Fixed Income Market Watch

Investment Research 9 April 2013 Fixed Income Market Watch Sweden Riksbank and Money Market Forecast repo rates given Riba pricing and Danske Bank Markets Repo Eff. Date Riba Diff. (bp) Danske Markets 2013-04-17 0.99-1 1.00 2013-07-10 0.95-4 1.00 2013-09-11 0.93-2 1.00 2013-10-30 0.94 1 1.00 2013-12-25 0.95 1 1.25 2014-02-19 1.03 8 1.25 2014-04-15 1.06 3 1.50 FRA rates 2.40% 2.20% 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% Now Last Month Last Year years 0 0.5 1 1.5 2 Direction of past three data releases for a number of macro economic series Momentum monitor Nov Dec Jan Feb Mar Next release Retail sales, mom 29-apr Consumer confidence 25-apr Credit growth, households, yoy 26-apr Industrial production 10-apr Industrial orders 10-apr Manufacturing PMI 01-maj Manufacturing confidence 25-apr Service production 06-maj Service PMI 06-maj Service producers' confidence 25-apr Construction confidence 25-apr Economic tendency barometer 25-apr Trade balance, yoy 26-apr Credit growth corporates 26-apr Employment, s.a 23-apr Unemployment, s.a 23-apr Lay-offs, yoy 11-apr Riba prices and forecasts 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 0.90 0.80 0.70 Riba DM Forecast Riksbank Forecast years 0 0.5 1 1.5 Quant/Strategy Susanne Perneby +46 8 568 80 585 supe@danskebank.se Important disclosures and certifications are contained from page 10 of this report.

TED-spread* and the spread between Riba and FRA contracts TED Spread 110 100 90 80 70 60 50 40 30 20 Actual Market Implied Swap rates 2.70% 2.50% 2.30% 2.10% 1.90% 1.70% 1.50% 1.30% Now Last Month Last Year years 1 2 3 4 5 6 7 8 9 10 * Spread between 3M Stibor and a generic 3M point on the Riba-curve Technical chart of the week The Swedish 10Y government bond index has been recoiling since mid-february. The closure last week looks like an acceleration and could be a signal that the period of contraction is now over. Fibonacci levels of resistance are around 1.625-1.65%. On the downside the barriers are 1.57% resp. 1.50%, and at 1.75% resp 1.87% upward. The 200 MA is currently 1.62%. 2 9 April 2013

Nominal bonds Swedish government bonds Yield Week Mth YTD Mrg Rate Spread vs DE ASW Carry RD SGB1041 0.90% +0.5-4.5 +16.0 0.90% 88-38 -0.5-0.1 SGB1049 0.97% -2.0-20.5 +12.5 1.02% 93-45 0.1 0.3 SGB1050 1.02% -4.5-27.0 +12.0 1.15% 93-52 0.2 0.4 SGB1051 1.12% -5.0-33.0 +13.0 1.43% 90-55 0.4 0.7 SGB1052 1.31% -6.5-37.5 +9.5 1.92% 85-55 0.6 0.9 SGB1047 1.45% -10.0-39.5 +4.0 2.01% 70-60 0.6 0.6 SGB1054 1.57% -12.5-41.0 +0.5 2.21% 50-60 0.7 0.5 SGB1057 1.67% -13.5-43.0 0.0 2.21% 33-60 0.6 0.4 SGB1056 2.14% -16.0-47.0 0.0 2.90% 13-44 0.7 0.3 SGB1053 2.34% -16.5-47.5 +3.5 3.36% 28-32 0.7 0.2 * Carry & Roll Down (RD) for 1M forward German and Swedish government bonds swapped into a 3M Stibor based cash flow ASW (bp) 40 20 0-20 -40 Swedish Govies German Govies -60-80 Years to Maturity 0 5 10 15 20 25 30 35 Marginal rates * 4.00% SEGOVT SHYP1586 3.50% SHYP1583 SEKSWAP 3.00% Stadshypotek SHYP1580 2.50% SHYP1579 SHYP1578 SGB1054 2.00% SHYP1577 SGB1052 SGB1047 SHYP1576 SGB1041 SGB1049 SGB1050 SGB1051 SGB1057 1.50% SHYP1574 SHYP1575 1.00% Years to Maturity 0.50% 0 2 4 6 8 10 12 *Computed from a zero-coupon curve 3 9 April 2013

Mortgage bonds Cpn Mat. Yield Wk Mth YTD Mrg Rte ASW Carry RD SHYP1574 6.00% sep-13 1.07% +0.5-0.5-19.5 1.07% -19.9-0.5 SHYP1575 6.00% jun-14 1.33% -1.5-8.5 +3.5 1.48% 3.8 1.3 2.5 SHYP1576 6.00% mar-15 1.47% -7.0-17.5 +6.0 1.71% 10.5 1.5 1.4 SHYP1577 6.00% dec-15 1.64% -7.0-19.5 +8.0 2.10% 17.2 1.7 1.5 SHYP1578 6.00% sep-16 1.78% -6.5-21.0 +8.5 2.34% 21.8 1.8 1.2 SHYP1579 6.00% jun-17 1.91% -6.5-23.5 +8.0 2.55% 25.5 1.8 1.1 SHYP1580 3.00% mar-18 2.05% -6.5-26.0 +9.5 2.84% 31.0 1.8 1.2 SHYP1583 4.25% jun-20 2.46% -6.5-25.0 +17.5 3.54% 46.0 1.9 1.2 SHYP1586 4.50% sep-22 2.72% -6.5-25.0 +20.0 3.73% 52.4 1.8 0.7 SWH177 4.75% jun-13 1.15% 0.0 +2.0-9.0 1.15% -7.2-1.5 SWH166 6.75% maj-14 1.28% -1.0-6.0 +3.0 1.30% -0.1 1.0 0.9 SWH182 3.75% mar-15 1.45% -6.5-17.5 +4.0 1.67% 8.5 1.4 1.4 SWH183 3.75% sep-15 1.56% -7.0-19.0 +5.0 1.99% 12.4 1.6 1.4 SWH184 3.75% jun-16 1.71% -6.5-18.5 +7.5 2.24% 18.1 1.7 1.4 SWH185 3.75% mar-17 1.84% -6.5-22.5 +5.5 2.40% 21.8 1.7 1.2 SWH186 3.75% dec-17 2.01% -6.5-25.5 +6.5 2.99% 30.0 1.8 1.6 SWH187 3.75% sep-18 2.17% 3.25% 36.4 1.9 1.5 SWH180 5.70% maj-20 2.46% -6.5-24.5 +15.0 3.70% 47.1 2.0 1.3 NDH5525 4.25% jun-13 1.15% 0.0 +2.0-9.0 1.15% -7.2-1.5 NDH5526 4.00% jun-14 1.33% -1.5-8.5 +3.5 1.36% 3.8 1.2 1.1 NDH5520 3.25% jun-15 1.53% -7.0-18.0 +8.0 1.77% 12.7 1.6 1.4 NDH5527 4.50% jun-16 1.72% -6.5-19.0 +9.0 2.18% 19.1 1.8 1.3 NDH5528 3.00% jun-17 1.90% -6.5-23.5 +8.0 2.46% 24.5 1.7 1.1 NDH5529 2.00% jun-18 2.10% -6.5-25.5 2.99% 33.0 1.8 1.4 NDH5521 3.25% jun-20 2.46% -6.5-25.0 +18.0 3.55% 46.0 1.9 1.3 SEB566 4.25% jun-13 1.15% 0.0 +2.0-9.0 1.15% -7.2-1.5 SEB567 4.50% jun-14 1.33% -1.5-8.5 +4.5 1.36% 3.8 1.3 1.1 SEB568 4.00% jun-15 1.53% -7.0-18.0 +7.5 1.77% 12.7 1.6 1.4 SEB569 4.25% jun-16 1.72% -6.5-19.0 +8.5 2.18% 19.1 1.7 1.3 SEB570 3.00% jun-17 1.90% -6.5-24.0 +5.5 2.49% 25.0 1.7 1.2 SEB571 3.00% jun-18 2.10% -6.5-26.5 +7.0 3.01% 33.0 1.8 1.4 LFH505 4.50% sep-13 1.07% +0.5-0.5-19.5 1.07% -19.9-0.5 LFH506 4.50% maj-14 1.28% -1.0-6.5 +2.5 1.42% -0.1 1.0 2.4 LFH510 2.25% jun-15 1.53% -7.0-18.0 +5.0 1.77% 12.7 1.6 1.5 LFH508 4.00% mar-16 1.68% -7.0-20.0 +5.5 2.15% 18.0 1.7 1.4 LFH507 4.50% jun-17 1.96% -6.5-24.0 +3.0 2.67% 30.5 1.9 1.5 LFH511 2.50% jun-18 2.15% -6.5-27.5 +3.0 2.95% 37.5 1.9 1.2 SCBC126 4.00% apr-14 1.26% +1.5-3.0 0.0 1.26% -2.4 0.7-0.1 SCBC127 4.00% apr-15 1.50% -7.0-17.5 +7.0 1.74% 11.8 1.6 1.7 SCBC131 4.00% nov-15 1.64% -7.0-18.0 +10.0 2.14% 18.2 1.8 1.7 SCBC132 4.00% sep-16 1.78% -7.0-20.5 +9.0 2.26% 21.8 1.8 1.2 SCBC133 4.00% jun-17 1.90% -6.5-23.0 +8.0 2.50% 25.0 1.8 1.1 SCBC134 4.00% mar-18 2.04% -6.5-26.0 2.90% 30.0 1.8 1.4 * Carry & Roll Down (RD) for 1M forward 4 9 April 2013

Top 5 monthly winners Top 5 monthly losers bp bp SGB1053 mar-39 3.50% -47.5 SWH177 jun-13 4.75% 2.5 SGB1056 jun-32 2.25% -47.0 NDH5525 jun-13 4.25% 2.5 SGB1057 nov-23 1.50% -43.0 SEB566 jun-13 4.25% 2.5 SGB1054 jun-22 3.50% -41.0 SHYP1574 sep-13 6.00% 0.0 SGB1047 dec-20 5.00% -39.5 LFH505 sep-13 4.50% 0.0 Top 5 largest Z-score* Z-Score SGB1056 jun-32 2.25% -2.41 SGB1054 jun-22 3.50% -2.39 SGB1057 nov-23 1.50% -2.38 SCBC134 mar-18 4.00% -2.30 NDH5529 jun-18 2.00% -2.29 *Std from 3M mean Top 5 yield volatility bp/day SGB1053 mar-39 3.50% 3.8 SGB1056 jun-32 2.25% 3.7 SGB1057 nov-23 1.50% 3.7 SGB1054 jun-22 3.50% 3.5 SGB1047 dec-20 5.00% 3.2 Markets period: past month Source: Danske Bank Top 5 ASW bp SHYP1586 sep-22 4.50% 57.8 SWH180 maj-20 5.70% 54.6 SHYP1583 jun-20 4.25% 49.7 NDH5521 jun-20 3.25% 47.0 SWH187 sep-18 3.75% 38.3 Top 5 ASW gainers bp NDH5525 jun-13 4.25% 8.8 SEB566 jun-13 4.25% 8.8 SWH177 jun-13 4.75% 8.8 SCBC126 apr-14 4.00% 6.3 SGB1041 maj-14 6.75% 5.3 Change during past month Top 5 winners total return YTD SGB1056 jun-32 2.25% 0.59% SGB1057 nov-23 1.50% 0.46% LFH511 jun-18 2.50% 0.44% SHYP1574 sep-13 6.00% 0.44% LFH505 sep-13 4.50% 0.44% Period: YTD Top 5 losers total return YTD SHYP1586 sep-22 4.50% -0.88% NDH5521 jun-20 3.25% -0.52% SHYP1583 jun-20 4.25% -0.46% SGB1051 aug-17 3.75% -0.26% SWH180 maj-20 5.70% -0.25% Period: YTD 5 9 April 2013

Top 5 carry & roll down, maturity<3y Carry RD SHYP1575 jun-14 6.00% 1.3 2.4 SCBC131 nov-15 4.00% 1.8 1.7 LFH506 maj-14 4.50% 1.0 2.4 SHYP1577 dec-15 6.00% 1.7 1.5 SCBC127 apr-15 4.00% 1.6 1.7 Period: 1M forward Top 5 carry & roll down, maturity>3y Carry RD LFH507 jun-17 4.50% 1.9 1.5 SWH186 dec-17 3.75% 1.8 1.6 SWH187 sep-18 3.75% 1.9 1.5 SWH180 maj-20 5.70% 2.0 1.3 SEB571 jun-18 3.00% 1.8 1.4 Period: 1M forward 2Y spread vs SGB1049 5Y spread vs SGB1052 bp Week Month YTD SHYP1576 mar-15 6.00% 58-7.0-12.5-9.5 SWH183 sep-15 3.75% 66-7.5-14.5-11.0 NDH5520 jun-15 3.25% 63-7.5-13.5-8.0 SEB568 jun-15 4.00% 63-7.5-13.5-8.5 LFH510 jun-15 2.25% 63-7.5-13.5-11.0 SCBC127 apr-15 4.00% 60-7.5-13.0-9.0 bp Week Month YTD SHYP1580 mar-18 3.00% 75 +0.5 +12.0 +0.5 SWH187 sep-18 3.75% 86 NDH5529 jun-18 2.00% 80 +0.5 +12.5 SEB571 jun-18 3.00% 80 +0.5 +11.5-2.0 LFH511 jun-18 2.50% 84 +0.5 +10.5-6.0 SCBC134 mar-18 4.00% 74 +0.5 +12.0 Swedish mortgage vs government bonds 105 95 Spread vs Govies (bp) 85 75 65 55 45 35 Stadshypotek Swedbank Hypotek Nordea Hypotek 25 SCBC LF Hypotekx509 SEB Years to Maturity 15 0 1 2 3 4 5 6 7 8 9 10 *Computed spread is based on a zero-coupon based government curve 6 9 April 2013

Historical slope and curvature of swap term structure BP 240 190 140 90 40-10 -60 10-2y 5-2y 5-2-10Y Swap spreads vs government bonds bp Week Month YTD SGB1049 aug-15 4.50% -43-0.5-10.7-4.5 SGB1052 mar-19 4.25% -46-4.0-20.5-12.5 SGB1057 nov-23 1.50% -59-8.0-22.2-18.0 Swap spreads vs EUR swaps bp Week Month YTD SWAP2Y apr-15 1.38% 94 +2.8-11.0 +10.5 SWAP5Y apr-18 1.76% 92 +3.9-10.6 +15.8 SWAP10Y apr-23 2.23% 65 +1.7-6.9 +16.4 Forward swap rates 6.00 5.00 Swap 1Y1Y Swap 2Y2Y Swap 5Y5Y Rate 4.00 3.00 2.00 1.00 0.00 Forward swap spread vs euro 150 100 50 SW vs EU Swap 1Y1Y SW vs EU Swap 5Y5Y SW vs EU Swap 2Y2Y Spread (bp) 0-50 -100 7 9 April 2013

Inflation-linked bonds Swedish inflation-linked bonds Cpn Mat. Yield Week Mth YTD Z-Cpn BEI CPI Delta Mrg Rte Nom. BEI vs Nom Sprd vs DE SGB3105 3.50% dec-15-0.54% -2.5-49.0-39.0 1.53% 3.91-0.53% SGB1049 1.51% 85.5 SGB3107 0.50% jun-17-0.38% -3.5-43.5-23.5 1.48% 2.44-0.09% SGB1051 1.50% 90.2 SGB3102 4.00% dec-20-0.15% -6.5-44.0-16.0 1.62% 1.47 0.18% SGB1047 1.60% 76.4 SGB3108 0.25% jun-22-0.06% -7.5-42.0-9.0 1.67% 1.11 0.29% SGB1054 1.63% 64.0 SGB3104 3.50% dec-28 0.20% -8.0-41.5-0.5 1.74% 0.77 0.68% SGB1057 1.47% 83.3 Swedish CPI and forecast BEI spreads in Sweden and Germany 0.05 0.04 0.03 CPI YoY DM CPI Forecast YoY 1.85% 0.02 1.65% 0.01 0.00-0.01-0.02 1.45% Sweden Germany 1.25% Years to Maturity 1.05% 0 5 10 15 * Zero-coupon based generic BEIs Carry @ 1% repo 1M 3M 6M SGB3105 13.2 26.8 0.6 SGB3107 8.5 17.0 2.6 SGB3102 5.4 10.9 3.3 SGB3108 4.1 8.4 3.0 SGB3104 3.1 6.3 3.0 * Based on DM CPI forecast Forward BEI @ 1% repo 1M 3M 6M SGB3105 1.37% 1.23% 1.48% SGB3107 1.41% 1.33% 1.48% SGB3102 1.54% 1.50% 1.59% SGB3108 1.59% 1.55% 1.63% SGB3104 1.45% 1.43% 1.48% * Based on DM CPI forecast 8 9 April 2013

Asset and position correlations Top 10 Correlations vs 10Y yld Asset Correlation 5Y SEGOVT 0.97 DE 10Y 0.91 US 10Y 0.83 Slope 0.82 UK 10Y 0.82 2Y SEGOVT 0.81 Norway 10Y 0.68 MSCI World 0.66 USDJPY 0.65 S&P 500 0.65 *Weekly data, 24 weeks window Top 10 Negative Corr. vs 10Y yld Asset Correlation ITRX X-over -0.65 ITRX Main -0.65 ITRX Sr Fin -0.64 USDSEK -0.54 VIX -0.54 Italy 10Y -0.51 GBPSEK -0.44 Baltic Dry -0.38 AUDSEK -0.38 STIB3M Index -0.23 *Weekly data, 24 weeks window Correlations between the yield of a 10Y generic Swedish government bond and other assets and indices Correlation 1.00 0.90 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00-0.10-0.20-0.30-0.40-0.50-0.60-0.70-0.80-0.90-1.00-1.10 Slope Curvature DE 10Y US 10Y ITRX Main WTI Oil OMX30 Gold (Correlations are computed from weekly data and a 24-week rolling window of log-returns) /Bloomberg 9 9 April 2013

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