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 -Y -1Y -1Y 1-3Y -1. -7. -9.3-7. 1D. -1. -1.3 -.1 1W -1. 7.1. -. EUR Swap Curve Slopes -Y -1Y -1Y 1-3Y -. -. -9. -.7 1D -.1-1.1-1. -. 1W -1.9.9-1.. German Asset Swap Levels Y Y 1Y 3Y -9.9-33. -31.3-1. 1D -.3. -.3 -. 1W -...3 -. 1Y Benchmark Yields Yield 1D Spread 1D GER.79-1.7 - - FRA.7-1.9 3. -. ITA 1.7 -. 11..9 ESP 1.7-1. 1.. BEL.7-1. 37.. HOL.9-1.9.3 -.1 AUT.77 -.1 7.3 -.3 GRE..3 3..1 POR.3 1.3 39. 3. FIN.731-1.7 31..1 IRL.9 -. 7. 1. Spread = Maturity interpolated spread to German Global Research government par yield curve nordearesearch@nordea.com + 33 33 1 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 1-year benchmark yields, %.%.9%.%.%.7%.%.%.%.3%.% 1.%.1% 1.% Germany (Left) US (Right) Z-scores of benchmark vs. Germany. 3. 3... 1. 1... -. -1. -1. -. -. 1 year spreads against Germany, bp 1 3 31 1 1 11 1 1 1 13 1 11 1 Finland (Left) Spain (Right) 1 3 France (Left) Italy (Right). 3. 3... 1. 1... -. -1. -1. -. -. AT FR IE FI ES BE NL PT IT 9 1 3 3 3 3 Upcoming Issuance (source: Bloomberg) Date Country Coupon Maturity Amount (EURbn) Jan IT 7 Jan GE.% 1. Jan IT 1 Feb LN 3 Feb GE. Feb FR All bond quotes are taken at 1:1 CET. https://nexus.nordea.com/#/research 1
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% 1.9% 1.% 1.3% 1.7% 1.1% 1.%.9% - - 1.3%.7% 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. -33 - -3-3 -3 - -3 - -73 - -3-7 -93 - -13-9 -113-1.%.%.%.% Feb-1 May-1 Aug-1 Nov-1 1 39 3 37 3 3 3 33 3 31-1Y (Left) 1-3Y (Right) German 1-year benchmark yield (Left) Eurostoxx equity index (Right) Swaps and Forwards 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-1 - -3.% 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, % E.g. YY swap rate illustrates the rate of a -year swap with a -year forward start. EUR swap curve shape vs. historical.%.%.%.% 3.% 3.% 3.% 3.%.%.% 1.% 1.% - - 1 1 3 3 /1/1 Euro area average /1/1 Historical forward rates, % 1.% 1.% YY YY YY https://nexus.nordea.com/#/research
Y pick-up over a duration and cash neutral -1Y EUR swap barbell. EUR swap curve slopes and forwards 1 - - 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) 11 1 9 7-1 -17 - -7-3 -37 3 - -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. 1 1 1 1 1 1 1 1 7 3 1 Y Y 1Y 3Y 1 1 1 1 1 1 - - 1 1-3 -3-3 - -Y 1-Y 1-Y 1-3Y 1 - - 3M M 1Y 3M M 1Y Money Market Rates The EONIA (Euro Overnight Index - Average) rate is the effective overnight reference rate for the euro. Expectations and history for EONIA.1% -.1% -.%.1% -.1% -.% Euribor futures curve, now, 1 wk & 1M ago -.% -.1% -.1% -.% -.1% -.1% -.3% -.3% -.% -.% -.% -.% -.% -.% - Jan-1 Nov-1 Sep-1 Jul-17 May-1 Mar- EONIA 3-day moving average Implied 1-month EONIA swap rates - -.3% -.3% Dec-1 May-1 Oct-1 Mar-17 Aug-17 Jan-1 1/1/1 /1/1 /1/1 Inflation-linked Bonds Break-even inflation calculated as a yield spread to a nominal comparable bond. Real yields, % Break-even inflation history, % -.3% -.% -1.3% -1.% -.3% -.3% -.% -1.3% -1.% -.3% -.% -.% FR IL. Jul (OATei) FR IL.1 1Mar (OATi) FR IL 1. Jul (OATei) 1.% 1.% 1.% 1.%.%.% 1.% 1.% 1.% 1.%.%.%.%.% FR IL. Jul (OATei) FR IL.1 1Mar (OATi) FR IL 1. 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 1.% 1.% 1.3% 1.3%.%.%.3%.3% -.% -.% Y 1Y 3Y EUR vs. USD inflation swaps -.% -.% -.% -.% -.% -.% -.% -.% - - -1.% -1.% -1.% -1.% EUR vs. USD Y inflation swaps, % EUR vs. USD 1Y inflation swap, % https://nexus.nordea.com/#/research 3
Credit default swap indices illustrate the annual cost of buying protection against a credit event of a company. itraxx Europe is comprised of the 1 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 13 399 93 379 3 39 339 73 3 99 3 79 3 9 39 3 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 39 39 3 3 9 9 1 1 9 9 3M Euribor less 3M EONIA swap rate, bp 1M Euribor less 1M EONIA swap rate, bp Long-dated ATMF swaption bp vol 13 13 1 1 11 11 9 9 7 7 3MxY 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 39 39 3 3 9 9 1 1 Y Y 1Y 1Y non-aaa spreads against Germany, bp 3 1 17 1 13 11 9 7 Italy Ireland Spain Portugal 3 1 17 1 13 11 9 7 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. The break-even spread change is based on the spread against the following two German benchmark bonds: DE TB 1Dec17 DE. 1Feb 1Y AAA/AA+ spreads to Germany, bp 3 3 1 1 Holland Finland France Austria Belgium 1Y B/E spread changes against Germany, bp 1 1 1 1.1 9.3. 93. 3. 1... IT.7 1Jan1 PT.3 1Oct17 IE. 1Oct1 ES. 31Oct17 IT 1Dec PT.7 1Oct IE. 13Mar ES.1 31Oct 1 1 1 https://nexus.nordea.com/#/research
Country Relative Value Benchmark spreads over the maturity-interpolated German par curve, bp 1-1 7 9 17 1 1 1-1 1 11 7 3 3 7 31 33 9 1 3 13 1 - 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 -day z-scores: Current spread - -day average standard deviation Bond is - rich if z-score < -1.9 - cheap if z-score > 1.9. 3. 3... 1. 1... -. -1. -1. -. -. 1 3. 3. 3... 1. 1... -. -1. -1. -. -. AT FR IE FI ES BE NL PT IT Z-scores of benchmark vs. swap curve 3. 3... 1. 1... -. -1. -1. -. -. 1 3 3. 3... 1. 1... -. -1. -1. -. -. 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 NL 1 Apr 17. -1.3-1. AT 1 Jan 1. -.3-1.1 country specific tables below. Cheap GR 17 Jul 17 3.37 1,.. GR 17 Jul 17 3.37 1,9..37 Bonds are ranked by z-scores. Y: Rich DE 17 Apr. -17.1-1.77 IE 1 Oct. -1.9 -.39 Cheap EIB 1 Mar. 17..7 EIB 1 Mar. -1.7 3. 7Y: Rich DE 1 Aug 3. -31.1 -.1 IE Mar 3 3.9 1. -.7 Cheap PT 1 Feb.. 3. EIB 1 Jan.1-1.3.1 1Y: Rich DE 1 Feb. -3. -1. DE 1 Feb. -3. -1.7 Cheap FI Jul.7.9 3.7 EIB 1 Sep.7-1. 3.3 1Y: Rich DE Jan 37. -. -.7 IE 1 May 3. 3. -. Cheap PT 1 Apr 37.. 3.3 PT 1 Apr 37..7 3.1 Y: Rich Cheap DE 1 Aug. -.9 -.3 NL 1 Jan 7.7 1.7 -.3 FI Jul. 1. 3.77 EIB 1 Sep 1.7 1.. https://nexus.nordea.com/#/research
Germany Benchmark Bonds Spread vs. France Asset Swap Spread 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y 1. 1... 1 Dec 17 13.B -. -7. -7. -.9 1. -9.9 -. -1.1 Public balance.... 11 Oct 1.B -.3-17. -1. -1.7 -.3-33.7-33. -.1 Debt/GDP 7. 71.9.9. 17 Apr.B -. -17.1-1.3-1.77 -. -3. -3. -. Source: European Commission, Winter 1 forecast. 1 Oct.B -. -17.9-1. -1.7 -.3-33. -3. -.3 1.7 Jul.B -. -. -.3-1.. -37.3-3..3 Rating Aaa/AAA/AAA. 1 Aug 3 1.B.97-31.1 -.1 -.1 -. -37.9-37.7 -.17 Moody's / S&P / Fitch 1. 1 Aug 1.B.9-3.9-9.3-1.. -3.1-3. -.7. 1 Feb 3.B.339-3. -. -1.. -3. -3. -1.7 B/E Spd 1Y is calculated as a spread. 1 Feb.B.79-33.9-3. 1.. -31.3-31.1 -.1 to a synthetically created par bond trading. Jan 31 17.B.3-1.3 -. -. -. -.3 -. -.11 on the French curve.. Jan 37 3.B 1.1 -. -3.7 -.7 -.1 -. -1. -.7. 1 Aug 13.B 1. -.9-1.1 -.3.1-1. -13. -.37 Spreads against the French curve, bp - -1 - - -1 - - -1 - -1-3 - - -3 - - - -3 - -3 - - - - -7 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 DE TB 1Dec17 DE. 1Oct DE. 1Feb DE. 1Aug -7 - DE TB 1Dec17 DE. 11Oct DE TB 17Apr DE. 1Oct DE 1.7 Jul DE 1Aug3 DE 1 1Aug DE. 1Feb DE. 1Feb DE. Jan31 DE Jan37 DE. 1Aug - France Benchmark Bonds Spread vs. Germany Asset Swap Spread 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y. 1. 1.. Oct 17 3.7B -.3.1. -.33 -.1-3. -3. -. Public balance -.3 -.1 -.1 1. May 3.B -.3 1.3 1. 1.9-1. -1. -.7.9 Debt/GDP 9.3 97.1 9.. Nov.9B -.171 1.9 13. 1.7-1.7-1. -. 1.3 Source: European Commission, Winter 1 forecast. Nov 1.9B -.37 17. 1.7 1. -. -1. -1.1 1.. Oct 7.1B.. 1.7. -1. -9.7-13.9 1.9 Rating Aa1/AA/AA 1.7 May 3 3.97B.3.9.. -.9 -.1-11. 1.3 Moody's / S&P / Fitch. May 3.B.1.. 1.9 -. -.1-7.3 1.1 1.7 Nov 3.99B. 3.. 1.. -. -. 1.7 B/E Spd 1Y is calculated as a spread 1. Nov.99B.7 3. 3. 1.39.1. -. 1. to a synthetically created par bond trading 1. May 31 9.B 1.37.7 39.1 1.3 1. 17.3 11. 1.71 on the German curve..7 Apr 3.3B 1.1 39.1 3.9 1.9 -.1 39.1 31. 1.7 3. May 17.1B 1..7 9..1... 1. 1 1 1 31 1 11 1 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 FR. Oct17 FR 1 Nov FR 3. May FR. Nov 1 1 1 3 31 1 1 11-1 - 1-3 FR. Oct17 FR 1 May FR. Nov FR. Nov FR. Oct FR 1.7 May3 FR. May FR 1.7 Nov FR 1 Nov FR 1. May31 FR.7 Apr3 FR 3. May 3 1-1 - -3 https://nexus.nordea.com/#/research
Italy 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y -.. 1.3.7 1 Jan 1 1.B.. 1.9 1.. 1. 13.3.37 Public balance -3. -. -. 3. 1 Dec 1.1B.7.9 7..7..3 17..3 Debt/GDP 131.9 133. 131.9. 1 Feb.99B.39..1 1. 7.3 3.9 3. 1.1 Source: European Commission, Winter 1 forecast. 1 Nov.9B.3 7. 7.9. 9. 1. 3.. 1. 1 Sep 1.99B 1.. 91..9.7..3.3 Rating Baa/BBB-/BBB+. 1 Nov 1.1B 1.1 1.7 9..3.. 71.. Moody's / S&P / Fitch. 1 Mar 3.71B 1.313 11. 11.. 1. 9. 79.3.7 1. 1 Jun.99B 1.9. 9.1.77-1. 73...9 B/E Spd 1Y is calculated as a spread. 1 Dec 1.B 1.7 11. 99..7-1.9.9 9.1.77 to a synthetically created par bond trading 3. 1 Mar 3.99B 1.971 111.1 1. 1. -1. 9. 7.. on the German curve.. 1 Feb 37.1B.33 1. 11.3. 1. 1.7 11.9.79 3. 1 Sep 13.B.7 1. 1. 3.3 -. 13.9 1. 3.3 1 1 1 1 13 13 1 1 11 9 11 9 1 1 7 7 3 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 IT.7 1Jan1 IT. 1Nov IT 3. 1Sep IT 1Dec 3 IT.7 1Jan1 IT 3. 1Dec1 IT. 1Feb IT. 1Nov IT 1. 1Sep IT. 1Nov IT. 1Mar IT 1. 1Jun IT 1Dec IT 3. 1Mar3 IT 1Feb37 IT 3. 1Sep Spain 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y 1..3.. 31 Oct 17 1.99B.1. 1. 1.. 1.1 1.9 1. Public balance -. -. -3.7 3.7 31 Oct 1.1B.137.3 1. 1..7 7.1 3. 1.1 Debt/GDP 9.3 11. 1. 1. 31 Jan 1.91B.7 77.9 71. 1. -.. 39. 1.1 Source: European Commission, Winter 1 forecast 1.1 3 Jul 1.3B.1. 77. 1.77 -.3..3 1.71. 31 Jan.1B.9 1.9 93..1-9.7. 7.1. Rating Baa/BBB/BBB+. 31 Jan 3 1.99B 1. 117.9 1.1. -. 99..1. Moody's / S&P / Fitch 3. 3 Apr 1.99B 1.7 13. 117.. -. 17. 9..7 1. 3 Apr.9B 1.3 1.7 113. 1.93-1. 91. 79. 1.9 B/E Spd 1Y is calculated as a spread.1 31 Oct.9B 1.7 1. 11.7 1.9.3 97..9 1.9 to a synthetically created par bond trading 1.9 3 Jul 3 11.1B. 137.7 1. 1.1 -.1 1.1 9.7 1.1 on the German curve.. 31 Jan 37 1.37B.7 1.9 13.9 1. 1.9 13.7 139.3 1.3.1 31 Oct 11.3B.913 13.9 1...1. 17.. 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 ES 1.1 3Jul ES.1 31Oct ES. 31Oct17 ES.1 31Oct ES. 31Oct17 ES 3.7 31Oct1 ES 1. 31Jan ES 1.1 3Jul ES. 31Jan ES. 31Jan3 ES 3. 3Apr ES 1. 3Apr ES.1 31Oct ES 1.9 3Jul3 ES. 31Jan37 ES.1 31Oct https://nexus.nordea.com/#/research 7
Netherlands 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y.7 1. 1.7. 1 Apr 17 13.3B -.3-1.3. -1. -1. -.9-7. -.7 Public balance -. -. -1.. 1 Apr 1 1.99B -.37.1.9. 1.3-3. -.9 -.9 Debt/GDP 9. 7. 7.. 1 Jan 1.B -. 9. 7.9.9 -.3 -. -..1 Source: European Commission, Winter 1 forecast 3. 1 Jul 1.B -.17 7..1 1.. -. -.7.. 1 Jul 1.1B.1 1.3 11..97. -.1 -.7 1. Rating Aaa/AA+/AAA 1.7 1 Jul 3 1.3B.1 1. 1. 1.11. -.9-1.. Moody's / S&P / Fitch. 1 Jul 1.3B. 1. 1. 1.1 -. -17.9-17. -.. 1 Jul 1.1B.9.3 1. 1.3 -. -1. -1..3 B/E Spd 1Y is calculated as a spread. 1 Jan 13.B.79 1. 9..7. -. -7..1 to a synthetically created par bond trading. 1 Jan 33 1.1B 1.1 9. 7.1 1.91.3-1. -1.. on the German curve.. 1 Jan 37.B 1.39 17.3 1. 1.7 1. -9.9-11..7.7 1 Jan 7 1.99B 1.37 9.3 9.9 -.3. 1.7. -.3 1 1 1 1 1 1 1 1 1 1 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 NL TB 1Apr1 NL. 1Jul NL 3. 1Jul NL.7 1Jan7 Belgium 1-1 - -3 - NL. 1Apr17 NL TB 1Apr1 NL. 1Jan NL 3. 1Jul NL. 1Jul NL 1.7 1Jul3 NL 1Jul NL. 1Jul NL. 1Jan NL. 1Jan33 NL 1Jan37 NL.7 1Jan7 1-1 - -3-1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y 1. 1.1 1. 3. Jun 17 13.3B -.393 3.. -.3 -.7 -. -3. -. Public balance -3. -. -. 1. Jun 1 11.1B -.3 7.3.7 1. -.9 -.9-3..1 Debt/GDP 1. 1. 1. 3. Sep 1.1B -.1 13. 1. 1. -1.1-1.9-1. 1.17 Source: European Commission, Winter 1 forecast 3.7 Sep.1B -.9 13. 1. 1.9-1.1-17.7 -. 1.1. Sep 1 1.9B.1 17. 1.9 1. -.7-13. -17.9 1.77 Rating Aa3/AA/AA. Jun 3 13.99B.3.7. 1.1. -. -.7 1.9 Moody's / S&P / Fitch. Jun 1.B. 3.. 1.7 -.1 1.3 -. 1.3. Jun 1.B.7 37. 33. 1. -..1. 1.3 B/E Spd 1Y is calculated as a spread 1. Jun.B.9 1. 1. -.. 9. 1. -.9 to a synthetically created par bond trading 1. Jun 31.B 1.37.1 3. 1.1..1 13. 1. on the German curve.. Mar 3.1B 1.3. 3. 1.7 -.. 3. 1. 3.7 Jun.1B 1.37. 9. 1.9.. 3. 1. 3 3 1 1 - - Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 BE 1. Jun1 BE 3.7 Sep BE 1 Jun BE 3.7 Jun - BE 3. Jun17 BE 1. Jun1 BE 3 Sep BE 3.7 Sep BE. Sep1 BE. Jun3 BE. Jun BE. Jun BE 1 Jun BE 1 Jun31 BE Mar3 BE 3.7 Jun - https://nexus.nordea.com/#/research
Finland 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y.. 1. 3.7 1 Sep 17.B -.1 1.9. -.11.1 -.7 -. -. Public balance -.7 -. -. 1.1 1 Sep 1.3B -.3.3.3.7 -. -. -3. -. Debt/GDP.9 1.. 3.37 1 Apr..B -.1 11.9 9. 1.71 -.3 -.9 -.3 1.11 Source: European Commission, Winter 1 forecast.37 1 Sep.3B -.11 1.3 9.7 1.3. -. -. 1. 1. 1 Apr 3.B.9.3.3.1.3-13.3-1.9 1.3 Rating Aaa/AA+/AAA. 1 Apr.B.7..1.3.1 -.9-11.1 1.7 Moody's / S&P / Fitch. Jul.3B.9.7.1. -. 1. -. 1.79.7 1 Sep.3B.731 31.. 1. -.1-1. -. 1. B/E Spd 1Y is calculated as a spread.7 Jul.B.99.9 1.7 3.7..9 -.7.9 to a synthetically created par bond trading.7 1 Apr 31 3..B 1.3 31..9 3.1.7 1.3 -.. on the German curve.. Jul.3B 1.391 1.. 3.77 -.1 3.9 -.9 1.9 3 3 3 3 1 1 1 1 - - Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 FI 3.7 1Sep17 FI.7 1Sep FI.37 1Sep FI. Jul Austria 1 - -1-1 - - -3-3 - FI 3.7 1Sep17 FI 1.1 1Sep1 FI 3.37 1Apr FI.37 1Sep FI 1. 1Apr3 FI 1Apr FI Jul FI.7 1Sep FI.7 Jul FI.7 1Apr31 FI. Jul 1 - -1-1 - - -3-3 - 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y.. 1.. 1 Jan 1 1.B -.393.9. -. 1. -.3 -.9-1.1 Public balance -.9 -. -1. 1.1 Oct 1 7.B -.3 7.. 1.3 -. -3. -..9 Debt/GDP.... 1 Oct 7.9B -.3 1. 7. 1. -. -. -. 1. Source: European Commission, Winter 1 forecast 3.9 1 Jul 13.1B -.1 1.1 7.1 1. -1.3-1. -. 1.1 3. Apr.71B.1 1. 13.. -1. -17. -. 1.3 Rating Aaa/AA+/AA+ 1.7 Oct 3 9.99B.3 1. 1.1. -.7-13. -1.9 1.3 Moody's / S&P / Fitch 1. 1 Oct 1.3B.9 3..9.1 -.9-9. -11. 1. 1. Oct 9.B.77 7.3. 1.7 -. -3.9 -..9 B/E Spd 1Y is calculated as a spread. 1 Mar.1B.739.3..1 -... 1. to a synthetically created par bond trading. 3 May 3.B 1.373 7...7 1. 1. 3. 1.7 on the German curve..1 1 Mar 37 1.B 1....3-1..7 1. 1.9 3.1 Jun.7B 1.7 33.. 1. 1. 3. 1. 1.37 3 3 3 3 3 1 1 1-1 1 1 - -3 - Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 AT. 1Jan1 AT 3.9 1Jul AT. 1Mar AT 3.1 Jun AT. 1Jan1 AT 1.1 Oct1 AT. 1Oct AT 3.9 1Jul AT 3. Apr AT 1.7 Oct3 AT 1. 1Oct AT 1. Oct AT. 1Mar AT. 3May3 AT.1 1Mar37 AT 3.1 Jun 3 1-1 - -3 - https://nexus.nordea.com/#/research 9
Greece 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y 1.. 3. 3.37 17 Jul 17.B 13.1 1,.... 1,9. 791.9.37 Public balance -. 1.1 1..7 17 Apr.B 1.9 1,131.1. 3..3 9. 73. 3. Debt/GDP 17.3 17... Feb 3 1.B 7.97 77.3 3. 3.. 7.7 9.3.93 Source: European Commission, Winter 1 forecast. Feb 1.B 7.7 71. 93.1.9 33.1 3...1 3. Feb 1.B. 3..3.73 1.7.1.. Rating Caa1/B-/CCC. Feb 1.37B 7.13... 1.1 73. 39.7. Moody's / S&P / Fitch. Feb 7 1.1B 7. 3.1.9.9 11.7 9. 3... Feb 1.B.91 1.3 11.. 9. 7.1 3.3.1 B/E Spd 1Y is calculated as a spread. Feb 9 1.B.77 99.3 97..1.. 3.. to a synthetically created par bond trading. Feb 31 1.9B. 7.7 7..9 1. 37. 33..3 on the German curve.. Feb 3 1.33B.7 9. 1..1. 31. 73.. 3. Feb 1.B 7.11 7.7..73 1. 33.7 39.. 1, 1, 1 1 1, 1, 1 1 1, 1, 1, 1, Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 GR 3.37 17Jul17 GR Feb GR.7 17Apr GR 3 Feb GR 3.37 17Jul17 GR.7 17Apr GR Feb3 GR Feb GR 3 Feb GR Feb GR Feb7 GR Feb GR Feb9 GR Feb31 GR Feb3 GR 3 Feb Portugal 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y 1. 1. 1.7.3 1 Oct 17.99B.1..7 1. 7.7 3.. 1.3 Public balance -. -3. -..7 1 Jun 1.7B.3 11. 1. 1.73 1. 97.. 1.9 Debt/GDP 1.9 1. 13.. 1 Jun 1.99B 1.91 1.7 13. 1. 1.1 13.1 113.1 1.7 Source: European Commission, Winter 1 forecast 3. 1 Apr 1 9.B 1.1 17.1 1. 1.3.1 1.3.7 1.. 17 Oct 3.B. 1. 1...9 17. 17.. Rating Ba1/BB/BB+. 1 Feb 1.B.37.. 3..3 37..7 3. Moody's / S&P / Fitch.7 1 Oct 1.B.3 39. 9. 3.1.9. 1.3 3..7 1 Jul.B 3.7..7 -.1 1. 1. 1.1 -.1 B/E Spd 1Y is calculated as a spread 3.7 1 Feb 3.B 3.3. 17. 3.39-1.9 3.. 3.9 to a synthetically created par bond trading. 1 Apr 37.B 3.9..9 3.3-1..7 1. 3.1 on the German curve.. 1 Feb..B.33 7.7 3.3 3. -1.1 9.1. 3. 313 3 313 3 13 13 13 13 1 1 113 113 3 3 13 13 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 PT.3 1Oct17 PT 3. 1Apr1 PT.7 1Oct PT.1 1Feb PT.3 1Oct17 PT.7 1Jun PT. 1Jun PT 3. 1Apr1 PT. 17Oct PT. 1Feb PT.7 1Oct PT.7 1Jul PT 3.7 1Feb3 PT.1 1Apr37 PT.1 1Feb https://nexus.nordea.com/#/research 1
Ireland 1 1 17 Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score GDP, %, y/y. 3. 3.. 1 Oct 1 9.B -... -.97-1.3-1. -. -.7 Public balance -. -.9-3.1.9 1 Oct.B -. 7.9..9.7-1. -3..9 Debt/GDP 11. 11.3 17.9. 1 Apr 11.77B -.1. 7.3.. -1. -.. Source: European Commission, Winter 1 forecast. 1 Oct.99B.7 7.1. -.3 -. -1.9 -. -.39. 1 Mar.B.7 33.7 37.7-1.3. -1.3 1. -. Rating Baa1/A/A- 3.9 Mar 3.9B.3.1 7. -.9 -. 1. 17. -.7 Moody's / S&P / Fitch 3. 1 Mar.1B.73...1 1.1 7. 7. -.. 13 Mar 11.3B.9 7.. -.3... -.3 B/E Spd 1Y is calculated as a spread 1. 1 May 3.B 1..1.7.. 3. 3.9 -. to a synthetically created par bond trading. 1 May 3 7.7B 1.1 1..7 -. -.1 3. 39. -. on the German curve.. 1 Feb.B.3 7.1 7..1.. 9..1 9 7 3 1 Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 IE. 1Oct1 IE 1 1May IE 1Oct IE 1Feb 9 7 3 1 7 3 1-1 - IE. 1Oct1 IE.9 1Oct IE. 1Apr IE 1Oct IE. 1Mar IE 3.9 Mar3 IE 3. 1Mar IE. 13Mar IE 1 1May IE. 1May3 IE 1Feb 7 3 1-1 - https://nexus.nordea.com/#/research 11
European Investment Bank (EIB) Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score B/E Spd 1Y is calculated as a spread 1. 13 Jul 1.B -.3 1. 11..77 1. -13.9-17.9.99 to a synthetically created par bond trading 1.37 1 Nov 3.B -.17 1. 11.9.17. -1. -. 3. on the German curve.. 1 Mar 3..B -.1 17. 11.3.7 -.1-1.7 -.7 3. 1. 1 Apr 1.B.3 1. 1.7..1-1. -. 3.7 1.37 1 Sep 1.B.1 17.9 1. 1.3. -1. -.7.37. 1 Apr 3.B. 17. 1. 1. -1. -17. -1.1.3.1 1 Jan.B.3. 13.7.7 1. -1.3 -.3.1.7 1 Sep.3B.9 17. 1..3 -. -1. -1.7 3.3 3. 1 Apr 7.B.7 1. 1.9 1.. -7.9-1.7 3.9. 1 Apr 3..B 1.1 17. 1.7.9. 1.1 -. 3.7. 1 Mar 3 1..7B 1.39. 1. 1.. 7.1 3. 3.1 1.7 1 Sep 1..3B 1..7 1.1 1. -. 1..1. 7 7 3 3 1 1 1 17 17-1 1 1 13 13-11 11-3 9 9 7 7 - Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 EIB 1 13Jul1 EIB.7 1Sep EIB 1. 1Apr1 EIB 1.7 1Sep Kreditanstalt für Wiederaufbau (KfW) EIB 1 13Jul1 EIB 1.37 1Nov EIB. 1Mar EIB 1. 1Apr1 EIB 1.37 1Sep1 EIB 1Apr3 EIB.1 1Jan EIB.7 1Sep EIB 3. 1Apr7 EIB 1Apr3 EIB. 1Mar3 EIB 1.7 1Sep 1-1 - -3 - Coupon Maturity Volume Yield -Jan D Avg. Z-score B/E Spd 1Y -Jan D Avg. Z-score B/E Spd 1Y is calculated as a spread. 1 Feb 1.B -.31 1. 1.1 1..7-17.7-1..3 to a synthetically created par bond trading.7 1 Mar.B -.9 1. 11.7 1.1.1-17.7 -. 1. on the German curve. 1. 1 Jan 1.B -.9 1. 9. 1.. -.9-3. 1.3.1 1 Aug 3 3.B.1 1. 1...3 -. -... 1 Jan 3.B.97 17. 13..13. -17. -.7..37 3 Apr 3.B 1.39 17.1 1.1.9-1. -13.3-1. 1.9 1.37 31 Jul 3 1.B 1. 1.9 9. 1.7. -. -11..71 3 1 1 3 1 1 - -9-1 - - -9 - -9-1 - - -9-3 -3-39 -39 - Oct-1 Nov-1 Dec-1 Dec-1 Jan-1 KFW. 1Feb1 KFW 1. 1Jan1 KFW 1.37 31Jul3 KFW. 1Jan - - KFW. 1Feb1 KFW.7 1Mar KFW 1. 1Jan1 KFW.1 1Aug3 KFW. 1Jan KFW.37 3Apr3 KFW 1.37 31Jul3 - 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. https://nexus.nordea.com/#/research 1