15 December 2022 Table 5: Capital markets 2023 - 2024 Forecasts year-end figures Last Unit Baseline EMU 2021 2022 2023f 2024f e Government Debt Policy rate (ECB deposit rate) 1.50 % -0.50 2.00 2.75 2.25 Policy Rate (MRO) 2.00 % 0.00 2.50 3.25 2.75 10y yield (Bunds) 1.93 % -0.2 2.10 1.90 1.70 10y EUR swap rate 2.6 % 0.3 2.80 2.20 2.00 Italy 10y sovereign spread 192 bps 136 210 180 160 France 10y sovereign spread 49 bps 37 65 50 40 Spain 10y sovereign spread 104 bps 77 100 85 75 Corporate Debt Investment grade credit spreads 167 bps 98 190 170 140 High-yield credit spreads 501 bps 331 520 540 460 Equity Eurostoxx (total return p.a.) -8 ytd % 23.4 -10 6 7 US 2021 2022f 2023f 2024f Government Debt Policy rate (upper) 4.50 % 0.25 4.50 4.25 3.25 10y yield (Treasuries) 3.50 % 1.5 3.75 3.60 3.50 Corporate Debt Investment grade credit spreads 137 bps 98 160 150 130 High-yield credit spreads 437 bps 310 480 510 440 Equity S&P 500 (total return p.a.) -14.8 ytd % 28.7 -15 2 9 UK 2021 2022f 2023f 2024f Government Debt Policy rate 3.00 % 0.25 3.50 4.00 3.50 10y yield sovereign (Gilt) 3.3 % 1.0 3.20 3.75 3.25 Corporate Debt Investment grade credit spreads 192 bps 115 220 200 160 High-yield credit spreads 651 bps 390 650 680 550 Equity FTSE 100 (total return p.a.) 5.2 ytd % 18.4 4 3 7 Emerging Markets 2021 2022f 2023f 2024f Government Debt Hard currency spread (vs USD) 279 bps 295 320 335 290 Local currency yield 6.8 % 5.72 7.1 6.4 5.9 Equity MSCI EM (total return p.a. in USD) -18.5 ytd % -2.2 -20 7 7 Others 2021 2022f 2023f 2024f Foreign Exchange EURUSD 1.065 $ per € 1.137 1.03 1.06 1.11 Commodities Oil Brent* 83 $ per Bbl 78 97 96 90 Natural Gas Dutch TTF* 132 € per MWh 69 170 173 150 *yearly averages Sources: Refinitiv Datastream; Allianz Research. 27