Euro Rates Update. 26 February % 0.9% 0.8% 2.4% 0.7% 0.6% 2.2% 0.5% 0.4% 2.0% 0.3% 0.2% 1.8% 0.1% 0.0%

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1 FI Strategy Euro Rates Update Nordea Research, 6 February 6 US Treasury Yields Y Y Y Y D....7 W German Benchmark Yields Y Y Y Y D W German Curve Slopes -Y -Y -Y -Y D W EUR Swap Curve Slopes -Y -Y -Y -Y D W German Asset Swap Levels Y Y Y Y D W Y Benchmark Yields Yield D Spread D GER FRA ITA ESP BEL....6 HOL AUT GRE POR FIN IRL Spread = Maturity interpolated spread to German Global Research government par yield curve nordearesearch@nordea.com + 6 Contents Government bond yields, curve slopes and spreads... Swaps and Forwards... - Carry... - Money market rates... - Inflation linked bonds... - Inflation swaps... Credit & money market spreads... Swaption volatilities... Swap & cross-country spreads... Country relative value... - Overview of rich & cheap bonds... - Individual country overviews... German & US -year benchmark yields, %.%.6%.9%.8%.%.7%.6%.%.%.%.%.%.%.8%.%.%.6% Germany (Left) US (Right) Z-scores of benchmark vs. Germany year spreads against Germany, bp Finland (Left) Spain (Right) France (Left) Italy (Right) AT FR IE FI ES BE NL PT IT 9 Upcoming Issuance (source: Bloomberg) Date Country Coupon Maturity 6 Feb IT 9 Feb LN Mar GE.% Mar SP Mar FR Amount (EURbn). All bond quotes are taken at 6: CET.

2 Yield Levels German & US benchmark bonds on-the-run Nordea Analytics benchmarks. Bond Yields & Curves German benchmark bond yields, %.%.%.%.%.%.%.%.%.%.% -.% -.% -.% -.% USA-Germany spreads, annualized yields, %.%.6%.%.%.%.%.8%.%.%.6%.%.9%.%.8%.7%.%.6% Y Y Y Y Y (Left) Y (Right) Bond Curve Shape German yield curve slopes, bp Bonds vs. equities German curve slopes are yield spreads between Nordea Analytics benchmark bonds %.8%.6% %.% % Mar- Jun- Sep- Dec- 99 -Y (Left) -Y (Right) German -year benchmark yield (Left) Eurostoxx 6 equity index (Right) Swaps and Forwards EUR swap rates and implied forwards, % EUR-USD spreads and implied forwards, % 7.% 6.% 7.% 6.%.%.%.%.%.%.%.%.%.%.%.%.%.%.% -.% -.%.%.%.%.% -.% -.% -.% Jan-99 Nov- Sep-6 Jul- May- Mar-8 -.% -.% Jan-99 Nov- Sep-6 Jul- May- Mar-8 -.% Y Y Y EUR less USD Y swap rate, % EUR less USD Y swap rate, % E.g. YY swap rate illustrates the rate of a -year swap with a -year forward start. EUR swap curve shape vs. historical.%.%.%.%.%.%.%.%.%.%.%.%.%.%.%.%.%.%.%.% -.% -.% //6 Euro area average 8//6 Historical forward rates, %.%.%.%.%.%.%.%.%.%.% YY YY YY

3 Y pick-up over a duration and cash neutral -Y EUR swap barbell. EUR swap curve slopes and forwards - - Jan-99 Nov- Sep-6 Jul- May- Mar-8 EUR -year less -year swap rate, bp (Left) EUR -year less -year swap rate, bp (Right) Curvature (EUR swap curve) Y Steepness (Left) Barbell's pick-up at Y (Right) Carry Yield buffers for forward-starting swaps, bp Yield buffers for duration-neutral steepeners, bp The carry on the given horizon illustrates how much the spot swap rate may rise for a receiver swap position in a forward-starting swap to result in zero profit. Yield buffers for steepeners tell how much the curve may flatten in order to result in a zero-profit in a forward starting steepener position Y Y Y Y Y -Y -Y -Y M 6M Y M 6M Y Money Market Rates The EONIA (Euro Overnight Index - Average) rate is the effective overnight reference rate for the euro. Expectations and history for EONIA.% -.% -.% -.% -.% -.% -.6% Feb- Dec- Oct-6 Aug-7 Jun-8 Apr-9 EONIA -day moving average Implied -month EONIA swap rates.% -.% -.% -.% -.% -.% -.6% Euribor futures curve, now, wk & M ago -.% -.% -.7% -.7% -.9% -.9% -.% -.% -.% -.% -.% -.% -.7% -.7% -.9% -.9% -.% -.% -.% -.% -.% -.% Jan-6 Jun-6 Nov-6 Apr-7 Sep-7 Feb-8 8//6 8//6 //6 Inflation-linked Bonds Break-even inflation calculated as a yield spread to a nominal comparable bond. Real yields, % Break-even inflation history, % -.% -.% -.% -.6% -.8% -.% -.% -.% -.% -.% -.% -.6% -.8% -.% -.% -.% -.6% -.6% FR IL. Jul (OATi) FR IL. Mar (OATi) FR IL.8 Jul (OATei).%.8%.6%.%.%.%.8%.6%.%.8%.6%.%.%.%.8%.6%.%.% FR IL. Jul (OATi) FR IL. Mar (OATi) FR IL.8 Jul (OATei) Inflation Swaps A zero-coupon inflation swap is a derivative contract, in which one party pays a fixed rate (the break-even inflation rate) and the other party pays a floating rate based on realized inflation. The zero-coupon inflation swap illustrates the average expected inflation rate during the life of the swap. EUR zero-coupon inflation swaps.%.9%.7%.%.%.%.9%.7%.%.%.% Y Y Y.%.9%.7%.%.%.%.9%.7%.%.%.% EUR vs. USD inflation swaps -.% -.% -.% -.% -.6% -.6% -.8% -.8% -.% -.% -.% -.% -.% -.% EUR vs. USD Y inflation swaps, % EUR vs. USD Y inflation swap, %

4 Credit default swap indices illustrate the annual cost of buying protection against a credit event of a company. itraxx Europe is comprised of the most liquid CDS contracts referencing European investment grade credits, itraxx Crossover of sub-investment grade credits. The spread between Euribor and EONIA swap rate illustrates the money market credit risk premium, i.e. the difference between Euribor rates and the expected future ECB minimum bid rate. ATMF (At The Money Forward) swaption bp vol measures the normalized volatility, i.e. the absolute changes in the forward rate in basis points. Credit & Money Market Spreads Itraxx credit default swap spreads Itraxx Europe Y, bp (Left) Itraxx Crossover Y, bp (Right) Swaption Volatilities Short-dated ATMF swaption bp vol Money market rates vs. EONIA swap rates M Euribor less M EONIA swap rate, bp M Euribor less M EONIA swap rate, bp Long-dated ATMF swaption bp vol MxY MxY MxY YxY YxY Swap & Cross-country Spreads Swap spread: Benchmark bond's spread to EUR swap curve. Y country spreads are maturity interpolated spreads against the German government curve. German swap spreads, bp Y Y Y Y non-aaa spreads against Germany, bp Italy Ireland Spain Portugal Y break-even spread changes indicate how much a bond's spread against an equivalent bond trading on the German curve may widen in order to give the same return in one year. The break-even spread change is based on the spread against the following two German benchmark bonds: DE TB 6Mar8 DE. Feb6 Y AAA/AA+ spreads to Germany, bp Holland Finland France Austria Belgium Y B/E spread changes against Germany, bp IT.7 Jan8.6 PT. 6Oct7. IE. 8Oct8 8. ES. Oct IT Dec PT.87 Oct IE. Mar 7.6 ES. Oct

5 Country Relative Value Benchmark spreads over the maturity-interpolated German par curve, bp 7 AT FR IE FI ES BE NL PT IT Z-scores of benchmark vs. Germany To exploit the historical cheapness/ richness of bonds, we calculate 6-day z-scores: Current spread - 6-day average standard deviation Bond is - rich if z-score < cheap if z-score > AT FR IE FI ES BE NL PT IT Z-scores of benchmark vs. swap curve AT FR IE FI ES BE NL PT IT The richest and cheapest benchmark bonds against Germany and the swap curve by sectors: Against German Curve Against Swap Curve Issue Maturity Coupon Spread Z-score Issue Maturity Coupon Spread Z-score We evaluate bonds included in the Y: Rich ES Jan KfW Feb country specific tables below. Cheap NL Apr IE 8 Oct Bonds are ranked by z-scores. Y: Rich DE Oct DE 6 Oct Cheap IE 8 Oct IE 8 Oct Y: Rich DE Aug DE Aug Cheap IE Mar IE Mar Y: Rich Cheap DE Aug DE Aug KfW Jan.6..9 IE Mar. 8.. Y: Rich DE Jan DE Jan Cheap IE May IE May Y: Rich Cheap DE Aug DE Aug IE 8 Feb IE 8 Feb

6 Germany Benchmark Bonds Spread vs. France Asset Swap Spread 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Mar 8.B Public balance.... Oct 9 6.B Debt/GDP Oct 9.B Source: European Commission, Winter forecast. 9 Apr.B Jul.B Rating Aaa/AAA/AAA. Aug 8.B Moody's / S&P / Fitch. Aug 8.B Aug.B B/E Spd Y is calculated as a spread. Feb 6.B to a synthetically created par bond trading. Jan 7.B on the French curve.. Jan 7.B Aug 6.B Spreads against the French curve, bp Nov- Dec- Jan-6 Jan-6 Feb-6 DE TB 6Mar8 DE TB 9Apr DE. Feb6 DE. Aug DE TB 6Mar8 DE. Oct9 DE. 6Oct DE TB 9Apr DE.7 Jul DE Aug DE Aug DE Aug DE. Feb6 DE. Jan DE Jan7 DE. Aug6-9 France Benchmark Bonds Spread vs. Germany Asset Swap Spread 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y...8. Oct 7.B Public balance May 9.B Debt/GDP Apr 6.B Source: European Commission, Winter forecast. Nov.9B Oct 7.B Rating Aa/AA/AA.7 May.97B Moody's / S&P / Fitch. May.B May.B B/E Spd Y is calculated as a spread. Nov.99B to a synthetically created par bond trading. May 9.B on the German curve..7 Apr.B May 7.B Nov- Dec- Jan-6 Jan-6 Feb-6 FR. Oct7 FR Nov FR. May FR. Nov - FR. Oct7 FR May9 FR. Apr FR. Nov FR. Oct FR.7 May FR. May FR. May FR Nov FR. May FR.7 Apr FR. May - 6

Italy 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y -..6..7 Jan 8.6B.6 6. 6..7..6.7.6 Public balance -. -.6 -.. May 9 8.B.87 67. 7.6.8 -.6. 6..8 Debt/GDP.

7 Italy 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Jan 8.6B Public balance May 9 8.B Debt/GDP Mar.B Source: European Commission, Winter forecast.6 Nov.B Sep 7.B Rating Baa/BBB-/BBB+. May 8.B Moody's / S&P / Fitch. Mar.7B Jun 9.99B B/E Spd Y is calculated as a spread. Dec 7.B to a synthetically created par bond trading.6 Mar.99B on the German curve.. Feb 7 6.B Sep 6.B Nov- Dec- Jan-6 Jan-6 Feb-6 IT.7 Jan8 IT.6 Nov IT. Sep6 IT Dec IT.7 Jan8 IT. May9 IT. Mar IT.6 Nov IT. Sep IT. May IT. Mar IT. Jun IT Dec IT.6 Mar IT Feb7 IT. Sep Spain 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y.... Oct B Public balance Jan 9.86B Debt/GDP Jan.9B Source: European Commission, Winter forecast. Jul 7.B Jan.99B Rating Baa/BBB/BBB+.8 Apr.99B Moody's / S&P / Fitch.7 Oct.99B Apr 9.9B B/E Spd Y is calculated as a spread. Oct.96B to a synthetically created par bond trading.9 Jul.B on the German curve.. Jan 7 7.B Oct.B Nov- Dec- Jan-6 Jan-6 Feb-6 ES. Jul ES. Oct ES. Oct7 ES. Oct ES. Oct7 ES. Jan9 ES. Jan ES. Jul ES. Jan ES.8 Apr ES.7 Oct ES.6 Apr ES. Oct ES.9 Jul ES. Jan7 ES. Oct 7

Netherlands 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y.7..7. Apr 7.B -.78. -..9. -9.6-8.8 -.7 Public balance -.8 -. -.8. Apr 8.99B -. 8..6..7-6.

8 Netherlands 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Apr 7.B Public balance Apr 8.99B Debt/GDP Jan.8B Source: European Commission, Winter forecast. Jul.B Jul.B Rating Aaa/AA+/AAA.7 Jul.6B Moody's / S&P / Fitch. Jul.B Jul.B B/E Spd Y is calculated as a spread. Jan 8.B to a synthetically created par bond trading. Jan.B on the German curve.. Jan 7.B Jan 7.99B Nov- Dec- Jan-6 Jan-6 Feb-6 NL TB Apr8 NL. Jul NL. Jul NL.7 Jan7 Belgium NL. Apr7 NL TB Apr8 NL. Jan NL. Jul NL. Jul NL.7 Jul NL Jul NL. Jul NL. Jan8 NL. Jan NL Jan7 NL.7 Jan Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Jun 7.B Public balance Sep 9.B Debt/GDP Sep 9.B Source: European Commission, Winter forecast. 8 Sep.98B Mar.B Rating Aa/AA/AA. Jun.99B Moody's / S&P / Fitch.6 Jun.8B Jun 6.B B/E Spd Y is calculated as a spread. Jun 6 6.7B to a synthetically created par bond trading. Jun.97B on the German curve.. 8 Mar 9.B Jun 8.B Nov- Dec- Jan-6 Jan-6 Feb-6 BE. 8Jun7 BE.7 8Sep BE Jun6 BE.7 Jun BE. 8Jun7 BE 8Sep9 BE.7 8Sep BE. 8Sep BE 8Mar BE. Jun BE.6 Jun BE.8 Jun BE Jun6 BE Jun BE 8Mar BE.7 Jun

Finland 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y..8..87 Sep 7 6.B -.9.6... -.7-7. -.8 Public balance -.7 -. -..7 Jul 9.B -.6.7 9... -.6 -. -. Debt/GDP 8.

9 Finland 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Sep 7 6.B Public balance Jul 9.B Debt/GDP Apr 6..B Source: European Commission, Winter forecast.7 Sep 6.B Apr.B Rating Aaa/AA+/AAA. Apr.B Moody's / S&P / Fitch. Jul 6.B Sep.B B/E Spd Y is calculated as a spread.7 Jul 8.B to a synthetically created par bond trading.7 Apr..B on the German curve..6 Jul.B Nov- Dec- Jan-6 Jan-6 Feb-6 FI.87 Sep7 FI.87 Sep FI.7 Sep FI.6 Jul Austria FI.87 Sep7 FI.7 Jul9 FI.7 Apr FI.7 Sep FI. Apr FI Apr FI Jul FI.87 Sep FI.7 Jul8 FI.7 Apr FI.6 Jul Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Jan 8.6B Public balance Jun 9 7.B Debt/GDP Oct 9 7.9B Source: European Commission, Winter forecast.9 Jul.B Apr 8.7B Rating Aaa/AA+/AA+.7 Oct 9.99B Moody's / S&P / Fitch.6 Oct.B Oct 9.66B B/E Spd Y is calculated as a spread.8 Mar 6 8.B to a synthetically created par bond trading. May.9B on the German curve.. Mar 7.B Jun 6.7B Nov- Dec- Jan-6 Jan-6 Feb-6 AT.6 Jan8 AT.9 Jul AT.8 Mar6 AT. Jun AT.6 Jan8 AT.9 8Jun9 AT. 8Oct9 AT.9 Jul AT.6 Apr AT.7 Oct AT.6 Oct AT. Oct AT.8 Mar6 AT. May AT. Mar7 AT. Jun

Greece 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y...6.7 7 Jul 7.B.6,.,..86 8.9,.8 97..88 Public balance -...6.7 7 Apr 9.B.,8.,9..7 7.7,. 89.

86. 69.8.68.8.9 6..66 Moody's / S&P / Fitch. Feb 7.B 8.9 78.7 69..7 -.. 9..7. Feb 8.8B 7.87 7. 66..69 8. 9. 7..68 B/E Spd Y is calculated as a spread. Feb 9.8B 7.6 7. 86..7. 68.9 97.

10 Greece 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Jul 7.B.6,., , Public balance Apr 9.B.,8., , Debt/GDP Feb.B Source: European Commission, Winter forecast. Feb.B Feb.8B Rating Caa/B-/CCC. Feb 6.7B Moody's / S&P / Fitch. Feb 7.B Feb 8.8B B/E Spd Y is calculated as a spread. Feb 9.8B to a synthetically created par bond trading. Feb.9B on the German curve.. Feb 6.B Feb.B ,6,6 6 6,, 6 6,, 86 86,, Nov- Dec- Jan-6 Jan-6 Feb-6 GR.7 7Jul7 GR Feb6 GR.7 7Apr9 GR Feb 6 GR.7 7Jul7 GR.7 7Apr9 GR Feb GR Feb GR Feb GR Feb6 GR Feb7 GR Feb8 GR Feb9 GR Feb GR Feb6 GR Feb 6 Portugal 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Oct B Public balance Jun 9.7B Debt/GDP Jun.99B Source: European Commission, Winter forecast.8 Apr 9.B Oct.B Rating Ba/BB/BB+.9 Oct 8.B Moody's / S&P / Fitch.6 Feb.B Oct.B B/E Spd Y is calculated as a spread.87 Jul 6.B to a synthetically created par bond trading.87 Feb.B on the German curve.. Apr 7 8.B Feb..B Nov- Dec- Jan-6 Jan-6 Feb-6 PT. 6Oct7 PT.8 Apr PT.87 Oct PT. Feb PT. 6Oct7 PT.7 Jun9 PT.8 Jun PT.8 Apr PT. 7Oct PT.9 Oct PT.6 Feb PT.87 Oct PT.87 Jul6 PT.87 Feb PT. Apr7 PT. Feb

11 Ireland 6 7 Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score GDP, %, y/y Oct 8 9.8B Public balance Oct 9 6.8B Debt/GDP Apr.77B Source: European Commission, Winter forecast. 8 Oct 8.99B Mar.B Rating Baa/A/A-.9 Mar.9B Moody's / S&P / Fitch. 8 Mar 8.B Mar.B B/E Spd Y is calculated as a spread. May 6.B to a synthetically created par bond trading. May 7.78B on the German curve.. 8 Feb.B Nov- Dec- Jan-6 Jan-6 Feb-6 IE. 8Oct8 IE May6 IE 8Oct IE 8Feb - IE. 8Oct8 IE.9 8Oct9 IE. 8Apr IE 8Oct IE.8 Mar IE.9 Mar IE. 8Mar IE. Mar IE May6 IE. May IE 8Feb -

European Investment Bank (EIB) Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score B/E Spd Y is calculated as a spread. Jul 8.B -. 9...6.9 -.8-6.

12 European Investment Bank (EIB) Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score B/E Spd Y is calculated as a spread. Jul 8.B to a synthetically created par bond trading.7 Nov 9.B on the German curve..6 6 Mar..B Apr.B Sep.B Apr.B Jan.B Apr.B Sep.B Apr 6..B Mar..7B Sep..B Nov- Dec- Jan-6 Jan-6 Feb-6 EIB Jul8 EIB.7 Sep EIB. Apr EIB.7 Sep Kreditanstalt für Wiederaufbau (KfW) EIB Jul8 EIB.7 Nov9 EIB.6 6Mar EIB. Apr EIB.7 Sep EIB Apr EIB. Jan EIB. Apr EIB.7 Sep EIB Apr EIB.6 Mar EIB.7 Sep - Coupon Maturity Volume Yield -Feb 6D Avg. Z-score B/E Spd Y -Feb 6D Avg. Z-score B/E Spd Y is calculated as a spread.6 Feb 8.B to a synthetically created par bond trading.87 8 Mar 9.B on the German curve..6 Jan.B Jun.B Jan.B Apr.B Jul.B Nov- Dec- Jan-6 Jan-6 Feb-6 KFW.6 Feb8 KFW.6 Jan KFW.7 Jul KFW.6 Jan - - KFW.6 Feb8 KFW.87 8Mar9 KFW.6 Jan KFW. Jun KFW.6 Jan KFW.7 Apr KFW.7 Jul - Nordea Markets is the name of the Markets departments of Nordea Bank Norge ASA, Nordea Bank AB (publ), Nordea Bank Finland Plc and Nordea Bank Danmark A/S. The information provided herein is intended for background information only and for the sole use of the intended recipient. The views and other information provided herein are the current views of Nordea Markets as of the date of this document and are subject to change without notice. This notice is not an exhaustive description of the described product or the risks related to it, and it should not be relied on as such, nor is it a substitute for the judgement of the recipient. The information provided herein is not intended to constitute and does not constitute investment advice nor is the information intended as an offer or solicitation for the purchase or sale of any financial instrument. The information contained herein has no regard to the specific investment objectives, the financial situation or particular needs of any particular recipient. Relevant and specific professional advice should always be obtained before making any investment or credit decision. It is important to note that past performance is not indicative of future results. Nordea Markets is not and does not purport to be an adviser as to legal, taxation, accounting or regulatory matters in any jurisdiction. This document may not be reproduced, distributed or published for any purpose without the prior written consent from Nordea Markets.

Euro Rates Update. 26 January % 0.9% 0.8% 2.4% 0.7% 0.6% 2.2% 0.5% 0.4% 2.0% 0.3% 0.2% 1.8% 0.1% 0.0% 1.6% Jan-15 May-15 Aug-15 Nov-15 Feb-16

Euro Rates Update. 26 January % 0.9% 0.8% 2.4% 0.7% 0.6% 2.2% 0.5% 0.4% 2.0% 0.3% 0.2% 1.8% 0.1% 0.0% 1.6% Jan-15 May-15 Aug-15 Nov-15 Feb-16 FI Strategy Nordea Research, January 1 US Treasury Yields Y Y 1Y 3Y.7 1... 1D -1.7 -. -. -. 1W.3.9 1. -1. German Benchmark Yields Y Y 1Y 3Y -. -.3. 1. 1D -. -.3-1.7-3. 1W -. -.7. -.1 German Curve Slopes