Barclays UPDATE Euro Money Markets Weekly Reading the 3m Euribor Decomposition

7/25/2019 Barclays UPDATE Euro Money Markets Weekly Reading the 3m Euribor Decomposition

1/21

Interest Rates Resear

Euro

19 May 20

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 17

Euro Money Markets Weekly

Reading the 3m Euribor decomposition

UPDATE: This report replaces the version published earlier today to correct the fourth

bullet point regarding this weeks MRO on page 6.

3m Euribor:Our analysis of the decomposition of the 3m Euribor suggests that the

recent steepening of the money markets curve is likely to have been caused by a

sharp rise in expectations of an ECB policy rates hike by mid-2017.

Short rates: We regard the latest price actions on money markets rates as too

aggressive. While some steepening is likely to remain in the blues/gold part of the

strip, we expect reds versus whites to flatten. We also recommend receiving 1y1y

Eonia forward, which, after the latest sell-off, is now at the same level as the end of

December last year, before the QE announcement.

Liquidity conditions: The liquidity surplus has stabilized at about 300bn. We see room

for a mild decline this week owing to the expected increase in autonomous factors The

QE purchases should limit the downward movement in the excess of liquidity.

Eonia: The drop in the fixing last week to about -14bp was mainly due to the public

holiday in some eurozone countries that reduces the amount of reported

transactions. The fixing rose to -11bp after the public holiday. Our analysis shows

that at the current level of the surplus, the fixing should be at about -9bp/-10bp.

T-bills: T-bills have remained immune from the recent increase in volatility.

Peripheral t-bills have moved in marginally negative territory, while almost of the

core paper is below the depo rate.

Repo market:Demand for peripheral collateral at the very front end has favoured

some tightening of the spreads vs core. The interest is less strong at longer

maturities, where overall liquidity is poor.

FIGURE 1

Short rates Current levels and our expectations

Rates Actual

1wk change

(bp)

1m change

(bp)

Barclays 3m

expectations

Eonia fixing -10.5 -2 -3

Overnight GC pooling -17.9 0 -1

GC pooling vs Eonia -7 1 2

3m Euribor -1.1 0 -1

3m OIS -11.7 -1 0

3m FRA/OIS 11 1 -7

3m Bubil -32.3 -2 -7

3m Bubil vs OIS -21 -1 7 Note: Negative change means richening; positive change means cheapening. Source: Bloomberg, Barclays Research

Contents

Focus: Reading the 3m Euribordecomposition

Eurosystem liquidity conditions

Eonia

Euribor

Short rates snapshot

T-bill market

Repo market

Appendix: Haircuts at the ECB

Giuseppe Maraffino

+44 (0)20 3134 9938

[email protected]

Barclays, UK

Huw Worthington

+44 (0)20 7773 1307

[email protected]

Barclays, UK

www.barclays.com


2/21

Barclays | Euro Money Markets Weekly

19 May 2015 2

FOCUS

Reading the 3m Euribor decomposition

This is an edited version of theEuro Strategypiece published in Global Rates Weekly, 15 May 2015.

Our analysis on the decomposition of the 3m Euribor suggests that the recent steepening of

the money markets curve is likely to be caused by a sharp rise in expectations of an ECBpolicy rate hike by mid-2017. We regard such price actions as too aggressive. While some

steepening is likely to remain in the blues/gold part of the strip, we expect reds versus

whites to flatten.

Volatility in the EGB market, and in particular Bunds, was still the main theme last week. The

10y Bund yield has risen about 15bp since the beginning of last week to about 70bp, with

frequent intraday moves in excess of 10bp per day. In the 8 May Global Rates Weeklys

strategy section,we discussed the technical and fundamental factors that could be behind

the sell-off and concluded that volatility is likely to continue for a while with some

stabilisation in the near term.

Notably, in the euro money markets, both the OIS curve and the future strips have remained

steep, as shown in Figures 2 and 3. 3y OIS rate has approached zero from -15bp as of mid-April

(the 1y1y Eonia forward has moved further up to about -6bp). The very front-end rates are

broadly unchanged as they depend on the current liquidity conditions, which have slightly

improved with the surplus that has moved just above 300bn. Interestingly, on the Euribor

futures curve, the upward movement has also involved white contracts, with September and

December 2015 futures currently pricing in the 3m fixing at zero and 1bp, respectively. Such

pricing action is not consistent with expectations of a massive increase in excess liquidity in the

coming months, as a consequence of the QE purchases, that would push the Eonia fixing

towards the depo rate. This would create the room for a further decline of 3m Euribor into

negative territory from the current level of -0.9bp. Such a move could also be favoured by a

possible reduction in the credit premium. We see 3m Euribor at -5bp by the end of the year (with

risk skewed to the downside), lower than the current pricing of the ERZ5 of +1.0bp. A possibleexplanation for the recent cheapening in these two contracts might be related to the fact that the

market has started to price in some likelihood of worsening of the situation in Greece, although

this would not appear to be consistent with the sell-off in Bunds and the tightening of German

paper in ASW, especially at the short tenors.

Giuseppe Maraffino

+44 (0)20 3134 9938

[email protected]

Barclays, UK

Huw Worthington

+44 (0)20 7773 1307

[email protected]

Barclays, UK

Volatility of bunds has

remained the main theme. In

the Euro money markets

curves have remained steep

FIGURE 2

The steepening has continued on both the OIS curve

FIGURE 3

and on the Euribor future strip

Source: Barclays Research Source: Barclays Research

-20.0

-17.5

-15.0

-12.5

-10.0

-7.5

-5.0

-2.5

0.0

2.5

1w

2w

3w

1m

2m

3m

4m

5m

6m

7m

8m

9m

10m

11m

12m

15m

18m

21m

24m

36m

14-May-15 7-May-15 16-Apr-15

-1-3-5

-7-10

-5

0

5

10

15

20

25

30

35

40

45

50

May-15 Feb-16 Oct-16 Jul-17 Apr-18

14-May-15

07-May-15

16-Apr-15

3m Euribor - BarclaysForecasts
https://live.barcap.com/go/publications/content?contentPubID=FC2139837https://live.barcap.com/go/publications/content?contentPubID=FC2139837https://live.barcap.com/go/publications/content?contentPubID=FC2139837https://live.barcap.com/go/publications/content?contentPubID=FC2137762https://live.barcap.com/go/publications/content?contentPubID=FC2137762mailto:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]:[email protected]://live.barcap.com/go/publications/content?contentPubID=FC2137762https://live.barcap.com/go/publications/content?contentPubID=FC2139837


3/21


19 May 2015 3

Figure 4 shows the decomposition of the current pricing of the 3m Euribor up to 2018 and

provides interesting insights about the evolution of the term premium over the last month.

The 3m Euribor basically comprises two components: 1) the 3m OIS, which mainly captures

the monetary policy expectations, and 2) the credit risk component, ie, FRA/Eonia spread.

The former is also the result of the level of the policy rate (ie, refi rate) and the spread of the

3m OIS vs the cost of liquidity at the ECB operations (the refi rate), which is negative in a

context of excess liquidity and tends towards zero when the surplus declines below a

certain threshold, which we estimate at about 150bn. We have calculated the fair level forthe 3m Euribor as the sum of our expectations on all these components. We estimate the

term premium as the difference between our estimated fair level and the pricing of the 3m

Euribor contracts (Figure 4). Interestingly, as shown in Figure 5, the term premium has

more than doubled since mid-April.

FIGURE 4

3m Euribor decomposition: increasing term premium (bp)

Source: Bloomberg, ECB, Barclays Research

The ECBs monetary policy: We expect it to remain accommodative

So far the ECB has remained committed to its target of 60bn of asset purchases per

month. At the last press conference in mid-April, President Draghi reiterated the ECBs

commitment to run the purchases until the end of September 2016 and, in any case, until

we see a sustained adjustment in the path of inflation that is consistent with our aim of

achieving inflation rates below, but close to, 2% over the medium term. We expect inflation

to remain low for a long period, moving on a moderate upward trend. More specifically, we

see it averaging 0.2% this year and 1.1% next year. Therefore, it is likely that the ECB will

maintain its extremely accommodative monetary policy stance for a long period, even after

the natural conclusion of the QE programme in September 2016. In our analysis, we start

from the assumption that policy rates will remain unchanged for the entire horizon and then

we discuss the possible scenarios for the next few years. A technical adjustment of policyrates out of negative territory would be unlikely in the near term: moving only the depo rate

up to zero would imply a massive tightening of the monetary policy corridor that would

have negative implications for interbank activity in the euro money market. Keeping the

corridor unchanged would imply an increase of the refi rate as well with the risk of creating

expectations of further hiking, thereby causing a tightening of the financial conditions.

OIS vs refi spread: A function of the excess of liquidity

We expect the liquidity surplus to increase to more than 1trn next year as a consequence of

the liquidity injected via the QE purchases and, to a lesser extent, the TLTROs. Importantly,

even after the natural conclusion of the programme in September 2016, the passive

-40

-20

0

20

40

60

80

June 2015 June 2016 June 2017 June 2018

Refi ois vs refi euribor/OIS Term Premium - 14 May 2015 Euribor futures - 14 May2015

3m Euribor decomposition

shows that the term premium

has doubled over the past

month


4/21


19 May 2015 4

withdrawal of the excess of liquidity as bonds approach their maturities is likely to take a long

time given the long average maturity (currently about eight years) of the ECB purchases. The

analysis of the relationship between Eonia and level of excess liquidity shows that the Eonia

fixing as well as the very front end of the Eonia curve start to be sensitive to change in the

liquidity conditions when the surplus is below 150/200bn. Therefore, a massive tightening of

the liquidity conditions is required after the conclusion of the programme for an increase in

Eonia towards the refi rate. As a consequence, we expect the 3m OIS to stay below the refi

rate with the spread slightly tightening in 2017 and 2018, from about -20bp expected in 2016towards -18bp and -15bp in the following two years.

Euribor vs OIS spread

In our analysis, we have assumed a gradual moderate tightening of the Euribor/OIS from

the current level of 10bp to about 7bp next year, as the ongoing ECB purchases, as well as

the expected improvement in the economic situation should promote a further

improvement in market sentiment. Our assumption takes into consideration a positive

conclusion of the Greek crisis with a deal to be reached by the end of June. We assume the

Euribor/OIS spread widens slightly in 2017 and 2018 towards 15bp, in line with current

pricing of the FRA/OIS spread forwards.

FIGURE 5Term premium estimates: Now and one month ago (bp)

Source: Bloomberg, ECB, Barclays Research

Term premium

The term premium reflects the uncertainty discounted by the market regarding the

evolution of policy rates as well as the liquidity conditions that affect the OIS vs refi rate

spreads and developments in the credit risk component embedded in the money

markets rates. Our analysis suggests that the change in the size of the term premium

over the last month is mainly due to the increase in the OIS rates, which should mainly

reflect a change in monetary policy expectations as, given the expected massive

increase in the liquidity surplus, the OIS vs refi should remain broadly unchanged. We

could estimate that the increase in the term premium for 2017 is broadly consistent

with expectation of a 25bp policy rate hike by mid-2017. We regard such expectations

for policy rates as too aggressive, especially for the 2016 and probably also for 2017

tenors, given the expected moderate dynamic for inflation. For longer maturities, it is

premature to have a clear view on the possible monetary policy decision. Therefore, we

regard the current level of contracts in 2016 as too cheap compared to our

expectations for policy rates. Also, 12bp of red vs whites contracts spread looks too

05

10

15

20

25

30

35

40

45

June 2015 June 2016 June 2017 June 2018

Term Premium - 14 May 2015 Term Premium - 16 April 2015

Term premium: Too big for

2016 and 2017


5/21


19 May 2015 5

wide, in our view. We expect a correction of the current monetary policy expectations

that would imply a tightening of such a spread in the near term.

Uncertainty over policy rates is much higher in 2018 since there could be a monetary policy

tightening on policy rates while the reduction in the surplus is unlikely to be aggressive

enough to bring the excess of reserve to a level that could affect the 3m OIS, thus reducing

its spread vs. the refi rate. The size of the term premium for the 2018 tenor, while too big

over the last month, is therefore justified by the greater uncertainty around the monetarypolicy in the medium term with risks on policy rates skewed to the upside given the current

low level. Therefore, the money market curve (blue vs reds spread) is likely to remain steep.

but for 2018 it is probably

justified by the higher

uncertainty on monetary policy


6/21


19 May 2015 6

EUROSYSTEM LIQUIDITY CONDITIONS

The liquidity surplus remained broadly unchanged last week at about 297bn. Indeed, last week there was just a 4.6bn drop

in the MRO borrowing, broadly offset by the decline in autonomous factors.

According to the ECBs forecasts, autonomous factors are expected to average 106bn, net of ECBs asset purchases in the

period May 18-26. This is about 16bn higher than the current level, suggesting some increase in the next few days.

The ECB announced that, as of 15 May, the PSPP portfolio amounted to 122.4bn. This means that an additional 13.7bn of

government bonds/agencies/European institutions debt was bought in the period 7 May 13 May, ie, with settlement by Friday,

15 May. On the ABS purchases side, the ECB bought just 0.3bn in the same reporting period, with the total amount of ABS

purchases at 6.131bn. The CBPP3 purchases amounted to 2.78bn in the reference period, with the CBPP3 portfolio reaching

almost 80.76bn as of 15 May. Taking into account the CBPP1&2 portfolios, the total ECB holdings of CB amounted to 117.4bn as

of 15 May. The SMP portfolio was unchanged at about 138.1bn. Overall, the ECB injected about 16.8bn last week.

This week, only the MRO is scheduled on Tuesday 19 May (90.6bn maturing), where we expect a roll broadly in line with the

amount maturing.

All in all, owing to the expected increase in autonomous factors we expect a decline in the surplus probably to about 285bn

with the QE purchases that should limit the downward movement in the excess of liquidity.

FIGURE 6

Fortnight calendar: Main events and ECB operations

Events Mon Tue Wed Thu Fri Mon Tue Wed Thu Fri

18-May 19-May 20-May 21-May 22-May 25-May 26-May 27-May 28-May 29-May

Day of MP 27 28 29 30 31 34 35 36 37 38

CB meetings ECB non-

monetary

policy meeting

Facts in the reserveperiod

-) ECB 1st

estimate of

Aut. Factors

May18 26

-) Weekly Fin.

Statement as of May

15

-) ECB 2nd estimate

of Aut. FactorsMay18 26

-) ECB 1st

estimate of

Aut. Factors

May 25

June 2

-) Weekly Fin.

Statement as of

May 22

-) ECB 2nd

estimate ofAut. Factors

May 25 June 2

MRO MRO roll (90.6bn

maturing)

MRO

settlement

MRO roll MRO

settlement

3m LTRO 3m LTRO

allotment

(54bn

maturing)

3m LTRO

settlement

1w USD liquidity

Liquidity surplus bn 290 290 280 280 280 280 280 300 290 290

Eonia fixing -10.5bp -10.0bp -10.0bp -10bp -10bp -9.5bp -9.8bp -9.8bp -10bp +5bp

Note: Our liquidity surplus estimates are only indicat ive; they are based on the assumption of s table autonomous factors and MRO borrowing

Source: ECB, Barclays Research


7/21


19 May 2015 7

Liquidity conditions (I): OMO liquidity

FIGURE 7

Liquidity surplus: liquidity OMO vs liquidity needs ( bn)

FIGURE 8

Breakdown deposit facility vs excess reserve ( bn)

Source: ECB, Barclays Research Source: ECB, Barclays Research

FIGURE 9

Current outstanding of ECBs refinancing operations (bn)

FIGURE 10

Evolution of the ECBs liquidity operations ( bn)


Liquidity surplus

The liquidity surplus is calculated as the difference between the supply of liquidity (via the Eurosystem refinancing operations +

MLF) and the liquidity needs (autonomous factors + reserve requirement).

As the Eurosystem is a closed system, at the end of each day the excess of liquidity needs to be redeposited at the ECB (deposit

facility) or at the National central bank (in the current account, in excess of the reserve requirement).

The ECB could inject liquidity via its refinancing operations (MRO + LTROs). They are reverse repo operations and are conducted

at full allotment at least until December 2016, in exchange of ECB eligible collateral. The cost is the refi rate for the MRO and the

average of the refi rate during the life of the operations for the LTROs, with the exception of the TLTRO where the cost is fixed at

the refi rate. QE purchases are not accounted for in the calculations of the OMO liquidity outstanding. They impact the liquidity

surplus as they are subtracted from autonomous factors.

Banks could get ECB liquidity at any time via the Marginal lending facility in exchange for ECB eligible collateral at the cost of the

MLF rate (refi rate +25bp).

0

200

400

600

800

1,000

1,200

1,400

Aug-11 May-12 Feb-13 Nov-13 Aug-14 May-15

Autonomous Factors Liquidity OMO

Reserve Requirement

-200

0

200

400

600

800

1,000

May-10 May-11 May-12 May-13 May-14 May-15

Deposit facility Excess reserves

Liquidity surplus

91 99

310

0

50

100

150

200

250

300

350

MRO 3m LTROs TLTROs

0

250

500

750

1,000

1,250

Jan-07 Sep-08 May-10 Aug-11 Nov-12 Feb-14 May-15

MRO

LTRO 3m

LTROs longer than 3m


8/21


19 May 2015 8

Liquidity conditions (II): ECBs asset purchases programmes

FIGURE 11

ECBs balance sheet and its main components on the asset side (bn), as of


FIGURE 12

Monetary policy portfolios (bn)

CBPP1 CBPP2 CBPP3 ABSPP SMP PSPP Total

As of 15-May-15 25.3 11.3 80.8 6.1 138.1 122.4 384

1W change 0.00 0.00 2.78 0.30 0.00 13.70 17

Change since the QEstart (09-March-2015)

-6.1 -2.2 80.8 6.1 -8.3 122.4 193


0

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan-07 Nov-07 Sep-08 Jul-09 May-10 Mar-11 Jan-12 Nov-12 Sep-13 Jul-14 May-15

Mon. portfolios Liquidity operations

Gold Claims on non resident in

Other claims on banks in ( ELA) Gov debt in Other assets


9/21


19 May 2015 9

Liquidity conditions (III): autonomous factors (as of Friday, 08 May)

FIGURE 13

Government deposits: weekly dynamic (EUR bn)

FIGURE 14

Banknotes: weekly dynamic (EUR bn)


FIGURE 15

Decomposition of autonomous factors (EUR bn)


Autonomous factors

Autonomous factors are formed of all the items in the Eurosystem balance sheet that are not related to monetary policy, and,

therefore, are not under the direct control of the ECB. In the computation of autonomous factors, we followed the same approach

used by the ECB in the publication of the daily liquidity data. The difference between autonomous factor items on the assets side and

those on the liabilities side is usually negative (as the system is structurally short of liquidity) and represents the amount of liquidity

the system needs owing to factors not related to monetary policy. This amount, together with the reserve requirement forms the

liquidity needs ie, the total amount of liquidity absorbed by the system on a daily basis for its functioning.

The ECB prefers to show Autonomous Factors net of the amount of monetary policy portfolios, which is an injection of liquidity

(therefore, it reduces the absorption of liquidity by autonomous factors). Note that on the liquidity supply side, the ECB shows the

amount of OMO liquidity net of the monetary policy portfolios as well.

40

50

60

70

80

90

100

110120

130

140

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52

2015 2014 2013

800

850

900

950

1,000

1,050

1,100

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52

2015 2014 2013

ASSETS 8-May-15 1-May-15 Change LIABILITIES 8-May-15 1-May-15 Change

Autonomous liquidity factors (A) 1056 1057 -1 Autonomous liquidity factors ( C ) 1520 1517 3

Net foreign assets

(A.1+A.2+A.3 -L. 7-L.8-L.9)655 657 -2 Bankontes (L.1) 1027 1027 1

Governments deposits (L.5.1) 54 50 4

Domestic assets

(A.7.2 + A.8)401 400 1

Other Autonomous factors (net)

(A.4+A.6+A.9 -L. 2.5-L.3-L.5.2-L.6-L.10-L.11-L.12)438 440 -2

M onet ary Polic y Instrume nts (B ) 504 517 -13 Mone ta ry Polic y Inst rument s (D) 408 408 0

MRO (A.5.1) 95 108 -13 Reserve Requirement (L.2.1) 299 300 -1

LTRO (A.5.2) 409 409 0 Excess reserve (L.2.1) 0

MLF (A.5.5) 0 0 0

Absorbing operations (L.2.3+L.2.4) 0 0 0

Deposit facility (L.2.2) 108 108 1

Total 1560 1574 -14 Total 1927 1925 3

Net liquidity effect from Aut. Fact.

(Aut. Liablilities Factors - Aut. Asset Factors)

'(C) - (A)

464 460 3

SMP+CBPP 367.2 350.8 16.4

Net liquidity effect from aut. Fact. and SMP

(aut liablilities factors - aut asset factors - SMP

settled by Friday)

97 110 -13


10/21


19 May 2015 10

EONIA FIXINGThe sharp drop in the Eonia fixing last week (-13.7bp on Wednesday and -14.3bp on Thursday) was mainly due to the public

holiday for the Ascension Day in some eurozone countries. Indeed, volumes dropped to about 10bn on both days, probably

some transactions that usually are closed at higher-than-market rates were not reported in those two days and this would

explain the decline in the fixing. On Friday, volumes increased to 20bn and the fixing rose as well to -11bp. Given the current

level of the surplus, stable at about 300bn, we believe that a fair level for the Eonia fixing should be -9bp/-10bp.

FIGURE 16Liquidity surplus ( bn) and Eonia (bp)

FIGURE 17Eonia: max, min and average in each MP (%)

Source: EMMI, ECB, Barclays Research Source: EMMI, ECB, Barclays Research

FIGURE 18

Eonia and liquidity surplus in the era of negative depo rate

FIGURE 19

Liquidity surplus ( bn) and Eonia volume ( bn)

Note: The end-of-month data are not considered in the analysis.

Source: EMMI, ECB, Barclays Research

Source: EMMI, ECB, WMBA, Barclays Research

0

100

200

300

400

500

600

700

800

900

-20

0

20

40

60

80

100

120

140

160

180

Jul-09 Jul-11 Jun-13 May-15

EONIA - MP average EONIA - MP stdev

Refi rate, bp Liquidity surplus, rhs

-0.25

0.00

0.25

0.50

0.75

1.00

1.25

1.50

1.75

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

y = -0.0389x + 2.212R = 0.6308

-14

-12

-10

-8

-6

-4

-2

0

2

4

6

8

70 90 110 130 150 170 190 210 230 250 270 290 310

Eonia

(bp)

Liquidity Surplus (Eur bn)

Since June RP - depo rate at -10bp

Since Sep RP - depo rate at -20bp

17-May-15

0

10

20

30

40

50

60

70

-200

0

200

400

600

800

1000

Jan-08 Mar-09 Jun-10 Sep-11 Dec-12 Feb-14 May-15

Liquidity surplus, eur bn, LHS

Eonia Volume, eur bn, 20d mov av. RHS


11/21


19 May 2015 11

EURIBOR FIXINGS

The 3m Euribor remained stable at -0.9bp last week. It has started the current week 0.2bp down to -1.1bp. We expect the fixing

to keep creep down probably towards -2bp by June and towards -5bp by the end of the year. Risks are tilted to the downside as

the fixing could move even lower than our target level in case of a further contraction of the credit spreads. In the focus section,

we discuss about the decomposition of the 3m Euribor and the possible movement of its components. With the ECB remaining

accommodative for a long period and the liquidity surplus staying at elevated levels well beyond the natural conclusion of the QE

program (September 2016), we expect the 3m Euribor to remain at very low levels for a long period (barring a worsening of themarket sentiment due, for example, to an accident in Greece).

FIGURE 20

Euribor fixing curve (%)

FIGURE 21

Euribor fixings: weekly, monthly and 3-month changes (bp)

Source: EMMI, Barclays Research Source: EMMI, Barclays Research

FIGURE 22

Euribor rates: 3m versus 6m (bp)

FIGURE 23

Euribor rates: 3m versus 12m (bp)

Source: EBF, Barclays Research Source: EBF, Barclays Research

-0.051

-0.011

0.056

0.168

-0.1

0.0

0.1

0.2

0.3

0 3 6 9 12

tenors (months)

18-May-15

Start of QE implementation - 9 March

ECB's QE announcement - 22 January-0.6 -0.2 -0.5

0.0

-4.3-4.6 -4.9 -5.4

-5.0

-6.6

-8.5

-11.4

-14.0

-12.0

-10.0

-8.0

-6.0

-4.0

-2.0

0.0

2.0

1M 3M 6M 12M

1-week change 1-month change 3-month change

-10

-5

0

5

10

15

20

25

30

3540

Jan-07 May-08 Oct-09 Mar-11 Jul-12 Dec-13 May-15

3m vs. 6m

-10

-5

0

5

10

15

20

25

30

3540

Jan-07 May-08 Oct-09 Mar-11 Jul-12 Dec-13 May-15

3m vs. 6m


12/21


19 May 2015 12

SHORT RATES

The OIS curve and the future strips have remained steep. 3y OIS rate has approached zero from -15bp as of mid-April (the

1y1y Eonia forward has moved further up to about -6bp). The very front-end rates are broadly unchanged as they depend on

the current liquidity conditions, which have slightly improved with the surplus that has moved just above 300bn.

Interestingly, on the Euribor futures curve, the upward movement has also involved white contracts, with September and

December 2015 futures currently pricing in the 3m fixing at zero and 1bp, respectively. Such pricing action is not consistent

with expectations of a massive increase in excess liquidity in the coming months, as a consequence of the QE purchases, thatwould push the Eonia fixing towards the depo rate.

The recent increase in the term premium reflects the uncertainty discounted by the market regarding the evolution of policy

rates as well as the liquidity conditions that affect the OIS vs refi rate spreads and the developments in the credit risk

component embedded in the money markets rates. Our analysis (see focus section) suggests that the change in the size of

the term premium over the past month is mainly due to the increase in the OIS rates, which should mainly reflect a change in

monetary policy expectations as, given the expected massive increase in the liquidity surplus, the OIS vs refi should remain

broadly unchanged. We could estimate that the increase in the term premium for 2017 should be broadly consistent with

expectation of a 25bp policy rate hike by mid-2017. We regard such expectations for policy rates as too aggressive, especially

for the 2016 and probably also for 2017 tenors, given the expected moderate dynamic for inflation. For longer maturities, it is

premature to have a clear view on the possible monetary policy decision. Therefore, we regard the current level of the 1y1y

eonia forward as too high and therefore suggest receiving it. On the Euribor strip, contracts in 2016 are too cheap, in ourview, compared to our expectations for policy rates. Also, 12bp of red vs whites contracts spread look too wide, in our view.

We expect a correction of the current monetary policy expectations that would imply a tightening of such a spread in the

near term.

Uncertainty over policy rates is much higher in 2018 since there could be a monetary policy tightening on policy rates while

the reduction in the surplus is unlikely to be aggressive enough to bring the excess of reserve to a level that could affect the

3m OIS, thus reducing its spread vs. the refi rate. The size of the term premium for the 2018 tenor, while too big over the past

month, is therefore justified by the greater uncertainty around the monetary policy in the medium term with risks on policy

rates skewed to the upside given the current low level. Therefore, the money market curve (blue vs reds spread) is likely to

remain steep.

FIGURE 24

Eurosystem reserve period, ECB-dated Eonia forward rates and our expectations on Eonia fixing (bp)

Reserve period Main liquidity events Barclays forecasts Market expectations on ECB-dated Eonia

Month

ECB

meeting

Start

date End date Length

"Turn-of-

the-month"

days

1st 3y

LTRO

maturity

2nd 3y

LTRO

maturity

TLTROs

(allotm)

Refi

Rate

Depo

Rate EONIA**

Current

expecta-

tions

1W

change

(bp)

Mid-Dec.

change

(bp)

Spread between

two consecutive

ECB meetings

Jun15 03-Jun 10-Jun 21-Jul 421 (quarter-

end)Jun TLTRO* 5 -20 -11.0 -11.3 0.3 -0.1

Jul15 16-Jul 22-Jul 08-Sep 49 2 5 -20 -12.5 -12.2 0.6 -0.2 -0.9

Sep15 03-Sep 09-Sep 27-Oct 491 (quarter-

end)Sep

TLTRO*5 -20 -14.9 -12.7 0.7 0.4 -0.5

Oct15 22-Oct 28-Oct 08-Dec 42 2 5 -20 -16.9 -12.9 0.8 0.9 -0.2

Dec15 03-Dec- 09-Dec 26-Jan-16 49 1 (year-end)Dec

TLTRO*5 -20 -15.8 -12.9 0.8 0.4 0.0

Note: *Barclays expectations, no official date for the TLTROs in 2015 and 2016 is available. **average in the reserve period.



13/21


19 May 2015 13

FIGURE 25

OIS curve (bp): Present and recent movements

FIGURE 26

OIS curve (bp)

18-May-15 11-May-15 20-Apr-15 1w chg 1m chg

1w -11.7 -9.8 -9.4 -1.9 -2.3

2w -10.3 -9.9 -8.9 -0.4 -1.4

3w -10.6 -9.1 -9.7 -1.5 -0.9

1m -10.9 -9.5 -9.7 -1.4 -1.2

2m -11.4 -10.3 -10.9 -1.1 -0.5

3m -11.7 -10.9 -11.9 -0.8 0.2

4m -11.8 -11.3 -12.5 -0.5 0.7

5m -11.9 -11.5 -12.9 -0.4 1.0

6m -12.0 -11.7 -13.2 -0.3 1.2

7m -12.1 -11.9 -13.4 -0.2 1.3

8m -11.9 -11.9 -13.7 0.0 1.8

9m -12.0 -12.1 -13.6 0.1 1.6

10m -11.9 -12.3 -13.8 0.4 1.9

11m -11.8 -12.3 -14.0 0.5 2.2

12m -11.7 -12.3 -14.1 0.6 2.4

Note: Barclays official forecast on the ECBs refi rate is up to the end of 2015.

Source: Barclays Research


FIGURE 27

FRA/Eonia: spot and forwards

FIGURE 28

Fra/Eonia: past developments and forwards indications (bp)

18-May-151-w

change

1-M

change

3-M

Change

Spot 10.3 0.4 -1.7 0.9

Jun15 Fwd 11.1 -0.4 -3.4 -0.1

Sep15 Fwd 12.4 0.2 -2.6 -2.2

Dec15 Fwd 12.6 0.0 -2.4 -2.5

Mar16 Fwd 12.8 -0.1 -2.3 -2.5

Jun16 Fwd 13.5 -0.2 -1.7 -2.1

Sep16 Fwd 13.9 -0.1 -1.3 -2.0


-20.0

-17.5

-15.0

-12.5

-10.0

-7.5

-5.0

-2.5

0.0

2.5

1w

2w

3w

1m

2m

3m

4m

5m

6m

7m

8m

9m

10m

11m

12m

15m

18m

21m

24m

36m

18-May-15 11-May-15 20-Apr-15

0

25

50

75

100

125

150

175

200

Jan-08 May-09 Sep-10 Feb-12 Jun-13 Nov-14 Mar-16

3m Fra/Eonia - spot

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16


14/21


19 May 2015 14

FIGURE 29

Euribor strip (bp)

FIGURE 30

Evolution of Euribor strip since the QE announcement (bp)

Contract

date

Implied

3M rate

Change vs

last week

(bp)

Changes vs.

last month

(bp)

Barclays

forecasts on

3M Euribor

Jun-15 -0.5 0.0 -1.0 -1

Sep-15 0.5 1.0 0.0 -3

Dec-15 1.5 2.0 1.5 -5Mar-16 2.5 2.0 3.0 -7

Jun-16 4.5 2.0 5.5

Sep-16 6.5 1.5 7.0

Dec-16 10.5 1.5 10.0

Mar-17 15.0 2.0 13.0

Jun-17 19.5 1.5 15.0

Sep-17 25.0 1.5 18.0

Dec-17 30.5 1.5 20.0

Mar-18 36.5 1.5 22.5

Jun-18 43.0 2.5 25.0Source: Barclays Research Source: Barclays Research

FIGURE 31

1y1y Eonia forward in the US and in the eurozone (%)

FIGURE 32

Rates differential (bp)and Eur vs. USD

Source: EBF, Barclays Research Source: EBF, Barclays Research

FIGURE 33

OIS forwards: summary of the latest movements (changes in bp)

EUR US UK

3m OIS Current (%) 1w ch 1m ch. 3m ch. Current (%) 1w ch 1m ch. 3m ch. Current (%) 1w ch 1m ch. 3m ch.

spot -0.12 -1 0 -2 0.14 0 1 1 0.46 0 0 1

3m fwd -0.12 0 2 1 0.20 -2 0 0 0.47 0 1 2

6m fwd -0.12 1 3 1 0.27 -3 0 -1 0.52 -3 2 6

12m fwd -0.11 1 4 3 0.42 -5 0 -2 0.73 -5 9 3

1y OIS Current (%) 1w ch 1m ch. 3m ch. Current (%) 1w ch 1m ch. 3m ch. Current (%) 1w ch 1m ch. 3m ch.

spot -0.12 1 3 1 0.29 -2 -1 0.0 0.51 -2 2 0.0

1y fwd -0.06 2 9 8 0.93 -12 3 0.0 0.92 -8 14 0.0

2y fwd 0.03 1 15 12 1.54 -18 12 0.0 1.36 -9 26 0.1

3y fwd 0.13 2 21 16 1.95 -18 20 0.1 1.61 -11 31 0.1


-1-3-5

-7-10

-5

0

5

10

15

20

25

30

35

40

45

50

May-15 Feb-16 Oct-16 Jul-17 Apr-18

18-May-15

11-May-15

20-Apr-15

3m Euribor - Barclays

Forecasts

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

Jun-12 May-13 May-14 May-15

Eur 1y1y fwd OIS, % Usd 1y1y fwd OIS, %1.05

1.1

1.15

1.2

1.25

1.3

1.35

1.4

1.45

-150

-130

-110

-90

-70

-50

-30

-10

10

30

Jun-12 May-13 May-14 May-15

Eur-Us, 1y1y OIS fwd diff, bp

Eur/usd, rhs


15/21


19 May 2015 15

EURO AREA T-BILLS

~No major changes in the t-bill markets, despite the increase in volatility in the EGBs market. At the 6m tenor the Italian 6m BOT

trades in marginally negative territory, while at the 12m tenor it trades in marginally positive territory, 2bp cheaper than the

Spanish 12m Letras at about 2bp. Almost all core papers are below the depo rate up to the 10m tenor.

FIGURE 34

T-bill auctions in the next two weeks

Date Country/Issuer Bill description Amount ( bn) Settlement date Bids in time

Mon 18-May-15 Germany 12m Bubill 1.5 20-May-15 10:00

Mon 18-May-15 Holland 20May15 & 31Jul15 1-2;1-2 20-May-15 10:30

Mon 18-May-15 France BTF 12Aug15, 28Oct15,27Apr16 2.6-3.0;1.2-1.6;1.0-1.4 20-May-15 13:50

Tue 19-May-14 Spain 3m & 9m Letras 3-4 (exp) 22-May-15 09:30

Wed 20-May-15 Portugal BT 20Nov15, New 20May16 1.0-1.25 22-May-15 10:30

Mon 26-May-15 France BTF auctions 7.0 (exp) 28-May-15 13:50

Tue 26-May-15 Italy CTZ Feb17 2.0 (exp) 28-May-15 10:00

Wed 27-May-15 Italy 6m BOT 5.5 (exp) 29-May-15 10:00

Source: National Treasuries, Barclays Research

FIGURE 35

6m tenor: yields by country (%)

FIGURE 36

12m tenor: yields by country (%)


0.00-0.02

-0.19

-0.21-0.27 -0.27

-0.12

-0.40

-0.35

-0.30

-0.25

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

SP IT FR BE HO DE 6 m OIS

0.01 0.00

-0.17 -0.18

-0.27

-0.12

-0.30

-0.25

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

0.15

IT SP FR BE DE 12m OIS


16/21


19 May 2015 16

SECURED REPO MARKET RATE

Repo market activity is mainly concentrated at the short maturities, up to 1-month. At longer tenors, the market is very thin.

There is no evidence of shortage of collateral yet, although the velocity of the circulation has slowed down and this is fuelling

downward pressure on GC rates.

At the very front end, the demand for peripheral collateral is good, because of the pick-up it offers vs. core collateral, and this

explains the tightening of the spread vs. the German GC rates. At longer maturities, the GC curves diverge, with the core ones

inverted while the peripheral one has a mildly steep shape.

FIGURE 37

GC repo curves selected countries (bp)

FIGURE 38

Evolution of GC rates since the introduction of negative depo

rate


FIGURE 39

ECBs PSPP purchases by country (as of end of April 2015)

since the start of the programme on March 9, 2015

FIGURE 40

ECBs PSPP purchases average maturity by country (as of

end of April 2015) (years)

Note: Purchases of Govies/agencies as well as Supranational (SUP)

-30

-25

-20

-15

-10

-5

0

S/N 1w 1M 3M 12M

DE - Repo GC curve

FR - Repo GC curve

IT - Repo GC curve

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

May-13 Jan-14 Sep-14 May-15

Overnight Eonia DE - O/N

FR - O/N IT - O/N

22

17

15

11 11

5

3 2 2 2 1 1 0 0 0 0 00

5

10

15

20

25

GE FR ITSUP SP H

OBE AT PO FI IR SLK

SLOLU

LAT LI M

A

11

109 9 9

8 88 8 8 8 8

7 7 7

65

0

2

4

6

8

10

12

PO SP SLK IR BE

MA IT

SUP AT

SLO GE FR FI H

OLULAT LI


17/21


19 May 2015 17

APPENDIX: HAIRCUTS AT THE ECBHaircut schedule for eligible collateral at Eurosystem market operations

FIGURE 41

Marketable assets with ratings from AAA to A-, %; from 1 October 2013

Category 1 Category 2 Category 3 Category 4 Category 5

Residual

maturity (y)

Fixed

coupon

Zero

coupon

Fixed

coupon

Zero

coupon

Fixed

coupon

Zero

coupon

Fixed

coupon

Zero

coupon

0-1 0.5 0.5 1.0 1.0 1.0 1.0 6.5 6.5 10.0

1-3 1.0 2 1.5 2.5 2.0 3.0 8.5 9.0 10.0

3-5 1.5 2.5 2.5 3.5 3.0 4.5 11.0 11.5 10.0

5-7 2.0 3.0 3.5 4.5 4.5 6.0 12.5 13.5 10.0

7-10 3.0 4.0 4.5 6.5 6.0 8.0 14.0 15.5 10.0

>10 5.0 7.0 8.0 10.5 9.0 13.0 17.0 22.5 10.0

FIGURE 42

Marketable assets with rating: BBB+/BBB-, %

Category 1 Category 2 Category 3 Category 4 Category 5

Residualmaturity (y)

Fixedcoupon

Zerocoupon

Fixedcoupon

Zerocoupon

Fixedcoupon

Zerocoupon

Fixedcoupon

Zerocoupon

0-1 6.0 6.0 7.0 7.0 8.0 8.0 13.0 13.0 22

1-3 7.0 8.0 10.0 14.5 15.0 16.5 24.5 26.5 22

3-5 9.0 10.0 15.5 20.5 22.5 25.0 32.5 36.5 22

5-7 10.0 11.5 16.0 22.0 26.0 30.0 36.0 40.0 22

7-10 11.50 13 18.5 27.5 27.0 32.5 37.0 42.5 22

>10 13 16 22.5 33.0 27.5 35.0 37.5 44.0 22

FIGURE 43

Level of valuation haircuts applied to eligible non-marketable assets (%)

Residual

maturity

Credit Claims (PD10 30.0 42.0 45.0 65.0 80.0 85.0

Note: Individual asset-backed securities, covered bank bonds (jumbo covered bank bonds, traditional covered bank bonds and other covered bank bonds) and

uncovered bank bonds that are theoretically valued in accordance with Section 6.5 are subject to an additional valuation haircut. This haircut is directly applied at the

level of the theoretical valuation of the individual debt instrument in the form of a valuation markdown of 5%. Furthermore, a valuation markdown is applied to

retained covered bonds. This valuation markdown is 8% for retained covered bonds in CQS 1 & 2 and 12% for retained covered bonds in CQS 3.

Source for all tables: ECB, Barclays Research

Definition of liquidity categories:

Category I: Central government debt instruments and debt instruments issued by central banks (1)Category II: Local and regional government debt instruments, Jumbo covered bonds, agency debt instruments (2) and supranational debt instruments

Category III: Traditional covered bank bonds, structured covered bank bonds, multi-cdulas and debt instruments issued by corporate and other issuers.

Category IV: Credit institution debt instruments (uncovered)

Category V: Asset-backed securities

(1) Debt certificates issued by the ECB and debt instruments issued by national central banks prior to the adoption of the euro in their respective Member State.

(2) Only marketable assets issued by issuers that have been classified as agencies by the ECB are included in liquidity Category II.

Marketable assets issued by other agencies are included in liquidity Category III.


18/21

Analyst CertificationWe, Giuseppe Maraffino and Huw Worthington, hereby certify (1) that the views expressed in this research report accurately reflect our personal viewsabout any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly orindirectly related to the specific recommendations or views expressed in this research report.

Important Disclosures:Barclays Research is a part of the Investment Bank of Barclays Bank PLC and its affiliates (collectively and each individually, "Barclays"). For currentimportant disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays Research Compliance,745 Seventh Avenue, 14th Floor, New York, NY 10019 or refer to http://publicresearch.barclays.com or call 212-526-1072.

Barclays Capital Inc. and/or one of its affiliates does and seeks to do business with companies covered in its research reports. As a result, investors shouldbe aware that Barclays may have a conflict of interest that could affect the objectivity of this report. Barclays Capital Inc. and/or one of its affiliatesregularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are the subject ofthis research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities, otherfinancial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject toappropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regarding currentmarket conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but not limited to, thequality of their work, the overall performance of the firm (including the profitability of the Investment Banking Department), the profitability and revenuesof the Markets business and the potential interest of the firm's investing clients in research with respect to the asset class covered by the analyst. To theextent that any historical pricing information was obtained from Barclays trading desks, the firm makes no representation that it is accurate or complete.All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since thepublication of this document. The Investment Bank's Research Department produces various types of research including, but not limited to, fundamentalanalysis, equity-linked analysis, quantitative analysis, and trade ideas. Recommendations contained in one type of research may differ fromrecommendations contained in other types of research, whether as a result of differing time horizons, methodologies, or otherwise. Unless otherwiseindicated, trade ideas contained herein are provided as of the date of this report and are subject to change without notice due to changes in prices. In

order to access Barclays Statement regarding Research Dissemination Policies and Procedures, please refer tohttps://live.barcap.com/publiccp/RSR/nyfipubs/disclaimer/disclaimer-research-dissemination.html. In order to access Barclays Research ConflictManagement Policy Statement, please refer to: https://live.barcap.com/publiccp/RSR/nyfipubs/disclaimer/disclaimer-conflict-management.html.

Barclays legal entities involved in publishing research:Barclays Bank PLC (Barclays, UK)Barclays Capital Inc. (BCI, US)Barclays Securities Japan Limited (BSJL, Japan)Barclays Bank PLC, Tokyo branch (Barclays Bank, Japan)Barclays Bank PLC, Hong Kong branch (Barclays Bank, Hong Kong)Barclays Capital Canada Inc. (BCCI, Canada)Absa Bank Limited (Absa, South Africa)Barclays Bank Mexico, S.A. (BBMX, Mexico)Barclays Capital Securities Taiwan Limited (BCSTW, Taiwan)Barclays Capital Securities Limited (BCSL, South Korea)Barclays Securities (India) Private Limited (BSIPL, India)Barclays Bank PLC, India branch (Barclays Bank, India)Barclays Bank PLC, Singapore branch (Barclays Bank, Singapore)Barclays Bank PLC Australia branch (Barclays Bank, Australia)

Disclaimer:This publication has been produced by the Investment Bank of Barclays Bank PLC and/or one or more of its affiliates (collectively and each individually,"Barclays"). It has been distributed by one or more Barclays legal entities that are a part of the Investment Bank as provided below. It is provided to ourclients for information purposes only, and Barclays makes no express or implied warranties, and expressly disclaims all warranties of merchantability orfitness for a particular purpose or use with respect to any data included in this publication. Barclays will not treat unauthorized recipients of this report asits clients. Prices shown are indicative and Barclays is not offering to buy or sell or soliciting offers to buy or sell any financial instrument.Without limiting any of the foregoing and to the extent permitted by law, in no event shall Barclays, nor any affiliate, nor any of their respective officers,directors, partners, or employees have any liability for (a) any special, punitive, indirect, or consequential damages; or (b) any lost profits, lost revenue, lossof anticipated savings or loss of opportunity or other financial loss, even if notified of the possibility of such damages, arising from any use of this

publication or its contents.Other than disclosures relating to Barclays, the information contained in this publication has been obtained from sources that Barclays Research believesto be reliable, but Barclays does not represent or warrant that it is accurate or complete. Barclays is not responsible for, and makes no warrantieswhatsoever as to, the content of any third-party web site accessed via a hyperlink in this publication and such information is not incorporated byreference.The views in this publication are those of the author(s) and are subject to change, and Barclays has no obligation to update its opinions or the informationin this publication. The analyst recommendations in this publication reflect solely and exclusively those of the author(s), and such opinions were preparedindependently of any other interests, including those of Barclays and/or its affiliates. This publication does not constitute personal investment advice ortake into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed herein may not be suitable forall investors. Barclays recommends that investors independently evaluate each issuer, security or instrument discussed herein and consult anyindependent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes inrelevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differsubstantially from those reflected. Past performance is not necessarily indicative of future results.This material has been issued and approved for distribution in the UK and European Economic Area by Barclays Bank PLC. It is being made available


19/21

primarily to persons who are investment professionals as that term is defined in Article 19 of the Financial Services and Markets Act 2000 (FinancialPromotion) Order 2005. It is directed at, and therefore should only be relied upon by, persons who have professional experience in matters relating toinvestments. The investments to which it relates are available only to such persons and will be entered into only with such persons. Barclays Bank PLC isauthorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and is amember of the London Stock Exchange.The Investment Bank of Barclays Bank PLC undertakes U.S. securities business in the name of its wholly owned subsidiary Barclays Capital Inc., a FINRAand SIPC member. Barclays Capital Inc., a U.S. registered broker/dealer, is distributing this material in the United States and, in connection therewithaccepts responsibility for its contents. Any U.S. person wishing to effect a transaction in any security discussed herein should do so only by contacting arepresentative of Barclays Capital Inc. in the U.S. at 745 Seventh Avenue, New York, New York 10019.Non-U.S. persons should contact and execute transactions through a Barclays Bank PLC branch or affiliate in their home jurisdiction unless localregulations permit otherwise.Barclays Bank PLC, Paris Branch (registered in France under Paris RCS number 381 066 281) is regulated by the Autorit des marchs financiers and theAutorit de contrle prudentiel. Registered office 34/36 Avenue de Friedland 75008 Paris.This material is distributed in Canada by Barclays Capital Canada Inc., a registered investment dealer, a Dealer Member of IIROC (www.iiroc.ca), and aMember of the Canadian Investor Protection Fund (CIPF).Subject to the conditions of this publication as set out above, the Corporate & Investment Banking Division of Absa Bank Limited, an authorised financialservices provider (Registration No.: 1986/004794/06. Registered Credit Provider Reg No NCRCP7), is distributing this material in South Africa. Absa BankLimited is regulated by the South African Reserve Bank. This publication is not, nor is it intended to be, advice as defined and/or contemplated in the(South African) Financial Advisory and Intermediary Services Act, 37 of 2002, or any other financial, investment, trading, tax, legal, accounting, retirement,actuarial or other professional advice or service whatsoever. Any South African person or entity wishing to effect a transaction in any security discussedherein should do so only by contacting a representative of the Corporate & Investment Banking Division of Absa Bank Limited in South Africa, 15 AliceLane, Sandton, Johannesburg, Gauteng 2196. Absa Bank Limited is a member of the Barclays group.In Japan, foreign exchange research reports are prepared and distributed by Barclays Bank PLC Tokyo Branch. Other research reports are distributed toinstitutional investors in Japan by Barclays Securities Japan Limited. Barclays Securities Japan Limited is a joint-stock company incorporated in Japan withregistered office of 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131, Japan. It is a subsidiary of Barclays Bank PLC and a registered financial instruments firm

regulated by the Financial Services Agency of Japan. Registered Number: Kanto Zaimukyokucho (kinsho) No. 143.Barclays Bank PLC, Hong Kong Branch is distributing this material in Hong Kong as an authorised institution regulated by the Hong Kong MonetaryAuthority. Registered Office: 41/F, Cheung Kong Center, 2 Queen's Road Central, Hong Kong.Information on securities/instruments that trade in Taiwan or written by a Taiwan-based research analyst is distributed by Barclays Capital SecuritiesTaiwan Limited to its clients. The material on securities/instruments not traded in Taiwan is not to be construed as 'recommendation' in Taiwan. BarclaysCapital Securities Taiwan Limited does not accept orders from clients to trade in such securities. This material may not be distributed to the public mediaor used by the public media without prior written consent of Barclays.This material is distributed in South Korea by Barclays Capital Securities Limited, Seoul Branch.All Indian securities related research and other equity research are distributed in India by Barclays Securities (India) Private Limited (BSIPL). BSIPL is acompany incorporated under the Companies Act, 1956 having CIN U67120MH2006PTC161063. BSIPL is registered and regulated by the Securities andExchange Board of India (SEBI) as a Portfolio Manager INP000002585; Stock Broker/Trading and Clearing Member: National Stock Exchange of IndiaLimited (NSE) Capital Market INB231292732, NSE Futures & Options INF231292732, NSE Currency derivatives INE231450334, Bombay Stock ExchangeLimited (BSE) Capital Market INB011292738, BSE Futures & Options INF011292738; Merchant Banker: INM000011195; Depository Participant (DP) withthe National Securities & Depositories Limited (NSDL): DP ID: IN-DP-NSDL-299-2008; Investment Adviser: INA000000391. The registered office of BSIPLis at 208, Ceejay House, Shivsagar Estate, Dr. A. Besant Road, Worli, Mumbai 400 018, India. Telephone No: +91 22 67196000. Fax number: +91 2267196100. Any other reports are distributed in India by Barclays Bank PLC, India Branch.Barclays Bank PLC Frankfurt Branch distributes this material in Germany under the supervision of Bundesanstalt fr Finanzdienstleistungsaufsicht (BaFin).This material is distributed in Malaysia by Barclays Capital Markets Malaysia Sdn Bhd.This material is distributed in Brazil by Banco Barclays S.A.This material is distributed in Mexico by Barclays Bank Mexico, S.A.Barclays Bank PLC in the Dubai International Financial Centre (Registered No. 0060) is regulated by the Dubai Financial Services Authority (DFSA).Principal place of business in the Dubai International Financial Centre: The Gate Village, Building 4, Level 4, PO Box 506504, Dubai, United Arab Emirates.Barclays Bank PLC-DIFC Branch, may only undertake the financial services activities that fall within the scope of its existing DFSA licence. Related financialproducts or services are only available to Professional Clients, as defined by the Dubai Financial Services Authority.Barclays Bank PLC in the UAE is regulated by the Central Bank of the UAE and is licensed to conduct business activities as a branch of a commercial bankincorporated outside the UAE in Dubai (Licence No.: 13/1844/2008, Registered Office: Building No. 6, Burj Dubai Business Hub, Sheikh Zayed Road, DubaiCity) and Abu Dhabi (Licence No.: 13/952/2008, Registered Office: Al Jazira Towers, Hamdan Street, PO Box 2734, Abu Dhabi).Barclays Bank PLC in the Qatar Financial Centre (Registered No. 00018) is authorised by the Qatar Financial Centre Regulatory Authority (QFCRA).Barclays Bank PLC-QFC Branch may only undertake the regulated activities that fall within the scope of its existing QFCRA licence. Principal place ofbusiness in Qatar: Qatar Financial Centre, Office 1002, 10th Floor, QFC Tower, Diplomatic Area, West Bay, PO Box 15891, Doha, Qatar. Related financialproducts or services are only available to Business Customers as defined by the Qatar Financial Centre Regulatory Authority.

This material is distributed in the UAE (including the Dubai International Financial Centre) and Qatar by Barclays Bank PLC.This material is distributed in Russia by OOO Barclays Capital, affiliated company of Barclays Bank PLC, registered and regulated in Russia by the FSFM.Broker License #177-11850-100000; Dealer License #177-11855-010000. Registered address in Russia: 125047 Moscow, 1st Tverskaya-Yamskaya str.21.This material is distributed in Singapore by the Singapore branch of Barclays Bank PLC, a bank licensed in Singapore by the Monetary Authority ofSingapore. For matters in connection with this report, recipients in Singapore may contact the Singapore branch of Barclays Bank PLC, whose registeredaddress is One Raffles Quay Level 28, South Tower, Singapore 048583.Barclays Bank PLC, Australia Branch (ARBN 062 449 585, AFSL 246617) is distributing this material in Australia. It is directed at 'wholesale clients' asdefined by Australian Corporations Act 2001.IRS Circular 230 Prepared Materials Disclaimer: Barclays does not provide tax advice and nothing contained herein should be construed to be tax advice.Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used, andcannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to support the promotion or marketing of thetransactions or other matters addressed herein. Accordingly, you should seek advice based on your particular circumstances from an independent taxadvisor.


20/21

Copyright Barclays Bank PLC (2015). All rights reserved. No part of this publication may be reproduced or redistributed in any manner without the priorwritten permission of Barclays. Barclays Bank PLC is registered in England No. 1026167. Registered office 1 Churchill Place, London, E14 5HP. Additionalinformation regarding this publication will be furnished upon request.


21/21

Barclays UPDATE Euro Money Markets Weekly Reading the 3m Euribor Decomposition

Documents

Transcript of Barclays UPDATE Euro Money Markets Weekly Reading the 3m Euribor Decomposition