db inflation report - dws...gbpeur and gbpusd b/e spreads are now below 3m (and mostly) 6m averages...

Deutsche Bank Research

Global

Economics Rates Inflation

Date 30 January 2015

DB Inflation Report

Weekly Inflation Update

________________________________________________________________________________________________________________

Deutsche Bank AG/London

DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/04/2014.

Markus Heider

Strategist

(+44) 20 754-52167

[email protected]

Alex Li

Research Analyst

(+1) 212 250-5483

[email protected]

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.

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.

Inflation Markets

Bond Yld BEI 1M fwd ASW ASW discnt

ZC Rate Sprd ZC-BEI

CPI/ RPI

fcst

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

EA HICPxt

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

OATei40 -0.08 1.33 1.34 68 44 30y 1.68 36 Dec-15 0.4

FR CPIxt

OATi19 -0.72 0.70 0.72 -8 20 5y 0.88 18 spot 0.0

OATi23 -0.67 1.05 1.07 9 26 10y 1.32 27 Jun-15 -0.1

OATi29 -0.43 1.26 1.27 45 43 20y 1.71 45 Dec-15 0.5

UK RPI

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

Change in breakevens, US & UK

-20

-15

-10

-5

0

5

10

15

5y 10y 20y 30y 5y 10y 20y 30y

1W change in BEI

carry adjusted

GBP USD

Change in breakevens, EUR & FRF

-10.0

-9.0

-8.0

-7.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

5y 10y 20y 30y 5y 10y 20y 30y

1W change in BEI

carry adjusted

EUR FRF

ILB rich/cheap v nominals

0

5

10

15

20

25

30

35

2014 2019 2025 2030 2036 2041

GBP DEM

USD FRF

Rich (-) / cheap (+) vs nominal




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.

Markus Heider (+44) 20 754 52167

3. GBP B/Es have underperformed recently 4. But from rich levels

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

2Y 5Y 10Y 30Y 2Y 5Y 10Y 30Y 2Y 5Y 10Y 30Y

3m 6M

1Y 2Y

USDEUR GBPUSD GBPEUR

CPI swap spreads: z-scores

-40

-30

-20

-10

0

10

20

30

40

Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14

5y

10y

GBP/USD CPI swap differential, residual

f(PMIs, FX, oil, spotCPIs)



1. USD B/Es consolidate

-20

-15

-10

-5

0

5

10

5y 10y 20y 30y

EUR FRF

GBP USD

1w change in BEI on 29-Jan, carry adj., bp

2. UK core CPI has fallen more

quickly than elsewhere

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

USD GBP EUR

H114 Dec-14 change (rhs)core CPI



30 January 2015



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

3. Survey indices lower 4. German CPI package holidays

-20

-15

-10

-5

0

5

10

15

20

25

2003 2005 2007 2009 2011 2013 2015

manufacturing

retail

services

EC survey: selling price expectations, 3mma

-10

-5

0

5

10

15

Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15

Germany CPI, package tours, % y/y

6mma

12mma

Source: Deutsche Bank Source: Deutsche Bank

5. Economic sentiment and… 6. …credit trends improving

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

65

75

85

95

105

115

125

135

1991 1994 1997 2000 2003 2006 2009 2012 2015

EC economic sentiment, 12m lead (lhs)

EUR core inflation, 1y change in % y/y (rhs)

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

2000 2002 2004 2006 2008 2010 2012 2014 2016

HICP recreational & personal services, 1y change in y/y

credit impulse (12m lead, rhs)

Source: Haver, Deutsche Bank


1. Major HICP components lower

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

1999 2001 2003 2005 2007 2009 2011 2013 2015

core food energy

contribution to EUR HICP inflation, pp

2. DB inflation forecasts

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Aug-11 Apr-12 Dec-12 Aug-13 Apr-14 Dec-14 Aug-15

EUR HICP

coreforecast



30 January 2015



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.

Markus Heider (+44) 20 754 52167

3. Potential ECB ILB purchases if proportional to market share

ESCB monthly ILB purchases assuming total of EUR42.2bn split proportional to market 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

-15

-10

-5

0

5

10

15

20

Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14

EU5 EU2 EU10

average

-20

-15

-10

-5

0

5

10

15

20

25

30

35

OATei18 OATei20 OATei22 OATei24 OATei27 OATei32 OATei40

spot 1y mean

1y max 1y min

ILB B/E rich (-) / cheap (+) vs CPI swaps


1. 5y5y retraces gains

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

1y 1y1y 2y1y 4y1y 9y1y 5y5y

HICP swap, 2w change on 29-Jan, bp

2. Curve spreads v past means

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

2Y5Y 5Y10Y 10Y30Y 2Y5Y10Y 5Y10Y20Y 5Y10Y30Y

3m 6M

1Y 2Y

EUR HICP swaps: z-scores

Source: ECB, Eurostat, Deutsche Bank


30 January 2015



GBP 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

3. Lower policy rate and… 4. …stronger FX negatives for B/Es

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2001 2003 2005 2007 2009 2011 2013 2015

GBP BEI 5y

6m change in 2y nominal yield (rhs)

-10

-8

-6

-4

-2

0

2

4

6

8

101.8

2.0

2.2

2.4

2.6

2.8

3.0

3.2

3.4

Jan-10 Oct-10 Jul-11 Apr-12 Jan-13 Oct-13 Jul-14

5y UKTi B/E (-40bp from 10-Jan-13)

TWGBP, % 3m (rhs, inverted)


5. 5y B/Es v FX, commodities and spot RPI 6. Bond B/Es relatively cheap against swaps

2.0

2.2

2.4

2.6

2.8

3.0

3.2

3.4

3.6

Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14

GBPBE5Y

fitted, f(FX, commodities, spot RPI, formula effect dummy)

-20

-10

0

10

20

30

40

50

UK

Ti1

7

UK

Ti1

9

UK

Ti2

2

UK

Ti2

4

UK

Ti2

7

UK

Ti2

9

UK

Ti3

0

UK

Ti3

2

UK

Ti3

4

UK

Ti3

5

UK

Ti3

7

UK

Ti4

0

UK

Ti4

2

UK

Ti4

4

UK

Ti4

7

UK

Ti5

0

UK

Ti5

2

UK

Ti5

5

UK

Ti6

2

UK

Ti6

8

spot

1y mean

1y max

1y min

ILB rich (-) / cheap (+) vs CPI swaps



1. B/Es decline further

-20

-15

-10

-5

0

5

10

15

20

UK

Ti1

7

UK

Ti1

9

UK

Ti2

2

UK

Ti2

4

UK

Ti2

7

UK

Ti2

9

UK

Ti3

2

UK

Ti3

4

UK

Ti3

7

UK

Ti4

0

UK

Ti4

2

UK

Ti4

4

UK

Ti4

7

UK

Ti5

0

UK

Ti5

2

UK

Ti5

8

UK

Ti6

2

UK

Ti6

8

BEI Real Yld Nom Yld

1w change, on 29-Jan, cary adj, bp

2. B/Es 3-4stddev below 2y means

-5.0

-4.5

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

5Y 10Y 20Y 30Y

3m 6M 1Y 2YGBP RPI swaps: z-scores



30 January 2015



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

-0.7

-0.5

-0.3

-0.1

0.1

0.3

0.5

Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15

Real Yield 5s-10s-30s

-10

0

10

20

30

40

50

1/1/12 7/1/12 1/1/13 7/1/13 1/1/14 7/1/14 1/1/15

5s-10s-30s TIPS BE spread

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.

30 January 2015



The breakeven curve has flattened; 30-year looks cheap

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1/1/10 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15

5s-30s BE


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


1/2016 TIPS look cheap to our CPI forecast

TIPS BE Inflation Implied CPI DB forecast CPI Rich/ Cheap

TII 1.875% 7/15/2015 -0.92% 235.31 235.72 Cheap: 6 ticks (37bp)

TII 2.000% 1/15/2016 0.01% 236.33 236.91 Cheap: 8 ticks (25bp)

TII 0.125% 4/15/2016 0.36% 237.34 237.35 Cheap: 0 ticks (00bp)

TII 2.500% 7/15/2016 1.02% 239.87 239.77 Rich: 1 ticks (-03bp)

TII 2.375% 1/15/2017 1.00% 241.02 241.00 Rich: 0 ticks (00bp) Prices as of 1/28/2015. Source: Bloomberg and Deutsche Bank

30 January 2015



US CPI-U NSA y/y, actual and forecast

MoM CPI-U, actual and forecast (non-seasonally-

adjusted)

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16

%Y/Y

Projections

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6%MoM NSA

Projected

Source: Bureau of Labor Statistics and Deutsche Bank Source: Bureau of Labor Statistics and Deutsche Bank

Alex Li (+1) 212 250-5483

30 January 2015



DB Inflation Forecasts

Euro area France UK

Headline HICP HICP excl. tobacco HICP xefat* CPI excl. tobacco RPI

Index % m/m % y/y Index % m/m % y/y Index % m/m % y/y Index % m/m % 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

30 January 2015




US Japan Sweden Australia

CPI-U nsa Core CPI CPI CPI

Index % m/m % y/y 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 Jan: 17-Feb Source: Deutsche Bank

30 January 2015




Hong Kong Korea Thailand

CPI 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

30 January 2015



CPI data calendar

Date Time (GMT) Country Indicator Forecast Consensus Previous

03-Feb 10:00 Italy HICP preliminary, Jan, % mom -2.4 0.0

HICP preliminary, Jan, % yoy -0.4 0.0

03-Feb 10:00 Euro Area PPI, Dec, % mom -1.1 -0.7 -0.3

PPI, Dec, % yoy -2.8 -2.5 -1.6


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;

30 January 2015



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


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

2007 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

2015 ytd 15 4.04 1.8 1 1 559.1 0 1 0 0

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.

30 January 2015



USD 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 bp

Net- prcds

z sprd

z-sprd diff

Rich-ness

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

30 January 2015



EUR inflation-linked bonds


Local bn

real clean

nom dirty

mod durat

dv01 spot %

1W bp

1M bp

spot %

1W bp

1M bp

Par/ par

z sprd

z-sprd diff

Rich-ness

comparator

euro-zone HICP ex-tob

DBRei 1.50 Apr-16 15.0 100.5 118.1 1.2 1.4 1.04 11 23 -1.22 -12 -30 DBR 3.50 Jan-16

OBLei 0.75 Apr-18 15.0 103.0 110.0 3.2 3.5 -0.19 9 -8 0.00 -11 -1 -26 -16 12 11 DBR 4.00 Jan-18

DBRei 1.75 Apr-20 15.0 112.1 124.2 5.0 6.2 -0.54 0 -14 0.44 -3 4 -31 -19 11 10 DBR 3.25 Jan-20

DBRei 0.10 Apr-23 16.0 107.1 110.9 8.2 9.1 -0.74 1 -29 0.85 -4 9 -37 -26 6 6 DBR 1.50 Feb-23

DBRei 0.50 Apr-30 5.0 118.5 120.0 14.8 17.7 -0.66 -7 -44 1.14 -6 4 -28 -18 11 9 DBR 6.25 Jan-30

OATei 1.60 Jul-15 11.6 100.3 120.8 0.5 0.6 0.93 6 38 -1.08 -8 -48 OAT 3.50 Apr-15

OATei 0.25 Jul-18 10.6 102.4 106.5 3.5 3.7 -0.43 6 -13 0.37 -8 7 -8 1 17 17 OAT 4.00 Apr-18

OATei 2.25 Jul-20 20.0 115.9 142.8 5.2 7.4 -0.61 0 -30 0.68 -2 15 -11 -1 14 13 OAT 3.50 Apr-20

OATei 1.10 Jul-22 17.1 112.9 123.0 7.2 8.9 -0.58 7 -30 0.84 -9 11 -4 5 15 14 OAT 3.00 Apr-22

OATei 0.25 Jul-24 9.5 107.2 108.9 9.4 10.2 -0.49 5 -28 0.96 -6 2 3 11 16 15 OAT 2.25 May-24

OATei 1.85 Jul-27 9.9 129.0 138.8 11.4 15.8 -0.41 3 -38 1.08 -6 3 12 16 12 9 OAT 3.50 Apr-26

OATei 0.70 Jul-30 3.9 116.1 116.6 14.8 17.2 -0.31 -1 -47 1.25 -5 1 21 24 14 13 OAT 2.50 May-30

OATei 3.15 Jul-32 9.6 161.4 201.4 14.5 29.2 -0.28 1 -44 1.27 -7 -3 41 26 15 13 OAT 5.75 Oct-32

OATei 1.80 Jul-40 9.4 148.5 170.9 21.5 36.8 -0.08 3 -41 1.33 -9 -9 68 44 21 17 OAT 4.00 Oct-38

BTPei 2.10 Sep-16 9.1 102.1 110.1 1.6 1.7 0.77 27 9 -0.48 -25 -26 BTP 3.75 Aug-16

BTPei 2.10 Sep-17 13.8 104.2 121.9 2.5 3.1 0.49 23 -10 -0.01 -18 -5 66 63 24 24 BTP 3.50 Nov-17

BTPei 1.70 Sep-18 10.7 104.7 106.4 3.5 3.7 0.39 27 -22 0.20 -22 8 66 73 25 23 BTP 4.50 Aug-18

BTPei 2.35 Sep-19 17.3 108.7 121.2 4.3 5.3 0.44 28 -13 0.33 -20 0 95 90 30 29 BTP 4.25 Sep-19

BTPei 2.10 Sep-21 16.4 109.8 119.8 6.1 7.4 0.58 19 -23 0.58 -13 5 122 114 28 26 BTP 3.75 Aug-21

BTPei 2.60 Sep-23 16.5 115.9 133.3 7.7 10.3 0.70 23 -29 0.76 -18 4 149 125 24 22 BTP 4.75 Aug-23

BTPei 2.35 Sep-24 8.2 114.8 116.1 8.6 10.0 0.76 22 -36 0.82 -16 8 136 130 26 24 BTP 3.75 Sep-24

BTPei 3.10 Sep-26 6.6 123.9 132.5 9.9 13.1 0.93 23 -36 0.82 -18 1 174 146 32 27 BTP 4.50 Mar-26

BTPei 2.35 Sep-35 13.1 123.3 148.3 16.6 24.7 1.09 8 -51 1.32 -14 2 233 158 11 1 BTP 5.00 Aug-34

BTPei 2.55 Sep-41 7.2 127.0 138.9 20.0 27.8 1.34 11 -67 1.27 -18 11 267 184 25 19 BTP 5.00 Sep-40

SPGei 0.55 Nov-19 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

SPGei 1.80 Nov-24 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

French CPI ex tob

BTANi 0.45 Jul-16 12.1 101.2 106.3 1.5 1.6 -0.37 15 -23 0.26 -14 16 OAT 3.25 Apr-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 CADES 4.13 Apr-17

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


*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

30 January 2015



GBP inflation-linked bonds


Local bn

real clean

nom dirty

mod durat

dv01 spot %

1W bp

1M bp

spot %

1W bp

1M bp

Net- prcds

z sprd

z-sprd diff

Rich-ness

comparator

UK RPI

UKTi8 2.50 Jul-16 7.9 327.5 327.7 1.5 4.8 -1.21 19 36 1.56 -17 -45 UKT 4.00 Sep-16

UKTi8 2.50 Apr-20 6.6 366.6 368.9 4.9 18.2 -1.21 12 11 2.12 -19 -46 9 19 36 35 UKT 4.75 Mar-20

UKTi8 2.50 Jul-24 6.8 350.6 350.9 8.7 30.5 -1.03 4 -7 2.34 -18 -40 22 34 33 31 UKT 5.00 Mar-25

UKTi8 4.13 Jul-30 4.8 347.2 347.4 12.8 44.5 -0.96 5 -14 2.64 -16 -38 30 42 24 24 UKT 4.75 Dec-30

UKTi8 2.00 Jan-35 9.1 241.8 241.8 17.5 42.4 -0.97 3 -21 2.88 -13 -30 39 45 13 11 UKT 4.25 Mar-36

UKTi 1.25 Nov-17 11.8 107.6 143.2 2.8 4.0 -1.41 10 7 1.93 -12 -26 -8 0 32 32 UKT 1.00 Sep-17

UKTi 0.13 Nov-19 8.2 107.2 110.4 4.8 5.3 -1.32 9 2 2.18 -15 -33 -1 9 28 24 UKT 3.75 Sep-19

UKTi 1.88 Nov-22 15.7 124.8 156.4 7.4 11.5 -1.15 5 -7 2.32 -16 -36 13 24 30 29 UKT 1.75 Sep-22

UKTi 0.13 Mar-24 13.1 111.0 117.8 9.1 10.8 -1.02 2 -12 2.33 -16 -35 20 30 29 27 UKT 5.00 Mar-25

UKTi 1.25 Nov-27 14.2 130.8 173.6 12.1 20.9 -1.00 1 -17 2.50 -14 -34 30 39 29 27 UKT 4.25 Dec-27

UKTi 0.13 Mar-29 14.2 116.1 125.8 14.1 17.7 -0.94 2 -19 2.61 -14 -32 37 43 24 25 UKT 4.75 Dec-30

UKTi 1.25 Nov-32 12.8 143.9 170.7 16.4 28.0 -1.00 2 -21 2.76 -14 -30 36 42 18 12 UKT 4.25 Jun-32

UKTi 0.75 Mar-34 14.6 135.5 150.3 18.1 27.3 -0.94 3 -22 2.80 -13 -29 42 45 17 11 UKT 4.50 Sep-34

UKTi 1.13 Nov-37 12.1 153.2 195.0 20.9 40.7 -0.96 4 -24 2.90 -15 -27 46 48 15 9 UKT 4.75 Dec-38

UKTi 0.63 Mar-40 12.4 144.4 171.8 23.8 40.8 -0.94 5 -25 2.94 -15 -26 50 48 11 5 UKT 4.25 Dec-40

UKTi 0.63 Nov-42 11.9 150.5 182.3 26.2 47.7 -0.96 5 -26 2.95 -15 -25 51 47 11 4 UKT 4.50 Dec-42

UKTi 0.13 Mar-44 15.7 134.7 143.0 28.8 41.2 -0.91 5 -26 2.96 -15 -25 57 49 11 4 UKT 3.25 Jan-44

UKTi 0.75 Nov-47 11.7 165.3 204.7 30.2 61.9 -0.94 5 -27 2.96 -15 -25 52 46 11 7 UKT 4.25 Dec-46

UKTi 0.50 Mar-50 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

UKTi 0.25 Mar-52 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


*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

30 January 2015



Other inflation-linked bonds


Local bn

real clean

nom dirty

mod durat

dv01 spot %

1W bp

1M bp

spot %

1W bp

1M bp

Net- prcds

z sprd

z-sprd diff

Rich-ness

comparator

JPY CPI

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

SEK CPI

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

CAD CPI

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

AUD CPI

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

Source: Bloomberg Finance LP, Deutsche Bank

30 January 2015



TIPS forwards

Real yield Breakeven

spot carry (bp) spot B/E protection (bp)

(%) 02-Mar 1M 02-Apr 2M 3M 6M 9M (%) 02-Mar 1M 02-Apr 2M 3M 6M 9M

US CPI-U NSA

TIIApr15 5.66 -124 -124 -5.62 -120 -120

TIIJul15 0.86 -138 -138 -391 -0.76 -138 -138 -389

TIIJan16 0.11 -66 -66 -159 -159 -156 -10 136 0.10 -67 -67 -160 -160 -158 -15 150

TIIApr16 -0.18 -53 -53 -125 -125 -122 -28 12 0.45 -54 -54 -127 -127 -125 -34 12

TIIJul16 -0.77 -47 -47 -109 -109 -110 -52 -56 1.08 -48 -48 -111 -111 -113 -59 -61

TIIJan17 -0.56 -34 -34 -77 -77 -75 -27 -20 1.04 -35 -35 -80 -80 -80 -38 -33

TIIApr17 -0.47 -29 -29 -66 -66 -63 -20 -11 1.03 -31 -31 -69 -69 -68 -31 -26

TIIJul17 -0.81 -28 -28 -62 -62 -61 -27 -26 1.45 -29 -29 -66 -66 -67 -39 -42

TIIJan18 -0.55 -22 -22 -49 -49 -47 -16 -10 1.37 -24 -24 -53 -53 -54 -29 -30

TIIApr18 -0.39 -20 -20 -44 -44 -41 -11 -4 1.26 -21 -21 -48 -48 -47 -24 -22

TIIJul18 -0.59 -19 -19 -42 -42 -40 -14 -10 1.48 -21 -21 -46 -46 -46 -27 -27

TIIJan19 -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


30 January 2015



EUR/FRF forwards




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 1.14 -2 -2 -13 -13 -11 -5 -11

OATei15 0.93 -17 -43 -1.08 -12 -37

OATei18 -0.43 -5 -8 -53 -52 -43 -9 -29 0.37 -5 -8 -53 -52 -43 -9 -30

OATei20 -0.61 -3 -6 -35 -35 -29 -8 -20 0.68 -4 -6 -36 -35 -29 -9 -23

OATei22 -0.58 -2 -4 -25 -25 -20 -5 -14 0.84 -3 -4 -26 -25 -22 -8 -18

OATei24 -0.49 -2 -3 -19 -19 -15 -3 -10 0.96 -2 -3 -20 -20 -17 -7 -15

OATei27 -0.41 -1 -2 -16 -15 -12 -2 -7 1.08 -2 -3 -17 -17 -14 -6 -13

OATei30 -0.31 -1 -2 -12 -12 -9 -1 -5 1.25 -2 -2 -13 -13 -11 -5 -11

OATei32 -0.28 -1 -2 -12 -12 -9 -1 -5 1.27 -2 -2 -13 -13 -11 -6 -11

OATei40 -0.08 -1 -1 -8 -8 -6 0 -3 1.33 -1 -2 -9 -9 -8 -4 -9

BTPei16 0.77 -5 -12 -110 -107 -82 29 11 -0.48 -7 -14 -114 -112 -89 10 -27

BTPei17 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

French CPI ex-tob

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


30 January 2015



UKTi forwards




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


30 January 2015



Zero-coupon swap B/Es

US CPI EUR HICPxt FR CPIxt UK RPI

spot 1D 1W 1M 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



Zero-coupon swap B/Es

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

1 2 3 4 5 6 7 8 9 10 12 15 20 25 30

spot

1W ago

1M ago

ZC swap, EUR HICPxt

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

1 2 3 4 5 6 7 8 9 10 12 15 20 25 30

spot

1W ago

1M ago

ZC swap, FRF CPIcxt

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

1 2 3 4 5 6 7 8 9 10 12 15 20 25 30

spot

1W ago

1M ago

ZC swap, USD CPI

1.0

1.5

2.0

2.5

3.0

3.5

4.0

1 2 3 4 5 6 7 8 9 10 12 15 20 25 30

spot

1W ago

1M ago

ZC swap, GBP RPI


30 January 2015



Appendix 1

Important Disclosures

Additional information available upon request

For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

Analyst Certification

The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Markus Heider/Alex Li

http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

30 January 2015



(a) Regulatory Disclosures

(b) 1. Important Additional Conflict Disclosures

Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.

(c) 2. Short-Term Trade Ideas

Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the SOLAR link at http://gm.db.com.

(d) 3. Country-Specific Disclosures

Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the meaning of the Australian Corporations Act and New Zealand Financial Advisors Act respectively. Brazil: The views expressed above accurately reflect personal views of the authors about the subject company(ies) and its(their) securities, including in relation to Deutsche Bank. The compensation of the equity research analyst(s) is indirectly affected by revenues deriving from the business and financial transactions of Deutsche Bank. In cases where at least one Brazil based analyst (identified by a phone number starting with +55 country code) has taken part in the preparation of this research report, the Brazil based analyst whose name appears first assumes primary responsibility for its content from a Brazilian regulatory perspective and for its compliance with CVM Instruction # 483. EU countries: Disclosures relating to our obligations under MiFiD can be found at http://www.globalmarkets.db.com/riskdisclosures. Japan: Disclosures under the Financial Instruments and Exchange Law: Company name - Deutsche Securities Inc. Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA, Type II Financial Instruments Firms Association, The Financial Futures Association of Japan, Japan Investment Advisers Association. This report is not meant to solicit the purchase of specific financial instruments or related services. We may charge commissions and fees for certain categories of investment advice, products and services. Recommended investment strategies, products and services carry the risk of losses to principal and other losses as a result of changes in market and/or economic trends, and/or fluctuations in market value. Before deciding on the purchase of financial products and/or services, customers should carefully read the relevant disclosures, prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this report are not registered credit rating agencies in Japan unless "Japan" or "Nippon" is specifically designated in the name of the entity. Malaysia: Deutsche Bank AG and/or its affiliate(s) may maintain positions in the securities referred to herein and may from time to time offer those securities for purchase or may have an interest to purchase such securities. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no. 00032) is regulated by the Qatar Financial Centre Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower, West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre Regulatory Authority. Russia: This information, interpretation and opinions submitted herein are not in the context of, and do not constitute, any appraisal or evaluation activity requiring a license in the Russian Federation. Kingdom of Saudi Arabia: Deutsche Securities Saudi Arabia LLC Company, (registered no. 07073-37) is regulated by the Capital Market Authority. Deutsche Securities Saudi Arabia may only undertake the financial services activities that fall within the scope of its existing CMA license. Principal place of business in Saudi Arabia: King Fahad Road, Al Olaya District, P.O. Box 301809, Faisaliah Tower - 17th Floor, 11372 Riyadh, Saudi Arabia. United Arab Emirates: Deutsche Bank AG in the Dubai International Financial Centre (registered no. 00045) is regulated by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services activities that fall within the scope of its existing DFSA license. Principal place of business in the DIFC: Dubai International Financial Centre, The Gate Village, Building 5, PO Box 504902, Dubai, U.A.E. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Professional Clients, as defined by the Dubai Financial Services Authority.

(e)

http://gm.db.com/

http://www.globalmarkets.db.com/riskdisclosures

30 January 2015



(f) Risks to Fixed Income Positions

Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise to pay fixed or variable interest rates. For an investor that is long fixed rate instruments (thus receiving these cash flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation (including changes in assets holding limits for different types of investors), changes in tax policies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to FX depreciation, or to specified interest rates - these are common in emerging markets. It is important to note that the index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is also important to acknowledge that funding in a currency that differs from the currency in which the coupons to be received are denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to the risks related to rates movements.

David Folkerts-Landau Group Chief Economist

Member of the Group Executive Committee

Raj Hindocha Global Chief Operating Officer

Research

Marcel Cassard Global Head

FICC Research & Global Macro Economics

Richard Smith and Steve Pollard Co-Global Heads Equity Research

Michael Spencer Regional Head

Asia Pacific Research

Ralf Hoffmann Regional Head

Deutsche Bank Research, Germany

Andreas Neubauer Regional Head

Equity Research, Germany

Steve Pollard Regional Head

Americas Research

International Locations

Deutsche Bank AG

Deutsche Bank Place

Level 16

Corner of Hunter & Phillip Streets

Sydney, NSW 2000

Australia

Tel: (61) 2 8258 1234

Deutsche Bank AG

Große Gallusstraße 10-14

60272 Frankfurt am Main

Germany

Tel: (49) 69 910 00

Deutsche Bank AG

Filiale Hongkong

International Commerce Centre,

1 Austin Road West,Kowloon,

Hong Kong

Tel: (852) 2203 8888

Deutsche Securities Inc.

2-11-1 Nagatacho

Sanno Park Tower

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