Evaluate portfolio risks using Reuters interest rate forecast

Norman Winterling. Friday, January 2, 2009

From now on you have the opportunity to evaluate portfolio risks and prices of your financial instruments using an interest curve derived from the best interest rate forecast published by Reuters. Every month we determine the most accurate Reuters interest rates forecast for you.

logo_reuters_media_us.gifIt goes without saying that financial markets are living side by side with prognoses or forecasts. We should appreciate accurate forecasts because we can benefit from using them in our cash flow management. The following overview provides a comparison of different expectations in interest market developments. The most accurate forecast will serve as input source for our cash flow management purposes. Now you can test your portfolio cash flows in sals.a using the interest curve derived from the most accurate interest rate forecast. This interest curve is ready to use and can be found in sals.a’s “Public Templates”.

In order to determine the interest rate forecast “winner” we use the widely recognised Reuters Poll, which incorporates interest rate projections from major banks around the globe. Every contributor provides forecasts for three month money rates (in 3, 6 and 12 months) and the 10 year Bund yield rate in 3 months which provide our basis for deriving an interest curve.

Contributor banks: BayernLB, BHF-BANK, Danske Bank, DZ Bank, Helaba, Nord LB, SEB.


3M in 3M3-month money rate in 3-months
3M in 6M3-month money rate in 6-months
3M in 12M3-month money rate in 12-months
10J in 3M10Y bund yield rate in 3-months

Reuters poll on money market rates and bond yield rate by contributors (14.11.2008)

Contributor bank
3M in 3M
3M in 6M
3M in 12M
10Y in 3M
Bank 13,40%2,70%2,70%3,80%2
Bank 24,00%3,50%2,75%3,70%6
Bank 33,40%3,00%2,60%3,60%1
Bank 43,90%3,50%3,10%3,60%5
Bank 53,30%2,80%2,50%3,50%3
Bank 64,10%3,60%3,30%3,80%7
Bank 73,35%3,00%2,40%3,60%4
Median forecast
Market in 14.11.2008



Par yield curve of the poll winner in 12.12.2008

MaturityForecastReference rate
3-month money rate-3.237%
10-year Bund yield rate-3.218%
3M in 3M3.400%3.550%
3M in 6M3.000%2.878%
3M in 12M2.600%2.905%
10J in 3M3.600%3.614%


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