Egypt Government Bonds - Yields Curve

COUNTRY • SUMMARY
EGYPT
Last Update: 20 May 2024 8:15 GMT+0

The Egypt 10Y Government Bond has a 27.322% yield.

10 Years vs 2 Years bond spread is 140.3 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 27.25% (last modification in March 2024).

The Egypt credit rating is B-, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 573.65 and implied probability of default is 9.56%.

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Egypt Yield Curve

If data are not all visible, swipe table left
Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
3 months 24.834% -395.2 bp -33.6 bp 20 May
6 months 27.170% +43.7 bp -23.8 bp 20 May
9 months 26.909% +55.6 bp -27.5 bp 20 May
1 year 26.194% +15.5 bp -76.4 bp 79.24 -0.13 % +0.60 % 20 May
2 years 25.919% -78.4 bp -34.1 bp 63.07 +1.25 % +0.54 % 20 May
3 years 27.275% -82.3 bp +104.9 bp 48.50 +1.96 % -2.45 % 20 May
5 years 27.211% -132.3 bp +146.8 bp 30.02 +5.33 % -5.63 % 20 May
7 years 27.275% -156.0 bp +172.3 bp 18.48 +8.90 % -9.10 % 20 May
10 years 27.322% -161.0 bp +174.8 bp 8.93 +13.32 % -12.96 % 20 May
Last Update: 20 May 2024 8:15 GMT+0

Egypt Yield 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 (27.25%)
3 months 1 year 2 years 5 years
10 years 27.322% 7.2 bp
5 years 27.211%
-3.9 bp
2 years 25.919%
-133.1 bp
1 year 26.194%
-105.6 bp
3 months 24.834%
-241.6 bp

Focusing on 2 years Government Bond:

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2Y vs 1Y -27.5 bp Yield Curve is inverted in Short-Term Maturities
5Y vs 2Y 129.2 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 140.3 bp Normal Convexity in Long-Term vs Short-Term Maturities

Egypt 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 Egypt Credit Ratings History

Rating Agency Rating Outlook
Standard & Poor's B- positive
Moody's Investors Service Caa1 positive
Fitch Ratings B- -
DBRS - -

Egypt 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 27.25%

Egypt 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 573.65 +4.15 % +8.99 % -58.90 % 9.56 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

Egypt 10Y Bond Yield Spread

The Egypt 10Y Government Bond has a 27.322% yield.

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.
If data are not all visible, swipe table left
Egypt 10Y vs Current Spread Chg 1M Chg 6M Compare
Countries
vs Japan 10Y 2635.3 bp -173.6 bp +152.5 bp
vs China 10Y 2500.1 bp -166.5 bp +210.1 bp
vs Germany 10Y 2480.5 bp -162.4 bp +184.2 bp
vs France 10Y 2431.1 bp -160.2 bp +190.4 bp
vs Spain 10Y 2405.2 bp -156.3 bp +205.7 bp
vs Canada 10Y 2366.7 bp -149.2 bp +178.5 bp
vs Italy 10Y 2351.4 bp -150.9 bp +228.3 bp
vs United Kingdom 10Y 2314.4 bp -155.7 bp +170.3 bp
vs Australia 10Y 2304.3 bp -154.3 bp +195.9 bp
vs United States 10Y 2290.4 bp -140.5 bp +175.7 bp
vs India 10Y 2022.7 bp -148.0 bp +190.5 bp
vs Brazil 10Y 1567.5 bp -184.9 bp +114.3 bp
vs Russia 10Y 1223.7 bp -273.5 bp -133.2 bp

Egypt 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%
10 years 27.322% 8.93 12.27 18.93 25.60 32.26 38.93
7 years 27.275% 18.48 21.47 27.45 33.43 39.40 45.38
5 years 27.211% 30.02 32.59 37.73 42.88 48.02 53.16
3 years 27.275% 48.50 50.39 54.17 57.94 61.72 65.50
2 years 25.919% 63.07 64.49 67.34 70.19 73.04 75.89
1 year 26.194% 79.24 80.04 81.62 83.21 84.79 86.37
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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