COUNTRY • ITALY
Last Update: 27 Jun 2022 5:15 GMT+0

The Italy 10Y Government Bond has a 3.558% yield.

10 Years vs 2 Years bond spread is 217.5 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 0.00% (last modification in March 2016).

The Italy credit rating is BBB, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 133.80 and implied probability of default is 2.23%.

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
1 month -0.652% -0.9 bp +24.0 bp 27 Jun
3 months -0.311% +31.1 bp +39.5 bp 27 Jun
6 months 0.065% +30.6 bp +65.8 bp 27 Jun
9 months 0.377% +43.0 bp +92.3 bp 27 Jun
1 year 0.652% +42.6 bp +109.5 bp 99.35 -0.42 % -1.09 % 27 Jun
2 years 1.383% +55.0 bp +150.0 bp 97.29 -1.08 % -2.93 % 27 Jun
3 years 2.121% +55.6 bp +203.1 bp 93.90 -1.62 % -5.85 % 27 Jun
4 years 2.422% +55.6 bp +222.6 bp 90.87 -2.15 % -8.42 % 27 Jun
5 years 2.635% +59.5 bp +224.0 bp 87.81 -2.87 % -10.44 % 27 Jun
6 years 2.807% +59.9 bp +226.3 bp 84.70 -3.44 % -12.50 % 27 Jun
7 years 3.047% +59.7 bp +241.5 bp 81.05 -3.98 % -15.30 % 27 Jun
8 years 3.285% +55.5 bp +253.0 bp 77.22 -4.22 % -17.99 % 27 Jun
9 years 3.415% +55.5 bp +242.4 bp 73.92 -4.73 % -19.22 % 27 Jun
10 years 3.558% +66.2 bp +243.9 bp 70.50 -6.20 % -21.20 % 27 Jun
15 years 3.655% +55.1 bp +213.7 bp 58.36 -7.69 % -26.84 % 27 Jun
20 years 3.765% +50.7 bp +204.1 bp 47.75 -9.34 % -32.78 % 27 Jun
25 years 3.750% +53.3 bp n.a. 39.84 -12.07 % n.a. 27 Jun
30 years 3.750% +44.0 bp +179.6 bp 33.14 -11.98 % -40.78 % 27 Jun
50 years 3.901% +50.5 bp +159.4 bp 14.76 -21.61 % -53.83 % 27 Jun
Last Update: 27 Jun 2022 5:15 GMT+0

Italy Yield Curve Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
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Residual
Maturity
Yield Spread vs Bond Spread vs
Central Bank
Rate (0.00%)
3 months 1 year 2 years 5 years 10 years
30 years 3.750% 375.0 bp
10 years 3.558%
355.8 bp
5 years 2.635%
263.5 bp
2 years 1.383%
138.3 bp
1 year 0.652%
65.2 bp
3 months -0.311%
-31.1 bp
Focusing on 2 years Government Bond:
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2Y vs 1Y 73.1 bp Normal Convexity in Short-Term Maturities
5Y vs 2Y 125.2 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 217.5 bp Normal Convexity in Long-Term vs Short-Term Maturities

Italy Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation). For a deeper analysis of credit ratings, click here Italy Credit Ratings History
Rating Agency Rating Outlook
Standard & Poor's
BBB
positive
Moody's Investors Service
Baa3
-
Fitch Ratings
BBB
-
DBRS
BBB (high)
-

Italy Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.
Interest Rates Value
Central Bank Rate 0.00%

Italy Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.
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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 133.80 +3.00 % +6.44 % +77.45 % 2.23 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

Italy 10Y Bond Yield Spread

The Italy 10Y Government Bond has a 3.558% yield. Click on Spread value for the historical serie.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle.

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
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Italy 10Y vs Current Spread Chg 1M Chg 6M
Japan 10Y 333.0 bp +65.7 bp +226.9 bp Compare
Germany 10Y 211.7 bp +19.7 bp +75.6 bp Compare
France 10Y 159.4 bp +19.2 bp +60.0 bp Compare
United Kingdom 10Y 125.5 bp +28.3 bp +105.9 bp Compare
Spain 10Y 99.9 bp +19.1 bp +39.1 bp Compare
China 10Y 71.2 bp +56.6 bp +242.0 bp Compare
United States 10Y 39.6 bp +24.3 bp +75.6 bp Compare
Canada 10Y 22.5 bp +11.9 bp +58.2 bp Compare
Australia 10Y -21.2 bp +14.1 bp +26.3 bp Compare
India 10Y -388.6 bp +56.8 bp +146.0 bp Compare
Russia 10Y -515.2 bp +146.2 bp +214.4 bp Compare
Brazil 10Y -911.0 bp +42.7 bp +46.5 bp Compare

Italy Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates. The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
If data are not all visible, swipe table left
Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
50 years 3.901% 14.76 36.61 80.31 124.01 167.72 211.42
30 years 3.750% 33.14 50.97 86.63 122.29 157.95 193.60
25 years 3.750% 39.84 55.89 87.97 120.06 152.15 184.24
20 years 3.765% 47.75 61.63 89.38 117.14 144.89 172.65
15 years 3.655% 58.36 69.76 92.54 115.32 138.10 160.89
10 years 3.558% 70.50 78.79 95.37 111.96 128.54 145.13
9 years 3.415% 73.92 81.56 96.83 112.11 127.38 142.66
8 years 3.285% 77.22 84.15 98.02 111.90 125.77 139.64
7 years 3.047% 81.05 87.27 99.71 112.15 124.58 137.02
6 years 2.807% 84.70 90.15 101.05 111.96 122.86 133.76
5 years 2.635% 87.81 92.43 101.69 110.94 120.20 129.46
4 years 2.422% 90.87 94.64 102.18 109.72 117.25 124.79
3 years 2.121% 93.90 96.77 102.53 108.28 114.04 119.79
2 years 1.383% 97.29 99.25 103.17 107.09 111.01 114.92
1 year 0.652% 99.35 100.35 102.33 104.32 106.31 108.29
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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