EGB Relative Value Report. October 10, 2013

Transcription

1 EGB Relative Value Report October 10, 2013

2 Trade Recommendations Open trades Overall Performance: +121 bp EUR 563,715 Open: +24 bp EUR 66,669 Closed: +98 bp EUR 497,046 Date recommended Trade Nominal ('000) Entry Target Stop 10-Oct-13 Performance Carry Total P&L Status Link 9-Jul-13 DV01 & 50/50 neutral butterfly bp +40 bp +65 bp bp -0.4 bp EUR 8,060 EUR 6,672 Open Buy: NETHER 1 3/4 07/15/23 10, % Sell: NETHER 4 07/15/18 8, % Sell: NETHER 2 1/2 01/15/33 3, % 27-Sep-13 DV01 & 50/50 neutral butterfly bp +55 bp +80 bp bp -1.2 bp EUR 1,192 EUR -10,651 Open Buy: DBR 4 3/4 07/04/34 10, % Sell: DBR 2 1/2 07/04/44 4, % Sell: DBR 1 1/2 05/15/23 11, % 2-Oct-13 DV01 & 50/50 neutral butterfly bp +30 bp +60 bp bp bp EUR 1,072 EUR 61,999 Open Buy: BTPS 4 1/2 03/01/19 10, % Sell: IRISH 4 1/2 10/18/18 5, % Sell: SPGB /30/19 4, % 7-Oct-13 DV01 neutral steepener bp -150 bp -80 bp bp +0.4 bp EUR 3,550 EUR 8,649 Open Buy: PGB /15/15 21, % Sell: PGB /15/18 10, %

3 Trade Recommendations Closed trades Date recommended Trade Nominal ('000) Entry Target Stop Last Performance Carry Total P&L Status Closing date Link 23-Apr-13 DV01 neutral flattener bp +45 bp +65 bp +65 bp -3 bp EUR 180 EUR -5,850 Stopped 29-May-13 Buy: BTPS 3 3/4 08/01/15 7, % Sell: BTPS 6 11/15/14 10, % 30-May-13 Italy - Spain 5Y-10Y box trade -6.4 bp -20 bp +2 bp bp bp EUR 933 EUR 62,787 Closed 13-Jun-13 Buy: BTPS 4 1/2 05/01/23 5, % Sell: BTPS 3 1/2 06/01/18 10, % Buy: SPGB /30/18 10, % Sell: SPGB /31/23 5, % 22-May-13 DV01 neutral flattener bp +4 bp +12 bp +4.0 bp +6.3 bp EUR -1,257 EUR 30,817 Closed 20-Jun-13 Buy: BTPS 4 1/4 09/01/19 9, % Sell: BTPS 4 1/2 03/01/19 10, % 2-Apr-13 DV01 neutral switch bp +70 bp +83 bp bp -1.7 bp EUR -5,867 EUR -10,430 Stopped 21-Jun-13 Buy: BTPS 3 1/2 11/01/17 7, % Sell: BTPS 3 3/4 04/15/16 10, % 13-Jun-13 DV01 neutral steepener +2.0 bp -10 bp +6 bp +6.0 bp -4.0 bp EUR 4,600 EUR -45,001 Stopped 25-Jun-13 Buy: BTPS 4 3/4 09/01/28 12, % Sell: BTPS 4 02/01/37 10, % 2-Jul-13 DV01 neutral steepener bp -45 bp -30 bp bp bp EUR 217 EUR 53,732 Closed 03-Jul-13 Buy: PGB /15/21 13, % Sell: PGB /15/24 10, % 2-Jul-13 DV01 neutral flattener bp +10 bp +60 bp bp -7.7 bp EUR -37 EUR -3,379 Stopped 03-Jul-13 Buy: PGB /15/14 3, % Sell: PGB 4 3/8 06/16/14 5, % 2-Jul-13 DV01 neutral flattener bp +65 bp +140 bp bp bp EUR -137 EUR -5,753 Stopped 03-Jul-13 Buy: PGB /15/15 2, % Sell: PGB 4 3/8 06/16/14 5, % 27-Jun-13 DV01 neutral switch bp +20 bp +31 bp bp -4.0 bp EUR -360 EUR -17,872 Stopped 05-Jul-13 Buy: BTPS 4 1/2 03/01/19 8, % Sell: BTPS 3 1/2 06/01/18 10, % 26-Jun-13 DV01 neutral steepener +6.0 bp -10 bp +8 bp -0.5 bp +6.5 bp EUR 4,245 EUR 84,719 Closed 05-Jul-13 Buy: BTPS 4 3/4 09/01/28 12, % Sell: BTPS 4 02/01/37 10, % 12-Apr-13 DV01 neutral switch bp -25 bp +5 bp bp bp EUR -3,412 EUR 64,458 Closed 10-Jul-13 Buy: BTPS 4 1/2 08/01/18 9, % Sell: SPGB /30/18 10, % 24-Jun-13 DV01 neutral steepener bp -252 bp -215 bp bp bp EUR 12,267 EUR 94,580 Closed 10-Jul-13 Buy: SPGB 4 07/30/15 19, % Sell: SPGB /31/23 5, %

4 Trade Recommendations Closed trades Date recommended Trade Nominal ('000) Entry Target Stop Last Performance Carry Total P&L Status Closing date Link 23-Apr-13 DV01 neutral switch bp +5 bp +23 bp bp +5.7 bp EUR 249 EUR 9,709 Closed 15-Jul-13 Buy: BTPS 3 06/15/15 9, % Sell: BTPS 3 04/15/15 10, % 27-Jun-13 DV01 & 50/50 neutral credit butterfly bp +25 bp +60 bp bp bp EUR 1,333 EUR 26,957 Closed 17-Jul-13 Buy: BTPS 4 1/2 03/01/19 10, % Sell: IRISH 4 1/2 10/18/18 5, % Sell: SPGB /30/19 4, % 25-Jun-13 DV01 neutral flattener bp +135 bp +143 bp bp bp EUR 5,800 EUR 135,937 Closed 24-Jul-13 Buy: DBR 1 1/2 05/15/23 10, % Sell: BKO 0 06/12/15 45, % 24-Jul-13 DV01 neutral flattener bp +203 bp +229 bp bp -6.0 bp EUR 6,413 EUR -38,629 Stopped 06-Aug-13 Buy: BGB 2 1/4 06/22/23 10, % Sell: BGB 3 1/2 03/28/15 49, % 25-Jul-13 DV01 & 50/50 neutral credit butterfly bp -190 bp -154 bp bp -8.0 bp EUR -3,360 EUR -35,791 Stopped 06-Aug-13 Buy: BGB 2 1/4 06/22/23 10, % Sell: SPGB /31/23 5, % Sell: RAGB 1 3/4 10/20/23 4, % 9-May-13 DV01 neutral flattener bp +20 bp +37 bp bp -3.9 bp EUR -5,173 EUR -23,559 Stopped 14-Aug-13 Buy: SPGB /30/19 8, % Sell: SPGB /30/18 10, % 8-Aug-13 DV01 neutral flattener bp +203 bp +238 bp bp -9.7 bp EUR 3,333 EUR -76,699 Stopped 16-Aug-13 Buy: BGB 2 1/4 06/22/23 10, % Sell: BGB 3 1/2 03/28/15 50, % 14-Aug-13 DV01 neutral flattener bp +145 bp +166 bp bp -5.3 bp EUR 487 EUR -45,080 Stopped 16-Aug-13 Buy: DBR 1 1/2 05/15/23 10, % Sell: BKO 0 06/12/15 48, % 2-May-13 DV01 & 50/50 neutral butterfly bp +10 bp +25 bp bp -5.7 bp EUR -2,660 EUR -18,685 Stopped 12-Sep-13 Buy: FRTR 4 1/4 10/25/23 4, % Buy: FRTR 2 1/2 10/25/20 5, % Sell: FRTR 3 1/4 10/25/21 10, % 7-Aug-13 DV01 neutral credit butterfly bp -10 bp +0 bp +0.0 bp bp EUR 3,267 EUR 151,638 Closed 16-Sep-13 Buy: SPGB /31/20 4, % Buy: IRISH 5 10/18/20 4, % Sell: BTPS 4 09/01/20 10, % 24-Jun-13 DV01 neutral steepener bp -270 bp -250 bp bp bp EUR 63,000 EUR 108,442 Closed 10-Jul-13 Buy: BTPS 3 3/4 08/01/15 19, % Sell: BTPS 4 1/2 05/01/23 5, %

5 Oct-14 Jul-15 Sep-16 Sep-17 Oct-18 Jun-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan-62 Relative Value Report Austria, 09-Oct bp 35 bp 30 bp 25 bp 20 bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp 2Y 5Y 10Y 15Y 30Y 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

6 Austria, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RAGB /20/14 20-Oct % RAGB3 1/2 07/15/15 15-Jul % RAGB 4 09/15/16 15-Sep % RAGB /20/17 20-Feb % , RAGB /15/17 15-Sep % , RAGB /15/18 15-Jan % , RAGB /19/18 19-Oct % , RAGB /15/19 15-Mar % , RAGB /18/19 18-Jun % , RAGB /15/20 15-Jul % , RAGB3 1/2 09/15/21 15-Sep % , RAGB /20/22 20-Apr % , RAGB /22/22 22-Nov % , RAGB 1 3/4 10/20/23 20-Oct % , RAGB /15/26 15-Mar % , RAGB6 1/4 07/15/27 15-Jul % , RAGB /23/34 23-May % , RAGB /15/37 15-Mar % , RAGB /20/44 20-Jun % , RAGB /26/62 26-Jan % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

7 Austria 4bp Austria 80% 25bp 3bp 2bp 1bp 75% 70% 65% 60% 20bp 15bp 10bp 0bp 55% 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 55Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Austria 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

8 Mar-15 Sep-15 Sep-16 Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Mar-26 Mar-28 Mar-32 Mar-35 Mar-41 Jun-45 Relative Value Report Belgium, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 105 bp 95 bp 85 bp 75 bp 65 bp 55 bp 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

9 Belgium, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BGB 8 03/28/15 28-Mar % BGB 3 1/2 03/28/15 28-Mar % BGB 3 3/4 09/28/15 28-Sep % BGB 2 3/4 03/28/16 28-Mar % BGB 3 1/4 09/28/16 28-Sep % , BGB 4 03/28/17 28-Mar % , BGB 3 1/2 06/28/17 28-Jun % , BGB 5 1/2 09/28/17 28-Sep % , BGB 4 03/28/18 28-Mar % , BGB 1 1/4 06/22/18 22-Jun % , BGB 4 03/28/19 28-Mar % , BGB 3 09/28/19 28-Sep % , BGB 3 3/4 09/28/20 28-Sep % , BGB 4 1/4 09/28/21 28-Sep % , BGB 4 03/28/22 28-Mar % , BGB 4 1/4 09/28/22 28-Sep % , BGB 2 1/4 06/22/23 22-Jun % , BGB 4 1/2 03/28/26 28-Mar % , BGB 5 1/2 03/28/28 28-Mar % , BGB 4 03/28/32 28-Mar % , BGB 5 03/28/35 28-Mar % , BGB 4 1/4 03/28/41 28-Mar % , BGB 3 3/4 06/22/45 22-Jun % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

10 Belgium 5bp 4bp 3bp 2bp 1bp 0bp Belgium 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 25bp 23bp 21bp 19bp 17bp 15bp 13bp 11bp 9bp 7bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Belgium 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

11 Jul-15 Apr-16 Apr-17 Sep-18 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Jul-25 Jul-28 Jul-42 Relative Value Report Finland, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

12 Finland, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RFGB4 1/4 07/04/15 4-Jul % RFGB1 3/4 04/15/16 15-Apr % RFGB 1 7/8 04/15/17 15-Apr % , RFGB3 7/8 09/15/17 15-Sep % , RFGB 1 1/8 09/15/18 15-Sep % , RFGB4 3/8 07/04/19 4-Jul % , RFGB3 3/8 04/15/20 15-Apr % , RFGB3 1/2 04/15/21 15-Apr % , RFGB 1 5/8 09/15/22 15-Sep % , RFGB 1 1/2 04/15/23 15-Apr % , RFGB 4 07/04/25 4-Jul % , RFGB 2 3/4 07/04/28 4-Jul % , RFGB 2 5/8 07/04/42 4-Jul % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

13 Finland 4bp 3bp 2bp 1bp 0bp Finland 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 25bp 23bp 21bp 19bp 17bp 15bp 13bp 11bp 9bp 7bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Finland 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

14 Oct-14 Jul-15 Feb-16 Oct-16 Jul-17 Apr-18 Oct-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 Oct-25 Oct-27 Apr-29 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 Relative Value Report France, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 95 bp 85 bp 75 bp 65 bp 55 bp 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp -45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

15 France, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) FRTR 4 10/25/14 25-Oct % BTNS2 1/2 01/15/15 15-Jan % FRTR3 1/2 04/25/15 25-Apr % BTNS 2 07/12/15 12-Jul % FRTR 3 10/25/15 25-Oct % FRTR 0 1/4 11/25/15 25-Nov % BTNS2 1/4 02/25/16 25-Feb % FRTR3 1/4 04/25/16 25-Apr % BTNS 2 1/2 07/25/16 25-Jul % , FRTR 5 10/25/16 25-Oct % , BTNS 1 3/4 02/25/17 25-Feb % , FRTR3 3/4 04/25/17 25-Apr % , BTNS 1 07/25/17 25-Jul % , FRTR4 1/4 10/25/17 25-Oct % , FRTR 4 04/25/18 25-Apr % , FRTR 1 05/25/18 25-May % , FRTR4 1/4 10/25/18 25-Oct % , FRTR 1 11/25/18 25-Nov % , FRTR4 1/4 04/25/19 25-Apr % , FRTR8 1/2 10/25/19 25-Oct % , FRTR3 3/4 10/25/19 25-Oct % , FRTR3 1/2 04/25/20 25-Apr % , FRTR2 1/2 10/25/20 25-Oct % , FRTR3 3/4 04/25/21 25-Apr % , FRTR 3 1/4 10/25/21 25-Oct % , FRTR8 1/4 04/25/22 25-Apr % , FRTR 3 04/25/22 25-Apr % , FRTR 2 1/4 10/25/22 25-Oct % , FRTR8 1/2 04/25/23 25-Apr % , FRTR 1 3/4 05/25/23 25-May % , FRTR4 1/4 10/25/23 25-Oct % , FRTR 6 10/25/25 25-Oct % , FRTR3 1/2 04/25/26 25-Apr % , FRTR 2 3/4 10/25/27 25-Oct % , FRTR5 1/2 04/25/29 25-Apr % , FRTR5 3/4 10/25/32 25-Oct % , FRTR4 3/4 04/25/35 25-Apr % , FRTR 4 10/25/38 25-Oct % , FRTR4 1/2 04/25/41 25-Apr % , FRTR 3 1/4 05/25/45 25-May % , FRTR 4 04/25/55 25-Apr % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)

16 France, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) FRTR 4 04/25/60 25-Apr % , M BES² (bp) France 5bp France 80% 25bp 4bp 75% 20bp 3bp 2bp 1bp 70% 65% 60% 15bp 10bp 0bp 55% 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 40Y 45Y 50Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) France 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

17 Oct-14 Jun-15 Jan-16 Oct-16 Jul-17 Jan-18 Oct-18 Jul-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 May-23 Jan-24 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Relative Value Report Germany, 09-Oct-13 5 bp 2Y 5Y 10Y 15Y 30Y 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp -60 bp -65 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

18 Germany, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) OBL 2 1/2 10/10/14 10-Oct % BKO 0 12/12/14 12-Dec % DBR 3 3/4 01/04/15 4-Jan % OBL 2 1/2 02/27/15 27-Feb % BKO 0 1/4 03/13/15 13-Mar % OBL 2 1/4 04/10/15 10-Apr % BKO 0 06/12/15 12-Jun % DBR 3 1/4 07/04/15 4-Jul % BKO 0 1/4 09/11/15 11-Sep % OBL 1 3/4 10/09/15 9-Oct % DBR 3 1/2 01/04/16 4-Jan % OBL 2 02/26/16 26-Feb % OBL 2 3/4 04/08/16 8-Apr % DBR 6 06/20/16 20-Jun % DBR 4 07/04/16 4-Jul % OBL 1 1/4 10/14/16 14-Oct % DBR 3 3/4 01/04/17 4-Jan % OBL 0 3/4 02/24/17 24-Feb % OBL 0 1/2 04/07/17 7-Apr % DBR 4 1/4 07/04/17 4-Jul % OBL 0 1/2 10/13/17 13-Oct % , DBR 4 01/04/18 4-Jan % , OBL 0 1/2 02/23/18 23-Feb % , OBL 0 1/4 04/13/18 13-Apr % , DBR 4 1/4 07/04/18 4-Jul % , OBL 1 10/12/18 12-Oct % , DBR 3 3/4 01/04/19 4-Jan % , DBR 3 1/2 07/04/19 4-Jul % , DBR 3 1/4 01/04/20 4-Jan % , DBR 3 07/04/20 4-Jul % , DBR 2 1/4 09/04/20 4-Sep % , DBR 2 1/2 01/04/21 4-Jan % , DBR 3 1/4 07/04/21 4-Jul % , DBR 2 1/4 09/04/21 4-Sep % , DBR 2 01/04/22 4-Jan % , DBR 1 3/4 07/04/22 4-Jul % , DBR 1 1/2 09/04/22 4-Sep % , DBR 1 1/2 02/15/23 15-Feb % , DBR 1 1/2 05/15/23 15-May % , DBR 2 08/15/23 15-Aug % , DBR 6 1/4 01/04/24 4-Jan % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)

19 Germany, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) DBR 6 1/2 07/04/27 4-Jul % , DBR 5 5/8 01/04/28 4-Jan % , DBR 4 3/4 07/04/28 4-Jul % , DBR 6 1/4 01/04/30 4-Jan % , DBR 5 1/2 01/04/31 4-Jan % , DBR 4 3/4 07/04/34 4-Jul % , DBR 4 01/04/37 4-Jan % , DBR 4 1/4 07/04/39 4-Jul % , DBR 4 3/4 07/04/40 4-Jul % , DBR 3 1/4 07/04/42 4-Jul % , DBR 2 1/2 07/04/44 4-Jul % , M BES² (bp) Germany 4bp 3bp 2bp 1bp 0bp Germany 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 25bp 20bp 15bp 10bp 5bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 50% 0bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Germany 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

20 Feb-23 Feb-24 Feb-25 Feb-26 Feb-27 Feb-28 Feb-29 Feb-30 Feb-31 Feb-32 Feb-33 Feb-34 Feb-35 Feb-36 Feb-37 Feb-38 Feb-39 Feb-40 Feb-41 Feb-42 Relative Value Report Greece, 09-Oct bp 450 bp 430 bp 410 bp 390 bp 370 bp 350 bp 330 bp 310 bp 290 bp 270 bp 250 bp 230 bp 210 bp 190 bp 10Y 15Y 30Y 170 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

21 Greece, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) GGB 2 02/24/23 24-Feb % , GGB 2 02/24/24 24-Feb % , GGB 2 02/24/25 24-Feb % , GGB 2 02/24/26 24-Feb % , GGB 2 02/24/27 24-Feb % , GGB 2 02/24/28 24-Feb % , GGB 2 02/24/29 24-Feb % , GGB 2 02/24/30 24-Feb % , GGB 2 02/24/31 24-Feb % , GGB 2 02/24/32 24-Feb % , GGB 2 02/24/33 24-Feb % , GGB 2 02/24/34 24-Feb % , GGB 2 02/24/35 24-Feb % , GGB 2 02/24/36 24-Feb % , GGB 2 02/24/37 24-Feb % , GGB 2 02/24/38 24-Feb % , GGB 2 02/24/39 24-Feb % , GGB 2 02/24/40 24-Feb % , GGB 2 02/24/41 24-Feb % , GGB 2 02/24/42 24-Feb % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

22 Greece 10bp 9bp 8bp 7bp 6bp 5bp 4bp 3bp 2bp 1bp 0bp -1bp -2bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Greece 60% 60bp 59% 58bp 58% 56bp 57% 54bp 56% 52bp 55% 50bp 54% 48bp 53% 46bp 52% 44bp 51% 42bp 50% 40bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Greece 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

23 Feb-15 Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-23 Mar-25 Relative Value Report Ireland, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 210 bp 195 bp 180 bp 165 bp 150 bp 135 bp 120 bp 105 bp 90 bp 75 bp 60 bp 45 bp 30 bp 15 bp 0 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

24 Ireland, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) IRISH 4 1/2 02/18/15 18-Feb % , IRISH /18/16 18-Apr % , IRISH 5 1/2 10/18/17 18-Oct % , IRISH 4 1/2 10/18 18-Oct % , IRISH /18/19 18-Jun % , IRISH /18/19 18-Oct % , IRISH 4 1/2 04/20 18-Apr % , IRISH 5 10/18/20 18-Oct % , IRISH /20/23 20-Mar % , IRISH /13/25 13-Mar % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

25 Ireland 10bp 9bp 8bp 7bp 6bp 5bp 4bp 3bp 2bp Ireland 80% 75% 70% 65% 60% 55% 20bp 20bp 19bp 19bp 18bp 18bp 17bp 17bp 16bp 16bp 1bp 0Y 5Y 10Y 15Y 50% 15bp 0Y 5Y 10Y 15Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Ireland 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

26 Nov-14 Jun-15 Apr-16 Nov-16 Jun-17 Feb-18 Dec-18 Sep-19 Sep-20 Aug-21 Mar-22 Sep-22 May-23 Nov-23 Mar-25 Mar-26 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Sep-44 Relative Value Report Italy, 09-Oct bp 305 bp 290 bp 275 bp 260 bp 245 bp 230 bp 215 bp 200 bp 185 bp 170 bp 155 bp 140 bp 125 bp 110 bp 95 bp 80 bp 65 bp 50 bp 2Y 5Y 10Y 15Y 30Y 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

27 Italy, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS 6 11/15/14 15-Nov % , BTPS4 1/4 02/01/15 1-Feb % , BTPS 2 1/2 03/01/15 1-Mar % , BTPS 3 04/15/15 15-Apr % , BTPS 3 06/15/15 15-Jun % , BTPS 4 1/2 07/15/15 15-Jul % , BTPS3 3/4 08/01/15 1-Aug % , BTPS 3 11/01/15 1-Nov % , BTPS 2 3/4 12/01/15 1-Dec % , BTPS3 3/4 04/15/16 15-Apr % , BTPS 2 1/4 05/15/16 15-May % , BTPS3 3/4 08/01/16 1-Aug % , BTPS 4 3/4 09/15/16 15-Sep % , BTPS 2 3/4 11/15/16 15-Nov % , BTPS 4 02/01/17 1-Feb % , BTPS 4 3/4 05/01/17 1-May % , BTPS 4 3/4 06/01/17 1-Jun % , BTPS5 1/4 08/01/17 1-Aug % , BTPS 3 1/2 11/01/17 1-Nov % , BTPS4 1/2 02/01/18 1-Feb % , BTPS 3 1/2 06/01/18 1-Jun % , BTPS4 1/2 08/01/18 1-Aug % , BTPS 3 1/2 12/01/18 1-Dec % , BTPS4 1/4 02/01/19 1-Feb % , BTPS4 1/2 03/01/19 1-Mar % , BTPS4 1/4 09/01/19 1-Sep % , BTPS4 1/2 02/01/20 1-Feb % , BTPS4 1/4 03/01/20 1-Mar % , BTPS 4 09/01/20 1-Sep % , BTPS3 3/4 03/01/21 1-Mar % , BTPS3 3/4 08/01/21 1-Aug % , BTPS4 3/4 09/01/21 1-Sep % , BTPS 5 03/01/22 1-Mar % , BTPS 5 1/2 09/01/22 1-Sep % , BTPS 5 1/2 11/01/22 1-Nov % , BTPS 4 1/2 05/01/23 1-May % , BTPS4 3/4 08/01/23 1-Aug % , BTPS 9 11/01/23 1-Nov % , BTPS 4 1/2 03/01/24 1-Mar % , BTPS 5 03/01/25 1-Mar % , BTPS4 1/2 03/01/26 1-Mar % , ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)

28 Italy, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS7 1/4 11/01/26 1-Nov % , BTPS6 1/2 11/01/27 1-Nov % , BTPS 4 3/4 09/01/28 1-Sep % , BTPS5 1/4 11/01/29 1-Nov % , BTPS 6 05/01/31 1-May % , BTPS5 3/4 02/01/33 1-Feb % , BTPS 5 08/01/34 1-Aug % , BTPS 4 02/01/37 1-Feb % , BTPS 5 08/01/39 1-Aug % , BTPS 5 09/01/40 1-Sep % , BTPS 4 3/4 09/01/44 1-Sep % , M BES² (bp) Italy 14bp 13bp 12bp 11bp 10bp 9bp 8bp 7bp 6bp 5bp 4bp 3bp 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y Italy 80% 30bp 28bp 75% 26bp 70% 24bp 22bp 65% 20bp 18bp 60% 16bp 55% 14bp 12bp 50% 10bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 35Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Italy 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

29 Jan-15 Apr-16 Jan-17 Jan-18 Jan-19 Jul-20 Jul-21 Jul-22 Jan-23 Jan-28 Jan-33 Jan-37 Jan-42 Relative Value Report Netherland, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 25 bp 20 bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

30 Netherland, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) NETHER 2 3/4 01/15 15-Jan % NETHER 0 3/4 04/15/15 15-Apr % NETHER 3 1/4 07/15 15-Jul % NETHER 0 04/15/16 15-Apr % NETHER 4 07/15/16 15-Jul % NETHER 2 1/2 01/15/17 15-Jan % , NETHER 4 1/2 07/17 15-Jul % , NETHER 1 1/4 01/15/18 15-Jan % , NETHER 4 07/15/18 15-Jul % , NETHER 1 1/4 01/15/19 15-Jan % , NETHER 4 07/15/19 15-Jul % , NETHER 3 1/2 07/20 15-Jul % , NETHER 3 1/4 07/21 15-Jul % , NETHER 2 1/4 07/15/22 15-Jul % , NETHER 7 1/2 01/23 15-Jan % , NETHER 3 3/4 01/23 15-Jan % , NETHER 1 3/4 07/15/23 15-Jul % , NETHER 5 1/2 01/28 15-Jan % , NETHER 2 1/2 01/15/33 15-Jan % , NETHER 4 01/15/37 15-Jan % , NETHER 3 3/4 01/42 15-Jan % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

31 Netherland 4bp 3bp 2bp 1bp 0bp Netherland 70% 68% 66% 64% 62% 60% 58% 56% 54% 52% 25bp 23bp 21bp 19bp 17bp 15bp 13bp 11bp 9bp 7bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Prob {Yield at horizon Forward Yield} (lhs) Source: Bloomberg, Sunrise Brokers

32 Oct-14 Oct-15 Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Apr-37 Relative Value Report Portugal, 09-Oct bp 2Y 5Y 10Y 15Y 30Y 545 bp 525 bp 505 bp 485 bp 465 bp 445 bp 425 bp 405 bp 385 bp 365 bp 345 bp 325 bp 305 bp 285 bp 265 bp 245 bp 225 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

33 Portugal, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) PGB /15/14 15-Oct % , PGB /15/15 15-Oct % , PGB /15/16 15-Feb % , PGB /15/16 15-Oct % , PGB /16/17 16-Oct % , PGB /15/18 15-Jun % , PGB 4 3/4 06/14/19 14-Jun % , PGB /15/20 15-Jun % , PGB /15/21 15-Apr % , PGB /25/23 25-Oct % , PGB /15/24 15-Feb % , PGB /15/37 15-Apr % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

34 Portugal 35bp 33bp 31bp 29bp 27bp 25bp 23bp 21bp 19bp 17bp 15bp 13bp 11bp 9bp 7bp 5bp 3bp 1bp -1bp -3bp -5bp -7bp -9bp 0Y 5Y 10Y 15Y 20Y 25Y Portugal 70% 65bp 65% 60bp 55bp 60% 50bp 55% 45bp 50% 40bp 45% 35bp 40% 30bp 0Y 5Y 10Y 15Y 20Y 25Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Portugal 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

35 Oct-14 Jul-15 Jan-16 Oct-16 Jul-17 Jan-18 Oct-18 Jul-19 Apr-20 Oct-20 Jan-22 Jan-23 Oct-23 Jul-25 Jul-26 Oct-28 Jul-32 Jan-37 Jul-40 Jul-41 Relative Value Report Spain, 09-Oct bp 275 bp 260 bp 245 bp 230 bp 215 bp 200 bp 185 bp 170 bp 155 bp 140 bp 125 bp 110 bp 95 bp 80 bp 65 bp 2Y 5Y 10Y 15Y 30Y 50 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel

36 Spain, 09-Oct-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) SPGB /31/14 31-Oct % , SPGB /31/15 31-Jan % , SPGB 2 3/4 03/31/15 31-Mar % , SPGB 3 04/30/15 30-Apr % , SPGB 4 07/30/15 30-Jul % , SPGB 3 3/4 10/31/15 31-Oct % , SPGB /31/16 31-Jan % , SPGB3 1/4 04/30/16 30-Apr % , SPGB /30/16 30-Jul % , SPGB 4 1/4 10/31/16 31-Oct % , SPGB /31/17 31-Jan % , SPGB5 1/2 07/30/17 30-Jul % , SPGB 4 1/2 01/31/18 31-Jan % , SPGB /30/18 30-Jul % , SPGB 3 3/4 10/31/18 31-Oct % , SPGB /30/19 30-Jul % , SPGB /31/19 31-Oct % , SPGB 4 04/30/20 30-Apr % , SPGB /31/20 31-Oct % , SPGB5 1/2 04/30/21 30-Apr % , SPGB /31/22 31-Jan % , SPGB /31/23 31-Jan % , SPGB /31/23 31-Oct % , SPGB /31/24 31-Jan % , SPGB /30/25 30-Jul % , SPGB /30/26 30-Jul % , SPGB /31/28 31-Oct % , SPGB 6 01/31/29 31-Jan % , SPGB5 3/4 07/30/32 30-Jul % , SPGB /31/37 31-Jan % , SPGB /30/40 30-Jul % , SPGB /30/41 30-Jul % , M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers

37 Spain 13bp 12bp 11bp 10bp 9bp 8bp 7bp 6bp 5bp 4bp 3bp 2bp 1bp 0bp -1bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y Spain 80% 19bp 75% 17bp 70% 15bp 65% 13bp 11bp 60% 9bp 55% 7bp 50% 5bp 0Y 5Y 10Y 15Y 20Y 25Y 30Y 1M Carry & RD (bp) 1M BES² (bp) 1M Roll-Down (bp) Prob {Yield at horizon Forward Yield} (lhs) Spain 1M 60d yield volatility (rhs) Source: Bloomberg, Sunrise Brokers

38 Fixed Income Trading Desk DISCLAIMER Marketing Communication - Institutional Use. This document has not been produced in accordance with legal requirements designed to promote the independence of research. Entry, Stop Loss, Close, Near-term exit and Target offered as guidelines, which may be adjusted as conditions vary. Sunrise Brokers LLP ( Sunrise ) for the information of its Clients (as defined in the Rules of the FSA) and those of its affiliates only. It is not intended for Retail Clients in the UK. If this research is received by a customer of an affiliate of Sunrise, its provision to the recipient is subject to the terms of business in place between the recipient and such affiliate. This document is not directed to, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or which would subject Sunrise, or its subsidiaries or its affiliates to any registration or licensing requirement within such jurisdiction. This document is not and should not be construed as an offer to sell or the solicitation of an offer to purchase or subscribe for any investment. Sunrise has based this document on information obtained from sources it believes to be reliable but which it has not independently verified; Sunrise makes no guarantee, representation or warranty and accepts no responsibility or liability as to its accuracy or completeness. The opinions contained within the report are based upon publicly available information at the time of publication and are subject to change without notice. Nothing herein excludes or restricts any duty or liability to a customer which Sunrise has under the Financial Services and Markets Act 2000 or under the Rules of the FSA. A recipient who chooses to deal with any person who is not a representative of Sunrise in the UK will not enjoy the protections afforded by the UK regulatory regime. Past performance is not necessarily a guide to future performance. The value of any investment or income may go down as well as up and you may not get back the full amount invested. Where an investment is denominated in a currency other than the local currency of the recipient of the research report, changes in the exchange rates may have an adverse effect on the value, price or income of that investment. In case of investments for which there is no recognised market it may be difficult for investors to sell their investments or to obtain reliable information about its value or the extent of the risk to which it is exposed. Sunrise Brokers LLP is registered in England No OC300626, is authorised and regulated by the Financial Services Authority. Copyright. Sunrise Brokers LLP 2012, ALL RIGHTS RESERVED. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, on any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of Sunrise Brokers LLP. TIM Group Breakdowns: A breakdown of all ideas entered in the past 5 days by sector/region. Pie charts are coloured according to Sentiment and sized according to Interest. Sentiment: Percentage of positive idea actions in the sector/region over the past 5 days. More recent actions are weighted more heavily. Change: The change in Sentiment from the previous 24 hours. Interest: Proportion of opens and closes for the sector/region compared to all opens and closes. Sentiment: Sentiment is calculated from the percentage of all idea actions which were positive (opens of longs, closes of shorts) in the past 5 days. More recent actions are weighted more heavily. 50 is a neutral indicator. More than 50 indicates a long sentiment, less than 50 a short sentiment. The change in Sentiment from the previous 24 hours is shown below in parentheses. Historical Sentiment: The 5 day weighted sentiment plotted historically.