124
USD
LITOUWEN
A-
STABLE
A3
STABLE
A-
STABLE
Niet beschikbaar
N/A
LUXEMBURG
AAA
STABLE
Aaa
STABLE
AAA
STABLE
Niet beschikbaar
N/A
MALTA
BBB+
POS
A3
STABLE
A
STABLE
Niet beschikbaar
N/A
NEDERLAND
AA+u
POS
Aaa
STABLE
AAA
STABLE
15.98366
USD
NOORWEGEN
AAA
STABLE
Aaa
STABLE
AAA
STABLE
Niet beschikbaar
N/A
OOSTENRIJK
AA+
STABLE
Aaa
NEG
AA+
STABLE
24.77541
USD
POLEN
BB+u
POS
A2
STABLE
A
STABLE
74.3546
USD
PORTUGAL
BB+u
STABLE
Ba1
STABLE
BB+
POS
167.5706
USD
ROEMENIE
BBB-
STABLE
Baa3
STABLE
BBB
STABLE
130.1448
USD
SLOVENIE
A-
POS
Baa3
STABLE
BBB+
POS
119.0857
USD
SLOWAKIJE
A+
STABLE
A2
STABLE
A+
STABLE
50.8448
USD
SPANJE
BBB+
STABLE
Baa2
POS
BBB+
STABLE
88.19133
USD
TSJECHIE
AA
STABLE
A1
STABLE
AA-
STABLE
46.00671
USD
VERENIGD KONINKRIJK
AAAu
NEG
Aa1
STABLE
AA+
STABLE
15.65247
USD
ZWEDEN
AAAu
STABLE
Aaa
STABLE
AAA
STABLE
Niet beschikbaar
N/A
ZWITSERLAND
AAAu
STABLE
Aaa
STABLE
AAA
STABLE
Niet beschikbaar
N/A
167.1419
USD
Niet beschikbaar
N/A
STABLE
16.50445
USD
STABLE
12.92221
USD
66.008
USD
Niet beschikbaar
N/A
28.77126
USD
*-: Op de watchlist NR: Rating niet beschikbaar N/A: Outlook niet beschikbaar Rood vetgedrukt: Verandering in de afgelopen 30 dagen
Disclaimer: this daily market information is based on information available from several international financial and economic sources that Zanders regards as reliable. This publication can be used for informational purposes only. Since the moment of publication, market conditions may have changed. We do not accept any liability for the correctness, exactness, and completeness.
7
