Fixed Income Market Watch

Investment Research 07 January 2013 Fixed Income Market Watch Sweden The Riksbank and Money Market Forecast repo rates given Riba pricing, Riksbank and Danske Bank Markets Repo Diff. Danske Bank Eff. Date Riba (bp) Riksbank Markets 2013-02-20 0.88-12 0.98 1.00 2013-04-17 0.78-10 0.96 0.75 2013-07-10 0.82 3 0.98 0.75 2013-09-11 0.82 0 1.00 0.75 2013-10-30 0.81-1 1.00 0.75 2013-12-25 0.83 2 1.20 0.75 2014-02-19 0.83 0 1.25 0.75 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 the three latest data releases for a number of macro-economic series Aug Sep Oct Nov Dec Next release Retail sales, mom 28-jan Consumer confidence 30-jan Credit growth, households, yoy 28-jan Industrial production 10-jan Industrial orders 10-jan Manufacturing PMI 01-feb Manufacturing confidence 30-jan Service production 05-feb Service PMI 05-feb Service producers' confidence 30-jan Construction confidence 30-jan Economic tendency barometer 30-jan Trade balance, yoy 28-jan Credit growth corporates 28-jan Employment, s.a 24-jan Unemployment, s.a 24-jan Lay-offs, yoy 11-jan 2.00 1.00 0.00-1.00-2.00 Macro economic series summarized into a single indicator 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 Marcus Söderberg +46-8-56880564 marsd@danskebank.se Important certifications and disclosures are contained from page 11.

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 3.50% 3.00% 2.50% 2.00% Now Last Month Last Year 1.50% 1.00% 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 Our target is 1.86% in the SGB 1054, will there be a bounce back before hitting that level? It is possible but still rates are going up, and look to sell in stronger markets. 2 07 January 2013

Nominal s Swedish government bonds Yield Week Mth YTD Mrg Rate Spread vs DE ASW Carry RD SGB1041 0.78% +4.0 +5.5 +4.0 0.78% 68-43 -3.4 0.1 SGB1049 0.93% +8.5 +14.0 +8.5 1.09% 82-41 -1.1 1.0 SGB1050 1.02% +12.5 +15.5 +12.5 1.30% 79-43 -0.1 0.9 SGB1051 1.13% +14.0 +14.5 +14.0 1.49% 68-47 0.2 0.8 SGB1052 1.37% +15.0 +19.0 +15.0 2.16% 58-44 0.5 1.3 SGB1047 1.57% +16.0 +21.0 +16.0 2.45% 44-45 0.4 1.0 SGB1054 1.73% +16.5 +22.0 +16.5 2.62% 31-42 0.5 0.8 SGB1057 1.83% +16.0 +21.0 +16.0 2.31% 16-42 0.5 0.4 SGB1056 2.30% +16.0 +20.0 +16.0 3.09% 0-20 0.6 0.4 * Carry & Roll Down (RD) for 1M forward German and Swedish government bonds swapped into a 3M stibor-based cash flow ASW (bp) 60 40 20 0-20 Swedish Govies German Govies -40-60 Years to Maturity 0 5 10 15 20 25 30 35 Marginal rates * 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% SEGOVT SEKSWAP Stadshypotek SHYP1575 SHYP1573 SHYP1574 SHYP1578 SHYP1579 SHYP1577 SHYP1576 SGB1051 SGB1050 SGB1049 SGB1052 SHYP1580 SGB1047 SHYP1583 SGB1054 SGB1057 1.00% SHYP1586 SGB1041 Years to Maturity 0.50% 0 2 4 6 8 10 12 *Computed from a zero-coupon curve 3 07 January 2013

Mortgage s Cpn Mat. Yield Wk Mth YTD Mrg Rte ASW Carry RD SHYP1574 6.00% sep-13 1.26% -0.5-6.5-0.5 1.26% 5.7 0.4 SHYP1575 6.00% jun-14 1.31% +1.5-2.5 +1.5 1.35% 8.8-3.9 0.7 SHYP1576 6.00% mar-15 1.46% +4.5-4.0 +4.5 1.76% 17.0-1.9 1.7 SHYP1577 6.00% dec-15 1.61% +5.0-4.5 +5.0 2.08% 22.8-0.9 1.7 SHYP1578 6.00% sep-16 1.76% +6.0-4.5 +6.0 2.40% 27.7 0.7 1.7 SHYP1579 6.00% jun-17 1.89% +6.5-5.0 +6.5 2.65% 31.3 1.0 1.5 SHYP1580 3.00% mar-18 2.03% +7.0-4.0 +7.0 2.79% 34.9 1.1 1.3 SHYP1583 4.25% jun-20 2.36% +7.5-4.5 +7.5 3.30% 39.2 1.2 1.2 SHYP1586 4.50% sep-22 2.59% +7.5-4.5 +7.5 3.53% 41.7 1.2 0.8 SWH177 4.75% jun-13 1.24% -0.5-6.0-0.5 1.24% 3.0 0.8 SWH166 6.75% maj-14 1.27% +2.5-4.0 +2.5 1.29% 6.3-4.5 0.4 SWH182 3.75% mar-15 1.46% +4.5-4.5 +4.5 1.75% 17.0-1.8 1.8 SWH183 3.75% sep-15 1.55% +4.5-5.5 +4.5 1.99% 20.4-1.2 1.6 SWH184 3.75% jun-16 1.70% +6.0-5.0 +6.0 2.25% 25.3 0.6 1.6 SWH185 3.75% mar-17 1.85% +6.5-5.0 +6.5 2.59% 30.5 0.9 1.7 SWH186 3.75% dec-17 2.01% +6.5-6.0 +6.5 3.00% 36.6 1.1 1.8 SWH180 5.70% maj-20 2.37% +6.0-7.0 +6.0 3.31% 41.4 1.3 1.2 NDH5525 4.25% jun-13 1.24% -0.5-6.0-0.5 1.24% 3.0 0.8 NDH5526 4.00% jun-14 1.31% +1.5-2.5 +1.5 1.34% 8.8-3.9 0.7 NDH5520 3.25% jun-15 1.50% +5.0-4.5 +5.0 1.78% 18.1-1.5 1.6 NDH5527 4.50% jun-16 1.70% +6.5-4.0 +6.5 2.23% 25.3 0.6 1.7 NDH5528 3.00% jun-17 1.89% +7.0-4.5 +7.0 2.55% 30.8 0.9 1.5 NDH5521 3.25% jun-20 2.36% +7.5-4.5 +7.5 3.16% 38.7 1.2 1.3 SEB566 4.25% jun-13 1.24% -0.5-6.0-0.5 1.24% 3.0 0.8 SEB567 4.50% jun-14 1.30% +2.0-3.0 +2.0 1.33% 8.3-3.8 0.6 SEB568 4.00% jun-15 1.50% +4.5-5.5 +4.5 1.79% 18.1-1.5 1.7 SEB569 4.25% jun-16 1.70% +6.0-5.0 +6.0 2.22% 25.3 0.6 1.7 SEB570 3.00% jun-17 1.91% +6.5-5.5 +6.5 2.67% 33.3 1.0 1.7 SEB571 3.00% jun-18 2.10% +7.0-5.0 +7.0 3.02% 39.0 1.1 1.6 LFH505 4.50% sep-13 1.26% -0.5-6.5-0.5 1.26% 5.7 0.4 LFH506 4.50% maj-14 1.27% +2.0-5.0 +2.0 1.28% 6.3-4.5 0.4 LFH510 2.25% jun-15 1.52% +4.5-5.5 +4.5 1.82% 20.6-1.4 1.9 LFH508 4.00% mar-16 1.68% +6.0-5.0 +6.0 2.25% 27.1 0.6 1.8 LFH507 4.50% jun-17 1.99% +6.0-7.0 +6.0 2.84% 40.8 1.1 2.0 LFH511 2.50% jun-18 2.18% +6.0-6.0 +6.0 3.02% 46.5 1.3 1.5 SCBC125 4.00% apr-13 1.24% -0.5-6.0-0.5 1.24% -0.4 2.2 SCBC126 4.00% apr-14 1.27% +1.5-3.5 +1.5 1.28% 6.0-4.7 0.3 SCBC127 4.00% apr-15 1.47% +4.0-4.5 +4.0 1.72% 17.0-1.8 1.7 SCBC131 4.00% nov-15 1.58% +4.0-6.0 +4.0 2.02% 20.8-1.0 1.6 SCBC132 4.00% sep-16 1.75% +6.0-4.5 +6.0 2.39% 27.2 0.7 1.8 SCBC133 4.00% jun-17 1.89% +6.5-5.0 +6.5 2.61% 30.8 0.9 1.5 * Carry & Roll Down (RD) for 1M forward 4 07 January 2013

Top 5 Monthly Winners Top 5 Monthly Losers bp bp LFH507 jun-17 4.50% -7.0 SGB1053 mar-39 3.50% 25.5 SWH180 maj-20 5.70% -7.0 SGB1054 jun-22 3.50% 22.0 SHYP1574 sep-13 6.00% -6.5 SGB1047 dec-20 5.00% 21.0 LFH505 sep-13 4.50% -6.5 SGB1057 nov-23 1.50% 21.0 SWH186 dec-17 3.75% -6.0 SGB1056 jun-32 2.25% 20.0 Top 5 Largest Z-Score * Z-Score SGB1052 mar-19 4.25% 2.82 SGB1047 dec-20 5.00% 2.77 SGB1056 jun-32 2.25% 2.66 SGB1054 jun-22 3.50% 2.65 SGB1050 jul-16 3.00% 2.61 *Std from 3M mean Top 5 Yield Volatility bp/day SGB1057 nov-23 1.50% 3.2 SGB1056 jun-32 2.25% 3.2 SGB1054 jun-22 3.50% 3.1 SGB1053 mar-39 3.50% 3.1 SGB1047 dec-20 5.00% 3.1 period: past month Top 5 ASW bp SWH180 maj-20 5.70% 48.6 SHYP1586 sep-22 4.50% 46.8 LFH511 jun-18 2.50% 46.2 LFH507 jun-17 4.50% 43.5 SHYP1583 jun-20 4.25% 42.9 Top 5 ASW Gainers bp SGB1049 aug-15 4.50% 15.9 SGB1047 dec-20 5.00% 15.7 SGB1052 mar-19 4.25% 14.8 SGB1053 mar-39 3.50% 14.5 SGB1054 jun-22 3.50% 14.1 change in last mth Top 5 Winners Total Return YTD SHYP1574 sep-13 6.00% 0.04% LFH505 sep-13 4.50% 0.04% NDH5525 jun-13 4.25% 0.04% SEB566 jun-13 4.25% 0.04% SWH177 jun-13 4.75% 0.04% Period: YTD Top 5 Losers Total Return YTD SGB1057 nov-23 1.50% -2.19% SGB1054 jun-22 3.50% -1.82% SGB1047 dec-20 5.00% -1.49% SGB1052 mar-19 4.25% -1.11% SGB1051 aug-17 3.75% -0.81% period: YTD 5 07 January 2013

Top 5 Carry & Roll Down, Maturity<3Y Carry RD SHYP1577 dec-15 6.00% -0.9 1.7 SCBC131 nov-15 4.00% -1.0 1.6 LFH510 jun-15 2.25% -1.4 1.9 SWH183 sep-15 3.75% -1.2 1.6 SEB568 jun-15 4.00% -1.5 1.7 period: 1M forward Top 5 Carry & Roll Down, Maturity>3Y Carry RD LFH507 jun-17 4.50% 1.1 2.0 SWH186 dec-17 3.75% 1.1 1.8 LFH511 jun-18 2.50% 1.3 1.5 SEB571 jun-18 3.00% 1.1 1.6 SEB570 jun-17 3.00% 1.0 1.7 period: 1M forward 2Y spread vs SGB1041 5Y spread vs SGB1051 bp Week Month YTD SHYP1575 jun-14 6.00% 53-2.5-8.0-2.5 SWH166 maj-14 6.75% 49-1.5-9.5-1.5 NDH5526 jun-14 4.00% 53-2.5-8.0-2.5 SEB567 jun-14 4.50% 52-2.0-8.5-2.0 LFH506 maj-14 4.50% 49-2.0-10.5-2.0 SCBC126 apr-14 4.00% 49-2.5-9.0-2.5 bp Week Month YTD SHYP1579 jun-17 6.00% 77-7.5-19.5-7.5 SWH185 mar-17 3.75% 72-7.5-19.5-7.5 NDH5528 jun-17 3.00% 76-7.0-19.0-7.0 SEB570 jun-17 3.00% 79-7.5-20.0-7.5 LFH507 jun-17 4.50% 86-8.0-21.5-8.0 SCBC133 jun-17 4.00% 76-7.5-19.5-7.5 Swedish mortgage vs government bonds 130 Spread vs Govies (bp) 110 90 70 Stadshypotek Swedbank Hypotek 50 Nordea Hypotek SEB SCBC Länsförsäkringar Hypotek Years to M 30 0 1 2 3 4 5 6 7 8 9 *Computed spread is based on a zero-coupon based government curve 6 07 January 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 SGB1041 maj-14 6.75% -49-0.2 +8.0-0.2 SGB1051 aug-17 3.75% -53 +3.5 +8.2 +3.5 SGB1054 jun-22 3.50% -47 +4.2 +11.3 +4.2 Swap spreads vs EUR swaps bp Week Month YTD SWAP2Y jan-15 1.27% 84 +0.0-5.0 +0.0 SWAP5Y jan-18 1.65% 76 +0.3 +4.4 +0.3 SWAP10Y jan-23 2.20% 47-1.6 +7.0-1.6 Forward swap rates 6.00 5.00 Swap 1Y1Y Swap 2Y2Y Swap 5Y5Y 4.00 Rate 3.00 2.00 1.00 0.00 7 07 January 2013

Forward swap spread vs euro Spread (bp) 500 400 300 200 100 0-100 SW vs EU Swap 1Y1Y SW vs EU Swap 5Y5Y SW vs EU Swap 2Y2Y 8 07 January 2013

Inflation Linked s Swedish Inflation Linked s Cpn Mat. Yield Week Mth YTD Z-Cpn BEI CPI Delta Mrg Rte Nom. BEI vs Nom Sprd vs DE SGB3001 0.00% apr-14 0.45% 0.0 +5.0 0.0 0.33% 8.20 0.45% SGB1041 0.33% -72.0 SGB3105 3.50% dec-15-0.11% +4.0 +7.0 +4.0 1.10% 3.57-0.54% SGB1049 1.04% 55.5 SGB3107 0.50% jun-17-0.07% +7.5 +8.5 +7.5 1.18% 2.30 0.04% SGB1051 1.20% 88.1 SGB3102 4.00% dec-20 0.10% +8.0 +9.0 +8.0 1.53% 1.42 0.32% SGB1047 1.47% 64.0 SGB3108 0.25% jun-22 0.13% +9.5 +11.0 +9.5 1.66% 1.08 0.26% SGB1054 1.60% 49.6 SGB3104 3.50% dec-28 0.30% +10.0 +12.0 +10.0 1.82% 0.76 0.63% SGB1057 1.53% 60.1 Swedish CPI and forecast BEI Spreads in Sweden and Germany 0.05 0.04 0.03 0.02 CPI YoY DM CPI Forecast YoY 2.00% 1.50% 0.01 1.00% 0.00-0.01-0.02 0.50% Sweden 0.00% Germany Years to Maturity -0.50% 0 5 10 15 * Zero-coupon based generic BEIs Carry @ 1.25% Repo 1M 3M 6M SGB3001-10.1-87.6-33.5 SGB3105-6.1-38.9-22.7 SGB3107-3.8-23.9-13.0 SGB3102-2.1-13.9-6.4 SGB3108-1.6-10.3-4.6 SGB3104-1.0-6.9-2.5 * Based on DM CPI forecast Forward BEI @ 1.25% Repo 1M 3M 6M SGB3001 0.42% 1.16% 0.53% SGB3105 1.10% 1.42% 1.25% SGB3107 1.23% 1.44% 1.34% SGB3102 1.50% 1.64% 1.58% SGB3108 1.62% 1.73% 1.69% SGB3104 1.55% 1.62% 1.60% * Based on DM CPI forecast 9 07 January 2013

Asset and Position Correlations Top 10 correlations vs 10Y yield Asset Correlation 5Y SEGOVT 0.94 DE 10Y 0.92 Norway 10Y 0.85 US 10Y 0.79 Slope 0.78 UK 10Y 0.75 2Y SEGOVT 0.64 MSCI World 0.62 Eurostoxx 0.62 S&P 500 0.62 *Weekly data, 24- week window Top 10 negative corr. vs 10Y yield Asset Correlation ITRX Sr Fin -0.61 ITRX Main -0.53 ITRX X-over -0.53 Italy 10Y -0.43 Nibor 3M -0.35 USDSEK -0.31 VIX -0.30 STIB3M Index -0.25 AUDSEK -0.23 Baltic Dry -0.17 *Weekly data, 24- week 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 Slope Curvature DE 10Y US 10Y ITRX Main WTI Oil OMX30 Gold /Bloomberg (correlations are computed from weekly data and a 24-week rolling window of lo -returns) 10 07 January 2013

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