Fixed Income Market Watch Sweden

Investment Research 4 March 2013 Fixed Income Market Watch Sweden Riksbank and Money Market Forecast repo rates given Riba pricing, Riksbank and Danske Bank Markets Repo Eff. Date Riba Diff. (bp) Riksbank Danske Markets 2013-04-17 0.97-3 0.96 1.00 2013-07-10 0.94-3 0.95 1.00 2013-09-11 0.94 0 1.00 1.00 2013-10-30 0.98 4 1.00 1.00 2013-12-25 1.03 5 1.10 1.00 2014-02-19 1.08 5 1.21 1.00 2014-04-15 1.12 4 1.35 1.00 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 macroeconomic series Oct Nov Dec Jan Feb Next release Retail sales, mom 27-mar Consumer confidence 27-mar Credit growth, households, yoy 27-mar Industrial production 08-mar Industrial orders 08-mar Manufacturing PMI 01-apr Manufacturing confidence 27-mar Service production 05-mar Service PMI 05-mar Service producers' confidence 27-mar Construction confidence 27-mar Economic tendency barometer 27-mar Trade balance, yoy 27-mar Credit growth corporates 27-mar Employment, s.a 14-mar Unemployment, s.a 14-mar Lay-offs, yoy 08-mar Number 6 5 11 5 5 Number 11 12 5 7 0 Number 0 0 1 2 1 % 35.3 29.4 64.7 35.7 83.3 % 64.7 70.6 29.4 50.0 0.0 % 0.0 0.0 5.9 14.3 16.7 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 Quant/Strategy Analyst Carl Milton +46-8-56880598 carmi@danskebank.se Riba DM Forecast Riksbank Forecast years 0 0.5 1 1.5 Important disclosures and certifications are contained from page 10 of this report.

ASW (bp) TED Spread Fixed Income Market Watch TED-spread* and the spread between Riba and FRA contracts Swap rates 110 100 90 80 70 60 50 40 30 20 Actual Market Implied 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 Nominal bonds Swedish government bonds* Yield Week Mth YTD Mrg Rate Spread vs DE ASW Carry SGB1041 0.92% +8.0 +9.0 +18.0 0.92% 89-42 -2.6 0.1 SGB1049 1.13% +6.0 +9.0 +28.5 1.32% 107-40 -0.4 1.4 SGB1050 1.23% 0.0 +2.0 +33.0 1.50% 109-43 0.6 0.9 SGB1051 1.38% -5.0-0.5 +39.0 1.87% 107-43 0.7 1.2 SGB1052 1.61% -8.5-2.0 +39.0 2.35% 102-41 0.9 1.2 SGB1047 1.75% -13.0-6.5 +34.5 2.38% 82-46 0.6 0.7 SGB1054 1.88% -15.0-10.5 +32.0 2.58% 64-45 0.7 0.6 SGB1057 2.00% -15.0-8.5 +33.5 2.66% 49-43 0.7 0.5 SGB1056 2.51% -15.5-5.0 +37.0 3.34% 31-24 0.7 0.4 RD * Carry and roll down (RD) for 1M forward German and Swedish government bonds swapped into a 3M Stibor based cash flow 40 30 20 10 0-10 -20-30 -40-50 -60 Swedish Govies German Govies Years to Maturity 0 5 10 15 20 25 30 35 2 4 March 2013

Marginal rates * 4.00% 3.50% 3.00% 2.50% 2.00% * Computed from a zero-coupon curve SEGOVT SEKSWAP Stadshypotek SHYP1577 SHYP1576 SHYP1575 SGB1049 SHYP1580 SHYP1579 SHYP1578 SGB1051 SGB1050 SGB1052 SHYP1583 SGB1047 SHYP1586 SGB1054 SGB1057 1.50% SHYP1574 1.00% SGB1041 Years to Maturity 0.50% 0 2 4 6 8 10 12 3 4 March 2013

Mortgage bonds* Cpn Mat. Yield Wk Mth YTD Mrg Rte ASW Carry RD SHYP1574 6.00% sep-13 1.06% +0.5-6.0-20.0 1.06% -23.0 0.3 SHYP1575 6.00% jun-14 1.39% +8.5 +8.0 +10.0 1.63% 3.1-3.8 3.7 SHYP1576 6.00% mar-15 1.62% +8.0 +9.0 +20.5 2.02% 15.3-1.2 2.6 SHYP1577 6.00% dec-15 1.80% +5.0 +6.5 +24.5 2.35% 22.4-0.3 2.1 SHYP1578 6.00% sep-16 1.96% +1.5 +4.0 +26.0 2.58% 26.8 1.4 1.6 SHYP1579 6.00% jun-17 2.10% -1.5 +2.5 +27.5 2.87% 31.1 1.5 1.5 SHYP1580 3.00% mar-18 2.27% -3.0 +4.0 +31.5 3.21% 38.1 1.5 1.7 SHYP1583 4.25% jun-20 2.68% -4.0 +9.0 +39.5 3.79% 51.9 1.7 1.5 SHYP1586 4.50% sep-22 2.94% -4.0 +10.5 +42.0 3.97% 58.2 1.7 0.9 SWH177 4.75% jun-13 1.12% +2.5-0.5-12.0 1.12% -15.5 0.6 SWH166 6.75% maj-14 1.32% +6.5 +5.0 +7.5 1.38% -2.0-4.8 1.9 SWH182 3.75% mar-15 1.60% +8.0 +8.5 +18.5 1.98% 13.3-1.3 2.7 SWH183 3.75% sep-15 1.72% +5.5 +7.5 +21.0 2.24% 17.6-0.6 2.0 SWH184 3.75% jun-16 1.86% +1.5 +3.0 +22.5 2.38% 21.1 1.1 1.6 SWH185 3.75% mar-17 2.02% -1.5 +1.5 +24.0 2.77% 26.8 1.3 1.8 SWH186 3.75% dec-17 2.23% -2.0 +3.0 +28.0 3.41% 36.9 1.5 2.2 SWH180 5.70% maj-20 2.68% -3.5 +8.5 +36.5 3.81% 52.5 1.8 1.5 NDH5525 4.25% jun-13 1.12% +2.5-0.5-12.0 1.12% -15.5 0.6 NDH5526 4.00% jun-14 1.39% +8.5 +8.0 +10.0 1.47% 3.1-3.7 2.3 NDH5520 3.25% jun-15 1.68% +7.5 +8.0 +23.0 2.06% 17.5-0.8 2.4 NDH5527 4.50% jun-16 1.88% +2.0 +3.5 +24.5 2.37% 22.6 1.2 1.6 NDH5528 3.00% jun-17 2.09% -1.5 +2.0 +27.5 2.81% 30.1 1.4 1.7 NDH5529 2.00% jun-18 2.32% -4.0 3.31% 39.3 1.5 1.8 NDH5521 3.25% jun-20 2.68% -4.0 +9.5 +40.0 3.82% 51.9 1.7 1.5 SEB566 4.25% jun-13 1.12% +2.5-0.5-12.0 1.12% -15.5 0.6 SEB567 4.50% jun-14 1.39% +8.5 +8.0 +11.0 1.47% 3.1-3.7 2.3 SEB568 4.00% jun-15 1.68% +7.5 +8.0 +22.5 2.06% 17.5-0.8 2.4 SEB569 4.25% jun-16 1.88% +2.0 +3.5 +24.0 2.37% 22.6 1.2 1.6 SEB570 3.00% jun-17 2.10% -1.0 +2.0 +25.5 2.86% 31.1 1.4 1.8 SEB571 3.00% jun-18 2.33% -3.5 +4.0 +29.5 3.38% 40.3 1.6 1.8 LFH505 4.50% sep-13 1.06% +0.5-6.0-20.0 1.06% -23.0 0.3 LFH506 4.50% maj-14 1.33% +7.0 +5.5 +7.5 1.55% -1.5-4.7 3.6 LFH510 2.25% jun-15 1.68% +7.5 +8.0 +20.0 2.05% 17.5-0.8 2.6 LFH508 4.00% mar-16 1.84% +2.5 +3.5 +21.5 2.37% 22.2 1.2 1.8 LFH507 4.50% jun-17 2.15% -2.5 0.0 +22.5 2.98% 36.1 1.6 2.0 LFH511 2.50% jun-18 2.38% -5.0 +2.5 +26.0 3.35% 45.3 1.7 1.7 SCBC125 4.00% apr-13 1.07% 0.0-3.0-18.0 1.07% -14.2 3.2 SCBC126 4.00% apr-14 1.27% +6.0 +4.0 +1.5 1.29% -6.5-5.6 1.8 SCBC127 4.00% apr-15 1.65% +8.0 +9.5 +22.0 2.07% 17.3-1.1 3.0 SCBC131 4.00% nov-15 1.79% +5.0 +7.0 +25.5 2.34% 22.7-0.3 2.0 SCBC132 4.00% sep-16 1.95% +1.5 +3.5 +25.5 2.48% 25.8 1.3 1.5 * Carry and roll down (RD) for 1M forward 4 4 March 2013

Top 5 monthly winners Top 5 monthly losers bp bp SGB1054 jun-22 3.50% -10.5 SHYP1586 sep-22 4.50% 10.5 SGB1057 nov-23 1.50% -8.5 NDH5521 jun-20 3.25% 9.5 SGB1047 dec-20 5.00% -6.5 SCBC127 apr-15 4.00% 9.5 SHYP1574 sep-13 6.00% -6.0 SHYP1576 mar-15 6.00% 9.0 LFH505 sep-13 4.50% -6.0 SHYP1583 jun-20 4.25% 9.0 Top 5 largest Z-score * Z-Score NDH5526 jun-14 4.00% 3.14 SHYP1575 jun-14 6.00% 3.13 SEB567 jun-14 4.50% 3.12 LFH506 maj-14 4.50% 2.46 SWH166 maj-14 6.75% 2.41 * Std from 3M mean Top 5 yield volatility bp/day SGB1053 mar-39 3.50% 4.9 SGB1057 nov-23 1.50% 4.6 SGB1056 jun-32 2.25% 4.6 SGB1054 jun-22 3.50% 4.6 SGB1047 dec-20 5.00% 4.4 Note: Period: past month Top 5 ASW bp SHYP1586 sep-22 4.50% 63.0 SWH180 maj-20 5.70% 59.9 SHYP1583 jun-20 4.25% 55.2 NDH5521 jun-20 3.25% 52.4 LFH511 jun-18 2.50% 44.5 Top 5 ASW gainers* bp SHYP1586 sep-22 4.50% 15.5 NDH5521 jun-20 3.25% 14.0 SHYP1583 jun-20 4.25% 13.7 SWH180 maj-20 5.70% 13.5 SEB571 jun-18 3.00% 7.0 * Change over past month Top 5 winners total return* YTD SHYP1574 sep-13 6.00% 0.34% LFH505 sep-13 4.50% 0.34% NDH5525 jun-13 4.25% 0.27% SEB566 jun-13 4.25% 0.27% SWH177 jun-13 4.75% 0.26% * Period: YTD Top 5 losers total return* YTD SGB1053 mar-39 3.50% -6.79% SGB1056 jun-32 2.25% -5.34% SGB1057 nov-23 1.50% -3.05% SHYP1586 sep-22 4.50% -2.90% SGB1054 jun-22 3.50% -2.31% * Period: YTD 5 4 March 2013

Spread vs Govies (bp) Fixed Income Market Watch Top 5 carry and roll down, maturity <3Y* Carry RD SCBC127 apr-15 4.00% -1.1 3.0 SHYP1577 dec-15 6.00% -0.3 2.1 LFH510 jun-15 2.25% -0.8 2.6 SCBC131 nov-15 4.00% -0.3 2.0 SEB568 jun-15 4.00% -0.8 2.4 * Period: 1M forward Top 5 carry and roll down, maturity >3Y* Carry RD SWH186 dec-17 3.75% 1.5 2.2 LFH507 jun-17 4.50% 1.6 2.0 SEB571 jun-18 3.00% 1.6 1.8 SCBC134 mar-18 4.00% 1.6 1.9 LFH511 jun-18 2.50% 1.7 1.7 * Period: 1M forward 2Y spread vs SGB1041 5Y spread vs SGB1051 bp Week Month YTD SHYP1575 jun-14 6.00% 47 +0.5-1.0-8.0 SWH166 maj-14 6.75% 40-1.5-4.0-10.5 NDH5526 jun-14 4.00% 47 +0.5-1.0-8.0 SEB567 jun-14 4.50% 47 +0.5-1.0-7.0 LFH506 maj-14 4.50% 41-1.0-3.5-10.5 SCBC126 apr-14 4.00% 35-2.0-5.0-16.5 bp Week Month YTD SHYP1579 jun-17 6.00% 73 +3.5 +3.0-11.5 SWH185 mar-17 3.75% 65 +3.5 +2.0-15.0 NDH5528 jun-17 3.00% 72 +3.5 +2.5-11.5 SEB570 jun-17 3.00% 73 +4.0 +2.5-13.5 LFH507 jun-17 4.50% 78 +2.5 +0.5-16.5 SCBC133 jun-17 4.00% 72 +3.5 +3.0-12.0 Swedish mortgage vs government bonds* 100 80 60 40 20 Stadshypotek Swedbank Hypotek Nordea Hypotek SEB SCBC LF Hypotekx509 0 Years to Maturity 0 1 2 3 4 5 6 7 8 9 10 * Computed spread is based on a zero-coupon based government curve 6 4 March 2013

Spread (bp) Rate BP Fixed Income Market Watch Historical slope and curvature of swap term structure 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% -54 +0.9 +1.6-4.6 SGB1051 aug-17 3.75% -51-2.5 +1.5 +5.5 SGB1054 jun-22 3.50% -50-8.3-5.5 +1.0 Swap spreads vs EUR swaps bp Week Month YTD SWAP2Y mar-15 1.46% 103 +16.7 +31.0 +19.2 SWAP5Y mar-18 1.88% 99 +12.8 +24.5 +23.6 SWAP10Y mar-23 2.38% 68 +9.2 +13.7 +18.9 Forward swap rates 6.00 5.00 Swap 1Y1Y Swap 2Y2Y Swap 5Y5Y 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 0-50 -100-150 7 4 March 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 SGB3001 0.00% apr-14 0.60% -2.0 +11.0 +15.0 0.32% 9.43 0.60% SGB1041 0.32% -365.0 SGB3105 3.50% dec-15-0.07% -7.5 +2.5 +8.0 1.26% 3.79-0.52% SGB1049 1.20% 3.2 SGB3107 0.50% jun-17 0.04% -10.5-1.5 +17.5 1.32% 2.39 0.25% SGB1051 1.34% 99.2 SGB3102 4.00% dec-20 0.27% -9.5 +4.0 +25.5 1.51% 1.46 0.60% SGB1047 1.48% 92.4 SGB3108 0.25% jun-22 0.33% -10.5 +3.5 +29.5 1.59% 1.10 0.55% SGB1054 1.54% 79.9 SGB3104 3.50% dec-28 0.55% -12.0 +8.0 +34.5 1.77% 0.78 0.97% SGB1057 1.45% 96.1 Swedish CPI and forecast BEI spreads in Sweden and Germany 5.00% 4.00% 3.00% CPI YoY DM CPI Forecast YoY 2.00% Sweden Germany 2.00% 1.50% 1.00% 0.00% 1.00% -1.00% -2.00% 0.50% Years to Maturity 0.00% 0 5 10 15 * Zero-coupon based generic BEIs Carry at 1.25% repo* 1M 3M 6M SGB3001-65.9-31.1-15.0 SGB3105-27.5-17.6-19.7 SGB3107-16.9-10.0-10.0 SGB3102-9.9-5.1-3.9 SGB3108-7.4-3.6-2.6 SGB3104-5.1-2.1-0.9 * Based on Danske Bank Markets CPI forecast Forward BEI at 1.25% repo* 1M 3M 6M SGB3001 0.46% 0.42% 0.75% SGB3105 1.05% 1.07% 1.24% SGB3107 1.15% 1.17% 1.28% SGB3102 1.36% 1.38% 1.45% SGB3108 1.48% 1.49% 1.55% SGB3104 1.91% 1.92% 1.97% * Based on Danske Bank Markets CPI forecast 8 4 March 2013

Asset and position correlations Top 10 correlations vs 10Y yield* Asset Correlation 5Y SEGOVT 0.95 DE 10Y 0.91 Norway 10Y 0.77 2Y SEGOVT 0.76 US 10Y 0.74 UK 10Y 0.74 Slope 0.74 S&P 500 0.67 MSCI World 0.65 Eurostoxx 0.65 * Weekly data, 24-week window Top 10 negative corr. vs 10Y yield* Asset Correlation ITRX Sr Fin -0.62 ITRX X-over -0.52 ITRX Main -0.51 USDSEK -0.46 Steel -0.41 VIX -0.40 Italy 10Y -0.38 Copper -0.22 GBPSEK -0.21 AUDSEK -0.20 * 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 * Correlations are computed from weekly data and a 24-week rolling window of log returns Source: Bloomberg, Danske Bank Markets 9 4 March 2013

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