Investment Research General Market Conditions 18 December 2013 Sweden The next issue of will be 7 January. Happy Holidays! The Riksbank and Money Market Forecast repo rates given Riba pricing, Riksbank and Danske Bank Markets Repo Eff. Date Riba Diff. (bp) Riksbank Danske Markets 2014-02-19 0.74-1 0.71 0.75 2014-04-16 0.74 0 0.71 0.75 2014-07-09 0.74 0 0.71 0.75 2014-09-10 0.76 2 0.71 0.75 2014-10-29 0.81 5 0.71 0.75 2014-12-17 0.87 6 0.71 0.75 Surprise index Source: Macrobond 10-year yield momentum vs surprise index Source: Macrobond Quant/Strategy Susanne Perneby +46-8-568 805 85 supe@danskebank.se Important disclosures and certifications are contained from page 10 of this report. www.danskeresearch.com
TED Spread TED-spread* and the spread between Riba and FRA contracts 110 90 70 50 30 10 Actual Market Implied Swap rates 3.40% 2.90% 2.40% 1.90% 1.40% 0.90% 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 2 18 December 2013 www.danskeresearch.com
ASW (bp) Nominal s Swedish government bonds Yield Week Mth YTD * Carry & Roll Down (RD) for 1M forward Mrg Rate Spread vs DE ASW Carry SGB1041 0.73% -11.0-11.0-1.0 0.73% 52-19 0.6 SGB1049 0.77% -9.0-9.5-7.5 0.77% 55-33 0.7 0.3 SGB1050 0.99% -7.5-8.5 +9.0 1.39% 72-34 1.2 2.1 SGB1051 1.26% -6.0-5.0 +27.0 1.93% 78-38 1.7 2.2 SGB1052 1.60% -4.0 +0.5 +38.0 2.48% 74-44 1.8 1.9 SGB1047 1.95% -1.0 +7.0 +54.0 3.22% 73-42 1.9 1.9 SGB1054 2.17% +0.5 +7.5 +60.5 3.24% 63-40 1.6 1.2 SGB1057 2.36% +2.0 +9.0 +69.0 3.31% 49-36 1.5 1.0 SGB1056 2.86% +4.0 +12.0 +72.5 3.65% 24-20 1.2 0.6 SGB1053 3.09% +4.0 +12.5 +79.0 4.29% 42 2 1.2 0.4 RD German and Swedish government bonds swapped into a 3M stibor-based cashflow 60 40 20 0-20 Swedish Govies German Govies -40-60 Years to Maturity 0 5 10 15 20 25 30 35 Marginal rates * 4.40% SEGOVT SEKSWAP 3.40% Stadshypotek SHYP1580 SHYP1579 SGB1047 SHYP1578 2.40% SHYP1577 SGB1052 SGB1051 SGB1054 SGB1057 1.40% SHYP1574 SHYP1576 SGB1050 SHYP1575 0.40% SGB1041 SGB1049 Years to Maturity 0 2 4 6 8 10 12 *Computed from a zero-coupon curve SHYP1583 3 18 December 2013 www.danskeresearch.com
Mortgage s Cpn Mat. Yield Wk Mth YTD Mrg Rte ASW Carry RD SHYP1575 6.00% jun-14 0.88% -8.0-8.0-41.0 0.88% -6.9 0.4 SHYP1576 6.00% mar-15 0.93% -13.0-12.5-48.5 0.95% -9.0 0.5 0.6 SHYP1577 6.00% dec-15 1.16% -14.0-15.5-39.5 1.57% -1.8 1.3 2.8 SHYP1578 6.00% sep-16 1.44% -12.5-14.5-25.5 2.23% 5.5 1.8 3.2 SHYP1579 6.00% jun-17 1.73% -11.0-10.5-9.5 2.91% 13.6 2.3 3.5 SHYP1580 3.00% mar-18 2.02% -9.0-7.0 +6.5 3.38% 22.5 2.4 3.2 SHYP1581 3.00% dec-18 2.26% -8.0-4.0 3.70% 27.4 2.4 2.8 SHYP1583 4.25% jun-20 2.67% -6.5-5.5 +38.5 4.34% 38.6 2.6 2.6 SHYP1586 4.50% sep-22 3.07% -5.0-1.0 +55.0 4.47% 46.4 2.4 1.6 SWH166 6.75% maj-14 0.86% -9.0-9.5-38.5 0.86% -6.3 0.7 SWH182 3.75% mar-15 0.93% -13.0-12.0-48.5 0.95% -9.0 0.5 0.7 SWH183 3.75% sep-15 1.07% -14.0-15.5-43.5 1.44% -4.8 1.0 2.5 SWH184 3.75% jun-16 1.34% -13.0-14.5-29.5 2.00% 3.1 1.7 3.2 SWH185 3.75% mar-17 1.63% -11.0-10.5-15.0 2.65% 11.3 2.1 3.4 SWH186 3.75% dec-17 1.92% -10.0-7.0-3.0 3.21% 18.4 2.3 3.3 SWH187 3.75% sep-18 2.19% -9.0-6.5 3.78% 26.3 2.5 3.2 SWH180 5.70% maj-20 2.65% -7.0-6.0 +33.5 4.31% 37.9 2.7 2.6 NDH5526 4.00% jun-14 0.88% -8.0-8.0-41.0 0.88% -6.9 0.4 NDH5520 3.25% jun-15 0.99% -13.5-14.0-45.5 1.04% -7.2 0.7 1.0 NDH5527 4.50% jun-16 1.35% -13.0-15.0-28.5 1.91% 3.6 1.7 3.1 NDH5528 3.00% jun-17 1.73% -11.0-10.5-8.5 2.72% 13.6 2.2 3.3 NDH5529 2.00% jun-18 2.11% -9.0-7.0 3.49% 25.1 2.4 3.3 NDH5521 3.25% jun-20 2.67% -6.5-5.5 +39.0 4.13% 38.6 2.5 2.6 SEB567 4.50% jun-14 0.88% -8.0-8.0-40.0 0.88% -6.9 0.4 SEB568 4.00% jun-15 0.99% -13.5-14.0-46.0 1.04% -7.2 0.7 1.0 SEB569 4.25% jun-16 1.35% -13.0-15.0-29.0 1.91% 3.6 1.7 3.1 SEB570 3.00% jun-17 1.73% -11.0-10.5-11.5 2.72% 13.6 2.2 3.3 SEB571 3.00% jun-18 2.11% -9.0-7.0 +8.0 3.55% 25.1 2.5 3.4 LFH506 4.50% maj-14 0.86% -9.0-9.5-39.0 0.86% -6.3 0.7 LFH510 2.25% jun-15 0.99% -13.5-14.5-48.5 1.03% -7.2 0.7 1.1 LFH508 4.00% mar-16 1.26% -13.0-14.5-36.5 1.81% 1.4 1.6 3.1 LFH507 4.50% jun-17 1.77% -11.0-11.0-15.5 2.76% 17.6 2.3 3.6 LFH511 2.50% jun-18 2.15% -9.0-7.0 +3.5 3.52% 29.1 2.5 3.3 SCBC126 4.00% apr-14 0.87% -7.5-9.0-38.5 0.87% -5.6 0.8 SCBC127 4.00% apr-15 0.95% -13.5-13.0-47.5 0.97% -7.6 0.6 0.8 SCBC131 4.00% nov-15 1.13% -14.0-15.5-40.5 1.54% -2.7 1.2 2.7 SCBC132 4.00% sep-16 1.43% -12.5-14.0-26.0 2.15% 4.5 1.8 3.2 SCBC133 4.00% jun-17 1.72% -11.0-10.0-10.0 2.86% 12.6 2.2 3.5 SCBC134 4.00% mar-18 2.01% -9.0-6.5 3.49% 21.5 2.4 3.4 SCBC139 4.00% dec-18 2.25% -8.0 3.72% 26.4 2.5 2.8 * Carry & Roll Down (RD) for 1M forward 4 18 December 2013 www.danskeresearch.com
Top 5 Monthly Winners bp SHYP1577 dec-15 6.00% -15.5 SWH183 sep-15 3.75% -15.5 SCBC131 nov-15 4.00% -15.5 NDH5527 jun-16 4.50% -15.0 SEB569 jun-16 4.25% -15.0 Top 5 Monthly Losers bp SGB1053 mar-39 3.50% 12.5 SGB1056 jun-32 2.25% 12.0 SGB1057 nov-23 1.50% 9.0 SGB1054 jun-22 3.50% 7.5 SGB1047 dec-20 5.00% 7.0 Top 5 Largest Z-Score * Z-Score SGB1041 maj-14 6.75% -3.25 LFH506 maj-14 4.50% -2.08 SWH166 maj-14 6.75% -2.06 SCBC126 apr-14 4.00% -2.01 SWH183 sep-15 3.75% -1.97 *Std from 3M mean Top 5 Yield Volatility bp/day SCBC131 nov-15 4.00% 3.2 SHYP1577 dec-15 6.00% 3.2 SWH183 sep-15 3.75% 3.2 NDH5527 jun-16 4.50% 3.2 SEB569 jun-16 4.25% 3.2 Period: past month Top 5 ASW bp SHYP1586 sep-22 4.50% 51.7 SWH180 maj-20 5.70% 46.7 SHYP1583 jun-20 4.25% 42.8 NDH5521 jun-20 3.25% 39.6 SCBC139 dec-18 4.00% 29.5 Top 5 ASW Losers bp NDH5526 jun-14 4.00% 6.7 SEB567 jun-14 4.50% 6.1 SGB1049 aug-15 4.50% 5.6 LFH506 maj-14 4.50% 5.4 SCBC126 apr-14 4.00% 5.4 Change during past month Top 5 Winners Total Return YTD LFH507 jun-17 4.50% 2.36% LFH508 mar-16 4.00% 2.33% SCBC132 sep-16 4.00% 2.31% SHYP1578 sep-16 6.00% 2.28% SWH184 jun-16 3.75% 2.28% Period: YTD Top 5 Losers Total Return YTD SGB1053 mar-39 3.50% -10.23% SGB1056 jun-32 2.25% -8.02% SGB1057 nov-23 1.50% -4.45% SGB1054 jun-22 3.50% -2.73% SGB1047 dec-20 5.00% -1.75% Period: YTD 5 18 December 2013 www.danskeresearch.com
BP Spread vs Govies (bp) 2Y spread vs SGB1049 bp Week Month YTD SHYP1576 mar-15 6.00% 16-4.0-3.0-41.0 SWH183 sep-15 3.75% 31-5.0-6.0-36.0 NDH5520 jun-15 3.25% 23-4.5-4.5-38.0 SEB568 jun-15 4.00% 23-4.5-4.5-38.5 LFH510 jun-15 2.25% 23-4.5-5.0-41.0 SCBC127 apr-15 4.00% 19-4.5-3.5-40.0 5Y spread vs SGB1052 bp Week Month YTD SHYP1580 mar-18 3.00% 43-5.0-7.5-31.5 SWH187 sep-18 3.75% 59-5.0-7.0 NDH5529 jun-18 2.00% 52-5.0-7.5 SEB571 jun-18 3.00% 52-5.0-7.5-30.0 LFH511 jun-18 2.50% 56-5.0-7.5-34.5 SCBC134 mar-18 4.00% 42-5.0-7.0 Swedish mortgage vs government bonds 87 77 67 57 47 37 27 Stadshypotek Swedbank Hypotek Nordea Hypotek 17 SCBC LF Hypotekx509 SEB 7 0 1 2 3 4 5 6 7 Years to Maturity *Computed spread is based on a zero-coupon based government curve Historic slope and curvature of Swap term-structure 240 190 140 90 40-10 -60 10-2y 5-2y 5-2-10Y 6 18 December 2013 www.danskeresearch.com
Spread (bp) Rate Swap spreads vs government bonds bp Week Month YTD SGB1049 aug-15 4.50% -33 +1.5 +5.3 +10.7 SGB1052 mar-19 4.25% -44 +0.6 +1.1 +4.9 SGB1057 nov-23 1.50% -36 +1.4 +0.4 +10.3 Swap spreads vs EUR swaps bp Week Month YTD SWAP2Y dec-15 1.18% 69-8.0-15.9-15.1 SWAP5Y dec-18 1.98% 84-2.8-6.0 +8.6 SWAP10Y dec-23 2.72% 67 +2.9 +4.6 +18.2 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 7 18 December 2013 www.danskeresearch.com
Inflation-Linked s 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 0.03% 0.0 +6.9 +17.9 0.80% 5.25 0.03% SGB1049 0.74% 32.1 SGB3107 0.50% jun-17 0.16% -5.5-4.5 +30.0 1.06% 2.94 0.33% SGB1051 1.09% 42.3 SGB3102 4.00% dec-20 0.57% -3.5 0.0 +55.5 1.41% 1.60 1.04% SGB1047 1.37% 55.0 SGB3108 0.25% jun-22 0.71% -3.0 0.0 +67.5 1.52% 1.21 1.22% SGB1054 1.44% 49.2 SGB3104 3.50% dec-28 0.99% -2.0 +5.0 +78.5 1.70% 0.82 1.49% SGB1057 1.36% 73.3 Swedish CPI and forecast BEI Spreads in Sweden and Germany 0.06 CPI YoY 0.05 Danske Bank Markets CPI Forecast YoY 0.04 0.03 0.02 0.01 0.00-0.01-0.02 * Zero-coupon based generic BEIs 1.90% Sweden 1.70% Germany 1.50% 1.30% 1.10% 0.90% 0.70% Years to Maturity 0.50% 0 5 10 15 Carry @ 1% Repo 1M 3M 6M SGB3105-8.8-34.2-12.6 SGB3107-4.5-17.0-3.8 SGB3102-1.9-7.3 1.6 SGB3108-1.3-5.0 2.1 SGB3104-0.7-2.8 2.6 * Based on Danske Bank Markets CPI forecast Forward BEI @ 1% Repo 1M 3M 6M SGB3105 0.82% 1.08% 0.86% SGB3107 1.15% 1.30% 1.22% SGB3102 1.41% 1.50% 1.47% SGB3108 1.48% 1.55% 1.54% SGB3104 1.39% 1.44% 1.44% * Based on Danske Bank Markets CPI forecast 8 18 December 2013 www.danskeresearch.com
Correlation Asset and Position Correlations Top 10 Correlations vs 10Y yld Asset Correlation 5Y SEGOVT 0.96 DE 10Y 0.88 Slope 0.86 Norway 10Y 0.83 2Y SEGOVT 0.81 UK 10Y 0.77 US 10Y 0.65 Curvature 0.65 WTI Oil 0.50 Baltic Dry 0.35 *Weekly data, 24 weeks window Top 10 Negative Corr. vs 10Y yld Asset Correlation MSCI World -0.32 S&P 500-0.29 OMX30-0.24 NOKSEK -0.24 Eurostoxx -0.22 Steel -0.21 Gold -0.18 Nibor 3M -0.18 EURSEK -0.13 GBPSEK -0.08 *Weekly data, 24 weeks window Correlations between the yield of a 10Y generic Swedish government bond and other assets and indices 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 18 December 2013 www.danskeresearch.com
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