corporate bond strategy - nord/lb · 2018-06-22 · corporate bond strategy 04 july 2017 no. 11...

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Topics Page

Market environment Market overview 2

Primary market 3

Focus topic IFRS 16 – change in the leases standard 6

Focus topic A year of the CSPP 9

ECB tracker Monthly analysis of the CSPP 12

CDS performance Spread level influenced by the central bank 15

Rating changes In the period from 01.06.2017 to 30.06.2017 16

New issues In the period from 01.06.2017 to 30.06.2017 19

Annex Charts & Diagrams 21

NORD/LB-Research-Portal PROFI Bloomberg-Kürzel: NRDR <GO>

Fixed Income Research

Corporate Bond Strategy 4 July 2017 07/2017 No. 11

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Corporate Bond Strategy 04 July 2017 No. 11

NORD/LB Fixed Income Research of 28

Market environment Market overview

Analyst:

Kai Witt

German economy stronger

than it has ever been since

reunification

Economic data also

influencing the ECB

"The German economic boom is continuing” was how ifo President Clemens

Fuest described the latest economic developments in Germany. In June, the

Munich-based ifo Institute reported another record level in its assessment of

the economy. Accordingly, the ifo Business Climate Index rose from

114.6 to 115.1 points, reaching its highest level since reunification.

Companies’ assessment of both the business climate and their expectations

of the next six months have improved since May. Similarly positive signals

emanated from the June figures in the economic survey of financial market

experts produced by ZEW (Centre for European Economic Research). At

88.0 points, the situation component almost reached the all-time high of

mid-2011. A seasonally adjusted unemployment rate of 5.7% also provides

evidence of the current, very robust economic situation in Germany. For the

current year, we expect growth in GDP of 1.7%. On the markets, there were

speculation about a more rapid withdrawal by the ECB from its

expansionary monetary policy following the (slightly over-interpreted)

speech by ECB President Mario Draghi on 27 June and this was boosted

further by the positive economic data. It will be interesting to see how far the

ECB can maintain its purchase programmes running into billions and how

Mario Draghi will comment on this during his next appearances.

Inflation rate distressing

monetary authorities

While corporate profits, stock market prices and sentiment indicators are

constantly hitting new highs in Germany and in the monetary union,

inflation expectations are falling below their target values throughout the

world. Having stood at 1.4% in May, the inflation rate was only 1.3% in

June, moving further away from the ECB’s target figure again. Nevertheless,

the optimistic words by the ECB boss Mario Draghi have increased the

likelihood of a gradual withdrawal from the ultra-relaxed monetary policy and

there has also been initial speculation of interest rates being raised in 2018.

Economic prospects support

the Fed

In the USA, the Fed pushed ahead with tightening monetary policy at its

most recent meeting and raised key interest rates by 25bp to 1.00-1.25%. A

reduction in the balance sheet total over the next few months was also

announced. Additional rate hikes at the end of the current year are still a

subject for debate. Positive economic prospects in the USA will at least

support the US monetary authorities in any additional activities.



Market environment Primary market

New issues in the first half at

EUR 220bn

The first half of 2017 is behind us and will go down in history as one of the

strongest first halves. Only the first six months of 2015 were stronger with

issues of EUR 225bn being reported. After May produced a substantial figure

for new issues, June picked up seamlessly on the previous month with

primary market activities amounting to some EUR 42bn. In total, EUR 220bn

was issued on the corporate bond market in the first six months of the year.

This was EUR 2bn more than at the same point in the previous year.

Issues from January to June Issues 2016 vs. 2017

0

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

70

80

90

100

Nu

mb

er

of

issu

es

Issu

an

ce

Vo

lum

e (in

EU

Rb

n)

Issuance Volume Number of issues

0

10

20

30

40

50

60

70

Iss

ua

nc

e V

olu

me

(in

EU

Rb

n)

Issuance Volume 2016 Issuance Volume 2017

Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research

Consumer goods sector very

active

The “consumer, cyclical” sector, which accounted for around 22% of issues

to date, was particularly active. Recent primary market activities were driven

by the automotive sector, which contributed a figure of approximately EUR

33bn to total issuance volume, in particular. Besides the cyclical consumer

goods sector, the “consumer, non-cyclical” (18%) and communications

(15%) sectors were especially lively.

Issues by sector 2016 vs. 2017 (H1) Rating distribution new issues 2016 vs. 2017

0%

20%

40%

60%

80%

100%

2016(EUR 386 bn)

2017(EUR 220 bn)

Basic Materials Communications Consumer, CyclicalConsumer, Non-cyclical Diversified EnergyFinancial Industrial TechnologyUtilities

0%

5%

10%

15%

20%

25%

2016 2017


BBB segment covers over

50% of issuance volume

When comparing new issues in 2016 (whole year) and 2017 (half-year), it is

striking that there is a greater focus on the BBB rating segment in

percentage terms. Issues in the A segments have, however, decreased

generally speaking. Issuer ratings have therefore quietly deteriorated;

however, a good three quarters of issues are still investment grade.



High proportion of reverse

Yankee bonds

With over 18% in reverse Yankee bonds, U.S. companies made a

substantial contribution to issuance volume. In view of the change in (interest

rate) policy in the USA, this trend is likely to continue. France and Germany

secured the other podium places with shares of just under 21% and slightly

over 17% respectively.

Issues in H1 according to country of origin Maturity type of new issues 2016 vs. 2017

0%

5%

10%

15%

20%

25%

US FR DE ES GB IT NL SE Others

2016 2017

0%

10%

20%

30%

40%

50%

60%

70%

Callable At Maturity Convertible Perp/Call Others

2016 2017


Proportion of callable bonds

continues to increase sharply

The dominance of callable bonds was apparent last year but increased

further in 2017. This is mainly because of a large number of new issues,

which feature a right of termination of three months before the actual

maturity date. Almost two thirds of all bonds issued in 2017 are provided with

a premature right of termination. The proportion of convertibles, perpetuals

or other forms is insignificant and becoming even lower.

Demand for 7-10 year

maturities

Companies’ focus remains concentrated on maturities between seven and

ten years, although issuers with substantial issuance volume favour longer

maturities.

Maturity distribution – new issues Historical comparison of issuance activities

0%

5%

10%

15%

20%

25%

30%

35%

40%

1 to 3 3 to 5 5 to 7 7 to 10 10 to 15 15+

2016 2017

0

50

100

150

200

250

300

350

400

1 2 3 4 5 6 7 8 9 10 11 12

2014 2015 2016 2017


New record year conceivable On average some EUR 37bn was issued per month on the corporate bond

market in the current year. If this is extrapolated for the year as a whole, this

results in an issuance volume of over EUR 440bn. However, since the

summer months generally promise less capital market activity, we are

forecasting an issuance volume of EUR 370bn to EUR 390bn for 2017.



Trader’s comment The corporate bond market is still heavily dependent on the ECB’s “wording”.

It is, after all, the ECB that ensured that a majority of corporate bonds are

trading at historically low spread levels. Slight signs of any acceleration in

tapering immediately cause irritation. A general lack of investment material,

caused by the CSPP and the lack of alternatives to corporate bonds, which

are one of the few asset classes still offering a positive return, in particular,

ensure that even more significant setbacks in the equities market only lead

to moderate widening. Issuers such as Daimler make permanent use of the

market’s excellent absorption capacity. In the year to date, Daimler has

already had no difficulty in placing issues totalling ca. EUR 7bn despite a

very strong issuance year in the corporate bond sector.

Overview of selected new issues

ISIN Ticker CPN Maturity AMT

ISSUED

ISSUE_DT

Rating Issue

Spread (ms)

Issue Spread

(Benchmark)

Current Spread (ASW)

Moody’s S&P Fitch

FI4000261201 NESVFH 1.5 07.06.2024 400 07.06.2017 105

XS1626600040 DBHNGR 1.5 08.12.2032 500 08.06.2017 Aa1 AA- AA-u 97 27

XS1629774230 VW 3.875 2000 14.06.2017 Baa2 BBB- BBB-u 299

XS1629658755 VW 2.7 1500 14.06.2017 Baa2 BBB- BBB-u 244

XS1629387462 HEIGR 1.5 14.06.2027 500 14.06.2017 Baa3 BBB- BBB-e 85 135 77

DE000A2E4GF6 BAYNGR 0.05 15.06.2020 1000 14.06.2017 A- /*- -36

XS1629866606 T 0.515 04.09.2023 1250 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 66

XS1629866275 T 2.35 04.09.2029 1500 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 212 131

XS1629866192 T 1.8 04.09.2026 1750 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 164 106

XS1629865897 T 1.05 04.09.2023 750 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 136 66

XS1637333748 BRITEL 1.5 23.06.2027 1150 23.06.2017 Baa1 BBB+ BBB+ 85 132 81

XS1637334803 BRITEL 1 23.06.2024 575 23.06.2017 Baa1 BBB+ BBB+ 115 57

XS1637332856 BRITEL 0.5 23.06.2022 575 23.06.2017 Baa1 BBB+ BBB+ 43

As at: 4 July 2017 - 15:45 (CET); Source: Bloomberg, NORD/LB Fixed Income Research



Focus topic IFRS 16 – change in the leases standard

The new standard – IFRS 16 Following lengthy discussions, the international standard setter, the IASB,

has adopted the new standard, IFRS 16, on accounting for leases. The new

standard is applicable to financial years starting on or after 1 January 2019.

The new regulations should contribute to improving transparency in financial

reporting. The implementation of the requirements will pose considerable

challenges, whether technical, process or system-related, for companies and

the entire financial sector. The new standard is applicable to all lessees that

report in accordance with IFRS.

The end of off-balance sheet In the current regulation, IAS 17, it was left to companies to declare a

transaction as a finance lease or an operating lease. While a finance lease is

closer in nature to a “purchase” and the lease liability had to be reported as

such, the leased item was always viewed as a “pending transaction” within

operating leasing. Consequently, there was freedom within the balance

sheet, meaning that payment obligations from leasing transactions did not

have to be included in the lessee’s balance sheet. This option will no longer

be available in the new rules specified in IFRS 16. The distinction between

operating and finance leases is being abolished. From 2019, lessees will

have to capitalise a right of use to a leased item and accordingly report the

payment obligations resulting from the contract as liabilities. There will,

however, be exceptions which cancel the obligation to report the lease

liability as such. Firstly, leases with a maximum term of 12 months do not

have to be accounted for. There is no obligation to report minor value assets

with a new value of less than USD 5,000 either. An analysis by the IASB of

14,000 listed IFRS and US-GAAP users throughout the world showed that

the lease payments to be accounted for in future, based on the consolidated

financial statements for financial year 2015, come to a cumulative amount of

EUR 2.86bn. In contrast to lessees, lessors still have the option of deciding

between the two original forms of lease. This seems problematic if the lessee

and lessor account for the same asset on the assets side of the balance

sheet.

IFRS 16 will affect key ratios Consequently, there will be extensive changes in companies’ key financial

ratios following implementation of the new standard. On the assets side of

the balance sheet, an asset will be accounted for as a “right-of-use of

underlying asset”, while the associated lease liability will have to be posted

on the liabilities side. Consequently, balance sheets will be expanded. The

amount of the lease liability is determined by adding the present value of the

expected future lease payments and the present value of the expected

payment at the end of the lease. The rate which the lessor charges the

lessee will be used as the discount rate. If the lease liabilities on the liabilities

side of the balance sheet are considered, assuming there is no increase in

equity, the increase in debt will result in a deterioration in the equity ratio.

There will also be major changes in profit indicators. Although there will be

no change in the total amount of expenditure settled over the term of the

lease agreement, the temporal distribution and allocation to the profit

components will change. Therefore, recognition of the transaction as

expenditure from leases in accordance with IAS 17 will stop. The reported

asset will be measured at amortised cost and written down on a scheduled



basis over its useful life or lease period, whichever is shorter. The interest

expense from the lease obligation will diminish as a result of the steady

reduction in the lease obligation (so-called front-loading effect). As a result,

higher expenses will accrue at the beginning of the lease than at the end.

While the expense from leases was reflected in operating income (EBIT) in

the full amount of payments actually made according to the old standard IAS

17, with IFRS 16, as described, expense is divided into interest expense and

amortisation. While interest expense does not affect the EBIT and the

EBITDA is neither affected by interest expenditure nor amortisation. As a

result both these profit indicators will significantly increase. A shift from cash

flow from operating activities to cash flow from financing activities is also

apparent in the cash flow statement, since the repayments of lease liabilities

are to be shown in cash flow from financing activities.

Average percentage operating lease obligation to balance sheet total in %

71,3%

46,2%

39,5%

19,3%

13,9%10,1% 9,2% 8,3%

4,7% 6,3%3,9%

0%

20%

40%

60%

80%

100%

Source: Europe Economics calculations, NORD/LB Fixed Income Research

Comment A study by the research company “Europe Economics” investigated the

impact of IFRS 16 on over 2,300 European listed companies using their

consolidated financial statements for financial year 2015 as a basis. The

industrial sectors, airlines, retail as well as travel & leisure have a very high

percentage share of their potential reportable lease liabilities compared with

their balance sheet totals. This is likely to be due to the airlines’ traditional

policy of leasing aircraft and the extensive retail space rented by retailers.

The sectors mentioned seem to be significantly affected by the new IFRS 16

standard, particularly with regard to the associated deterioration in the equity

ratio.



Positive influence on the EBITDA key ratio

83%

70%64% 64% 64%

60%

49%45%

36%

17%

7%

10%

11%18%

4%

23%26%

26%

15% 32%

15% 36%

5%

7% 7%

13%

7% 9%

13%

19%

20%

30% 7%

5%7%

6%

4% 3%7%

13%

6%

24%

21%

7% 4%13%

5% 9% 6%13%

29%

0%

20%

40%

60%

80%

100%

0-10% 10-25% 25-50% 50-100% >100%

Source: Europe Economics calculations, Bloomberg, NORD/LB Fixed Income Research

Comment In relation to the changes in the profitability indicators, the simulation in the

same study produced a very mixed picture with regard to the various

economic sectors. Similarly to the impact on the balance sheet total, the

airlines and retail sectors again seem most affected. In case of the airlines, a

positive change in the EBITDA ratio of over 100% is forecasted for almost

one third of the companies. According to calculations by “Europe

Economics”, 55% of the companies investigated will only report an effect on

their EBITDA of less than 10%.

IFRS will result in changes The changes in the reporting standards for leases will have an impact on

various parts of the financial sector. Accordingly, it will be important to find

an adequate means of circumventing loan covenants following changes in

equity ratios or dealing with higher EBITDA multiplies within a corporate

valuation in future. The rating agencies will also have to develop a method

with which the ratings remain comparable and with which sufficient account

is taken of the impact on the individual financial market participants at the

same time. Consequently, leasing is likely to become less attractive as a

business model from the perspective of lessees. A clear distinction in the

approach to reporting by lessees and lessors will also have to be found.



Focus topic A year of the CSPP

EU MPs demand more

transparency…

…but do not receive it

On 10 March 2016, the European Central Bank announced that its

quantitative easing programme would be extended to include purchases of

investment grade euro-denominated corporate bonds. Purchases started on

8 June 2016. Since then, each of the six central banks authorised to make

purchases has published a more or less simply structured ISIN list. The list

reveals which bonds are held by the central banks and has been updated

every week since then. Unfortunately, information on the ISIN does not allow

any conclusions to be inferred as to the individual purchase volumes and the

information provided recently as part of the Bulletin Issue 4/2017 also

contains more appearance than substance. Some EU MPs had demanded

more transparency. Since Monday, 26 June 2017, the ECB publishes the

“List of securities held under the CSPP” on its homepage, from which, in

addition to the ISIN, additional information, such as the central involved, the

name of the issuer, the maturity date and the amount of the bond’s coupon,

is to be published. Information, which was already accessible to market

participants with little effort in advance. So far, our search for increased

“transparency” is fruitless.

Purchase volume

approaching the EUR 100bn

marker

Nevertheless, a few interesting details could be gleaned from the latest

publications in the bulletin. Accordingly, one year after the programme

started, some 11% of outstanding, eligible or qualified securities under the

CSPP were acquired on the market. Overall, 12% of CSPP holdings were

purchased at negative yields but are above the level of the deposit facility.

Since the launch of the purchase programme for corporate bonds, the six

executing central banks in Germany, France, Belgium, Italy, Spain and

Finland have acquired 986 different corporate bonds from 218 different

issuers. Today 971 are still active. The purchase volume adds up to around

EUR 96.6bn and the average residual maturity of the active bonds amounts

to 5.7 years. The ECB stressed that the corporate bond purchases are

carried out in a market-neutral fashion and on the basis of a benchmark,

which represents the proportional market environment to eligible bonds.

According to the central bank, the range of CSPP-eligible bonds is

deliberately broadly defined and its composition is primarily influenced by

monetary policy and risk management considerations.

Country classification Sector classification Rating classification

30% 31%

25% 26%

11% 11%

10% 9%

7% 6%

11% 11%

6% 6%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Holdings Universe

Other (non-euro area) Other (euro area)NL ESIT DEFR

32% 27%

22%24%

10% 12%

12% 11%

7% 8%

17% 18%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Holdings Universe

Consumer UtilitiesIndustrial CommunicationsEnergy Others

11% 13%

37%39%

52% 48%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Holdings Universe

AA A BBB

Source: ECB, NORD/LB Fixed Income Research



ECB portfolio Considered from a regional perspective, the ECB is very successful in

aligning its portfolio with the range of eligible bonds and this is also the case

– with a minor deviation in the consumer sector – in terms of sectors. The

deviation is mainly caused by a very active primary market in the consumer

sector since the start of the purchase programme. As the diagram on page 9

(right column) shows, the central bank goes as far as its pain threshold in

terms of the rating categories of the bonds to be purchased. All eligible

bonds must have at least an investment grade rating from one of the four

rating agencies (S&P, Moody´s, Fitch or DBRS). Amongst all eligible bonds,

the rating category BBB accounts for 48%, while 52% of the corporate

bonds held by the ECB have a rating in the BBB segment. As a result, not

enough (around 13%) of the ECB portfolio is either at or on the threshold of

non-investment grade.

CSPP rating distribution (BB-Composite) Purchases of issues since CSPP announcement

0%

5%

10%

15%

20%

25%

Rating

AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+

0

20

40

60

80

100

120

140

160

AAA AA+ AA AA- A+ A A- BBB+ BBB BBB-

Total new issues Eligible Ineligible

Source: ECB, Bloomberg, NORD/LB Fixed Income Research Source: ECB, Bloomberg, NORD/LB Fixed Income Research

ECB purchases nearly all

eligible new issues

It is very clear from the new issues placed on the corporate market since the

announcement of the purchase programme in March 2016 for corporate

bonds as to why the ECB holds over half of its portfolio in the BBB segment.

After all, over 40% of the new bonds issued on the market have a rating in

the BBB segment. However, the fact that central banks have just under 90%

of eligible bonds on their books already is even more astonishing.

Major conglomerates benefit

more than SMEs

Central banks’ purchases mean that major conglomerates can currently

raise funding very cheaply on the capital market – which is another reason

for the numerous M&A transactions in recent months. Small and medium-

sized enterprises (SMEs) without a rating are therefore excluded from the

purchase programme and are significantly disadvantaged. While major

competitors can raise debt virtually for nothing, SMEs have no access to

ECB funds. The central bank declares that spill-over effects have resulted

for companies that cannot raise funding on capital markets, especially

SMEs.



Primary market purchases

constant

The ECB does not participate in primary markets for sovereign bonds. Funds

are not supposed to flow directly from the central bank to a state.

Government financing is therefore neither desirable nor permissible.

However, the direct funding of companies within the framework of the CSPP

is permissible and the amount of purchases on the primary market in months

where issuance volume is high, in particular, is considerable. With a

purchase share of 23% on the primary market, May 2017 constitutes the

month with the most substantial purchase volume on the new issues market

to date.

Share of primary market vs. secondary market

(total)

Share of monthly purchases on the primary

market

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Primary Secondary

0%

5%

10%

15%

20%

25%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Mo

nth

ly p

urc

hased

of p

rim

ary

mark

et

To

tal C

SP

P h

olid

ing

s o

f p

rim

ary

mark

et

Monthly primary market share Monthly (net) CSPP purchases


CSPP leads to tight spread

levels

Credit premiums have fallen almost continuously since the announcement of

the CSPP. Measured by the iBoxx € Corporates, a tightening in spreads from

around 90bp at the beginning of March 2016 to around 50bp at the current

date is apparent. The consumer goods and utilities sectors receive

significant help with funding costs through the CSPP, which is also

observable at their credit spreads in the iBoxx. With a number-weighted

share of 32% and 22% respectively, these sectors benefit from the highest

rate of purchases. By contrast, under-represented sectors of the CSPP, such

as technology or basic materials, have seen far smaller reductions in their

risk premiums. Since the ECB does not publish the nominal values of its

CSPP holdings, the impact of the purchase programme on credit spreads

cannot, however, be assessed in detail.

iBoxx € Non-Financials - Course since 01/ 2016 iTraxx Europe – Course since 01/2016

0

20

40

60

80

100

120

140

iBoxx Non-Financials

0

20

40

60

80

100

120

140

iTraxx Europe




ECB tracker Monthly analysis of the CSPP

CSPP data published This week, the ECB published the bonds purchased in the previous week by

the six national central banks within the framework of the CSPP on Tuesday

because of the Eurosystem’s balance sheet accounting plan. In the period

from 22 June to 29 June, a total of eleven new ISINs were purchased

meaning that the number of active purchased bonds increased to 971. The

purchased volume now comes to around EUR 96.6bn and is spread over

218 different issuers. The extrapolated total volume, assuming that the

national central banks keep to the current purchase rate, comes to EUR

143.5bn up to December 2017. The weekly purchase volume currently

amounts to ca. EUR 1.73bn.

Number of purchases on the

primary market stable

So far, 14.34% of the bonds as at 30 June 2017 were acquired on the

primary market. This equates to a volume of approximately EUR 13.9bn.

New ISINs included on the ECB purchase list for the CSPP

ISIN Issuer Residual maturity

Outstanding volume [bn]

Yield residual maturity

XS1627947440 AEROPORTI DI ROMA SPA 9.9 0.50 1.626

FR0010951806 SAGESS 5.3 0.50 0.194

XS1080163964 SODEXO SA 9.0 0.50 1.111

FR0013214137 SAGESS 11.3 0.60 1.117

FR0013260551 APRR SA 14.5 0.50 1.790

FR0013260767 ENGIE SA 14.9 0.10 1.849

XS1627193359 CIE DE SAINT-GOBAIN 9.9 0.75 1.493

XS1626574708 METSO OYJ 6.9 0.30 1.302

XS1629387462 HEIDELBERGCEMENT FIN LUX 9.9 0.50 1.678

DE000A182VT2 VONOVIA FINANCE BV 8.9 0.50 1.517

XS1617898363 DEUTSCHE TELEKOM INT FIN 8.9 0.75 1.292

XS1628004779 KOJAMO OYJ 7.0 0.50 1.588

XS1633929929 RED ELECTRICA FIN SA UNI 8.8 0.20 1.199

FR0000476087 LA POSTE SA 6.0 1.00 0.482

FR0011991488 RTE RESEAU DE TRANSPORT 12.0 0.60 1.460

FR0013262698 FONCIERE DES REGIONS 10.0 0.50 1.756

XS0554819465 UNIBAIL-RODAMCO SE 3.3 0.62 0.103

XS1632897762 TENNET HOLDING BV 8.0 0.50 0.956

XS1632897929 TENNET HOLDING BV 12.0 0.50 1.479

FR0010096941 LA POSTE SA 2.0 0.80 -0.153

FR0011527241 DANONE SA 6.0 0.50 0.601

FR0013264405 CTE CO TRANSP ELEC 7.2 0.50 0.986



FR0013265600 ARKEMA 9.8 0.20 1.491

FR0013266343 GECINA 5.0 0.50 0.033

FR0013266350 GECINA 10.0 0.50 1.513

FR0013266368 GECINA 15.0 0.50 2.069

Source: ECB, NORD/LB Fixed Income Research – the issuers listed in italics were purchased for the first time in the previous month



CSPP Diagrams

One diagram – four statements [EURm]

Source: ECB, Bloomberg, NORD/LB Fixed Income Research / lhs means the outer left Y axis and rhs the outer right Y axis

Yield overview CSPP portfolio

-0,50

0,00

0,50

1,00

1,50

2,00

2,50

3,00

0 2 4 6 8 10 12 14 16 18 20

Yie

ld i

n %

Years to maturity

Basic Materials Communications Consumer, Cyclical Consumer, Non-cyclical Diversified Energy Financial Industrial Technology Utilities

Source: ECB, Bloomberg, NORD/LB Fixed Income Research

Classification by outstanding volume Rating distribution according to the Bloomberg

Composite

0

50

100

150

200

250

300

350

400

450

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<250mn 250 to <500mn 500 to < 1bn >= 1bn

Amount Outstanding in EUR Distribution number weighted (rhs)

2% 5%

9%

6%

18%

25%

20%

10%

4%

AA

AA-

A+

A

A-

BBB+

BBB

BBB-

BB+




Distribution by central bank Distribution by central bank and sector

0

50

100

150

200

250

300

# p

urc

ha

sed

Bo

nd

s

0

50

100

150

200

250

300

# p

urc

ha

sed

Bo

nd

s

Diversified

Technology

Basic Materials

Industrial

Energy

Financial

Consumer, Cyclical

Communications

Consumer, Non-cyclicalUtilities


Top 15 purchased companies Distribution by sector and central bank

0

5

10

15

20

25

# p

urc

ha

sed

Bo

nd

s

0

10

20

30

40

50

60

70

# p

urc

ha

sed

Bo

nd

s

DeutscheBundesbank

Banque deFrance

NB van Belgie

Banca d'Italia

Banco deEspana

SuomenPankki


Distribution of the ISINs purchased within the framework of the CSPP

Country

Number of bonds

%

distribution

Outstanding

volume

%

distribution

Ø Residual

maturity in years

Ø Residual

maturity of all bonds

Difference in

years

Germany 223 23.0% 167.2 24.8% 5.0 5.7 -0.8

France 273 28.1% 196.4 29.1% 6.5 5.7 0.7

Netherlands 77 7.9% 47.4 7.0% 6.5 5.7 0.8

Italy 104 10.7% 77.5 11.5% 5.2 5.7 -0.5

Spain 101 10.4% 68.6 10.2% 5.5 5.7 -0.3

Belgium 41 4.2% 32.8 4.9% 7.0 5.7 1.3

Austria 26 2.7% 12.5 1.8% 4.9 5.7 -0.8

Finland 18 1.9% 7.6 1.1% 5.4 5.7 -0.4

Others 108 11.1% 65.0 9.6% 5.5 5.7 -0.2

Total / average

971 100% 674.9 100.0% 5.7 5.7 0.0

Source: ECB, Bloomberg, NORD/LB Fixed Income Research



CDS performance Spread level influenced by the central bank

Credit default indices reach

new lows in June

ECB President Mario Draghi looked happy and optimistic during his speech

on Tuesday, 27 June, at the opening of the annual central bank conference

in Sintra (Portugal). He talked of an economic recovery that is gaining

momentum and of a positive trend in prices in the eurozone, but advised

caution in the same breath. On the markets, however, Draghi’s words

triggered speculation that the ECB could begin tapering, as it is called, at

the beginning of next year. The CDS level in the Eurozone tightened

significantly compared with the other side of the Atlantic during the last two

weeks. The iTraxx Europe, which narrowed from 63bp to the current level of

around 55bp within the last month, presented a similar picture, while the

naturally more volatile iTraxx Crossover decreased from 253bp to 246bp.

Risk factors are currently being ignored by market participants, which is

apparent from the low CDS levels. On 26 June, the iTraxx Europe marked

the lowest level, at around 53bp, since April 2015. From a fundamental

perspective, spreads cannot be expected to tighten significantly over the

rest of 2017. Generally speaking, we expect rising risk premiums during the

remainder of 2017. Factors which could potentially have an adverse impact

on spread levels include the imminent tapering of the ECB’s purchase

programmes, which should start a countermovement because the end of the

purchase programmes will mean that the market will lose a significant

purchaser. As a result of the very slow normalisation of ECB interest rate

policy, the relative appeal of senior unsecured bonds will decrease as

investors will again find more investment alternatives. At present, however,

central bank policy is still dominated by a “whatever it takes” mentality.

Movement in spreads: iTraxx Europe vs. iTraxx Xover

0

50

100

150

200

250

300

350

400

450

500

0

50

100

150

200

250

bp

bp

iTraxx Europe (lhs) iTraxx Xover (rhs) iBoxx € IG Corporates (lhs) iBoxx € High Yield (rhs)

ECB-Session Brexit-Referendum US-election First round France-election10.03.2016 23.06.2016 07.11.2016 23.04.2017

As at: 4 July 2017 – 15:45 (CET) Source: Bloomberg, NORD/LB Fixed Income Research



Rating changes In the period from 01 June 2017 to 30 June 2017

Date Country

Company Agency Type of rating Old rating New rating

30.06.17 NL innogy Finance BV Moody's Long Term Rating Baa2

30.06.17 NL innogy Finance BV Moody's Senior Unsecured Debt Baa3 Baa2

30.06.17 NL innogy Finance BV Moody's Outlook STABLE

30.06.17 NL innogy Finance II BV Moody's Senior Unsecured Debt Baa3 Baa2

30.06.17 NL innogy Finance II BV Moody's Outlook STABLE

30.06.17 NL innogy Finance II BV Moody's Long Term Rating Baa2

29.06.17 US Walgreens Boots Alliance Inc. S&P Outlook STABLE

29.06.17 US BlackRock Inc. Moody's Long Term Rating A1

28.06.17 US BlackRock Inc. Moody's Outlook POS

28.06.17 IT Eni SpA Moody's Long Term Rating Baa1

28.06.17 LU Nestle Finance International Ltd Fitch Senior Unsecured Debt AA AA-

27.06.17 LU Nestle Finance International Ltd Moody's Long Term Rating Aa2

27.06.17 FR Bouygues SA S&P LT Local Issuer Credit BBB BBB+

27.06.17 FR Bouygues SA S&P LT Foreign Issuer Credit BBB BBB+

26.06.17 FR Bouygues SA S&P Outlook POS

26.06.17 FR Gecina SA Moody's Long Term Rating A3

22.06.17 FR Gecina SA Moody's Outlook NEG

22.06.17 DE Bayer AG S&P ST Local Issuer Credit A-2 *- A-2

22.06.17 NL Repsol International Finance BV Moody's Outlook STABLE

21.06.17 NL Repsol International Finance BV Moody's Long Term Rating Baa2

20.06.17 AT Novomatic AG S&P Outlook NEG

20.06.17 DE EnBW Energie Baden-Wuerttemberg AG S&P Outlook STABLE

19.06.17 US PerkinElmer Inc. Moody's Long Term Rating Baa3

19.06.17 GB Aviva PLC Moody's Long Term Rating A3 *+

19.06.17 GB Aviva PLC Moody's Subordinated Debt Baa1 Baa1 *+

15.06.17 GB Aviva PLC Moody's Senior Unsecured Debt A3 A3 *+

15.06.17 FR Carmila SAS S&P ST Local Issuer Credit A-2 NR

15.06.17 FR Carmila SAS S&P LT Foreign Issuer Credit BBB NR

15.06.17 FR Carmila SAS S&P LT Local Issuer Credit BBB NR

13.06.17 US Dover Corp Moody's Long Term Rating A3

13.06.17 US Digital Euro Finco LLC Moody's Long Term Rating Baa2

13.06.17 DK DONG Energy A/S Moody's Long Term Rating Baa1

13.06.17 DK DONG Energy A/S Moody's Outlook STABLE

13.06.17 ES FCC Aqualia SA Fitch Outlook STABLE

13.06.17 ES FCC Aqualia SA Fitch Senior Secured Debt BBB-

09.06.17 ES FCC Aqualia SA Fitch LT Issuer Default Rating BB+

09.06.17 US Mylan NV Fitch Short Term F3

09.06.17 US Mylan NV Moody's Short Term P-3

08.06.17 US Mylan NV Moody's Long Term Rating Baa3

08.06.17 GB BP Capital Markets PLC Moody's Senior Unsecured Debt A2 A1

08.06.17 GB BP Capital Markets PLC Moody's Long Term Rating A1

08.06.17 GB BP Capital Markets PLC Moody's Outlook POS

08.06.17 US General Motors Financial Co Inc. Fitch Outlook STABLE



08.06.17 US General Motors Financial Co Inc. Fitch LT Issuer Default Rating BBB- BBB

08.06.17 US General Motors Financial Co Inc. Fitch Senior Unsecured Debt BBB- BBB

08.06.17 NL General Motors Financial International BV

Fitch Senior Unsecured Debt BBB- BBB

08.06.17 US Mylan NV S&P ST Local Issuer Credit A-3

08.06.17 NL Shell International Finance BV Moody's Outlook STABLE

07.06.17 NL Shell International Finance BV Moody's Long Term Rating Aa2

07.06.17 ES Mapfre SA Fitch Subordinated Debt BBB- BBB

07.06.17 ES Mapfre SA Fitch Outlook STABLE

07.06.17 ES Mapfre SA Fitch Senior Unsecured Debt BBB BBB+

07.06.17 ES Mapfre SA Fitch LT Issuer Default Rating BBB+ A-

06.06.17 SE Vattenfall AB S&P Outlook STABLE

06.06.17 US American International Group Inc. S&P Outlook NEG

06.06.17 GB BG Energy Capital PLC Fitch Short Term F1 WD

06.06.17 FR Coentreprise de Transport d'Electricite SA

S&P LT Local Issuer Credit A-


S&P LT Foreign Issuer Credit A-


S&P Outlook STABLE

06.06.17 US Praxair Inc. S&P LT Foreign Issuer Credit A A *+

05.06.17 US Praxair Inc. S&P LT Local Issuer Credit A A *+

05.06.17 JE Swiss Re ReAssure Ltd S&P Outlook STABLE

19.05.17 JE Swiss Re ReAssure Ltd S&P Local Currency LT Debt A+

19.05.17 US Baxter International Inc. Moody's Long Term Rating Baa2

19.05.17 FR Cap Gemini SA S&P Outlook POS

19.05.17 NL Syngenta Finance NV Fitch Short Term F3

18.05.17 NL Syngenta Finance NV Fitch Senior Unsecured Debt BBB

18.05.17 NL Koninklijke DSM NV Moody's Long Term Rating A3

17.05.17 NL Koninklijke DSM NV Moody's Outlook STABLE

17.05.17 ES Abertis Infraestructuras SA Fitch LT Issuer Default Rating BBB+ BBB+ *

17.05.17 ES Abertis Infraestructuras SA Fitch ST Issuer Default Rating F2 F2 *

17.05.17 ES Abertis Infraestructuras SA Fitch Senior Unsecured Debt BBB+ BBB+ *

17.05.17 IT Atlantia SpA Fitch Senior Unsecured Debt BBB+ BBB+ *-

17.05.17 IT Autostrade per l'Italia SpA Fitch ST Issuer Default Rating F2 F2 *-

17.05.17 IT Autostrade per l'Italia SpA Fitch Senior Unsecured Debt A- A- *-

17.05.17 IT Autostrade per l'Italia SpA Fitch LT Issuer Default Rating A- A- *-

17.05.17 FR Infra Park SAS S&P Outlook POS

17.05.17 US Mylan NV Moody's Long Term Rating Baa3

16.05.17 FR Transport et Infrastructures Gaz France SA

Moody's Long Term Rating Baa2

16.05.17 ES Abertis Infraestructuras SA S&P Outlook POS

16.05.17 IT Aeroporti di Roma SpA Moody's Long Term Rating Baa1

16.05.17 IT Aeroporti di Roma SpA S&P Outlook NEG

16.05.17 IT Atlantia SpA Moody's Long Term Rating Baa2

16.05.17 IT Atlantia SpA S&P Outlook NEG

16.05.17 IT Autostrade per l'Italia SpA S&P Outlook NEG

16.05.17 IT Autostrade per l'Italia SpA Moody's Long Term Rating Baa1

16.05.17 DE E.ON SE Moody's Long Term Rating Baa2



15.05.17 US Thermo Fisher Scientific Inc. Moody's Long Term Rating Baa2

15.05.17 US Moody's Corp S&P Outlook NEG

15.05.17 FR TOTAL SA Fitch Outlook STABLE

12.05.17 NL VIVAT NV Fitch Senior Unsecured Debt BBB-

12.05.17 NL Syngenta Finance NV Moody's Senior Unsecured Debt A2 *- Baa2 *-

11.05.17 NL Syngenta Finance NV Moody's Short Term P-1 *- P-2 *-

11.05.17 NL Delta Lloyd Levensverzekering NV S&P Outlook STABLE

11.05.17 NL NN Group NV S&P Outlook STABLE

11.05.17 NL NN Group NV S&P LT Foreign Issuer Credit A- *- BBB+

10.05.17 NL NN Group NV S&P LT Local Issuer Credit A- *- BBB+

10.05.17 GB Cadent Finance PLC Moody's Senior Unsecured Debt (P)A3 *- (P)Baa1

08.05.17 GB Cadent Finance PLC Moody's Outlook STABLE

08.05.17 US Amgen Inc. Moody's Long Term Rating Baa1

08.05.17 GB Cadent Finance PLC Fitch Senior Unsecured Debt A *- A-

08.05.17 AT OMV AG Fitch Outlook STABLE

08.05.17 BE Solvay SA S&P Outlook STABLE

08.05.17 BE Solvay SA S&P LT Local Issuer Credit BBB- BBB

08.05.17 BE Solvay SA S&P LT Foreign Issuer Credit BBB- BBB

08.05.17 BE Solvay SA S&P ST Local Issuer Credit A-3 A-2

05.05.17 BE Solvay SA S&P ST Foreign Issuer Credit A-3 A-2

05.05.17 NL Akzo Nobel NV S&P ST Local Issuer Credit A-1 A-2

05.05.17 NL Akzo Nobel NV S&P LT Local Issuer Credit A- A- *-

05.05.17 NL Akzo Nobel NV S&P ST Foreign Issuer Credit A-1 A-2

05.05.17 NL Akzo Nobel NV S&P LT Foreign Issuer Credit A- A- *-

05.05.17 IT Enel SpA S&P Outlook POS

05.05.17 US International Business Machines Corp S&P ST Local Issuer Credit A-1+ A-1

05.05.17 US International Business Machines Corp S&P LT Foreign Issuer Credit AA- A+

05.05.17 US International Business Machines Corp S&P Outlook STABLE

05.05.17 US International Business Machines Corp S&P ST Foreign Issuer Credit A-1+ A-1

04.05.17 US International Business Machines Corp S&P LT Local Issuer Credit AA- A+

04.05.17 US Becton Dickinson and Co Fitch Outlook STABLE

04.05.17 US Becton Dickinson and Co Fitch Senior Unsecured Debt BBB-

04.05.17 US Becton Dickinson and Co Fitch LT Issuer Default Rating BBB-

03.05.17 US Eli Lilly & Co Moody's Long Term Rating A2

03.05.17 AU BHP Billiton Finance Ltd Moody's Long Term Rating A3

03.05.17 AU BHP Billiton Finance Ltd Moody's Outlook POS

03.05.17 GB Delphi Automotive PLC S&P LT Local Issuer Credit BBB BBB *



NORD/LB Fixed Income Research Seite 19 von 28

New issues In the period from 01 June 2017 to 30 June 2017

ISIN TICKER CPN MATURITY AMT_ISSUED ISSUE_DT Rating Issue Spread Issue Spread Current Spread

Moody's S&P Fitch (ms) (to Benchmark) (ASW)

XS1627782771 LDOIM 1.5 07.06.2024 600 07.06.2017 Ba1 BB+ BB+ 175 112

XS1624344542 STERV 2.5 07.06.2027 300 07.06.2017 Ba2 BB 175 163

FI4000261201 NESVFH 1.5 07.06.2024 400 07.06.2017 105

XS1627947440 ADRIT 1.625 08.06.2027 500 08.06.2017 Baa1 BBB+ BBB+ 138 72

XS1602130947 LEVI 3.375 15.03.2027 469 08.06.2017 Ba2 BBu 254

XS1627343186 AQUASM 2.629 08.06.2027 650 08.06.2017 BBB- 232 171

XS1627337881 AQUASM 1.413 08.06.2022 700 08.06.2017 BBB- 184 111

XS1626600040 DBHNGR 1.5 08.12.2032 500 08.06.2017 Aa1 AA- AA-u 97 27

FI4000261235 AHLMUN 1.875 09.06.2022 250 09.06.2017 235 132

FI4000266606 KONECR 1.75 09.06.2022 250 09.06.2017 131

XS1625975153 OTTOGR 1.875 12.06.2024 300 12.06.2017 147

FR0013260551 ARRFP 1.625 13.01.2032 500 13.06.2017 BBB+ 60 145 51

XS1626574708 METSO 1.125 13.06.2024 300 13.06.2017 BBB 76

FR0013260379 COFP 1.865 13.06.2022 550 13.06.2017 BB+ BB+e 170 229 137

XS1629774230 VW 3.875 2000 14.06.2017 Baa2 BBB- BBB-u 299

XS1629658755 VW 2.7 1500 14.06.2017 Baa2 BBB- BBB-u 244

XS1629387462 HEIGR 1.5 14.06.2027 500 14.06.2017 Baa3 BBB- BBB-e 85 135 77

DE000A2E4GF6 BAYNGR 0.05 15.06.2020 1000 14.06.2017 A- /*- -36

XS1629677466 F 0 14.06.2019 300 14.06.2017 Baa2e 34

FR0013260486 RENAUL 0.339 14.03.2022 750 14.06.2017 Baa1 BBB 62

XS1627193359 SGOFP 1.375 14.06.2027 750 14.06.2017 Baa2 BBB BBBu 62 109 58

XS1577958058 SUP 6 15.06.2025 250 15.06.2017 Caa1 B- B-e 604 545

XS1577957837 GWILN 2.875 20.06.2022 550 19.06.2017 Ba2 BB+ 345 241

XS1632767718 HEMSOF 1.75 19.06.2029 300 19.06.2017 A- 85 154 89

XS1628004779 VVOYHT 1.5 19.06.2024 500 19.06.2017 Baa2 104

DE000SYM7787 SYMRIS 0.2375 20.06.2024 400 20.06.2017 -31

XS1629969327 UPCB 3.875 15.06.2029 635 21.06.2017 B2 B B 305

XS1629866606 T 0.5154 04.09.2023 1250 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 66

XS1629866275 T 2.35 04.09.2029 1500 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 212 131

XS1629866192 T 1.8 04.09.2026 1750 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 164 106

XS1627602201 AIG 1.875 21.06.2027 1000 21.06.2017 Baa1 BBB+ BBB+ 165 105

XS1629865897 T 1.05 04.09.2023 750 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 136 66

FR0013262912 MMBFP 1.625 21.06.2024 300 21.06.2017 189 124

XS1577956789 YANTZE 1.3 21.06.2024 650 21.06.2017 A1 A+ 151 79


NORD/LB Fixed Income Research Seite 20 von 28

ISIN TICKER CPN MATURITY AMT_ISSUED ISSUE_DT Rating Issue Spread Issue Spread Current Spread

Moody's S&P Fitch (ms) (to Benchmark) (ASW)

XS1634252628 UPCB 3.625 15.06.2029 600 21.06.2017 Ba3 BB BBe 320 262

FR0013262698 FDRFP 1.5 21.06.2027 500 21.06.2017 BBB 60 83

XS1633929929 REESM 1 21.04.2026 200 21.06.2017 Ae 43 96 42

XS1629866432 T 3.15 04.09.2036 1750 21.06.2017 Baa1 /*- BBB+ /*- A- /*- 234 176

IT0005260085 DAIGR 0.021 22.06.2020 300 22.06.2017 A 31

BE0002285543 GEDISC 2 23.06.2025 200 23.06.2017 102

XS1634447988 NTV 3.5 01.06.2023 550 23.06.2017 B1 B+ BB 270

XS1637333748 BRITEL 1.5 23.06.2027 1150 23.06.2017 Baa1 BBB+ BBB+ 85 132 81

XS1637334803 BRITEL 1 23.06.2024 575 23.06.2017 Baa1 BBB+ BBB+ 115 57

XS1637332856 BRITEL 0.5 23.06.2022 575 23.06.2017 Baa1 BBB+ BBB+ 43

XS1632897762 TENN 0.75 26.06.2025 500 26.06.2017 A3 A- 29

XS1632897929 TENN 1.375 26.06.2029 500 26.06.2017 A3 A- 45 114 39

FR0013264066 POMFP 1.25 26.06.2024 500 26.06.2017 91

XS1637863629 BPLN 1.077 26.06.2025 850 26.06.2017 A1 A- 57 111 49

XS1637863546 BPLN 1.637 26.06.2029 650 26.06.2017 A1 A- 72 137 63

GRC3931176B0 MYTIL 3.1 27.06.2022 300 27.06.2017 272

XS1637329639 AEGON 0.75 27.06.2027 500 27.06.2017 AAA AAA 12 60 11

XS1639488771 FERROV 1.5 27.06.2025 1000 28.06.2017 BBB- BBB 94

FR0013264884 SAFFP 0.239 28.06.2021 500 28.06.2017 54

XS1636469865 RIKSHM 1.25 28.06.2024 300 28.06.2017 A- 89

FR0013263936 SAFFP 0 28.06.2019 500 28.06.2017 21

XS1638160918 BMW 0 28.12.2018 350 28.06.2017 A1 A+ 12

FR0013264439 CTEFRA 2.125 29.07.2032 1220 29.06.2017 BBB+ 80

XS1633784183 XL 3.25 29.06.2047 500 29.06.2017 Baa3 BBB BBB- 241

FR0013264405 CTEFRA 0.875 29.09.2024 500 29.06.2017 BBB+ 42

FR0013264421 CTEFRA 1.5 29.07.2028 1200 29.06.2017 BBB+ 62

XS1639490918 FDML 5 15.07.2024 350 29.06.2017 B1 B- 512 478

XS1639251179 BMW 0 22.11.2019 200 29.06.2017 A1e 16

FR0013266343 GFCFP 0.049 30.06.2022 500 30.06.2017 A3 BBB+ 36

FR0013266368 GFCFP 2 30.06.2032 500 30.06.2017 A3 BBB+ 76

FR0013266350 GFCFP 1.375 30.06.2027 500 30.06.2017 A3 BBB+ 60

XS1637162592 DHR 1.2 30.06.2027 600 30.06.2017 A2 A 51

XS1637162246 DHR 0 30.06.2022 250 30.06.2017 A2 A 26

FR0013265600 AKEFP 1.5 20.04.2027 200 30.06.2017 61

XS1640823933 BMW 0 28.12.2018 200 30.06.2017 12




Annex Charts & Diagrams

Comparison of historical ASW spreads (10Y)

Min/max comparison of current spread levels (10Y)

0

50

100

150

200

250

300

AS

W in

bp

Basic Materials CommunicationsConsumer, Cyclical Consumer, Non-cyclicalDiversified EnergyFinancial IndustrialTechnology Utilities

0,00

50,00

100,00

150,00

200,00

250,00

300,00

ac

t S

pre

ad

vs

Min

/Ma

x t

-24

M

MIN(24M) MAX (24M) ACT

Source: Markit, Bloomberg, NORD/LB Fixed Income Research Source: Markit, Bloomberg, NORD/LB Fixed Income Research

Comparison of historical ASW spreads (7Y) Min/max comparison of current spread levels (7Y)

0

50

100

150

200

250

AS

W in

bp


0,00

50,00

100,00

150,00

200,00

250,00a

ct

Sp

rea

d v

s M

in/M

ax

t-2

4M



Comparison of historical ASW spread levels (5Y) Min/max comparison of current spread levels (5Y)

0

50

100

150

200

250

300

AS

W in

bp


0,00

50,00

100,00

150,00

200,00

250,00

300,00

ac

t S

pre

ad

vs

Min

/Ma

x t

-24

M





Annex Charts & Diagrams

iBoxx € Corporates – comparison of issues iBoxx € Corporates - classification

0

50

100

150

200

250

300

350

1Y-3Y 3Y-5Y 5Y-7Y 7Y-10Y >10Y

2015

2016

2017

Financials

Basic Materials

Consumer Goods

Consumer Services

Health Care

Industrials

Oil & Gas

Technology

Telecommunications

Utilities


iBoxx € Corporates - distribution country of risk iBoxx € Corporates – maturities per month

0,0%

5,0%

10,0%

15,0%

20,0%

25,0%

DE GB NL ES US FR CH IT SE Other

0

5

10

15

20

25

30

35

1 2 3 4 5 6 7 8 9 10 11 12

2018

2019

2020

2021


iBoxx € Corporate – rating distribution iBoxx € Corporate – volume weighting (sector)

01% 00% 01%

08%

13%

13%

18%

20%

17%

09%

01%

AAA

AA+

AA

AA-

A+

A

A-

BBB+

BBB

BBB-

BB+

0

100

200

300

400

500

600

700

800




iTraxx Europe – best performer (Δ 1M) iTraxx Europe – worst performer (Δ 1M)

-60

-53

-42

-34

-33

-32

-27

-27

-24

-22

-70 -60 -50 -40 -30 -20 -10 0

Mediobanca SpA

UniCredit SpA

Intesa Sanpaolo SpA

Standard Chartered Bank

Banco Santander SA

Banco Bilbao Vizcaya Argentaria SA

Royal Bank of Scotland PLC/The

Assicurazioni Generali SpA

HSBC Bank PLC

Barclays Bank PLC

0

0

1

1

1

2

2

3

10

23

0 5 10 15 20 25

Experian Finance PLC

Capgemini SE

Suedzucker AG

TOTAL SA

Unilever NV

Safeway Ltd

ITV PLC

Koninklijke Ahold Delhaize NV

Marks & Spencer PLC

Next PLC


iTraxx Xover – best performer (Δ 1M) iTraxx Xover – worst performer (Δ 1M)

-162

-52

-50

-45

-43

-42

-38

-35

-33

-33

-180 -160 -140 -120 -100 -80 -60 -40 -20 0

Matalan Finance PLC

CNH Industrial NV

Selecta Group BV

Lock Lower Holding AS

Cellnex Telecom SA

CMA CGM SA

Jaguar Land Rover Automotive PLC

Monitchem HoldCo 3 SA

Telecom Italia SpA/Milano

Air France-KLM

14

28

54

79

114

115

136

143

182

307

0 50 100 150 200 250 300 350

Constellium NV

Iceland Bondco PLC

Ladbrokes Coral Group PLC

Boparan Finance PLC

Stena AB

Saipem Finance International BV

Pizzaexpress Financing 1 PLC

Galapagos Holding SA

Astaldi SpA

New Look Senior Issuer PLC




Appendix Contacts

Fixed Income Research

Michael Schulz Head +49 511 361-5309 [email protected]

Kai Ebeling Covered Bonds +49 511 361-9713 [email protected]

Mario Gruppe Public Issuers +49 511 361-9787 [email protected]

Michaela Hessmert Banks +49 511 361-6915 [email protected]

Melanie Kiene Banks +49 511 361-4108 [email protected]

Jörg Kuypers Corporates / Retail Products +49 511 361-9552 [email protected]

Matthias Melms Covered Bonds +49 511 361-5427 [email protected]

Norman Rudschuck Public Issuers +49 511 361-6627 [email protected]

Thomas Scholz Public Issuers +49 511 361-6726 [email protected]

Charline Strauch Corporates / Retail Products +49 511 361-2722 [email protected]

Martin Strohmeier Corporates / Retail Products +49 511 361-4712 [email protected]

Kai Witt Corporates / Retail Products +49 511 361-4639 [email protected]

Markets Sales

Carsten Demmler Head +49 511 361-5587 [email protected]

Institutional Sales (+49 511 9818-9440)

Thorsten Bock [email protected] Gabriele Schneider [email protected]

Uwe Kollster [email protected] Dirk Scholden [email protected]

Rainer Nabel [email protected] Uwe Tacke [email protected]

Daniel Novotny-Farkas [email protected]

Sales Savings Banks / Regional Banks (+49 511 9818-9400)

Christian Schneider (Head) [email protected] Stefan Krilcic [email protected]

Thorsten Aberle [email protected] Bernd Lehmann [email protected]

Oliver Bickel [email protected] Jörn Meißner [email protected]

Tobias Bohr [email protected] Lutz Schimanski [email protected]

Kai-Ulrich Dörries [email protected] Ralf Schirrling [email protected]

Jan Dröge [email protected] Thomas Schmidt [email protected]

Sascha Goetz [email protected] Brian Zander [email protected]

Martin Koch [email protected]

Sales Asia (+65 64 203136)

Jefferson Ko [email protected]

Fixed Income / Structured Products Sales Europe (+352 452211-515)

René Rindert (Head) [email protected] Patricia Lamas [email protected]

Morgan Kermel [email protected] Laurence Payet [email protected]

Corporate Sales

Shipping / Aircraft +49 511 9818-8150 Corporate Clients +49 511 9818-4003

Real Estate / Structured Finance

+49 511 9818-8150 FX/MM

+49 511 9818-4006

Corporate Finance – Origination Corporates

Tobias Müssig (Leitung) [email protected] Sandro Pittalis [email protected]

Sebastian Dahlhaus [email protected] Stefan Sigrist [email protected]

Birgit Determann [email protected] Sabine Stenschke [email protected]

Christian Müller [email protected] Karsten Wernecke [email protected]

Financial Markets Trading

Corporates +49 511 9818-9690 Collat. Mgmt / Repos +49 511 9818-9200

Covereds / SSAs +49 511 9818-8040 Cust. Exec. & Trading +49 511 9818-9480

Financials +49 511 9818-9490 Frequent Issuers +49 511 9818-9640

Governments +49 511 9818-9660 Structured Products +49 511 9818-9670

Länder & Regions +49 511 9818-9550

mailto:[email protected]








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Past performances are not a reliable indicator of future performances. Exchange rates, price fluctuations of the financial instruments and

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This Investment Recommendation neither constitutes any investment, legal, accounting or tax advice nor any representation that an

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Also this Investment Recommendation as a whole or any part thereof is not a sales or other prospectus. Correspondingly, the infor-

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the price of the financial instruments described in this Investment Recommendation.



To the extent the financial instruments referred to herein are derivatives, they may involve an initial negative market value from the

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Investing in financial instruments referred to in this Investment Recommendation may expose an investor to a significant risk of losing all

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Evaluations of individual financial instruments on the basis of past performance are not necessarily indicative of future results. It should

be noted that the reported figures relate to past years.

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Past performance, simulations or forecasts are therefore not a reliable indicator of future results. Mutual funds have no guaranteed

performance and past returns do not guarantee future performance.

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“Prospectus Directive”) or any measures made under the Prospectus Directive or the laws of any Member State or EEA treaty adherent

state that implement the Prospectus Directive or those measures and therefore may not contain all the information required where a

document is prepared pursuant to the Prospectus Directive or those laws.

Additional information for recipients in Luxembourg

Under no circumstances shall this Investment recommendation constitute an offer to sell, or issue or the solicitation of an offer to buy or

subscribe for Products or Services in Luxembourg.

http://www.dsgv.de/sicherungssystem



Additional information for recipients in Netherlands

The value of your investments may fluctuate. Results achieved in the past do not offer any guarantee for the future (De waarde van uw

belegging kan fluctueren. In het verleden behaalde resultaten bieden geen garantie voor de toekomst).

Additional information for recipients in Poland

This Investment Recommendation does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of

Finance Regarding Information Constituting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October

2005.

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This Investment Recommendation is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii)

distributed to any other kind of investor, in particular not to retail clients. This Investment Recommendation does not constitute or form

part of an offer to buy or sell any of the securities covered by the report nor can be understood as a request to buy or sell securities

where that practise may be deemed unlawful. This Investment Recommendation is based on information obtained from sources which

we believe to be reliable, but is not guaranteed as to accuracy or completeness. Unless otherwise stated, all views herein contained are

solely expression of our research and analysis and subject to change without notice.

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This Investment Recommendation does not constitute or form part of, and should not be construed as a prospectus or offering memo-

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This Investment Recommendation does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code

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This Investment Recommendation has been prepared for informational purposes only in relation to the products contained in this materi-

al and is not, under any circumstances to be construed as an offering memorandum or as an offering of any securities for sale directly or

indirectly in any province or territory of Canada.

No securities commission or similar regulatory authority in Canada has passed on the merits of these securities nor has it reviewed this

material and any representation to the contrary is an offence.

Relevant selling restrictions, if any, are contained in the prospectus or other documentation for the respective product.

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It is advisable to examine all the terms and conditions of the services provided by NORD/LB. If necessary, Recipient of this Investment

Recommendation should consult with an expert.

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The financial products described in this Investment Recommendation may not be offered or sold, directly or indirectly, to any resident of

the Republic of Finland or in the Republic of Finland, except pursuant to applicable Finnish laws and regulations. Specifically, in the case

of shares, those shares may not be offered or sold, directly or indirectly, to the public in the Republic of Finland as defined in the Finnish

Securities Market Act (746/2012, as amended). The value of investments may go up or down. There is no guarantee to get back the

invested amount. Past performance is no guarantee of future results.

Additional information for recipients in Czech Republic

There is no guarantee to get back the invested amount. Past performance is no guarantee of future results. The value of investments

could go up and down

The information contained in this Investment Recommendation is provided on a non-reliance basis and its author does not accept any

responsibility for its content in terms of correctness, accuracy or otherwise.



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NORD/LB has separated its business divisions that may have access to sensitive customer and business data (confidential areas) from

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The disclosure of confidential information that may have an impact on the prices of securities is monitored by NORD/LB’s Compliance

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They are obliged to notify the Compliance Unit of all transactions (including external transactions) undertaken by them for their own

account or for the account or on behalf of third parties. Thus the Compliance Unit is in a position to identify all unauthorized transactions

undertaken by the analysts, such as insider trading and front and parallel running. When a Investment Recommendation involving con-

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results of the study are not affected by the knowledge of such conflicts of interest. Further information on these matters is set forth in our

Investment Recommendation or Conflict of Interest Policy which is available from the Compliance Unit of NORD/LB upon request.

Time of going to press

04 July 2017 3:45pm

Disclosure of NORD/LB’s potential conflicts of interest according to § 34b Abs. 1 WpHG and

Article 5 and 6 according to the Commission Delegated Regulation (EU) 2016/958 of 9 March 2016

None.

Additional disclosures

Sources and price indications

Depending on the issuer, we use information from financial data suppliers, our own estimates, company data and the public media for the

preparation of our Investment Recommendations. Unless otherwise stated in the report, prices indicated relate to the closing price on the

previous day. Fees and commissions apply to securities (buy, sell, hold) and these may reduce the yield on investments.

Analytical methods and updates

In the preparation of Investment Recommendations, we take company-specific methods used for fundamental securities’ analysis and

quantitative/statistical methods, as well as technical analytical methods as the basis for valuations and for the regular updates. All as-

sumptions and analytical derivations related to our recommendation may be extracted from the underlying research analysis. It should be

noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indicator for future

profits. The basis of the valuations is subject to unforeseen change at any time, potentially leading to different conclusions. The present

report is prepared on a monthly basis. Recipients are not automatically entitled to receive report update publications. Detailed information

with respect to our rating methodology is available at the webpage www.nordlb-pib.de/Bewertungsverfahren.

Recommendation system Share of recommendation (12 months)

Positive: Positive expectations for the issuer, a security type or a specif-

ic security of an issuer.

Neutral: Neutral expectations for the issuer, a security type or a specif-

ic security of an issuer.

Negative: Negative expectations for the issuer, a security type or a

specific security of an issuer.

Relative value (RV): Relative value recommendation in comparison to

a market segment, an issuer or a maturity.

Positive: 46%

Neutral: 52%

Negative: 2%

Recommendation history (12 months)

An overview of all our bond recommendations during the last 12 months is available at the webpage www.nordlb-pib.de/empfehlungsuebersicht_renten. Corresponding password: "renten/Liste3".

Issuer / security Date Recommendation Bond type Cause

https://www.nordlb-pib.de/Bewertungsverfahren

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

corporate bond strategy - nord/lb · 2018-06-22 · corporate bond strategy 04 july 2017 no. 11...

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