05 April Government bond yields, curve slopes and spreads Swaps and Forwards Credit & money market spreads... 4

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1 Strategy Euro Rates Update Nordea Research, April 1 US Treasury Yields Y Y 1Y 3Y D W German Benchmark Yields Y Y 1Y 3Y D W German Curve Slopes -Y -1Y -1Y 1-3Y D W EUR Swap Curve Slopes -Y -1Y -1Y 1-3Y D W German Asset Swap Levels Y Y 1Y 3Y D W Y Benchmark Yields Yield 1D Spread 1D GER A A P L HOL AUT GRE POR N IRL Spread = Maturity interpolated spread to German Global Research government par yield curve nordearesearch@nordea.com Contents Government bond yields, curve slopes and spreads... 1 Swaps and Forwards... - Carry Money market rates Inflation linked bonds Inflation swaps... 3 Credit & money market spreads... Swaption volatilities... Swap & cross-country spreads... Country relative value... - Overview of rich & cheap bonds... - Individual country overviews... German & US 1-year benchmark yields, % 1 year spreads against Germany, bp.% 7.9%.%.%.7%.%.% 3.% 7.%.% 1.3%.% 1.% 17.1% % 7 Germany (Left) US (Right) Finland (Left) France (Left) Z-scores of benchmark vs. Germany Spain (Right) Italy (Right) Upcoming Issuance (source: Bloomberg) Date Country Coupon Maturity Amount (EURbn) Apr AS Apr GE.% 1. 7 Apr SP 11 Apr LN.1% 1 3. All bond quotes are taken at 1: CET. 1

2 Bond Yields & Curves Yield Levels German benchmark bond yields, % USA-Germany spreads, annualized yields, % German & US benchmark bonds on-the-run Nordea Analytics benchmarks..%.%.%.%.1% 1.% 1.% 1.% -.% -.%.% - -.% 1Y Y Y Y 1Y (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 %.% %.% Y (Left) 1-3Y (Right) Swaps and Forwards Apr- Jul- Oct- Feb-1 German 1-year benchmark yield (Left) Eurostoxx equity index (Right) 99 EUR swap rates and implied forwards, % EUR-USD spreads and implied forwards, % 7.%.% 7.%.%.%.%.%.% 3.%.%.% 3.%.%.% % -.% - Jan-99 Nov- Sep- Jul-1 May-1 Mar % Jan-99 Nov- Sep- Jul-1 May-1 Mar-1-3.% Y 3Y 1Y EUR less USD Y swap rate, % EUR less USD 1Y swap rate, % EUR swap curve shape vs. historical Historical forward rates, % E.g. YY swap rate illustrates the rate of a -year swap with a -year forward start..%.% 3.% 3.%.%.%.% -.%.%.% 3.% 3.%.%.%.% -.% %.%.%.% Mar- Jul- Oct- Jan-1 May-1 //1 Euro area average /3/1 YY YY YY

3 Y pick-up over a duration and cash neutral -1Y EUR swap barbell. EUR swap curve slopes and forwards Jan-99 Nov- Sep- Jul-1 May-1 Mar-1 EUR 1-year less -year swap rate, bp (Left) EUR 3-year less 1-year swap rate, bp (Right) Curvature (EUR swap curve) Mar- Jul- Oct- Jan-1 May-1-1Y 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 1Y 3Y Y 1-Y 1-Y 1-3Y - - 3M M 1Y 3M M 1Y Money Market Rates Expectations and history for EONIA Euribor futures curve, now, 1 wk & 1M ago -.1% -.1% The EONIA (Euro Overnight Index - Average) rate is the effective overnight reference rate for the euro. -.1% -.1% -.% -.1% -.1% -.% -.3% -.% -.7% -.3% -.% -.7% -.% -.% -.9% -.9% -.3% -.3% -.% -.% -.3% -.3% -.33% -.33% -.% -.% -.3% -.3% -.% Mar- Jan-1 Nov-1 Sep-17 Jul-1 May-19 EONIA 3-day moving average Implied 1-month EONIA swap rates -.% -.% -.% Mar-1 Jul-1 Dec-1 May-17 Oct-17 Mar-1 3/3/1 /3/1 //1 Inflation-linked Bonds Break-even inflation calculated as a yield spread to a nominal comparable bond. Real yields, % Break-even inflation history, % -.% -.7% -1.% - -.% -.% -.7% -1.% - -.% -.7% -.7% IL.1 1Mar1 (Oei) IL.1 1Mar (Oi) IL 1. Jul (Oei).1%.9%.7%.1%.9%.7%.%.% IL.1 1Mar1 (Oei) IL.1 1Mar (Oi) IL 1. Jul (Oei) 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.1%.1%.9%.9%.7%.7%.%.%.3%.3%.1%.1% Y 1Y 3Y EUR vs. USD inflation swaps -.% -.% -.% -.% -.% -.% -.% -.% % -1.% -1.% -1.% EUR vs. USD Y inflation swaps, % EUR vs. USD 1Y inflation swap, % 3

4 .7 Jan1.3 1Oct17. 1Oct1. 3Apr1 1Dec.7 Oct 1 May 1.9 3Apr Euro Rates Update 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. MF (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 MF swaption bp vol Money market rates vs. EONIA swap rates M Euribor less 3M EONIA swap rate, bp 1M Euribor less 1M EONIA swap rate, bp Long-dated MF swaption bp vol MxY 3Mx1Y 3MxY YxY 1Yx1Y Swap & Cross-country Spreads Swap spread: Benchmark bond's spread to EUR swap curve. 1Y country spreads are maturity interpolated spreads against the German government curve. German swap spreads, bp Y Y 1Y 1Y non-aaa spreads against Germany, bp Italy Ireland Spain Portugal 1Y 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. 1Y AAA/AA+ spreads to Germany, bp 3 3 1Y B/E spread changes against Germany, bp The break-even spread change is based on the spread against the following two German benchmark bonds: DE TB 1Mar1 DE. Feb Holland Finland France Austria Belgium

Country Relative Value Benchmark spreads over the maturity-interpolated German par curve, bp 1 17 17 1 71 7 7 3 1 1 9 1 3 7 1 Z-scores of benchmark vs.

5 Country Relative Value Benchmark spreads over the maturity-interpolated German par curve, bp Z-scores of benchmark vs. Germany To exploit the historical cheapness/ richness of bonds, we calculate -day z-scores: Current spread - -day average standard deviation Bond is - rich if z-score < cheap if z-score > Z-scores of benchmark vs. swap curve 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 Sep Jul country specific tables below. Cheap DE 1 Mar DE 1 Mar Bonds are ranked by z-scores. Y: Rich Jul Apr Cheap DE 11 Oct DE 9 Apr Y: Rich Jun Apr Cheap DE Aug Feb Y: Rich Cheap Apr Jul DE Feb Oct Y: Rich Jan.. -. Jan Cheap KfW Jul KfW 3 Apr Y: Rich Cheap May Jan EIB Sep GR Feb

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