Académique Documents
Professionnel Documents
Culture Documents
Chg
indices
DJIA
Govt Bmark
Close
1D
1W
12,639
55
-172
Yields
Chg (bp)
Swaps
Close(%)
1D
1W
USD 02Y
0.55
-2.4
-5.6
Chg (bp)
Chg (bp)
Spread(bp)
1D
1W
Rates(%)
1D
1W
USD 02Y
18.6
0.9
1.4
0.74
-1.5
-4.2
S&P 500
1,340
-23
USD 05Y
1.86
-2.7
-10.9
USD 05Y
19.6
0.9
1.6
2.06
-1.8
-9.3
NASDAQ
2,828
13
-46
USD 10Y
3.16
-1.3
-13.9
USD 10Y
9.1
0.4
1.4
3.25
-0.9
-12.5
DAX
7,492
115
-22
USD 30Y
4.30
1.5
-11.0
USD 30Y
-24.9
-0.9
-1.4
4.05
0.6
-12.3
NIKKEI 225
9,859
-145
167
EUR 02Y
1.77
0.4
EUR 02Y
55.0
-1.8
2.32
-1.3
DJ STOXX 50
2,640
32
-21
EUR 05Y
2.56
-2.3
EUR 05Y
42.2
-0.6
2.99
-2.9
CAC 40
4,058
53
-49
EUR 10Y
3.27
0.0
EUR 10Y
23.8
-4.2
3.51
-4.2
EUR 30Y
3.70
-4.1
EUR 30Y
3.7
0.1
3.73
-4.0
Eqty vol
indices
Chg
Chg
Close
1D
1W
Currencies
VIX
18.4
0.2
3.6
EUR
VXN
19.3
0.1
2.7
JPY
VDAX
16.9
-1.6
2.0
GBP
Close
1D
Chg
1W
0.19
-1.10
Commodites
Gold
Close
1D
1W
1,494.35
22.65
-40.60
4.33
-0.34
-0.34
100.02
-9.52
-13.20
Nat Gas
Oil
CDS
EUR
USD
EUR
Overview
ASW
Chg (bp)
ASW
Chg (bp)
Sprd
1D
1W
Sprd
1D
1W
148
-1
119
CDX.IG.S16 5Y
91
89
ITRAXX.IG.S15 5Y
96
-1
Financial
172
-1
Financial
161
CDX.IG.S16 10Y
123
126
ITRAXX.IG.S15 10Y
121
-1
125
Non-Financial
131
Non-Financial
78
CDX.HV.S16 5Y
148
149
ITRAXX.HV.S15 5Y
133
137
AAA
55
AAA
64
CDX.XO.S11 5Y
700
146
ITRAXX.HV.S15 10Y
164
170
AA
99
AA
85
CDX.HY.S16 5Y
438
13
412
ITRAXX.XO.S15 5Y
357
-4
347
139
-1
110
CDX.HYBB.S16 5Y
241
ITRAXX.XO.S15 10Y
416
-4
392
BBB
194
BBB
171
CDX.HYB.S16 5Y
423
133
134
CDX.HYHB.S15 5Y
586
ITRAXX.FIN.SNR.S15
5Y
ITRAXX.FIN.SUB.S15
5Y
229
223
1-3Y
94
-1
1-3Y
104
3-5Y
125
-3
3-5Y
115
5-7Y
164
-1
5-7Y
132
7-10Y
163
-1
7-10Y
141
-1
10Y+
191
10Y+
123
Chg (bp)
Sprd
CDS Vs Bonds
Chg (bp)
1D 1W FV
Sprd 1D 1W FV
Ag Fd
Chg (bp)
Sprd
1D
1W
CDS Vs Bonds
-2
-7
100
Ag Fd
Chg (bp)
Sprd
1D
IG Financials
-11
1W
High Yield
High Yield
IG Financials
20
BB
BB
IG Non-Financials
11
-11
IG Non-Financials
-20
-27
14
-1
-9
-16
-23
CCC
CCC
26
-3
-35
-35
11
Mid
1D
Mid
1D
1W
Automobiles
150
-2
-2
Basic Resources
182
-2
-4
84
-8
Top Performers
Sector
Strpd
Chg (bp)
Sprd
1D
1W
IG
Sector
Strpd
Chg (bp)
Sprd
1D
1W
IG
Chg (bp)
Sector
1W
IG
IG
-2
-17
Banks
135
Banks
116
-2
-2
Insurance
129
-1
-11
69
87
-1
85
-1
-13
Healthcare
29
90
-1
HY
HY
Basic Resources
Healthcare
143
-7 -222
Construction
Banks
316
-4
-40
Automobiles
Automobiles
691
-3
273
Chg (bp)
Sector
HY
137
241
-2
Automobiles
222
-3
140
Retail
366
-2
Basic Resources
549
-2
Automobiles
306
-1
10
Financial Services
420
-2
-12
Mid
1D
Mid
1D
1W
Insurance
144
Telecommunications
114
Technology
105
Technology
330
20
10
594
11
998
101
HY
Worst Performers
Sector
Strpd
Chg (bp)
Sprd
1D
1W
IG
Sector
Strpd
Chg (bp)
Sprd
1D
IG
1W
Chg (bp)
Sector
IG
Basic Resources
152
-9
Energy
67
34
Construction
Financial Services
148
-10
Telecommunications
82
16
Chemicals
76
-12
Financial Services
128
10
Financial Services
Chemicals
HY
1W
HY
IG
118
71
-1
149
HY
HY
Construction
237
6 -391
Telecommunications
402
47
-10
204
5 -128
11
Financial Services
411
21
Financial Services
272
10
Telecommunications
255
-5
94
Chg (bp)
Sector
*Note: USD bonds data used is from the previous business day.
Data Sources : Related Markets Summary - DB Global Markets. Credit Markets Summary : EUR Cash - DBIQ / iBoxx : EUR CDS, US CDS - DB Global Markets.
1
Deutsche Bank
Global Markets Research
Non-Financials
Cash
CDS 5Y
Cash
CDS 5Y
BigMovers - Wider
Strpd
Chg (bp)
Security Desc.
Sprd
1D
676
29
1W
Chg (bp)
1M
Ticker
Sprd
1D
1W
HBOS
148
17
13
-14
BACR
190
13
23
AIB
68
13
136
13
-1
42
13
VW 2.38 '13
26
13
-5
143
13
119
13
60
13
Strpd
Chg (bp)
1M
Security Desc.
Sprd
1D
55
19
38
VW 4.88 '13
41
45
1W
Chg (bp)
1M
Ticker
Sprd
1D
1W
1M
OTE
400
10
20
25
14
TITIM
185
18
14
-5
TLIASS
76
11
232
12
6,602
47 1,070
ASSGEN
188
-16
54
13
GLEN
165
-2
ASSGEN
130
21
13
EAUG
105
14
MONTE
180
-4
25
13
-9
AVEFP
44
-6
ALZ
117
11
56
13
-9
EDP
275
-12
10
-9
AXASA
183
-1
98
13
-10
STOIL
60
-3
AVLN
179
-4
12
92
13
-7
AHOLD
93
-1
-2
BAVB
133
48
13
OOMLN
30
618
-2
-18
56
72
RCI
189
-6
-6
-5
51
-3
-2
45
-15
MITTAL
200
-5
-6
-7
BigMovers - Tighter
C 4.38 '18
125
-27
-41
CXDG
84
-20
SVENSKA
107
-16
CRDIT
153
-1
32
-11
VW
81
-2
-1
81
-17
ABBEY
131
-10
-4
66
-1
CENTRICA
65
-1
-1
MS 5.38 '20
180
-7
SEB
76
-1
-3
152
-19
AERO
97
-1
146
-41
EBRD
175
95
-20
KPN
63
-1
-2
122
-25
CRDSUI
137
-3
74
ENEL
112
-4
83
-19
CAJAMM
380
30
-16
VIEFP
90
-2
GE 4.35 '21
121
-10
IBRD
176
101
-10
VOD
74
294
-37
PRUFIN
153
-7
25
THALES
82
-1
Sprd 1D (bp)
C 4.38 '18
125
Range Z-Score
3M
Ticker
Sprd 1D (bp)
-27
125 - 178
-5.3
RBS
315
132 - 165
-2.3
LGEN
110
84
80 - 113
-2.3
ABBEY
131
71
83
78 - 110
-2.1
NORDEA
68
74
73 - 96
-2.1
CRDIT
265
68 - 79
3M
Strpd Chg
3M
-1.5
Security Desc.
Sprd 1D (bp)
Range Z-Score
Sprd 1D (bp)
-2.8
EDNIM
108
99 - 153
-2.7
UNBP
75
75 - 80
-1.6
71 - 111
-2.6
AVEFP
44
44 - 66
-1.4
71
67 - 99
-2.5
WOLKLU
82
81 - 94
-1.3
80
79 - 128
-2.5
RCI
189
-6
73
70 - 110
-2.4
ENEL
112
55
51 - 88
-2.4
ELESM
107
69
65 - 100
-2.4
INVSA
62
3M
64 - 103
64
3M
3M
3M
128 - 158
-2.1
ABBEY
200
208
200 - 358
-2.0
DNBNOR
67
85
82 - 121
-2.0
ASSGEN
188
146
144 - 221
-2.0
SEB
76
75 - 86
-1.4
71
67 - 101
-2.4
AUTSTR
105
206
203 - 284
-2.0
INTNED
93
90 - 116
-1.4
60
60 - 103
-2.4
SCOTPLC 124
AIB
6,602
3782 6602
2.2
CS 4.75 '19
67 - 77
-1.5
62 - 65
-1.1
676
29
456 - 710
2.3
733
11
583 - 794
1.4
153 - 248
1.6
SCOTPO
85
84 - 85
12
(7) - 32
1.2
PHG
68
56 - 68
111
23 - 136
1.0
1.9
254 - 358
1.0
TLIASS
76
64 - 76
1.8
101
76 - 108
0.9
372
11
355 - 385
0.9
260 - 369
1.0
AERO
97
-1
88 - 98
1.8
39 - 68
1.0
CPGLN
80
50 - 80
86
11
70 - 100
0.8
CXDG
618
-2
1.6
35 - 70
0.9
DANGAS
64
56 - 64
72
11
49 - 90
0.6
BACR
232
1.5
197 - 281
0.8
BGENEHLD101
81
63 - 99
0.6
SYNNVX
50
51
164
137 - 181
0.6
ZURNVX
175
48
34 - 64
0.8
ABB
70
60 - 70
1.5
27 - 57
0.8
NGGLN
91
88 - 91
76
10
56 - 88
0.5
HANRUE
123
97 - 135
1.4
297 - 370
0.7
TELNOR
73
63 - 76
SNSBNK
215
1.4
SCHREI
155
BKIR
1,736
1351 1924
1.8
ALPHA
1,349
811 1389
1.8
26
54
58
45 - 52
1.0
0.7
5
13
Note: Stripped (or Strpd) spread is the bond yield spread to the equal maturity point of the swaps curve.
Data Source : DB Global Markets.
2
3.8
Deutsche Bank
Global Markets Research
Par
Issuer
Ticker
Rating
RBS
Aa3 / A+
5.375
RBS
Aa3 / A+
4.875
CRLOG
Aa3 / AA-
5.454
6.250
MER
4.625
BCPPL
Baa3 / BBB-
CAIXAB
Aa2 / A+
AON Corporation
AOC
Baa2 / BBB+
MER
BESPL
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
Interp
Price
YTM
Govt. ASW
100.52
5.292
227
183
191
34
Jan-17
99.78
4.916
222
175
181
Feb-21
102.64
5.102
195
156
161
Oct-20
87.18
8.244
513
421
Sep-18
93.86
5.666
275
5.625
Apr-14
87.50
10.789
3.750
Nov-13
99.45
3.980
206
6.250
Jul-14
106.78
3.908
A2 / A
6.750
May-13
106.43
3.414
Baa2 / BBB-
5.625
Jun-14
89.00
9.953
3.750
Nov-20
91.80
4.844
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
5.875
May-19
108.02
HSBC
A1 / A
6.000
Jun-19
HBOS
Aa3 / A+
5.625
May-13
AAB
A2 / A+
4.250
MER
A2 / A
ISPIM
A2 / BBB+
JPM
Citigroup Inc.
Range
Z-score
6M
154
150 - 283
-2.0
31
148
143 - 281
-1.5
20
139
137 - 195
-1.7
480
370
89
1 - 153
0.0
219
237
152
79
53 - 164
-0.9
728
820
711
75
(195) - 206
0.2
153
157
230
72
(99) - 179
0.4
188
130
128
56
71
55 - 113
-1.0
239
122
119
55
62
27 - 85
0.7
659
733
640
59
(242) - 156
1.1
173
122
134
74
58
29 - 91
-0.2
4.654
169
131
131
69
58
7 - 87
-0.1
107.60
4.839
187
149
149
91
52
49 - 127
-1.6
103.80
3.649
188
143
143
91
47
(38) - 65
1.3
May-16
96.35
5.095
261
197
209
157
45
(78) - 57
1.2
4.625
Oct-13
102.55
3.490
164
112
113
67
43
(3) - 69
0.4
6.625
May-18
102.88
6.106
325
281
287
230
42
(51) - 108
-0.1
Aa3 / A+
5.250
May-13
104.50
2.894
112
69
68
26
41
14 - 53
0.6
A3 / A
3.950
Oct-13
101.22
3.410
156
102
103
61
40
(8) - 61
0.5
GS
A1 / A
4.750
Jan-14
102.96
3.581
159
107
108
68
37
4 - 61
-0.4
HVB
Baa2 / BBB+
6.000
Feb-14
104.01
4.403
318
190
190
144
37
(92) - 124
0.0
0.8
Sep-19
Stripped
Funding
6M
A3 / A-
FBNETH Aa3 / A
4.000
Feb-15
100.45
3.864
160
106
109
70
36
(41) - 57
JPM
4.375
Jan-14
102.94
3.226
123
72
72
37
34
4 - 54
0.8
SNSSNS Baa1 / A-
3.625
Jul-13
98.59
4.310
246
196
203
162
33
(49) - 63
0.8
BAC
4.625
Feb-14
102.46
3.671
168
113
115
78
33
3 - 85
-0.6
Aa3 / A+
A2 / A
Ticker
Rating
MONTE
A3 / BBB+
CXGD
Par
Coupon (%) Maturity
5.600
Interp
Price
YTM
Govt. ASW
Stripped
Sep-20
100.59
5.514
240
197
206
418
Funding
Range
Z-score
6M
6M
-235
(482) - (92)
0.6
-1.1
Baa1 / BBB-
5.125
Feb-14
97.19
6.251
426
355
372
548
-207
(272) - (25)
A3 / BBB+
6.000
Nov-20
98.11
6.264
315
265
280
428
-171
(374) - (30)
0.7
4.000
Nov-20
91.59
5.139
203
149
164
300
-155
(302) - (22)
-0.1
SUMIBK Aa3 / A
5.250
Apr-17
100.28
5.194
199
206
313
-121
(238) - 72
-0.5
ACAFP
Aa2 / A+
5.875
Jun-19
105.87
4.974
201
161
162
264
-116
(212) - (74)
0.4
ACAFP
Aa2 / A+
5.971
Feb-18
106.54
4.806
195
159
159
258
-114
(214) - (71)
0.7
ACAFP
Aa2 / A+
3.900
Apr-21
89.71
5.254
214
154
172
270
-109
(207) - (81)
0.6
ISPIM
Aa3 / A
5.150
Jul-20
101.71
4.913
180
141
146
240
-108
(196) - (21)
-0.2
ISPIM
Aa3 / A
5.000
Sep-19
101.18
4.822
180
138
143
237
-106
(225) - (25)
0.0
NWIDE
Baa3 / BBB+
6.750
Jul-20
102.53
6.373
326
286
294
370
-100
(100) - 171
-1.9
A1 / A-
5.750
Sep-17
103.01
5.178
240
196
200
272
-88
(206) - (26)
0.5
RBS
Baa3 / BBB+
4.875
Apr-15
99.92
4.897
263
202
208
281
-86
(129) - 44
-0.5
AXA
AXASA
-1.0
A2 / A
6.000
Jun-13
107.26
2.414
74
18
17
90
-77
(94) - (18)
A1 / A
4.000
Oct-20
92.49
5.014
190
139
152
220
-76
(131) - (42)
0.1
MetLife, Inc.
Aa3 / AA-
4.625
May-17
103.23
4.011
131
85
86
148
-69
(130) - (14)
-0.3
MET
MONTE
A2 / A-
3.875
Feb-15
100.42
3.747
148
94
97
156
-67
(206) - (59)
1.8
CBAAU
Aa1 / AA
4.375
Feb-20
100.80
4.261
120
79
83
140
-64
(69) - (10)
-1.7
NAB
Aa1 / AA
4.000
Jul-20
97.68
4.311
120
79
84
142
-64
(66) - (15)
-2.1
DEXGRP A1 / A
5.375
Jul-14
102.80
4.408
227
174
176
223
-62
(158) - (41)
1.5
CRDIT
Aa3 / A
4.375
Jan-20
98.28
4.616
155
113
119
172
-61
(138) - (19)
0.7
BNP Paribas
BNP
Aa2 / AA
3.750
Nov-20
96.77
4.164
105
62
66
118
-57
(70) - (23)
-1.6
-0.3
BNP Paribas
BNP
Aa2 / AA
2.625
Sep-16
95.54
3.552
95
45
48
100
-56
(74) - (34)
Credit Agricole SA
ACAFP
Aa1 / AA-
3.000
Jul-15
97.87
3.553
122
65
68
118
-54
(124) - (28)
0.8
Allianz SE
ALZ
Aa3 / AA
4.000
Nov-16
102.85
3.422
82
33
33
82
-53
(64) - 4
-1.5
Data Source : DB Global Markets. The funding spread measures the difference between the bond stripped spread (spread to swaps curve) and the CDS curve. A positive/negative funding spread indicate the bond is
trading wider/tighter than the CDS curve. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar
and accrual conventions. Shows top/bottom funding spread trades for fixed rate coupon bonds with a maturity range of 2 - 11 years. Top/bottom trades are ranked by funding spread.
3
Deutsche Bank
Global Markets Research
Ticker
Rating
TLMP
Baa2 / BBB-
Electricidade de Portugal
Energias de Portugal, Finance B.V.
Par
Coupon (%) Maturity
Price
YTM
5.125
Dec-17
99.38
5.234
4.750
Sep-16
92.30
6.482
4.625
Jun-16
92.60
6.370
5.500
Feb-14
100.98
Adecco S.A.
7.625
Apr-14
111.37
5.000
Nov-19
88.22
5.125
Jul-13
104.79
Hera SPA
HERIM
4.125
Feb-16
100.05
4.110
A3 / BBB+
Govt. ASW
Interp
Stripped
Funding
Range
Z-score
6M
6M
194
202
124
73
62 - 162
-1.2
388
315
343
279
50
(89) - 61
1.4
388
309
335
275
48
(94) - 59
1.4
5.101
311
253
258
210
35
(83) - 68
1.0
3.518
149
98
94
58
34
14 - 64
-0.9
6.872
385
309
348
308
32
23 - 129
-1.4
2.804
113
54
54
22
31
(4) - 45
1.1
225
111
114
79
31
17 - 60
-0.8
EEEKGA A3 / A-
7.875
Jan-14
111.07
3.471
148
105
100
62
30
16 - 52
-0.3
Edison S.P.A.
EDNIM
Baa3 / BBB
4.250
Jul-14
101.53
3.728
170
105
107
77
28
(11) - 44
0.8
Cez AS
CEZCO
A2 / A-
4.125
Oct-13
102.57
3.010
116
62
63
34
27
(42) - 38
0.9
4.375
Nov-13
102.82
3.190
134
76
76
49
25
(17) - 35
1.3
Bertelsmann AG
7.875
Jan-14
112.11
3.096
110
66
62
35
25
10 - 60
-0.6
-1.5
TPSA
Telefonaktiebolaget L M Ericsson
A3 / BBB+
6.000
May-14
107.53
3.343
132
75
74
48
24
16 - 60
5.000
Jun-13
104.43
2.829
106
57
56
32
24
1 - 47
-0.1
5.625
Feb-16
97.92
6.135
365
304
319
278
23
20 - 76
-2.0
0.0
Iberdrola, S.A.
IBERDU A3 / A-
5.125
May-13
104.02
3.019
125
81
81
56
23
(45) - 63
KPN
Baa2 / BBB+
6.250
Sep-13
107.51
2.889
112
57
55
31
22
(5) - 43
0.2
KFT
Baa2 / BBB-
6.250
Mar-15
109.95
3.447
118
68
66
43
21
6 - 40
-0.5
REPSM
Baa1 / BBB
5.000
Jul-13
104.03
3.070
122
79
79
57
21
(15) - 62
-0.4
GASSM
Baa2 / BBB
5.250
Jul-14
103.83
3.933
191
129
129
105
20
(24) - 76
-0.4
VZW
A2 / A-
8.750
Dec-15
122.44
3.396
102
54
49
29
20
(15) - 43
0.0
Cez AS
CEZCO
A2 / A-
6.000
Jul-14
108.06
3.288
115
66
64
45
18
(36) - 35
0.6
KPN
Baa2 / BBB+
6.250
Feb-14
108.23
3.056
106
58
56
36
18
4 - 40
-0.3
Centrica Plc
CENTRI
A3 / A-
7.125
Dec-13
110.13
2.980
106
57
54
36
16
(28) - 39
0.8
Par
Issuer
Ticker
Rating
HNDA
A1 / A+
6.250
Compagnie De Saint-Gobain
SANFP
A2 / AA-
ArcelorMittal
MTNA
ArcelorMittal
MTNA
TITIM
Interp
Stripped
Funding
Range
Z-score
6M
6M
Price
YTM
Govt. ASW
Jul-13
107.14
2.821
105
57
55
199
-160
(193) - (126)
0.8
4.125
Oct-19
103.30
3.660
64
25
25
123
-105
(107) - (56)
-2.8
Baa3 / BBB-
4.625
Nov-17
100.37
4.553
178
130
135
219
-97
(121) - (45)
-0.9
Baa3 / BBB-
9.375
Jun-16
122.33
4.360
187
153
139
201
-80
(101) - (21)
-1.1
Baa2 / BBB
5.375
Jan-19
103.06
4.886
289
153
156
215
-74
(112) - (16)
-0.6
Renault
4.000
Mar-16
98.57
4.332
179
129
135
199
-73
(96) - (51)
-0.4
Peugeot SA
4.250
Feb-16
99.77
4.302
176
129
133
196
-72
(102) - (31)
-0.4
TITIM
Baa2 / BBB
5.250
Feb-22
99.64
5.291
223
164
172
229
-70
(82) - (5)
-1.8
TITIM
Baa2 / BBB
8.250
Mar-16
117.31
4.230
174
137
128
182
-69
(112) - (5)
-0.7
Compagnie De Saint-Gobain
SANFP
A2 / AA-
3.125
Oct-14
101.32
2.711
52
67
-69
(97) - (40)
0.0
Rci Banque SA
4.000
Jan-16
99.10
4.210
177
120
125
184
-69
(103) - (25)
-0.5
TITIM
Baa2 / BBB
5.125
Jan-16
103.98
4.170
168
121
122
179
-67
(70) - (17)
-1.9
Enel S.P.A.
ENEL
A2 / A-
4.000
Sep-16
101.84
3.612
101
54
55
116
-66
(116) - (45)
0.2
REDELE A2 / AA-
3.500
Oct-16
98.41
3.827
122
72
75
135
-66
(71) - (16)
-2.5
Groupe Danone
BNFP
A3 / A-
3.600
Nov-20
98.34
3.809
70
28
30
91
-65
(71) - (10)
-1.6
Enel S.P.A.
ENEL
A2 / A-
5.250
Jun-17
107.61
3.828
105
68
67
123
-63
(118) - (43)
0.3
Vale S.A.
4.375
Mar-18
100.45
4.296
101
104
159
-62
(83) - 3
-0.7
Finmeccanica S.P.A.
FINMEC A3 / BBB
5.750
Dec-18
107.55
4.546
255
124
124
173
-62
(103) - 5
-1.0
Enel S.P.A.
ENEL
4.750
Jun-18
104.14
4.064
239
78
79
133
-61
(132) - (35)
0.5
Telefonica, S.A.
TELEFO Baa1 / A-
4.693
Nov-19
100.64
4.597
158
115
119
170
-60
(65) - 17
-2.3
E.ON AG
EOAGR
A2 / A
5.750
May-20
113.47
3.941
109
52
51
101
-58
(72) - (11)
-2.0
StatoilHydro ASA
STOIL
Aa2 / AA-
5.625
Mar-21
114.49
3.827
86
34
32
84
-58
(67) - (2)
-1.7
Eni S.P.A.
ENIIM
Aa3 / A+
4.125
Sep-19
100.84
4.002
98
58
60
109
-55
(59) - 25
-1.8
BGGRP
A2 / A
3.375
Jul-13
101.62
2.599
83
32
32
83
-54
(70) - (23)
-0.5
Renault
4.375
Jan-15
101.47
3.936
175
114
117
162
-54
(84) - (9)
-0.4
A2 / A-
Data Source : DB Global Markets. The funding spread measures the difference between the bond stripped spread (spread to swaps curve) and the CDS curve. A positive/negative funding spread indicate the bond is
trading wider/tighter than the CDS curve. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar
and accrual conventions. Shows top/bottom funding spread trades for fixed rate coupon bonds with a maturity range of 2 - 11 years. Top/bottom trades are ranked by funding spread.
4
Deutsche Bank
Global Markets Research
Ticker
Rating
CRDIT
Baa1 / BBB
ABBEY
LGEN
RBS
Aa3 / A+
Citigroup Inc.
Baa1 / A-
MER
Par
Coupon (%) Maturity
Price
YTM
91.50
7.174
Govt. ASW
422
Interp
Stripped
5.000
Feb-16
Baa1 / A+
11.500
Jan-17
124.82
6.148
429
Baa1 / BBB+
10.000
Jul-21
128.44
6.195
192
7.300
Sep-14
105.21
5.476
454
347
345
6.000
May-17
107.20
4.603
223
173
173
5.125
Dec-18
97.39
5.550
275
221
A3 / A-
5.500
Nov-21
94.97
6.158
287
AXP
A2 / BBB+
5.375
Oct-14
106.60
3.279
Suncorp-Metway Limited
SUNAU
A1 / A
5.125
Oct-14
103.91
HBOS
Baa2 / BBB
10.500
Feb-18
118.95
Funding
Range
Z-score
6M
6M
232 - 403
-0.1
463
149
306
382
344
135
193
86 - 209
0.7
429
375
190
182 - 234
-1.6
151
183
161 - 424
-1.5
32
139
133 - 275
-2.0
236
142
89
80 - 186
-1.1
237
260
180
73
62 - 200
-1.2
161
119
117
47
69
57 - 127
-0.9
3.890
222
175
176
105
66
(13) - 90
0.7
6.890
409
421
395
304
65
(105) - 129
0.5
Par
Issuer
Ticker
Rating
NRW.Bank
NRWBK
Aa1 / AA-
1.625
EIB
Aaa / AAA
EIB
NAB
Govt. ASW
Interp
Range
Z-score
6M
6M
-96
(146) - (85)
1.1
50
-48
(190) - (38)
0.7
50
-48
(182) - (34)
0.7
107
143
-43
(47) - 30
-1.7
Price
YTM
Stripped
Dec-13
99.68
1.750
74
-9
-10
83
3.375
Sep-14
103.91
2.144
47
Aaa / AAA
3.000
Dec-15
101.84
2.568
52
Aa1 / AA
5.125
Dec-21
103.80
4.658
137
103
Funding
EIB
Aaa / AAA
4.125
Dec-17
105.76
3.140
76
12
12
51
-42
(180) - (28)
0.6
MetLife, Inc.
MET
A3 / A-
5.250
Jun-20
103.39
4.782
150
132
136
167
-38
(70) - 21
-0.5
Bk Nederlandse Gemeeten
BNG
Aaa / AAA
2.375
Dec-15
98.77
2.659
61
11
11
45
-35
(46) - (22)
-0.2
DANBNK A1 / A
4.000
Dec-15
103.10
3.257
121
73
74
103
-33
(48) - 26
-0.8
Commerzbank AG (Sub)
CMZB
A1 / BBB-
6.625
Aug-19
99.33
6.725
364
327
347
357
-32
(152) - 128
-0.2
WSTP
Aa1 / AA
5.000
Oct-19
103.39
4.505
142
114
118
139
-28
(32) - 38
-1.6
Par
Issuer
Ticker
Rating
Price
YTM
Govt. ASW
Textron Inc.
TXT
Baa3 / BBB-
96.47
7.182
404
SGCLN
NGN
WPPLN
Baa3 / BBB
6.375
Nov-20
109.37
5.099
181
167
UBMLN
Baa3 / BBB-
6.500
Nov-16
109.15
4.584
221
187
6.750
Nov-19
112.25
4.951
187
168
PEARSON plc
PSON
Baa1 / BBB+
7.000
Oct-14
112.65
3.081
141
VZW
A2 / A-
8.875
Dec-18
130.35
4.137
134
6.625
Apr-20
354
Baa2 / BBB-
5.750
Dec-16
104.60
4.789
241
199
Baa1 / BBB+
5.875
Jul-19
108.55
4.593
151
132
7.250
Jul-18
118.04
4.304
151
132
5.375
Dec-14
107.92
3.027
136
88
Interp
Stripped
383
Funding
Range
Z-score
6M
6M
-1.3
187
188
182 - 254
202
77
120
96 - 140
0.4
132
34
95
78 - 113
-0.1
125
42
82
72 - 108
-0.6
86
24
62
46 - 88
-0.3
167
107
53
42 - 85
-1.7
184
124
51
22 - 68
0.1
165
107
50
38 - 83
-1.1
101
96
45
48
26 - 70
0.3
114
101
52
46
12 - 69
0.2
Par
Issuer
Ticker
Rating
Lafarge
LGFP
Baa3 / BBB-
8.750
Eni S.P.A.
ENIIM
Aa3 / AA-
Total SA
TOTAL
Aa1 / AA-
BGGRP
Lafarge
LAFCP
Total SA
BMW Aktiengesellschaft
Interp
Stripped
Funding
Price
YTM
Govt. ASW
May-17
120.32
5.896
352
212
196
255
-80
6.125
Dec-18
114.82
3.836
104
68
66
106
4.250
Dec-17
105.78
3.257
88
24
24
65
A2 / A
5.125
Dec-17
107.92
3.740
136
74
74
Baa3 / BBB-
6.625
Nov-17
106.56
5.403
303
242
TOTAL
Aa1 / AA-
3.875
Dec-18
101.58
3.632
84
BMW
A3 / A-
5.000
Oct-17
108.07
3.562
119
MOTOPG A2 / A+
5.250
Sep-16
108.61
3.480
SSELN
A3 / A-
5.000
Oct-18
105.51
BP Plc
BPLN
A2 / A
4.325
Dec-18
101.80
Range
Z-score
6M
6M
(94) - 29
-1.1
-48
(74) - (9)
-0.4
-44
(60) - (28)
-0.1
104
-38
(48) - (10)
-0.8
244
262
-36
(58) - 59
-1.2
39
41
70
-32
(41) - (7)
-0.6
60
60
85
-30
(41) - (1)
-1.2
110
78
77
100
-28
(38) - 24
-1.3
4.116
132
94
96
114
-24
(36) - 20
-1.0
4.045
125
80
83
103
-24
(36) - 4
-0.8
Data Source : DB Global Markets. The funding spread measures the difference between the bond stripped spread (spread to swaps curve) and the CDS curve. A positive/negative funding spread indicate the bond is
trading wider/tighter than the CDS curve. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar
and accrual conventions. Shows top/bottom funding spread trades for fixed rate coupon bonds with a maturity range of 2 - 11 years. Top/bottom trades are ranked by funding spread.
5
Deutsche Bank
Global Markets Research
Rating
DV01
5y CDS (bp)
Steepness (bp)
5y Risky DV01
Steepness (bp)
5y Risky DV01
6m Z-score
DV01
Issuer
Rating
5y CDS (bp)
Aa1 / AA
1,736.3
1,532.6
-203.7
2.8
3.9
844.8
6m Z-score
-1.1
A2 / BBB+
1,349.3
1,274.3
-75.0
2.8
3.7
500.7
-1.9
A2 / A-
825.0
775.0
-50.0
3.8
5.6
458.4
0.9
Aa1 / AA
957.5
889.8
-67.8
3.3
4.6
450.6
0.7
A2 / A-
6,602.1
6,417.0
-185.1
1.2
1.2
416.8
-0.7
A2 / BBB+
905.0
935.5
30.5
3.7
5.3
373.5
0.9
A1 / A
851.2
853.9
2.7
3.4
4.8
343.4
0.8
Aa2 / A+
617.5
617.5
0.0
3.9
5.6
282.6
-1.4
Aa1 / AA-
380.0
380.0
0.0
4.2
6.6
217.2
0.4
Bayerische Landesbank
Aa2 / A
400.0
420.0
20.0
4.2
6.4
202.4
1.1
Baa2 / BBB
400.0
420.0
20.0
4.2
6.5
199.2
0.7
Commerzbank AG
A1 / A-
340.0
360.5
20.5
4.4
7.2
193.8
1.0
A2 / A
275.0
275.0
0.0
4.3
7.1
176.1
0.2
Aa2 / AA-
315.0
339.5
24.5
4.5
7.3
175.1
1.4
Aa1 / AA-
259.5
268.0
8.5
4.5
7.6
164.9
0.9
A1 / A-
265.0
285.0
20.0
4.5
7.5
155.3
1.7
A1 / A
220.0
220.0
0.0
4.5
7.7
154.6
1.0
Credit Agricole SA
Aa2 / A+
249.0
269.5
20.5
4.5
7.6
145.7
1.0
Baa1 / A
232.5
253.0
20.5
4.6
7.6
136.5
0.0
A1 / A+
210.0
217.5
7.5
4.4
7.4
132.9
0.2
Data Source : DB Global Markets. This report ranks credit curves as either steepest or flattest on a DV01 neutral basis. Curves with high z-scores may be mispriced and could corrrect. For steep curves (top panel),
investors should buy 5Y protection and sell 10Y protection in the ratio of DV01 10Y/DV01 5Y. The trade is positive carry if the second to last column is positive. For flat curves, investors should sell 5Y protection and
buy 10Y protection. The trade is positive carry if the second to last column is negative.
6
Deutsche Bank
Global Markets Research
Rating
5y CDS (bp)
Aa2 / A+
213.5
309.4
Steepness (bp)
95.9
Fwd 5x5
455.4
Fwd5x5-5y spot
242.0
6m Z-score
-0.2
Lafarge
Baa3 / BBB-
238.0
291.0
53.0
382.6
145.0
1.1
Rci Banque SA
A3 / A-
188.6
244.5
55.9
330.7
142.0
0.9
Baa1 / BBB
290.0
335.0
45.0
413.3
123.0
1.6
Baa2 / BBB
185.0
229.0
44.0
297.1
112.0
-0.6
ArcelorMittal
Baa3 / BBB
200.0
242.0
42.0
309.3
109.0
0.1
Baa3 / BBB-
156.0
196.0
40.0
256.3
100.0
1.2
A3 / A-
275.0
310.0
35.0
369.4
94.0
0.5
Electricidade de Portugal
A3 / A-
275.0
310.0
35.0
369.4
94.0
0.5
Telefonica, S.A.
Baa1 / A-
141.0
179.0
38.0
234.8
94.0
0.8
A3 / A-
124.0
162.0
38.0
217.2
93.0
-0.8
A2 / BBB+
905.0
935.5
30.5
995.3
90.0
0.1
Baa2 / BBB+
158.0
193.0
35.0
247.1
89.0
-1.1
Glencore International AG
Baa2 / BBB-
165.0
200.0
35.0
253.7
89.0
-0.1
Holcim Ltd.
Baa2 / BBB
125.0
160.0
35.0
211.8
87.0
0.8
Enel S.P.A.
A2 / A-
112.0
147.0
35.0
197.5
86.0
-1.2
Baa1 / BBB
116.0
151.0
35.0
201.2
85.0
-0.1
Endesa, S.A.
A3 / A-
107.0
142.0
35.0
191.8
85.0
-1.3
Baa2 / BBB
91.0
126.0
35.0
174.5
84.0
1.0
Kingfisher Plc
Baa3 / BBB-
109.0
140.0
31.0
183.9
75.0
0.7
Rating
5y CDS (bp)
Steepness (bp)
Fwd 5x5
Fwd5x5-5y spot
6m Z-score
A2 / A-
6,602.1
6,417.0
-185.1
1,422.5
-5,180.0
-0.9
Aa1 / AA
1,736.3
1,532.6
-203.7
992.9
-743.0
0.4
A2 / BBB+
1,349.3
1,274.3
-75.0
1,033.6
-316.0
2.9
Aa1 / AA
957.5
889.8
-67.8
728.0
-230.0
-1.0
A2 / A-
825.0
775.0
-50.0
678.0
-147.0
-0.7
A1 / A
220.0
220.0
0.0
219.8
0.0
-1.0
A2 / A
275.0
275.0
0.0
274.8
0.0
1.8
Aa3 / A+
100.0
100.0
0.0
99.9
0.0
2.1
A1 / A+
150.0
150.0
0.0
150.6
1.0
0.8
Aa1 / AA-
380.0
380.0
0.0
382.2
2.0
-0.2
A1 / A
851.2
853.9
2.7
854.6
3.0
0.3
Aa2 / A+
617.5
617.5
0.0
622.5
5.0
1.7
Aaa / AAA
175.0
178.0
3.0
182.0
7.0
1.3
176.0
179.0
3.0
183.0
7.0
1.5
10.0
15.0
5.0
21.2
11.0
-0.2
Aaa / AAA
Aa3 / A+
30.0
36.0
6.0
43.5
13.0
0.5
Baa1 / BBB+
19.0
26.0
7.0
34.8
16.0
-0.9
A2 / A
101.0
109.0
8.0
120.0
19.0
0.5
A1 / A+
210.0
217.5
7.5
228.6
19.0
0.4
A3 / A-
85.0
93.0
8.0
104.8
20.0
1.0
Deutsche Bank
Global Markets Research
Index Chg
Name
ITRAXX.IG.S15
Tenor
5Y
Range
Mid
FV
Basis
1D
1W
1M
95.8
100
-4
-1
94 - 104
3M
117 - 128
ITRAXX.IG.S15
10Y
121.5
125
-4
-1
ITRAXX.HV.S15
5Y
133.1
137
-4
133 - 142
ITRAXX.HV.S15
10Y
164.4
170
-6
160 - 176
ITRAXX.XO.S15
5Y
356.7
347
-4
-6
356 - 390
ITRAXX.XO.S15
10Y
415.6
392
24
-4
-7
415 - 448
ITRAXX.FIN.SNR.S15
5Y
133.0
134
-1
11
121 - 150
ITRAXX.FIN.SUB.S15
5Y
229.0
223
21
203 - 268
Mid
FV
Basis
1D
1W
1M
3M
90.6
89
-2
88 - 97
Tenor
5Y
Range
CDX.IG.S16
10Y
122.6
126
-4
-1
120 - 127
CDX.HV.S16
5Y
148.0
149
-1
-2
145 - 156
CDX.XO.S11
5Y
699.9
146
554
700 - 700
CDX.HY.S16
5Y
437.7
412
26
13
425 - 456
CDX.HYBB.S16
5Y
241
CDX.HYB.S16
5Y
423
CDX.HYHB.S15
5Y
586
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Issuer
Mdy's / S&P
Par
Ticker
Rating
HOFP
A2 / BBB+
2.750
Aktiebolaget Volvo
VLVY
Baa2 / BBB
HNDA
A1 / A+
BMW Aktiengesellschaft
BMW
BMW Aktiengesellschaft
BMW Aktiengesellschaft
Interp
Range
Z-score
6M
6M
(28) - 29
-2.1
-26
(36) - 12
-1.0
-160
(193) - (126)
0.8
(38) - 30
0.2
45
-15
(39) - 25
-0.7
54
-22
(43) - 8
-0.5
63
-26
(56) - 1
-0.2
71
-39
(48) - (6)
-1.8
43
80
-41
(53) - (1)
-1.6
57
90
-38
(66) - (10)
-0.1
53
-29
(44) - 2
-0.6
52
61
-13
(27) - 12
-0.5
48
69
-25
(42) - 2
-0.4
48
96
-52
(64) - (11)
-1.9
43
44
40
(15) - 32
0.0
143
91
92
97
-6
(46) - 36
0.0
3.304
153
94
96
105
-14
(56) - 24
0.3
99.86
3.550
163
103
106
122
-22
(61) - 13
0.1
99.99
3.628
160
100
103
136
-36
(74) - 10
-0.4
123
160
-45
(80) - (2)
-0.1
133
196
-72
(102) - (31)
-0.4
258
244
120
125
184
-69
148
97
98
97
(44) - 23
0.9
156
96
99
123
-30
(66) - 5
0.4
117
162
-54
(84) - (9)
-0.4
135
199
-73
(96) - (51)
-0.4
49
45
(32) - 23
1.2
52
50
90
-43
(71) - (20)
0.1
42
41
42
-2
(36) - 22
0.4
49
-7
(33) - 22
-0.2
66
-33
(46) - 5
-1.0
78
-32
(46) - 4
-1.1
75
96
-28
(75) - 13
0.1
78
80
107
-31
(94) - 2
0.7
73
75
111
-42
(76) - (34)
1.3
261
197
209
157
45
(78) - 57
1.2
Price
YTM
Govt. ASW
Stripped
Oct-16
95.04
3.772
117
64
69
86
5.000
May-17
104.87
4.076
138
92
93
113
6.250
Jul-13
107.14
2.821
105
57
55
199
A3 / A-
8.875
Sep-13
113.69
2.785
86
48
45
40
BMW
A3 / A-
4.250
Jan-14
103.68
2.811
82
32
32
BMW
A3 / A-
4.000
Sep-14
103.02
3.033
101
34
34
BMW Aktiengesellschaft
BMW
A3 / A-
5.000
May-15
106.62
3.227
96
40
40
BMW Aktiengesellschaft
BMW
A3 / A-
3.250
Jan-16
99.73
3.310
82
33
35
BMW Aktiengesellschaft
BMW
A3 / A-
3.875
Jan-17
101.71
3.536
84
41
BMW Aktiengesellschaft
BMW
A3 / A-
5.000
Aug-18
107.10
3.855
200
57
Daimler AG
DAIGR
A3 / BBB+
3.000
Jul-13
100.98
2.531
76
25
25
Daimler AG
DAIGR
A3 / BBB+
7.875
Jan-14
112.37
3.001
101
56
Daimler AG
DAIGR
A3 / BBB+
4.625
Sep-14
104.53
3.158
113
48
Daimler AG
DAIGR
A3 / BBB+
4.125
Jan-17
102.69
3.591
89
47
HNDA
A1 / A+
3.875
Sep-14
102.31
3.133
111
Peugeot SA
4.000
Jul-13
101.65
3.204
Peugeot SA
3.625
Sep-13
100.70
Peugeot SA
3.500
Jan-14
Peugeot SA
3.625
Apr-14
Peugeot SA
3.875
Jan-15
99.58
3.996
181
119
Peugeot SA
4.250
Feb-16
99.77
4.302
176
129
Peugeot SA
BACR
6.000
Jan-21
99.56
6.056
294
246
Rci Banque SA
4.000
Jan-16
99.10
4.210
177
Renault
4.000
Jul-13
101.54
3.254
Renault
3.250
Jan-14
99.39
3.485
Renault
4.375
Jan-15
101.47
3.936
175
114
Renault
4.000
Mar-16
98.57
4.332
179
129
4.625
Sep-13
104.01
2.834
106
49
6.625
Feb-16
113.68
3.440
95
Volkswagen Aktiengesellschaft
VW
A3 / A-
4.875
May-13
104.37
2.634
96
Volkswagen Aktiengesellschaft
VW
A3 / A-
5.375
Nov-13
106.00
2.860
94
45
45
Volkswagen Aktiengesellschaft
VW
A3 / A-
3.500
Feb-15
101.27
3.132
87
35
35
Volkswagen Aktiengesellschaft
VW
A3 / A-
7.000
Feb-16
115.24
3.460
97
55
52
Volkswagen Aktiengesellschaft
VW
A3 / A-
5.375
May-18
108.25
4.004
233
75
ABNANV Aa3 / A
2.750
Oct-13
98.93
3.205
128
ABNANV Aa3 / A
3.375
Jan-14
100.32
3.246
125
AAB
4.250
May-16
96.35
5.095
Funding
-21
Automobiles
Baa1 / A
(51) - 109
-0.7
(103) - (25)
-0.5
Banks
A2 / A+
ABNANV Aa3 / A
3.625
Oct-17
95.58
4.429
115
122
164
-49
(70) - 3
-0.4
ABBEY
Aa3 / AA
3.375
Oct-15
96.60
4.225
178
124
131
121
(32) - 71
-0.3
Aa1 / AA
5.250
May-13
105.07
2.644
87
43
42
63
-24
(52) - (3)
0.4
Aa1 / AA
3.750
Mar-17
99.04
3.936
124
77
80
115
-39
(49) - (15)
-0.7
Aa2 / AA-
5.125
Sep-19
102.01
4.822
180
140
144
182
-47
(47) - 31
-1.7
BNP Paribas
BNP
Aa2 / AA
5.000
Dec-13
105.16
2.905
98
46
45
53
-11
(88) - 10
1.0
BNP Paribas
BNP
Aa2 / AA
2.875
Jul-15
97.89
3.423
109
53
55
82
-29
(90) - (3)
0.6
BNP Paribas
BNP
Aa2 / AA
2.625
Sep-16
95.54
3.552
95
45
48
100
-56
(74) - (34)
-0.3
BNP Paribas
BNP
Aa2 / AA
3.750
Nov-20
96.77
4.164
105
62
66
118
-57
(70) - (23)
-1.6
BNP
Aa3 / AA-
5.431
Sep-17
105.41
4.428
165
125
125
164
-48
(136) - (12)
0.9
MONTE
A2 / A-
4.375
Jul-13
102.45
3.210
136
91
92
126
-41
(208) - (24)
1.6
MONTE
A2 / A-
4.750
Apr-14
101.88
4.063
204
145
147
141
-2
(159) - 10
2.1
MONTE
A2 / A-
3.875
Feb-15
100.42
3.747
148
94
97
156
-67
(206) - (59)
1.8
MONTE
A3 / BBB+
5.600
Sep-20
100.59
5.514
240
197
206
418
-235
(482) - (92)
0.6
4.875
Jan-14
102.00
4.071
208
156
157
147
(83) - 62
0.1
3.250
Apr-15
95.16
4.616
231
168
179
180
-7
(121) - 57
0.3
3.875
Aug-15
97.11
4.638
230
168
176
187
-19
(71) - 47
0.0
711
75
(195) - 206
0.2
BCPPL
5.625
Apr-14
87.50
10.789
728
820
BANSAB Baa1 / A-
Baa3 / BBB-
6.250
Apr-20
97.63
6.611
301
319
BESPL
Baa2 / BBB-
5.625
Jun-14
89.00
9.953
659
733
640
59
(242) - 156
1.1
BESPL
Baa2 / BBB-
3.875
Jan-15
83.00
9.533
582
676
640
27
(259) - 213
0.8
BPIM
A2 / A-
3.125
Sep-13
98.87
3.635
125
129
143
-20
(146) - (6)
1.2
178
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
9
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Issuer
Ticker
Rating
BPIM
A2 / A-
4.125
A3 / BBB+
Interp
Stripped
Range
Z-score
6M
6M
-47
(149) - (27)
1.4
428
-171
(374) - (30)
0.7
130
10
(176) - 56
0.8
0.3
Price
YTM
Govt. ASW
Oct-14
100.41
3.991
180
124
128
166
6.000
Nov-20
98.11
6.264
315
265
280
97.91
3.810
196
140
145
Funding
SANTAN Aa2 / AA
2.875
Sep-13
SANTAN Aa2 / AA
3.500
Aug-14
97.68
4.273
225
153
160
152
(56) - 42
SANTAN Aa2 / AA
3.500
Mar-15
96.87
4.401
209
152
160
167
-13
(77) - 46
0.4
5.250
Apr-17
100.28
5.194
199
206
313
-121
(238) - 72
-0.5
BAC
A2 / A
4.625
Feb-14
102.46
3.671
168
113
115
78
33
3 - 85
-0.6
BAC
A2 / A
5.125
Sep-14
104.27
3.748
161
106
106
95
(10) - 85
-1.5
BAC
A2 / A
4.000
Mar-15
100.07
3.977
171
114
117
107
(36) - 75
-0.4
BAC
A2 / A
7.000
Jun-16
110.48
4.640
215
169
164
136
20
(4) - 70
-0.6
BAC
A2 / A
4.750
Apr-17
99.99
4.751
205
156
162
142
13
(8) - 83
-1.0
BAC
A2 / A
4.625
Aug-17
98.91
4.828
205
158
165
145
14
(2) - 82
-1.1
HBOS
Aa3 / A+
5.625
May-13
103.80
3.649
188
143
143
91
47
(38) - 65
1.3
HBOS
Baa3 / BBB
4.875
Mar-15
97.21
5.697
343
276
290
263
13
(90) - 84
0.4
BFCM
Aa3 / A+
3.000
Oct-15
96.44
3.880
144
91
96
100
-8
(26) - 31
-1.0
BFCM
Aa3 / A+
4.625
Apr-17
102.34
4.173
101
103
100
-3
(28) - 29
-0.6
BFCM
Aa3 / A+
4.125
Jul-20
96.88
4.546
143
101
107
100
(1) - 53
-1.7
A1 / A
4.000
Oct-20
92.49
5.014
190
139
152
220
-76
(131) - (42)
0.1
BACR
Aa3 / AA-
5.250
May-14
105.16
3.433
141
83
82
86
-7
(28) - 31
-1.1
BACR
Aa3 / AA-
3.500
Mar-15
99.37
3.676
137
84
87
103
-19
(35) - 22
-1.1
BACR
Aa3 / AA-
4.000
Jan-17
99.56
4.086
139
94
98
128
-38
(43) - 31
-2.1
BACR
Aa3 / AA-
4.875
Aug-19
102.33
4.527
151
111
115
141
-35
(36) - 38
-2.6
BACR
Baa1 / A
6.000
Jan-18
102.12
5.606
275
233
239
242
-17
(23) - 95
-1.9
HVB
Baa2 / BBB+
6.000
Feb-14
104.01
4.403
318
190
190
144
37
(92) - 124
0.0
CAIXAB
Aa2 / A+
3.750
Nov-13
99.45
3.980
206
153
157
230
72
CXGD
Baa1 / BBB-
5.125
Feb-14
97.19
6.251
426
355
372
548
-207
Citigroup Inc.
A3 / A
3.950
Oct-13
101.22
3.410
156
102
103
61
40
(8) - 61
0.5
Citigroup Inc.
A3 / A
4.750
Nov-13
103.20
3.390
154
98
98
64
31
(31) - 52
0.4
Citigroup Inc.
A3 / A
7.375
Jun-14
110.37
3.763
174
119
115
81
31
11 - 64
-0.5
Citigroup Inc.
A3 / A
3.500
Aug-15
97.94
4.036
166
111
116
109
(26) - 43
-0.8
Citigroup Inc.
A3 / A
4.375
Nov-18
98.80
4.566
165
119
125
141
-23
(57) - 72
-1.5
Citigroup Inc.
A3 / A
5.000
Aug-19
101.17
4.822
180
140
145
144
-7
(22) - 78
-1.4
Citigroup Inc.
A3 / A
7.375
Sep-19
115.79
5.002
198
173
165
144
(13) - 109
-1.3
Commerzbank AG
CMZB
A2 / A
5.000
Feb-14
104.93
3.091
110
58
58
88
-34
(149) - 18
-0.1
Commerzbank AG
CMZB
A2 / A
4.750
Jan-15
104.61
3.402
114
64
64
111
-53
(150) - 4
-0.5
Commerzbank AG
CMZB
A2 / A
3.875
Mar-17
97.65
4.336
164
114
120
140
-27
(150) - 22
0.0
Commerzbank AG (Sub)
CMZB
Baa3 / BBB-
7.750
Mar-21
104.52
7.092
394
357
363
360
-24
(36) - 55
-1.0
(99) - 179
0.4
(272) - (25)
-1.1
CBA
Aa2 / AA-
5.500
Aug-19
104.64
4.802
178
141
143
181
-47
(49) - 33
-1.7
CBA
Aa1 / AA
4.250
Nov-16
102.29
3.777
117
68
70
111
-47
(60) - (28)
-0.6
CBAAU
Aa1 / AA
4.375
Feb-20
100.80
4.261
120
79
83
140
-64
(69) - (10)
-1.7
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.375
Jan-14
103.67
2.936
94
44
44
25
18
(41) - 27
1.5
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.250
Apr-14
103.47
3.001
101
41
41
28
12
(112) - 23
1.2
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
3.000
Feb-15
99.24
3.214
95
41
42
38
(51) - 15
1.5
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
3.375
Jan-16
99.48
3.495
101
52
54
50
(52) - 13
1.4
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.375
May-16
103.25
3.650
116
64
65
54
10
(38) - 22
1.2
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
3.375
Apr-17
97.56
3.841
114
65
69
58
(42) - 28
0.8
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
5.875
May-19
108.02
4.654
169
131
131
69
58
7 - 87
-0.1
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.125
Jan-20
99.12
4.246
118
78
82
72
(21) - 33
-0.1
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
3.750
Nov-20
91.80
4.844
173
122
134
74
58
29 - 91
-0.2
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.125
Jan-21
98.99
4.252
110
70
74
74
-3
(12) - 20
-1.3
ACAFP
Aa2 / A+
5.875
Jun-19
105.87
4.974
201
161
162
264
-116
(212) - (74)
0.4
Credit Agricole SA
ACAFP
Aa1 / AA-
6.000
Jun-13
106.39
2.849
108
61
60
79
-22
(111) - (1)
1.1
Credit Agricole SA
ACAFP
Aa1 / AA-
3.000
Jul-15
97.87
3.553
122
65
68
118
-54
(124) - (28)
0.8
Credit Agricole SA
ACAFP
Aa1 / AA-
3.625
Mar-16
99.29
3.787
124
77
80
128
-53
(72) - (27)
-0.3
ACAFP
Aa2 / A+
5.971
Feb-18
106.54
4.806
195
159
159
258
-114
(214) - (71)
0.7
ACAFP
Aa2 / A+
3.900
Apr-21
89.71
5.254
214
154
172
270
-109
(207) - (81)
0.6
CRLOG
Aa3 / AA-
5.454
Feb-21
102.64
5.102
195
156
161
20
139
137 - 195
-1.7
CS
Aa1 / A+
6.125
May-14
108.27
3.201
121
62
60
55
(26) - 24
0.4
CS
Aa1 / A+
2.875
Sep-15
97.37
3.531
115
59
62
76
-16
(39) - 12
-0.2
CS
Aa1 / A+
3.875
Jan-17
99.86
3.901
120
76
79
89
-14
(34) - 28
-1.4
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
10
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Issuer
Ticker
Rating
CS
Aa1 / A+
5.125
CS
Aa1 / A+
DNBNOR Aa3 / A+
DNBNOR Aa3 / A+
Interp
Price
YTM
Govt. ASW
Stripped
Sep-17
106.17
4.003
123
82
82
92
4.750
Aug-19
103.52
4.232
121
83
85
4.500
May-14
104.22
3.028
100
41
41
4.375
Feb-21
99.19
4.477
133
91
96
Funding
Range
Z-score
6M
6M
-16
(37) - 26
-1.3
101
-22
(35) - 41
-2.0
48
-8
(38) - 11
0.6
87
2 - 20
-1.5
1.2
DANBNK A1 / A
4.750
Jun-14
103.52
3.518
149
89
90
75
12
(25) - 24
DEXGRP A1 / A
5.375
Jul-14
102.80
4.408
227
174
176
223
-62
(158) - (41)
1.5
Fortis Bank
FORTIS
4.375
Feb-17
100.73
4.226
153
108
111
95
12
(145) - 43
1.7
A1 / AA
FBNETH Aa3 / A
4.000
Feb-15
100.45
3.864
160
106
109
70
36
(41) - 57
0.8
HSBC
Aa2 / AA
3.250
Jan-15
99.73
3.324
106
53
55
57
-4
(22) - 15
-0.5
HSBC
Aa2 / AA
3.750
Nov-16
100.19
3.707
110
59
61
78
-21
(40) - 11
-0.7
HSBC
Aa2 / AA
3.125
Nov-17
95.75
3.873
110
61
65
83
-22
(34) - 1
-1.2
HSBC
A1 / A
6.000
Jun-19
107.60
4.839
187
149
149
91
52
49 - 127
-1.6
HSBC
Aa2 / AA
4.000
Jan-21
98.18
4.231
112
HSBC
Aa3 / AA
4.875
Jan-14
104.67
3.030
HSBC
A3 / A
3.750
Nov-15
100.04
3.736
HSBC
A3 / A
4.875
May-17
103.27
HSBC
A1 / A
6.250
Mar-18
HSBC
Aa2 / AA-
4.500
Apr-14
INTNED
Aa3 / A+
3.375
BAVB
Aa2 / A+
ISPIM
68
72
96
-28
(37) - 18
-1.6
55
54
41
11
(42) - 31
0.7
136
79
82
74
(31) - 26
0.2
4.251
155
108
110
86
20
(20) - 55
-0.1
108.97
4.686
183
148
146
141
-4
(18) - 65
-1.1
103.69
3.178
115
58
58
59
-2
(42) - 20
0.4
Mar-15
99.22
3.596
129
77
80
76
(52) - 22
0.9
3.875
Apr-15
100.47
3.742
148
91
93
112
-23
(88) - 15
0.0
Aa2 / A+
5.375
Dec-13
104.70
3.450
153
100
100
80
14
(61) - 27
1.4
ISPIM
Aa2 / A+
3.375
Jan-15
98.81
3.722
146
91
95
107
-17
(52) - 17
0.0
ISPIM
Aa2 / A+
4.125
Jan-16
99.77
4.175
173
118
122
127
-11
(47) - 2
0.7
ISPIM
Aa2 / A+
3.750
Nov-16
98.05
4.147
154
101
106
136
-37
(61) - 15
-0.9
ISPIM
Aa2 / A+
4.750
Jun-17
101.67
4.431
173
124
127
139
-19
(71) - 15
-0.3
ISPIM
Aa2 / A+
4.000
Nov-18
95.85
4.666
175
126
134
146
-18
(41) - 23
-0.4
ISPIM
Aa2 / A+
4.125
Apr-20
96.12
4.666
160
113
122
153
-38
(68) - 40
-1.0
ISPIM
A2 / BBB+
6.625
May-18
102.88
6.106
325
281
287
230
42
(51) - 108
-0.1
ISPIM
Aa3 / A
5.000
Sep-19
101.18
4.822
180
138
143
237
-106
(225) - (25)
0.0
ISPIM
Aa3 / A
5.150
Jul-20
101.71
4.913
180
141
146
240
-108
(196) - (21)
-0.2
JPM
Aa3 / A+
5.250
May-13
104.50
2.894
112
69
68
26
41
14 - 53
0.6
JPM
Aa3 / A+
4.375
Jan-14
102.94
3.226
123
72
72
37
34
4 - 54
0.8
JPM
Aa3 / A+
6.125
Apr-14
107.86
3.231
124
69
67
39
26
7 - 59
-0.7
JPM
Aa3 / A+
5.250
Jan-15
106.10
3.448
131
70
69
55
12
(18) - 33
0.2
JPM
Aa3 / A+
3.875
Sep-20
94.89
4.554
144
99
106
94
10
(6) - 48
-1.8
KBC Bank
KBC
Aa3 / A
3.875
Mar-15
97.66
4.541
223
166
173
172
-6
(30) - 165
-0.8
LLOYDS Aa3 / A+
6.250
Apr-14
105.85
4.088
206
153
152
136
(23) - 38
0.0
LLOYDS Aa3 / A+
4.500
Sep-14
100.82
4.236
205
150
154
146
(22) - 20
-0.1
LLOYDS Aa3 / A+
3.750
Sep-15
97.40
4.418
208
145
153
166
-21
(36) - 31
-1.1
LLOYDS Aa3 / A+
6.375
Jun-16
107.85
4.610
212
163
161
179
-32
(54) - 40
-1.7
LLOYDS Aa3 / A+
5.375
Sep-19
101.78
5.102
208
167
172
195
-35
(41) - 73
-2.2
6.500
Mar-20
98.56
6.716
365
314
331
320
-9
(54) - 100
-1.1
NAB
Aa2 / AA-
4.625
Feb-20
97.95
4.916
185
141
149
185
-45
(45) - 50
-1.8
NAB
Aa1 / AA
3.500
Jan-15
100.05
3.482
122
69
71
85
-17
(38) - (2)
0.3
NAB
Aa1 / AA
5.500
May-15
107.24
3.537
127
72
71
90
-23
(47) - (4)
0.2
NAB
Aa1 / AA
4.750
Jul-16
104.22
3.832
123
80
80
107
-32
(49) - (8)
-0.4
NAB
Aa1 / AA
4.000
Jul-20
97.68
4.311
120
79
84
142
-64
(66) - (15)
-2.1
NWIDE
Aa3 / A+
3.750
Jan-15
98.34
4.239
198
141
147
143
-3
(11) - 101
-1.3
NWIDE
Baa3 / BBB+
6.750
Jul-20
102.53
6.373
326
286
294
370
-100
(100) - 171
-1.9
Nordea Bank AB
NBHSS
Aa2 / AA-
2.750
Aug-15
96.83
3.563
123
64
68
61
(30) - 18
1.1
Nordea Bank AB
NBHSS
Aa2 / AA-
3.750
Feb-17
99.25
3.896
120
74
77
72
(16) - 19
-0.1
Nordea Bank AB
NBHSS
Aa2 / AA-
4.000
Jun-20
97.83
4.291
123
77
82
88
-10
(15) - 13
-1.6
POHBK
Aa2 / AA-
3.125
Mar-15
98.81
3.457
115
62
65
100
-40
(60) - (32)
0.7
6.250
Oct-20
87.18
8.244
513
421
480
370
89
1 - 153
0.0
SNSSNS Baa1 / A-
3.625
Jul-13
98.59
4.310
246
196
203
162
33
(49) - 63
0.8
SEB
A1 / A
5.500
May-14
106.18
3.293
127
71
70
62
(17) - 31
-0.5
SEB
A1 / A
2.500
Sep-15
95.53
3.638
130
70
74
71
(11) - 17
-0.4
Societe Generale
SOCGEN Aa2 / A+
5.125
Dec-13
105.24
3.000
108
55
55
75
-26
(105) - (5)
0.9
Societe Generale
SOCGEN Aa2 / A+
3.750
Aug-14
101.32
3.313
117
62
64
89
-29
(106) - (12)
1.1
Societe Generale
SOCGEN Aa2 / A+
3.000
Mar-15
98.22
3.496
119
65
68
101
-36
(90) - (13)
0.7
STGEOR Aa1 / AA
6.500
Jun-13
107.47
2.819
105
59
57
100
-51
(74) - (37)
0.7
STANLN A2 / A
5.750
Apr-14
106.86
3.288
126
71
70
48
20
(7) - 33
1.0
STANLN A2 / A
3.625
Dec-15
99.83
3.661
128
70
72
78
-9
(31) - 11
-0.2
STANLN A2 / A-
5.875
Sep-17
107.01
4.578
180
141
140
142
-10
(27) - 89
-2.1
SUMIBK Aa3 / A
4.000
Nov-20
91.59
5.139
203
149
164
300
-155
(302) - (22)
-0.1
Svenska Handelsbanken AB
4.875
Mar-14
105.22
2.951
96
40
39
36
(18) - 17
1.0
Svenska Handelsbanken AB
3.750
Feb-17
99.40
3.866
117
71
74
55
16
(6) - 35
0.0
RBS
5.250
May-13
103.20
3.574
180
136
136
108
23
(22) - 60
0.5
A1 / A
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
11
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Coupon (%) Maturity
Ticker
Rating
RBS
Aa3 / A+
5.750
RBS
Aa3 / A+
4.875
Jul-15
102.00
4.338
200
145
RBS
Aa3 / A+
5.500
Mar-20
100.91
5.366
230
187
RBS
Aa3 / A+
4.875
Jan-17
99.78
4.916
222
175
181
RBS
Aa3 / A+
5.375
Sep-19
100.52
5.292
227
183
RBS
Baa3 / BBB+
4.875
Apr-15
99.92
4.897
263
202
RBS
Baa3 / BBB+
6.934
Apr-18
102.41
6.486
363
318
UBS AG
UBS
Aa3 / A+
6.250
Sep-13
107.20
2.979
121
UBS AG
UBS
Aa3 / A+
5.625
May-14
106.74
3.248
122
UBS AG
UBS
Aa3 / A+
3.500
Jul-15
100.11
3.468
UBS AG
UBS
Aa3 / A+
4.750
Jun-17
104.14
3.968
UBS AG
UBS
Aa3 / A+
6.000
Apr-18
111.58
UCGIM
Aa3 / A
5.250
Jan-14
CRDIT
Aa3 / A
4.375
CRDIT
Aa3 / A
May-14
Price
YTM
Govt. ASW
105.35
3.843
182
Interp
Issuer
125
Stripped
124
Funding
Range
Z-score
6M
6M
(39) - 80
-0.9
-1.0
133
-16
148
162
-21
(42) - 63
194
200
-18
(35) - 109
-1.8
31
148
143 - 281
-1.5
191
34
154
150 - 283
-2.0
208
281
-86
(129) - 44
-0.5
326
329
-24
(37) - 93
-1.5
67
65
46
17
(19) - 41
0.3
66
64
57
(21) - 33
-0.1
113
58
60
74
-16
(40) - 21
-0.8
119
80
81
91
-15
(40) - 27
-1.0
4.051
120
83
81
95
-21
(39) - 21
-1.7
103.68
3.770
185
129
129
118
(87) - 10
1.8
Feb-14
101.59
3.751
176
121
123
119
-3
(74) - 16
1.3
4.375
Jan-20
98.28
4.616
155
113
119
172
-61
(138) - (19)
0.7
Baa1 / BBB
3.950
Feb-16
95.07
5.145
266
205
218
259
-53
(238) - (31)
1.3
A1 / A-
5.750
Sep-17
103.01
5.178
240
196
200
272
-88
(206) - (26)
0.5
Baa1 / BBB
6.700
Jun-18
103.03
6.156
330
285
291
275
-2
(137) - 104
0.5
WB
A1 / AA-
4.375
Aug-16
102.39
3.857
125
80
82
94
-15
(44) - 8
0.3
WB
A2 / A+
4.375
Nov-18
99.09
4.516
160
114
119
106
(4) - 53
-1.0
WSTP
Aa1 / AA
5.875
Sep-13
106.73
2.831
52
50
67
-21
(46) - (7)
0.5
WSTP
Aa1 / AA
4.250
Sep-16
101.93
3.842
124
76
78
111
-37
(54) - (16)
-1.0
AALLN
Baa1 / BBB+
4.250
Sep-13
103.30
2.796
102
43
43
58
-17
(31) - 6
-0.7
ArcelorMittal
MTNA
Baa3 / BBB-
8.250
Jun-13
110.10
3.114
134
93
89
103
-18
(40) - 14
-0.2
ArcelorMittal
MTNA
Baa3 / BBB-
9.375
Jun-16
122.33
4.360
187
153
139
201
-80
(101) - (21)
-1.1
ArcelorMittal
MTNA
Baa3 / BBB-
4.625
Nov-17
100.37
4.553
178
Vale S.A.
4.375
Mar-18
100.45
4.296
Wesfarmers Limited
WESAU
3.875
Jul-15
101.51
3.476
Basic Resources
Baa1 / A-
110
130
135
219
-97
(121) - (45)
-0.9
101
104
159
-62
(83) - 3
-0.7
60
61
61
-1
(11) - 23
-1.6
7.875
Jan-14
112.11
3.096
110
66
62
35
25
10 - 60
-0.6
Bertelsmann AG
3.625
Oct-15
100.68
3.451
107
53
54
58
-6
(27) - 26
-0.4
Bertelsmann AG
4.750
Sep-16
104.76
3.752
115
69
70
69
-3
(19) - 29
-1.0
WPPLN
Baa3 / BBB
4.375
Dec-13
103.10
3.096
124
65
66
48
15
1 - 39
-0.3
WPPLN
Baa3 / BBB
5.250
Jan-15
105.78
3.559
129
80
79
65
11
(0) - 58
-1.5
WPPLN
Baa3 / BBB
6.625
May-16
112.11
3.914
142
96
93
81
(6) - 49
-1.6
WKLNA
Baa1 / BBB+
6.375
Apr-18
111.92
4.341
149
114
111
96
(1) - 63
-1.6
7.750
Jan-14
112.18
3.019
102
56
53
37
13
3 - 51
-2.5
7.250
Mar-15
113.70
3.414
115
66
63
53
(0) - 41
-2.2
B A S F Aktiengesellschaft
BASGR
A1 / A
6.000
Dec-13
108.20
2.645
72
22
21
33
-14
(25) - 11
-1.1
B A S F Aktiengesellschaft
BASGR
A1 / A
5.125
Jun-15
107.48
3.142
88
31
31
47
-18
(29) - 6
-1.2
Bayer Aktiengesellschaft
BYIF
A3 / A-
4.500
May-13
104.02
2.449
77
23
23
35
-13
(25) - 24
-1.5
DSM
A3 / A
5.750
Mar-14
107.90
2.821
83
28
27
38
-13
(27) - 15
-1.3
DSM
A3 / A
4.000
Nov-15
102.95
3.281
90
36
36
58
-25
(38) - 7
-1.1
LANXESS Aktiengesellschaft
LXSGR
Baa2 / BBB
7.750
Apr-14
112.56
3.163
114
64
60
59
-1
(10) - 45
-1.6
Linde Aktiengesellschaft
LINGR
A3 / A-
6.750
Dec-15
114.68
3.241
86
35
33
47
-18
(25) - 9
-1.3
Novartis AG
4.250
Jun-16
104.81
3.210
72
19
19
33
-16
(26) - 21
-1.8
ROSW
5.625
Mar-16
110.38
3.258
77
30
29
40
-13
(23) - 22
-1.7
Solvay
SOLVAY A3 / A-
4.625
Jun-18
103.78
4.004
233
71
73
83
-14
(23) - 13
-0.9
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
6.000
May-13
106.43
2.694
92
49
47
39
(4) - 31
-0.8
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
7.250
Sep-13
109.91
2.819
105
51
49
45
(16) - 17
0.2
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
8.250
Jul-14
115.13
3.211
107
61
57
63
-8
(20) - 13
-0.7
Compagnie De Saint-Gobain
SANFP
A2 / AA-
3.125
Oct-14
101.32
2.711
52
67
-69
(97) - (40)
0.0
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
4.875
May-16
105.72
3.615
113
61
61
99
-43
(51) - 7
-1.6
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
4.000
Oct-18
99.38
4.096
118
75
78
118
-45
(49) - (3)
-2.0
Compagnie De Saint-Gobain
SANFP
A2 / AA-
4.125
Oct-19
103.30
3.660
64
25
25
123
-105
(107) - (56)
-2.8
Corio N.V.
4.625
Jan-18
102.09
4.256
140
100
103
100
-4
(7) - 85
-2.1
Gecina
GFCFP
4.250
Feb-16
99.56
4.350
186
134
139
124
10
(6) - 39
-0.3
Holcim Ltd.
9.000
Mar-14
115.46
3.271
128
78
73
72
-4
(20) - 16
-0.1
Holcim Ltd.
4.375
Dec-14
103.53
3.308
117
56
57
90
-37
(64) - (12)
0.0
ARRFP
5.000
Jan-17
VINCI
ARRFP
Baa3 / BBB-
7.500
Jan-15
VINCI
VINCI
Baa1 / BBB+
7.375
Mar-19
122.03
4.044
108
79
73
98
-35
(41) - 10
-2.0
BGGRP
A2 / A
3.375
Jul-13
101.62
2.599
83
32
32
83
-54
(70) - (23)
-0.5
Chemicals
A2 / AA-
Construction
Baa3 / BBB-
Baa3 / BBB-
Energy
BG Energy Holdings Limited
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
12
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Issuer
Ticker
Rating
BP Plc
BPLN
A2 / A
3.100
YTM
100.00
3.096
91
37
38
63
BP Plc
BPLN
A2 / A
3.830
DANGAS Baa1 / A-
4.875
Oct-17
99.99
3.828
105
60
62
May-14
105.11
3.058
103
46
46
DANGAS Baa1 / A-
6.500
May-19
116.45
4.049
108
75
Electricidade de Portugal
5.875
Feb-16
Oct-14
Govt. ASW
Interp
Price
Stripped
Funding
Range
Z-score
6M
6M
-27
(33) - 16
-1.5
96
-38
(46) - 2
-2.4
38
(7) - 35
-0.5
71
81
-16
(16) - 30
-2.9
Electricidade de Portugal
4.750
Sep-16
92.30
6.482
388
315
343
279
50
(89) - 61
1.4
GDF Suez
GSZFP
A1 / A
6.250
Jan-14
108.66
2.871
88
39
38
45
-10
(32) - 20
-0.4
GDF Suez
GSZFP
A1 / A
5.625
Jan-16
109.75
3.340
85
41
40
69
-33
(48) - (3)
-1.3
GDF Suez
GSZFP
A1 / A
2.750
Oct-17
GDF Suez
GSZFP
A1 / A
6.875
Jan-19
119.96
3.831
92
56
52
91
-46
(53) - (1)
-2.4
GDF Suez
GSZFP
A1 / A
6.375
Jan-21
118.57
4.019
105
57
54
96
-51
(57) - 8
-2.4
GASSM
Baa2 / BBB
5.250
Jul-14
103.83
3.933
191
129
129
105
20
(24) - 76
-0.4
GASSM
Baa2 / BBB
5.625
Feb-17
GASSM
Baa2 / BBB
6.375
Jul-19
106.50
5.367
235
201
201
186
Petroleos Mexicanos
PEMEX
Baa1 / BBB
5.500
Jan-17
104.55
4.565
146
147
REPSM
Baa1 / BBB
5.000
Jul-13
104.03
3.070
122
79
79
REPSM
Baa1 / BBB
4.625
Oct-14
103.63
3.473
133
77
Schlumberger N.V.
SLB
A1 / A+
2.750
Dec-15
98.30
3.154
78
20
(34) - 74
-0.8
11
(12) - 53
-0.5
57
21
(15) - 62
-0.4
77
86
-13
(35) - 55
-1.1
21
40
-20
(30) - (1)
-1.2
SSELN
A3 / A-
6.125
Jul-13
106.89
2.864
109
59
58
43
13
(24) - 21
1.2
StatoilHydro ASA
STOIL
Aa2 / AA-
4.375
Mar-15
104.81
3.024
76
23
23
49
-28
(42) - (7)
-1.0
StatoilHydro ASA
STOIL
Aa2 / AA-
5.625
Mar-21
114.49
3.827
86
34
32
84
-58
(67) - (2)
-1.7
RDSALN Aa1 / AA
4.625
May-17
106.74
3.371
67
22
22
66
-48
(59) - (19)
-1.5
Total SA
TOTAL
Aa1 / AA-
4.750
Dec-13
105.42
2.550
63
11
11
29
-20
(31) - 1
-0.4
Total SA
TOTAL
Aa1 / AA-
3.500
Feb-14
102.37
2.609
61
31
-25
(35) - 2
-0.9
Total SA
TOTAL
Aa1 / AA-
3.625
May-15
102.55
2.942
68
10
11
44
-35
(47) - (10)
-0.8
Total SA
TOTAL
Aa1 / AA-
4.875
Jan-19
108.74
3.557
59
23
22
71
-53
(62) - (24)
-2.1
AIG
Baa1 / A-
4.375
Apr-16
97.50
0.050
186
196
176
14
(19) - 87
-0.2
AIG
Baa1 / A-
5.000
Jun-17
98.38
5.315
206
216
185
22
6 - 38
0.3
GE
Aa2 / AA+
4.250
Feb-14
102.83
3.151
116
63
64
72
-12
(90) - 9
0.8
GE
Aa2 / AA+
4.750
Jul-14
104.40
3.283
114
63
63
79
-20
(100) - 0
0.6
GE
Aa2 / AA+
2.875
Sep-15
97.59
3.478
114
55
58
98
-43
(119) - (28)
0.8
GE
Aa2 / AA+
4.125
Oct-16
101.79
3.752
115
66
68
114
-52
(119) - (33)
0.7
GE
Aa2 / AA+
4.250
Mar-17
101.51
3.951
125
81
83
115
-38
(95) - (11)
-0.1
GE
Aa2 / AA+
5.375
Jan-20
105.86
4.542
152
112
113
132
-28
(54) - 18
-1.2
GE
Aa2 / AA+
4.350
Nov-21
96.54
4.775
123
113
121
136
-20
(66) - 11
-0.3
Leaseplan Corporation Nv
LPTY
A3 / BBB+
3.750
Aug-13
100.95
3.304
153
98
100
86
3 - 52
-0.9
Leaseplan Corporation Nv
LPTY
A3 / BBB+
3.875
Sep-15
99.11
4.098
176
116
120
86
30
13 - 97
-0.9
MQGAU A2 / A-
6.000
Sep-20
96.57
6.494
338
285
304
266
24
(4) - 158
-0.8
EMGLN
Baa2 / BBB
6.000
Feb-15
100.85
5.736
343
289
296
250
27
(124) - 42
1.0
MER
A2 / A
6.750
May-13
106.43
3.414
239
122
119
55
62
27 - 85
0.7
MER
A2 / A
4.625
Oct-13
102.55
3.490
164
112
113
67
43
(3) - 69
0.4
MER
A2 / A
4.875
May-14
103.05
3.796
180
117
118
86
30
1 - 62
0.1
MER
A3 / A-
4.625
Sep-18
93.86
5.666
275
219
237
152
79
53 - 164
-0.9
Morgan Stanley
MS
A2 / A
4.500
Oct-14
101.55
4.006
182
127
129
110
14
(14) - 47
-0.4
Morgan Stanley
MWD
A2 / A
4.000
Nov-15
98.56
4.351
197
137
143
134
(218) - 31
0.2
Morgan Stanley
MS
A2 / A
4.500
Feb-16
99.49
4.617
207
159
165
140
19
(3) - 30
-0.1
Morgan Stanley
MS
A2 / A
4.375
Oct-16
98.56
4.677
207
154
161
147
(21) - 37
-0.6
Morgan Stanley
MS
A2 / A
5.500
Oct-17
103.18
4.903
213
169
172
155
(27) - 62
-1.1
Morgan Stanley
MS
A2 / A
6.500
Dec-18
109.28
5.001
215
172
170
160
-3
(34) - 81
-1.6
Morgan Stanley
MS
A2 / A
5.000
May-19
100.43
4.934
197
152
158
161
-12
(36) - 85
-1.7
Morgan Stanley
MS
A2 / A
5.375
Aug-20
100.83
5.256
214
173
180
162
(14) - 105
-1.9
NYKRE
A1 / A+
3.500
Nov-15
97.19
4.195
175
121
127
100
23
5 - 36
0.2
Syngenta AG
SYNNVX A2 / A
4.000
Jun-14
103.25
2.898
87
26
26
36
-12
(20) - 14
-1.6
GS
A1 / A
4.750
Jan-14
102.96
3.581
159
107
108
68
37
4 - 61
-0.4
GS
A1 / A
5.125
Oct-14
104.34
3.748
161
104
104
86
15
(3) - 59
-1.4
GS
A1 / A
4.000
Feb-15
100.54
3.837
157
103
106
94
(14) - 64
-1.2
GS
A1 / A
4.500
Jan-17
100.23
4.451
175
130
134
126
(16) - 81
-1.7
GS
A1 / A
6.375
May-18
108.99
4.826
197
161
159
136
14
(5) - 92
-1.7
GS
A1 / A
5.125
Oct-19
100.94
4.982
196
153
159
142
10
1 - 105
-1.8
VW
A2 / A-
2.375
Jun-13
99.69
2.524
75
26
26
19
(7) - 27
-0.8
VW
A3 / A-
3.375
Jul-14
101.45
2.893
87
22
23
19
(6) - 39
-2.0
VW
A3 / A-
2.750
Jul-15
97.77
3.331
95
44
46
19
26
19 - 51
-1.2
VW
A3 / A-
6.875
Jan-14
110.04
2.921
93
46
44
72
-34
(43) - (10)
-0.9
Financial Services
EEEKGA A3 / A-
7.875
Jan-14
111.07
3.471
148
105
100
62
30
16 - 52
-0.3
Diageo Plc
DIAG
5.500
Jul-13
105.58
2.771
114
52
51
42
(25) - 22
1.3
A3 / A-
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
13
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Issuer
Ticker
Rating
Groupe Danone
BSNSA
A3 / A-
5.500
Groupe Danone
BNFP
A3 / A-
3.600
Inbev NV
ABIBB
Baa1 / A-
KFT
Baa2 / BBB-
Unilever N.V.
ULVR
Unilever N.V.
Govt. ASW
Interp
Stripped
Funding
Range
Z-score
6M
6M
Price
YTM
May-15
109.14
3.032
77
22
22
57
-38
(72) - (26)
1.0
Nov-20
98.34
3.809
70
28
30
91
-65
(71) - (10)
-1.6
4.000
Apr-18
101.40
3.766
91
48
50
94
-48
(61) - (7)
-0.9
6.250
Mar-15
109.95
3.447
118
68
66
43
21
6 - 40
-0.5
A1 / A+
4.875
May-13
104.77
2.434
66
21
21
23
-3
(19) - 16
0.0
ULVR
A1 / A+
3.375
Sep-15
102.12
2.851
47
-5
-5
38
-45
(59) - (23)
-0.6
Glaxosmithkline Plc
GSK
A1 / A+
3.875
Jul-15
102.81
3.141
76
28
28
41
-14
(27) - 10
-1.0
Glaxosmithkline Plc
GSK
A1 / A+
5.625
Dec-17
111.97
3.553
78
36
35
55
-24
(35) - 9
-1.7
JNJ
Aaa / AAA
4.750
Nov-19
108.17
3.613
84
21
21
61
-43
(46) - (6)
-3.7
Pfizer Inc.
PFE
A1 / AA
3.625
Jun-13
102.14
2.544
77
31
31
32
-3
(16) - 16
0.0
Pfizer Inc.
PFE
A1 / AA
4.750
Dec-14
105.99
2.966
83
23
22
48
-28
(37) - 0
-1.6
Pfizer Inc.
PFE
A1 / AA
4.750
Jun-16
106.27
3.380
89
37
37
61
-27
(37) - 10
-2.1
Pfizer Inc.
PFE
A1 / AA
5.750
Jun-21
114.53
3.969
100
47
45
92
-53
(58) - 29
-2.3
Sanofi-Aventis
SANFP
A2 / AA-
3.500
May-13
102.22
2.359
59
14
14
17
-4
(18) - 15
-0.3
Sanofi-Aventis
SANFP
A2 / AA-
4.500
May-16
105.65
3.260
77
25
25
44
-21
(38) - 5
-0.3
Schering-Plough Corp
SGP
Aa3 / AA
5.375
Oct-14
107.66
2.963
82
27
27
44
-20
(28) - 3
-1.2
ABB
A3 / A
4.625
Jun-13
103.89
2.669
212
44
43
34
(9) - 28
0.0
Atlantia S.P.A.
ATLIM
A3 / A-
5.625
May-16
108.36
3.755
127
78
76
105
-34
(54) - 34
-1.6
Atlantia S.P.A.
ATLIM
A3 / A-
3.375
Sep-17
96.71
3.968
119
72
77
117
-45
(47) - 13
-2.1
Cargill, Inc.
CARGIL
A2 / A
6.250
Jul-15
110.76
3.451
107
62
60
50
(10) - 25
0.0
Cargill, Inc.
CARGIL
A2 / A
4.875
May-17
105.32
3.871
117
72
72
71
-2
(11) - 21
-1.2
EADFP
A1 / A-
4.625
Aug-16
104.78
3.607
100
56
57
99
-48
(71) - (10)
-1.5
EADFP
A1 / A-
5.500
Sep-18
108.73
4.100
225
82
81
115
-42
(97) - (9)
0.3
Finmeccanica S.P.A.
FINMEC A3 / BBB
5.750
Dec-18
107.55
4.546
255
124
124
173
-62
(103) - 5
-1.0
Finmeccanica S.P.A.
FNCIM
A3 / BBB
5.250
Jan-22
101.33
5.082
206
146
152
187
-47
(48) - 44
-1.8
Investor AB
INVSA
A1 / AA-
4.000
Mar-16
102.23
3.490
100
50
51
61
-13
(22) - 5
-0.8
DE
A2 / A
7.500
Jan-14
111.73
2.921
93
46
43
36
(6) - 22
-0.2
Siemens Aktiengesellschaft
SIEGR
A1 / A+
5.375
Jun-14
107.27
2.876
88
26
26
39
-15
(43) - 8
0.3
Siemens Aktiengesellschaft
SIEGR
A1 / A+
5.125
Feb-17
108.33
3.506
81
40
39
66
-31
(42) - 0
-1.2
Siemens Aktiengesellschaft
SIEGR
A1 / A+
5.625
Jun-18
112.25
3.631
78
38
37
76
-44
(55) - (13)
-1.3
AON Corporation
AOC
Baa2 / BBB+
6.250
Jul-14
106.78
3.908
188
130
128
56
71
55 - 113
-1.0
AXA
AXASA
A2 / A
6.000
Jun-13
107.26
2.414
74
18
17
90
-77
(94) - (18)
-1.0
AXA
AXASA
A2 / A
4.500
Jan-15
103.15
3.572
131
80
81
119
-45
(89) - (22)
0.5
Aegon N.V.
AEGON
A3 / A-
4.125
Dec-14
101.22
3.748
161
98
101
127
-33
(118) - (21)
1.7
Allianz SE
ALZ
Aa3 / AA
4.000
Nov-16
102.85
3.422
82
33
33
82
-53
(64) - 4
-1.5
Allianz SE
ALVGR
Aa3 / AA
Healthcare
Insurance
4.750
Jul-19
105.34
3.972
95
59
59
94
-41
(52) - 21
-1.7
4.875
Nov-14
104.36
3.523
138
80
80
101
-27
(71) - (9)
0.7
3.875
May-15
101.48
3.472
121
63
64
113
-53
(90) - (13)
0.5
Fortis N.V.
FORTIS
A1 / AA
4.500
May-14
102.91
3.476
148
85
86
96
-15
(125) - (8)
1.5
INTNED
A1 / A
5.625
Sep-13
104.90
3.379
161
106
105
89
(57) - 18
1.3
INTNED
A1 / A
4.750
May-17
102.21
4.326
163
115
117
119
-8
(64) - 8
0.7
INTNED
Baa1 / A-
4.000
Sep-13
100.96
3.560
171
119
121
134
-20
(91) - (14)
1.6
MetLife, Inc.
MET
Aa3 / AA-
4.625
May-17
103.23
4.011
131
85
86
148
-69
(130) - (14)
-0.3
SCHREI A1 / A+
7.000
May-14
110.30
3.358
133
79
76
88
-18
(54) - 12
0.3
UNIIM
5.000
Jan-17
100.95
4.801
210
165
170
168
-9
(17) - 118
-1.5
ZURNVX A1 / A+
4.500
Sep-14
103.74
3.298
116
61
61
93
-37
(50) - 26
-1.5
HENKEL A3 / A-
4.250
Jun-13
103.52
2.494
82
25
25
24
(18) - 11
0.9
HENKEL A3 / A-
4.625
Mar-14
104.90
2.811
82
26
26
30
-6
(29) - 11
0.6
MOTOPG A2 / A+
3.750
Nov-17
98.97
3.928
115
67
70
100
-34
(41) - (1)
-1.4
PG
Aa3 / AA-
4.500
May-14
104.92
2.771
78
17
17
26
-9
(25) - 12
-0.4
PG
Aa3 / AA-
5.125
Oct-17
109.51
3.453
68
26
26
47
-24
(34) - 4
-1.6
PG
Aa3 / AA-
4.125
Dec-20
101.67
3.910
142
39
41
63
-25
(42) - 5
-0.9
-0.9
Baa2 / BBB
Retail
Adecco S.A.
7.625
Apr-14
111.37
3.518
149
98
94
58
34
14 - 64
Metro AG
9.375
Nov-13
115.22
3.065
114
70
65
48
13
(9) - 39
0.1
Metro AG
5.750
Jul-14
107.33
3.278
125
65
64
62
(17) - 21
-0.1
Metro AG
7.625
Mar-15
114.67
3.452
119
72
68
76
-12
(26) - 21
-0.9
Metro AG
4.250
Feb-17
101.92
3.871
117
73
75
103
-33
(44) - (0)
-1.5
Sabmiller Plc
SABLN
4.500
Jan-15
103.48
3.477
121
71
71
67
(10) - 32
-1.1
Tesco Plc
TSCOLN A3 / A-
5.125
Feb-15
107.03
3.127
86
35
35
64
-32
(48) - (10)
-0.5
Tesco Plc
TSCOLN A3 / A-
5.875
Sep-16
111.43
3.487
88
46
45
83
-43
(57) - (22)
-0.7
Baa1 / BBB+
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
14
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Issuer
Mdy's / S&P
Ticker
Rating
Par
Coupon (%) Maturity
Price
YTM
Govt. ASW
Interp
Stripped
Funding
Range
Z-score
6M
6M
Technology
Hutchison Whampoa Limited
HUWHY A3 / A-
4.750
Nov-16
IBM Corp.
IBM
Aa3 / A+
6.625
Jan-14
109.97
2.766
77
28
27
18
(3) - 38
-1.2
Vivendi
VIVFP
Baa2 / BBB
4.500
Oct-13
103.51
2.955
110
59
59
61
-5
(17) - 23
-0.4
Vivendi
VIVFP
Baa2 / BBB
7.750
Jan-14
111.46
3.246
125
80
76
67
(9) - 28
-0.5
Vivendi
VIVFP
Baa2 / BBB
4.250
Dec-16
101.67
3.906
121
80
82
109
-33
(37) - 21
-1.8
Vivendi
VIVFP
Baa2 / BBB
4.000
Mar-17
99.83
4.031
133
86
89
111
-27
(33) - 33
-1.9
Vivendi
VIVFP
Baa2 / BBB
4.875
Dec-19
103.18
4.417
140
99
101
127
-34
(35) - 37
-1.8
AT&T Inc.
A2 / A-
6.125
Apr-15
110.38
3.242
98
46
45
57
-14
(35) - 5
-0.2
America Movil SA de CV
AMXLMM A2 / A-
3.750
Jun-17
99.49
3.844
115
65
67
99
-35
(63) - (17)
0.3
Belgacom
BELGBB A1 / A+
3.875
Feb-18
100.39
3.806
95
54
56
79
-26
(34) - (3)
-1.5
BRITEL
Baa2 / BBB-
6.125
Jul-14
108.29
3.318
129
70
68
62
(12) - 32
-1.2
BRITEL
Baa2 / BBB-
6.500
Jul-15
111.15
3.561
118
75
72
79
-10
(18) - 33
-2.1
Deutsche Telekom AG
DT
Baa1 / BBB+
5.750
Jan-14
107.16
2.916
92
45
44
43
-2
(21) - 21
0.2
Deutsche Telekom AG
DT
Baa1 / BBB+
4.000
Jan-15
102.95
3.137
87
37
37
57
-23
(36) - 20
-1.8
Deutsche Telekom AG
DT
Baa1 / BBB+
5.750
Apr-15
109.01
3.267
100
48
46
60
-17
(34) - 17
-1.2
Deutsche Telekom AG
DT
Baa1 / BBB+
6.000
Jan-17
111.73
3.676
98
61
58
79
-26
(38) - 13
-1.9
Deutsche Telekom AG
DT
Baa1 / BBB+
6.625
Mar-18
116.55
3.841
216
65
61
89
-34
(43) - 12
-1.7
France Telecom
FRTEL
A3 / A-
5.000
Jan-14
105.34
2.906
91
42
42
38
(18) - 16
0.4
France Telecom
FRTEL
A3 / A-
5.250
May-14
106.55
2.956
96
35
35
43
-9
(31) - 10
0.1
France Telecom
FRTEL
A3 / A-
3.625
Oct-15
101.85
3.166
79
25
26
61
-38
(50) - (4)
-1.5
France Telecom
FRTEL
A3 / A-
5.625
May-18
111.32
3.761
91
52
50
84
-39
(46) - 10
-1.9
France Telecom
FRTEL
A3 / A-
3.875
Apr-20
99.06
4.001
94
52
55
95
-44
(50) - 17
-2.0
France Telecom
FRTEL
A3 / A-
3.875
Jan-21
98.38
4.079
97
53
56
98
-46
(53) - 5
-1.7
KPN
Baa2 / BBB+
6.250
Sep-13
107.51
2.889
112
57
55
31
22
(5) - 43
0.2
KPN
Baa2 / BBB+
6.250
Feb-14
108.23
3.056
106
58
56
36
18
4 - 40
-0.3
KPN
Baa2 / BBB+
4.000
Jun-15
102.33
3.381
100
52
53
53
-1
(12) - 37
-1.4
KPN
Baa2 / BBB+
6.500
Jan-16
112.77
3.490
100
58
56
59
-7
(18) - 34
-1.8
KPN
Baa2 / BBB+
4.750
Jan-17
104.64
3.822
122
72
72
69
(10) - 33
-1.6
KPN
Baa2 / BBB+
7.500
Feb-19
121.05
4.244
128
102
94
84
(3) - 55
-1.5
KPN
Baa2 / BBB+
3.750
Sep-20
95.09
4.399
129
84
91
90
-2
(12) - 46
-1.6
Nokia Oyj
NOKIA
A3 / A-
5.500
Feb-14
106.04
3.156
116
66
65
81
-20
(34) - 18
-1.5
Nokia Oyj
NOKIA
A3 / A-
6.750
Feb-19
115.78
4.304
134
104
99
136
-49
(57) - 15
-2.0
5.625
Feb-16
97.92
6.135
365
304
319
278
23
20 - 76
-2.0
5.000
Nov-19
88.22
6.872
385
309
348
308
32
23 - 129
-1.4
Ses
4.375
Oct-13
103.30
2.950
110
56
56
43
11
(4) - 37
-0.7
Ses
4.875
Jul-14
104.64
3.303
128
66
66
53
11
(6) - 38
-1.2
Ses
4.625
Mar-20
101.70
4.386
132
92
95
100
-11
(15) - 54
-2.4
Ses
4.750
Mar-21
100.98
4.622
147
107
111
104
(6) - 31
-2.0
TDC AS
TDCDC
Baa2 / BBB
3.500
Feb-15
99.91
3.522
126
71
73
58
13
3 - 43
-1.7
TITIM
Baa2 / BBB
7.875
Jan-14
111.21
3.446
145
101
96
125
-37
(122) - 6
0.2
TITIM
Baa2 / BBB
4.750
May-14
103.36
3.556
156
94
95
140
-50
(132) - (13)
0.4
TITIM
Baa2 / BBB
5.125
Jan-16
103.98
4.170
168
121
122
179
-67
(70) - (17)
-1.9
TITIM
Baa2 / BBB
8.250
Mar-16
117.31
4.230
174
137
128
182
-69
(112) - (5)
-0.7
TITIM
Baa2 / BBB
5.375
Jan-19
103.06
4.886
289
153
156
215
-74
(112) - (16)
-0.6
TITIM
Baa2 / BBB
5.250
Feb-22
99.64
5.291
223
164
172
229
-70
(82) - (5)
-1.8
Telefonaktiebolaget L M Ericsson
5.000
Jun-13
104.43
2.829
106
57
56
32
24
1 - 47
-0.1
Telefonaktiebolaget L M Ericsson
5.375
Jun-17
107.61
3.951
125
80
80
80
-5
(13) - 31
-1.6
Telefonica, S.A.
TELEFO Baa1 / A-
5.580
Jun-13
105.24
2.954
118
72
71
83
-15
(54) - 26
-0.3
Telefonica, S.A.
DNBNOR Aa3 / A+
5.875
Jun-13
106.36
2.729
96
49
48
84
-39
(132) - (19)
0.9
Telefonica, S.A.
TELEFO Baa1 / A-
5.431
Feb-14
105.33
3.346
135
85
85
96
-18
(39) - 39
-0.8
Telefonica, S.A.
TELEFO Baa1 / A-
3.406
Mar-15
98.80
3.742
143
90
94
119
-30
(44) - 28
-1.1
Telefonica, S.A.
TELEFO Baa1 / A-
5.496
Apr-16
106.29
4.050
156
108
107
139
-40
(52) - 27
-1.4
Telefonica, S.A.
TELEFO Baa1 / A-
4.750
Feb-17
102.23
4.301
160
117
119
148
-37
(47) - 19
-2.0
Telefonica, S.A.
TELEFO Baa1 / A-
3.661
Sep-17
96.21
4.353
158
109
115
154
-45
(54) - 22
-1.9
Telefonica, S.A.
TELEFO Baa1 / A-
4.693
Nov-19
100.64
4.597
158
115
119
170
-60
(65) - 17
-2.3
TKA
A3 / BBB
6.375
Jan-16
111.16
3.745
126
83
80
82
-6
(8) - 43
-2.7
TKA
A3 / BBB
4.250
Jan-17
101.79
3.892
163
76
78
91
-17
(30) - 20
-1.3
TPSA
A3 / BBB+
6.000
May-14
107.53
3.343
132
75
74
48
24
16 - 60
-1.5
TLMP
Baa2 / BBB-
5.125
Dec-17
99.38
5.234
194
202
124
73
62 - 162
-1.2
Telenor ASA
TELNOR A3 / A-
4.500
Mar-14
104.08
2.996
100
43
43
46
-5
(25) - 16
0.0
Telenor ASA
TELNOR A3 / A-
4.875
May-17
105.79
3.786
109
63
64
82
-22
(33) - 9
-1.9
Telenor ASA
TELNO
A3 / A-
4.125
Mar-20
99.75
4.158
109
68
71
97
-30
(37) - 16
-2.6
TeliaSonera Aktiebolag
TLIASS
A3 / A-
5.125
Mar-14
105.73
2.986
99
45
44
50
-9
(19) - 20
-1.5
TeliaSonera Aktiebolag
TLIASS
A3 / A-
4.125
May-15
103.28
3.237
97
40
41
64
-26
(32) - 9
-2.2
TeliaSonera Aktiebolag
TLIASS
A3 / A-
4.250
Feb-20
101.25
4.076
101
62
64
99
-40
(40) - 7
-2.9
Telecommunications
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
15
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Rating
Par
Issuer
Ticker
TeliaSonera Aktiebolag
TELECO A2 / A
3.625
TELECO A2 / A
VZW
A2 / A-
VOD
Interp
Price
YTM
Govt. ASW
Stripped
Mar-21
94.63
4.304
119
71
77
103
4.250
Mar-20
100.84
4.133
107
66
69
8.750
Dec-15
122.44
3.396
102
54
49
Baa1 / A-
6.875
Dec-13
109.79
2.855
93
44
VOD
Baa1 / A-
5.125
Apr-15
107.45
3.074
140
VOD
Baa1 / A-
6.250
Jan-16
112.31
3.360
87
VOD
Baa1 / A-
5.000
Jun-18
107.11
3.831
VOD
Baa1 / A-
4.650
Jan-22
103.22
4.266
Funding
Range
Z-score
6M
6M
-30
(30) - 42
-2.2
114
-50
(51) - 13
-2.5
29
20
(15) - 43
0.0
42
42
-3
(20) - 24
-0.4
27
27
60
-36
(50) - (5)
-0.9
44
43
70
-32
(38) - 15
-2.0
215
57
56
90
-39
(50) - 6
-1.6
120
67
69
102
-39
(44) - 32
-2.2
1.1
Tobacco
British American Tobacco p.l.c.
5.125
Jul-13
104.79
2.804
113
54
54
22
31
(4) - 45
4.375
Sep-14
103.56
3.231
109
54
54
37
16
1 - 34
0.2
4.000
Jul-20
98.56
4.191
108
68
72
73
-5
(10) - 43
-2.1
4.875
Feb-21
104.89
4.251
119
73
74
75
-5
(9) - 47
-2.3
4.375
Nov-13
102.82
3.190
134
76
76
49
25
(17) - 35
1.3
IMTLN
Baa3 / BBB
8.375
Feb-16
119.06
3.913
142
106
98
83
(5) - 36
-0.4
GLHLN
Aa3 / A+
4.500
Apr-14
104.58
2.826
83
26
26
17
(43) - 14
1.7
PM
A2 / A
5.875
Sep-15
109.96
3.351
97
49
48
50
-5
(38) - 6
0.9
PM
A2 / A
5.750
Mar-16
110.04
3.470
98
51
50
55
-8
(38) - 2
0.7
Centrica Plc
CENTRI
A3 / A-
7.125
Dec-13
110.13
2.980
106
57
54
36
16
(28) - 39
0.8
Cez AS
CEZCO
A2 / A-
4.125
Oct-13
102.57
3.010
116
62
63
34
27
(42) - 38
0.9
Cez AS
CEZCO
A2 / A-
6.000
Jul-14
108.06
3.288
115
66
64
45
18
(36) - 35
0.6
Cez AS
CEZCO
A2 / A-
5.750
May-15
108.38
3.482
122
67
66
56
(44) - 29
0.3
E.ON AG
EOAGR
A2 / A
5.125
May-13
104.93
2.554
78
35
34
39
-6
(27) - 11
0.4
E.ON AG
EOANGR A2 / A
4.875
Jan-14
105.19
2.856
86
36
36
49
-16
(35) - 5
0.0
E.ON AG
EOAGR
A2 / A
5.250
Jun-14
106.43
3.023
88
41
41
54
-16
(35) - 3
0.1
E.ON AG
EOANGR A2 / A
5.500
Jan-16
109.11
3.365
88
43
42
76
-38
(51) - (7)
-1.3
E.ON AG
EOAGR
A2 / A
6.375
May-17
114.39
3.678
245
57
54
88
-40
(63) - (7)
-0.5
E.ON AG
EOAGR
A2 / A
5.750
May-20
113.47
3.941
109
52
51
101
-58
(72) - (11)
-2.0
5.500
Feb-14
100.98
5.101
311
253
258
210
35
(83) - 68
1.0
3.750
Jun-15
94.54
5.256
288
225
240
253
-23
(147) - (11)
1.7
Edison S.P.A.
EDNIM
Baa3 / BBB
4.250
Jul-14
101.53
3.728
170
105
107
77
28
(11) - 44
0.8
Electricite De France
EDF
Aa3 / A+
4.625
Nov-13
104.66
2.660
81
26
25
44
-20
(51) - 2
0.6
Electricite De France
EDF
Aa3 / A+
5.000
May-14
105.98
2.921
93
31
31
52
-23
(63) - (9)
0.9
Electricite De France
EDF
Aa3 / A+
5.125
Jan-15
106.67
3.182
92
43
42
60
-21
(43) - 0
-0.1
Electricite De France
EDF
Aa3 / A+
5.500
Oct-16
109.42
3.566
63
52
50
78
-32
(52) - (14)
0.0
Electricite De France
EDF
Aa3 / A+
5.000
Feb-18
107.11
3.782
68
55
55
87
-37
(50) - (1)
-1.4
Electricite De France
EDF
Aa3 / A+
5.375
May-20
109.94
4.041
119
61
60
96
-43
(54) - 7
-1.9
Electricite De France
EDF
Aa3 / A+
6.250
Jan-21
117.01
4.089
112
64
61
98
-46
(58) - 19
-1.9
ENBW
A2 / A-
6.000
Nov-13
107.43
2.900
98
50
48
55
-10
(29) - 18
0.0
ENBW
A2 / A-
4.125
Jul-15
102.75
3.401
102
54
54
77
-26
(44) - 1
-0.4
ENBW
A2 / A-
6.875
Nov-18
117.80
4.076
116
84
79
104
-35
(45) - 4
-2.1
Enel S.P.A.
ENEL
A2 / A-
4.250
Jun-13
103.12
2.689
101
45
45
49
-4
(100) - 20
0.9
Enel S.P.A.
ENEL
A2 / A-
4.000
Sep-16
101.84
3.612
101
54
55
116
-66
(116) - (45)
0.2
Enel S.P.A.
ENEL
A2 / A-
5.250
Jun-17
107.61
3.828
105
68
67
123
-63
(118) - (43)
0.3
Enel S.P.A.
ENEL
A2 / A-
4.750
Jun-18
104.14
4.064
239
78
79
133
-61
(132) - (35)
0.5
4.625
Jun-16
92.60
6.370
388
309
335
275
48
(94) - 59
1.4
Eni S.P.A.
ENIIM
Aa3 / A+
5.875
Jan-14
107.43
2.955
103
48
47
52
-8
(23) - 18
-1.0
Eni S.P.A.
ENIIM
Aa3 / A+
5.000
Jan-16
106.40
3.500
101
55
55
84
-33
(42) - 11
-1.9
Eni S.P.A.
ENIIM
Aa3 / A+
3.500
Jan-18
97.90
3.856
100
58
61
102
-45
(58) - 16
-1.6
Eni S.P.A.
ENIIM
Aa3 / A+
4.125
Sep-19
100.84
4.002
98
58
60
109
-55
(59) - 25
-1.8
Fortum OYJ
FRTUM
A2 / A
5.000
Nov-13
105.21
2.825
97
41
41
31
(15) - 28
0.8
Fortum OYJ
FRTUM
A2 / A
4.625
Mar-14
104.59
2.926
93
37
37
34
(15) - 23
0.0
Fortum OYJ
FRTUM
A2 / A
4.500
Jun-16
104.93
3.430
94
41
41
61
-23
(33) - 10
-1.4
Fortum OYJ
FRTUM
A2 / A
6.000
Mar-19
113.97
3.899
93
59
57
79
-28
(33) - 15
-2.4
Gaz De France
GAZDF
A1 / A
5.125
Feb-18
108.12
3.744
207
52
51
86
-40
(68) - 3
-0.5
Hera SPA
HERIM
A3 / BBB+
4.125
Feb-16
100.05
4.110
225
111
114
79
31
17 - 60
-0.8
Iberdrola, S.A.
IBERDU A3 / A-
5.125
May-13
104.02
3.019
125
81
81
56
23
(45) - 63
0.0
Iberdrola, S.A.
IBESM
A3 / A-
3.875
Feb-14
Iberdrola, S.A.
IBESM
A3 / A-
4.875
Mar-14
103.77
3.441
145
90
90
77
10
(50) - 44
0.1
Iberdrola, S.A.
IBERDU A3 / A-
3.500
Jun-15
98.92
3.786
141
90
93
108
-18
(74) - 27
-0.3
Iberdrola, S.A.
IBESM
A3 / A-
7.500
Nov-15
114.80
3.876
150
103
97
118
-28
(87) - 28
-0.3
Iberdrola, S.A.
IBESM
A3 / A-
3.500
Oct-16
96.54
4.222
162
108
115
132
-24
(43) - 26
-0.5
Iberdrola, S.A.
IBERDU A3 / A-
5.625
May-18
107.05
4.431
158
118
118
148
-40
(81) - 25
-0.6
N.V. Nuon
NUONNV Aa3 / A
4.125
Dec-14
103.78
2.997
73
25
25
43
-20
(28) - 11
-1.9
N.V. Nuon
NUONNV Aa3 / A
5.500
Apr-16
109.45
3.390
90
41
40
58
-20
(31) - 3
-1.0
NGGLN
5.125
May-13
104.52
2.779
101
57
56
43
13
(38) - 29
0.8
Utilities
A3 / A-
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
16
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Issuer
Ticker
Rating
NGGLN
Baa1 / BBB+
NGGLN
Baa1 / BBB+
RWE Aktiengesellschaft
RWE
A2 / A
RWE Aktiengesellschaft
RWE
A2 / A
RWE Aktiengesellschaft
RWE
RWE Aktiengesellschaft
RWE Aktiengesellschaft
Par
Coupon (%) Maturity
Interp
Price
YTM
Govt. ASW
Apr-14
109.58
3.051
106
49
47
51
4.375
Mar-20
100.51
4.302
204
83
86
5.750
Nov-13
107.06
2.810
89
40
39
4.625
Jul-14
104.68
3.063
92
41
A2 / A
5.000
Feb-15
106.02
3.267
100
RWE
A2 / A
6.250
Apr-16
RWE
A2 / A
5.125
Jul-18
107.80
3.861
RWE Aktiengesellschaft
RWE
A2 / A
6.625
Jan-19
117.38
3.966
RWE Aktiengesellschaft
RWE
A2 / A
6.500
Aug-21
118.78
4.204
REDELE A2 / AA-
3.500
Oct-16
98.41
3.827
REDELE A2 / AA-
4.750
Feb-18
Schneider Electric SA
SUFP
A3 / A-
6.750
Jul-13
108.40
Schneider Electric SA
SUFP
A3 / A-
2.875
Jul-16
96.51
Schneider Electric SA
SUFP
A3 / A-
3.625
Jul-20
96.11
4.141
103
Suez
LYOE
A1 / A
5.125
Jun-15
106.54
3.394
172
TENN
A3 / A-
3.875
Feb-18
THAMES A3 / A-
3.250
Nov-16
98.04
3.647
104
TRNIM
A2 / A+
4.875
Oct-19
104.33
4.247
123
UU
A3 / BBB+
4.250
Jan-20
100.00
4.247
198
78
Vattenfall Aktiebolag
VATFAL A2 / A
5.750
Dec-13
107.17
2.810
89
38
Vattenfall Aktiebolag
VATFAL A2 / A
5.250
Mar-16
108.13
3.400
91
43
Vattenfall Aktiebolag
VATFAL A2 / A
5.000
Jun-18
107.25
3.814
214
Vattenfall Aktiebolag
VATFAL A2 / A
6.750
Jan-19
119.19
3.829
86
Vattenfall Aktiebolag
VATFAL A2 / A
6.250
Mar-21
117.84
4.019
105
Veolia Environnement
VIEFP
A3 / BBB+
4.875
May-13
Veolia Environnement
VIEFP
A3 / BBB+
5.250
Apr-14
106.03
3.078
105
50
Veolia Environnement
VIEFP
A3 / BBB+
4.000
Feb-16
102.05
3.521
114
54
Veolia Environnement
VIEFP
A3 / BBB+
4.375
Jan-17
103.27
3.722
112
61
Veolia Environnement
VIEFP
A3 / BBB+
5.375
May-18
108.37
3.989
231
Veolia Environnement
VIEFP
A3 / BBB+
6.750
Apr-19
118.09
4.044
Veolia Environnement
VIEFP
A3 / BBB+
4.375
Dec-20
100.94
4.251
6.500
Stripped
Funding
Range
Z-score
6M
6M
-6
(20) - 21
-0.4
100
-18
(29) - 19
-1.4
46
-10
(35) - 12
0.4
41
57
-18
(37) - 7
0.1
50
49
64
-18
(38) - 7
-0.1
95
59
58
96
-44
(64) - 0
-0.8
105
69
65
99
-42
(57) - (1)
-1.8
124
73
69
105
-47
(61) - 13
-1.6
122
72
75
135
-66
(71) - (16)
-2.5
2.725
87
47
46
43
(24) - 18
0.4
3.622
102
54
58
82
-27
(36) - (1)
-1.4
62
66
107
-45
(47) - 12
-2.7
56
55
62
-10
(39) - 30
-0.3
53
56
105
-54
(58) - (19)
-2.2
84
85
79
0 - 39
-1.6
82
84
-7
(13) - 37
-1.7
37
35
(25) - 20
0.4
43
63
-24
(35) - 1
-0.8
55
54
79
-30
(118) - 11
-0.4
55
52
82
-37
(43) - 6
-2.4
56
52
88
-43
(50) - 13
-2.1
50
61
-14
(33) - 24
-0.6
56
87
-35
(47) - 2
-1.2
62
96
-40
(53) - 2
-1.8
74
73
107
-41
(61) - 4
-0.9
108
76
71
112
-51
(57) - (1)
-2.6
187
72
75
117
-48
(54) - 6
-2.0
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
17
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Issuer
Mdy's / S&P
Par
Coupon (%) Maturity
Price
YTM
Govt. ASW
Interp
Range
Z-score
6M
6M
-4
(18) - 34
-0.7
(6) - 46
-1.6
157
18
7 - 123
-1.4
187
188
182 - 254
-1.3
25
42
-19
(33) - 7
-0.5
60
85
-30
(41) - (1)
-1.2
Stripped
Funding
Ticker
Rating
Rolls-Royce plc
ROLLS
A3 / A-
7.375
Jun-16
118.50
3.359
98
79
73
73
Rolls-Royce plc
ROLLS
A3 / A-
6.750
Apr-19
116.71
4.235
115
106
101
92
TNT N.V.
TNTNA
A3 / BBB+
7.500
Aug-18
115.14
4.960
216
195
187
Textron Inc.
TXT
Baa3 / BBB-
6.625
Apr-20
96.47
7.182
404
354
383
BMW Aktiengesellschaft
BMW
A3 / A-
5.250
Nov-13
107.78
2.058
105
26
BMW Aktiengesellschaft
BMW
A3 / A-
5.000
Oct-17
108.07
3.562
119
60
ABBEY
Aa3 / AA
5.500
Jun-14
106.58
3.252
158
128
127
95
30
(8) - 51
0.6
ABBEY
Baa1 / A+
11.500
Jan-17
124.82
6.148
429
382
344
135
193
86 - 209
0.7
ABBEY
Aa3 / AA
4.125
Sep-17
99.13
4.281
190
125
131
138
-13
(34) - 28
-0.9
BNP
Aa3 / AA-
5.750
Jan-22
102.83
5.391
179
173
181
179
-7
(62) - 39
0.1
7.300
Sep-14
105.21
5.476
454
347
345
151
183
161 - 424
-1.5
BAC
A2 / A
5.500
Dec-19
103.34
5.015
193
166
171
156
12
4 - 120
-1.4
BAC
A2 / A
6.125
Sep-21
107.44
5.185
190
167
169
160
(2) - 131
-1.8
BAC
A3 / A-
5.250
Nov-16
101.64
4.905
253
211
217
165
49
16 - 153
-0.7
HBOS
Baa2 / BBB
10.500
Feb-18
118.95
6.890
409
421
395
304
65
(105) - 129
0.5
HBOS
Baa2 / BBB
6.375
Aug-19
97.79
6.725
364
324
347
312
16
(99) - 106
-0.3
Automobiles
Banks
HBOS
Baa2 / BBB
9.375
May-21
116.01
7.087
380
382
368
316
27
(121) - 109
0.0
BACR
Aa3 / AA-
5.750
Aug-21
105.66
5.027
174
146
150
145
-4
(4) - 91
-2.0
BACR
Baa1 / A
10.000
May-21
125.69
6.442
316
332
304
253
30
9 - 127
-1.5
Bk Nederlandse Gemeeten
BNG
Aaa / AAA
2.375
Dec-15
98.77
2.659
61
11
11
45
-35
(46) - (22)
-0.2
Bk Nederlandse Gemeeten
BNG
Aaa / AAA
3.250
Nov-17
99.86
3.272
90
23
24
45
-23
(32) - (7)
-0.7
Citigroup Inc.
A3 / A
7.625
Apr-18
116.43
4.770
197
184
175
139
26
15 - 108
-1.0
Citigroup Inc.
Baa1 / A-
5.125
Dec-18
97.39
5.550
275
221
236
142
89
80 - 186
-1.1
Commerzbank AG (Sub)
CMZB
A1 / BBB-
6.625
Aug-19
99.33
6.725
364
327
347
357
-32
(152) - 128
-0.2
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
5.125
Oct-14
108.42
2.549
88
43
42
34
(28) - 19
1.6
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
3.250
Nov-17
Cooperatieve Centrale
Raiffeisen-Boerenleenbank B.A.
4.625
Jan-21
Credit Agricole SA
ACAFP
5.500
Dec-21
DANBNK A1 / A
4.000
Dec-15
103.10
3.257
121
73
74
103
-33
(48) - 26
-0.8
EIB
Aaa / AAA
3.375
Sep-14
103.91
2.144
47
50
-48
(190) - (38)
0.7
EIB
Aaa / AAA
3.000
Dec-15
101.84
2.568
52
50
-48
(182) - (34)
0.7
EIB
Aaa / AAA
4.125
Dec-17
105.76
3.140
76
12
12
51
-42
(180) - (28)
0.6
ISPIM
Aa2 / AA-
5.250
Jan-22
97.47
5.566
197
183
198
154
39
11 - 78
-0.4
KFW
Aaa / AAA
2.750
Sep-15
103.06
2.012
-4
-44
-45
KFW
Aaa / AAA
3.750
Sep-16
104.45
2.835
46
10
10
LLOYDS Aa3 / A+
6.375
Apr-14
108.36
3.352
168
147
143
136
(8) - 101
-2.0
LLOYDS Aa3 / A+
6.750
Oct-18
110.68
5.014
222
194
190
191
-10
(16) - 115
-2.1
5.875
Jun-14
103.61
4.600
293
259
260
246
(145) - 37
0.6
6.625
Mar-15
103.71
5.532
348
324
326
273
38
(161) - 69
0.8
NRW.Bank
NRWBK
Aa1 / AA-
1.625
Dec-13
99.68
1.750
74
-9
-10
83
-96
(146) - (85)
1.1
NAB
Aa1 / AA
5.375
Dec-14
108.38
2.873
120
72
70
83
-17
(34) - 2
0.1
NAB
Aa1 / AA
5.125
Dec-21
103.80
4.658
137
103
107
143
-43
(47) - 30
-1.7
NWIDE
Aa3 / A+
5.625
Sep-19
105.01
4.885
180
159
162
179
-24
(24) - 121
-1.9
SEB
A1 / A
6.625
Jul-14
111.27
2.843
117
87
83
63
15
3 - 81
-1.0
Societe Generale
SOCGEN Aa2 / A+
3.875
Dec-15
101.76
3.450
140
91
93
114
-27
(42) - 11
-0.7
Societe Generale
SOCGEN Aa2 / A+
5.000
Dec-18
STANLN A3 / A
6.500
Apr-14
110.93
2.619
95
71
68
48
18
(5) - 30
0.4
STANLN A3 / A-
7.750
Apr-18
117.87
4.658
186
173
164
95
62
47 - 129
-1.3
Suncorp-Metway Limited
SUNAU
5.125
Oct-14
103.91
3.890
222
175
176
105
66
(13) - 90
0.7
Svenska Handelsbanken AB
5.500
May-16
109.02
3.516
114
90
88
51
34
23 - 85
-0.9
RBS
Aa3 / A+
6.375
Apr-14
108.26
3.422
175
153
149
132
13
(5) - 90
-1.4
RBS
Aa3 / A+
6.625
Sep-18
109.92
4.994
220
193
190
193
-12
(27) - 109
-1.9
RBS
Aa3 / A+
6.000
May-17
107.20
4.603
223
173
173
32
139
133 - 275
-2.0
RBS
Baa3 / BBB
9.625
Jun-15
113.37
5.865
381
373
355
286
52
(118) - 116
0.7
RBS
Baa3 / BBB
6.500
Sep-21
97.57
6.829
354
308
333
340
-27
(136) - 48
0.0
UBS AG
UBS
Aa3 / A+
6.375
Jul-16
112.11
3.760
138
114
110
86
18
6 - 71
-1.5
UBS AG
UBS
Aa3 / A+
6.625
Apr-18
114.31
4.198
140
120
115
95
13
3 - 74
-1.7
CRDIT
Baa1 / BBB
5.000
Feb-16
91.50
7.174
422
463
149
306
232 - 403
-0.1
WSTP
Aa1 / AA
5.000
Oct-19
103.39
4.505
142
114
118
139
-28
(32) - 38
-1.6
AALLN
Baa1 / BBB+
6.875
May-18
115.13
4.316
152
132
126
122
-4
(8) - 42
-2.2
Xstrata Plc
XTALN
Baa2 / BBB+
7.375
May-20
116.12
5.105
182
181
175
157
(7) - 48
-0.8
Aa1 / AA-
A1 / A
Basic Resources
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
18
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Issuer
Mdy's / S&P
Par
Ticker
Rating
PEARSON plc
PSON
Baa1 / BBB+
7.000
PEARSON plc
PSON
Baa1 / BBB+
6.000
7.000
UBMLN
Baa3 / BBB-
6.500
WPPLN
Baa3 / BBB
WPPLN
Baa3 / BBB
Interp
Stripped
Funding
Range
Z-score
6M
6M
Price
YTM
Govt. ASW
Oct-14
112.65
3.081
141
101
96
45
48
26 - 70
0.3
Dec-15
110.48
3.487
144
102
99
59
37
17 - 72
-0.2
Dec-17
115.47
4.250
187
134
128
80
43
33 - 75
-1.3
Nov-16
109.15
4.584
221
187
184
124
51
22 - 68
0.1
6.000
Apr-17
109.40
4.168
179
134
133
88
39
26 - 80
-1.2
6.375
Nov-20
109.37
5.099
181
167
167
107
53
42 - 85
-1.7
Chemicals
Akzo Nobel N.V.
8.000
Apr-16
119.24
3.675
130
122
113
66
45
32 - 80
-0.7
Bayer Aktiengesellschaft
BASGR
A1 / A+
5.875
Mar-17
112.66
3.461
108
64
62
70
-12
(21) - 40
-2.1
Bayer Aktiengesellschaft
BYIF
A3 / A-
5.625
May-18
109.99
3.969
117
89
88
74
10
1 - 64
-1.9
ROSW
A2 / AA-
5.500
Mar-15
109.93
2.720
67
48
46
33
12
(3) - 34
-0.4
Compagnie De Saint-Gobain
SGOFP
Baa2 / BBB
5.625
Dec-16
107.48
4.097
172
133
133
104
23
8 - 48
-0.6
Holcim Ltd.
8.750
Apr-17
123.38
4.225
185
154
141
135
-5
(17) - 34
-1.0
Lafarge
LGFP
Baa3 / BBB-
8.750
May-17
120.32
5.896
352
212
196
255
-80
(94) - 29
-1.1
Lafarge
LAFCP
Baa3 / BBB-
6.625
Nov-17
106.56
5.403
303
242
244
262
-36
(58) - 59
-1.2
CPGLN
Baa1 / BBB+
7.000
Dec-14
113.12
3.061
139
95
90
63
23
14 - 57
-1.5
BGGRP
A2 / A
5.125
Dec-17
107.92
3.740
136
74
74
104
-38
(48) - (10)
-0.8
BP Plc
BPLN
Aa1 / AA
4.000
Dec-14
104.43
2.701
103
50
50
66
-20
(50) - 3
-0.4
BP Plc
BPLN
A2 / A
4.325
Dec-18
101.80
4.045
125
80
83
103
-24
(36) - 4
-0.8
SSELN
A3 / A-
5.750
Feb-14
108.37
2.544
87
70
68
54
11
(6) - 38
-0.9
SSELN
A3 / A-
5.000
Oct-18
105.51
4.116
132
94
96
114
-24
(36) - 20
-1.0
Total SA
TOTAL
Aa1 / AA-
4.250
Dec-17
105.78
3.257
88
24
24
65
-44
(60) - (28)
-0.1
Total SA
TOTAL
Aa1 / AA-
3.875
Dec-18
101.58
3.632
84
39
41
70
-32
(41) - (7)
-0.6
Construction
Energy
Financial Services
American Express Co.
AXP
A2 / BBB+
5.375
Oct-14
106.60
3.279
161
119
117
47
69
57 - 127
-0.9
GE
Aa2 / AA+
5.625
Apr-19
106.58
4.618
153
136
137
129
(26) - 29
-0.2
GE
Aa2 / AA+
5.875
Nov-20
108.11
4.787
150
133
135
135
-9
(27) - 29
-0.8
MER
A2 / A
7.750
Apr-18
115.94
4.985
219
204
195
151
33
24 - 115
-1.4
MER
A3 / A-
5.500
Nov-21
94.97
6.158
287
237
260
180
73
62 - 200
-1.2
Morgan Stanley
MWD
A2 / A
5.375
Nov-13
106.02
2.872
187
109
107
84
22
(2) - 71
-0.6
Morgan Stanley
MWD
A2 / A
5.125
Nov-15
105.78
3.715
166
123
122
135
-19
(35) - 73
-1.3
BSC
Aa2 / A+
5.375
Oct-13
107.45
2.199
119
43
42
39
(15) - 27
-0.7
GS
A1 / A
5.250
Dec-15
106.58
3.664
161
117
116
112
-1
(4) - 92
-1.6
5.375
Dec-14
107.92
3.027
136
88
86
24
62
46 - 88
-0.3
7.250
Jul-18
118.04
4.304
151
132
125
42
82
72 - 108
-0.6
Inbev NV
ABIBB
Baa1 / A-
6.500
Jun-17
114.53
3.791
141
95
91
89
-4
(35) - 18
0.6
McDonalds Corp.
MCD
A3 / A
6.375
Feb-20
116.37
4.102
82
79
76
54
18
8 - 43
-1.1
-1.1
6.750
Nov-19
112.25
4.951
187
168
165
107
50
38 - 83
Unilever N.V.
ULVRLN A1 / A+
4.000
Dec-14
105.76
2.316
64
12
12
34
-23
(45) - (11)
1.0
Unilever N.V.
ULVRLN A1 / A+
4.750
Jun-17
108.57
3.181
80
27
27
47
-23
(49) - (7)
0.8
Finmeccanica S.P.A.
FNCIM
A3 / BBB
8.000
Dec-19
121.22
4.940
185
181
168
179
-22
(29) - 42
-1.7
SGCLN
Baa2 / BBB-
5.750
Dec-16
104.60
4.789
241
199
202
77
120
96 - 140
0.4
206
Insurance
AXA (Sub)
AXASA
A3 / BBB+
LGEN
Baa1 / BBB+
7.125
Dec-20
110.93
5.614
233
221
220
10.000
Jul-21
128.44
6.195
192
429
375
MetLife, Inc.
MET
MetLife, Inc.
MET
(16) - 86
-1.4
190
182 - 234
-1.6
Aa3 / AA-
5.250
Jan-14
106.54
2.670
100
84
82
A3 / A-
5.250
Jun-20
103.39
4.782
150
132
136
77
(44) - 55
-0.3
167
-38
(70) - 21
PACLIF
Aa3 / A+
6.000
Aug-13
107.48
2.554
155
87
84
-0.5
91
-14
(31) - 25
PACLIF
A1 / A+
5.125
Jan-15
105.16
3.603
155
139
-1.3
139
97
34
23 - 70
-1.4
QBE
A3 / A
6.125
Sep-15
107.89
4.136
208
175
172
118
50
41 - 89
-1.4
MOTOPG A2 / A+
5.250
Sep-16
108.61
3.480
110
78
77
100
-28
(38) - 24
-1.3
MOTOPG A2 / A+
5.375
Jan-22
104.90
4.785
118
119
122
100
19
8 - 72
-0.9
GUSLN
Baa1 / BBB+
5.625
Dec-13
107.77
2.483
148
68
66
43
21
14 - 52
-1.7
4.750
Nov-18
103.20
4.244
145
102
105
89
12
4 - 37
-1.6
Kingfisher Plc
KINGFI
Baa3 / BBB-
5.625
Dec-14
107.90
3.256
158
110
108
86
17
1 - 85
-0.6
MKS
Baa3 / BBB-
5.625
Mar-14
106.10
3.356
168
146
144
102
38
23 - 83
-0.7
MKS
Baa3 / BBB-
6.125
Dec-19
105.63
5.284
220
193
197
187
-2
(15) - 52
-1.1
Retail
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
19
Deutsche Bank
Global Markets Research
------------------------------------------------- -------------------------------------------------Sector
Mdy's / S&P
Par
Issuer
Ticker
Rating
Next PLC
NXT
Baa2 / BBB
Tesco Plc
TSCOLN A3 / A-
Tesco Plc
TSCO
A3 / A-
Tesco Plc
TSCOLN A3 / A-
6.125
AT&T Inc.
A2 / A-
BRITEL
Baa2 / BBB-
Interp
Price
YTM
Govt. ASW
Oct-16
107.03
4.383
201
166
166
5.000
Feb-14
107.03
2.366
69
49
48
5.500
Dec-19
108.55
4.286
120
94
95
Feb-22
109.98
4.909
131
132
133
106
5.875
Apr-17
110.94
3.791
141
95
93
8.750
Dec-16
121.29
4.352
198
178
164
5.875
Stripped
Funding
Range
Z-score
6M
6M
30
11 - 70
-0.7
48
-3
(15) - 24
-0.9
105
-16
(27) - 20
-1.1
20
1 - 54
-0.8
83
(11) - 50
-1.0
97
59
48 - 92
-1.1
128
Telecommunications
BRITEL
Baa2 / BBB-
8.625
Mar-20
124.86
5.074
179
192
176
120
44
32 - 108
-1.1
Deutsche Telekom AG
DT
Baa1 / BBB+
4.875
Sep-14
106.61
2.787
112
69
68
53
13
0 - 45
-0.6
Deutsche Telekom AG
DT
Baa1 / BBB+
6.500
Apr-22
112.91
4.940
134
137
136
106
22
6 - 67
-0.9
France Telecom
FRTEL
A3 / A-
5.000
May-16
106.94
3.465
109
84
84
68
13
(3) - 38
-0.2
France Telecom
FRTEL
A3 / A-
8.000
Dec-17
123.64
3.873
150
100
91
81
(7) - 33
-0.8
France Telecom
FRTEL
A3 / A-
7.250
Nov-20
120.75
4.511
122
116
109
97
(7) - 53
-1.2
KPN
Baa2 / BBB+
5.750
Mar-16
109.34
3.613
124
106
104
61
39
28 - 81
-1.4
KPN
Baa2 / BBB+
6.000
May-19
110.01
4.491
141
125
124
85
34
23 - 73
-1.0
TITIM
Baa2 / BBB
7.375
Dec-17
112.78
5.042
267
214
208
206
-15
(62) - 16
0.3
Telefonica, S.A.
TELEFO Baa1 / A-
5.888
Jan-14
107.44
3.000
133
117
114
96
12
(4) - 55
-1.1
VZW
A2 / A-
8.875
Dec-18
130.35
4.137
134
114
101
52
46
12 - 69
0.2
VOD
Baa1 / A-
4.625
Sep-14
106.10
2.680
101
60
59
52
(15) - 31
-0.5
VOD
Baa1 / A-
5.375
Dec-17
108.97
3.801
142
81
81
87
-11
(18) - 33
-1.9
VOD
Baa1 / A-
8.125
Nov-18
125.21
4.157
136
113
103
92
(4) - 50
-1.7
Tobacco
British American Tobacco p.l.c.
5.750
Dec-13
108.39
2.356
135
56
54
28
25
(1) - 44
1.0
5.500
Sep-16
108.52
3.709
133
101
100
56
41
31 - 68
-0.9
6.375
Dec-19
113.20
4.485
140
119
117
72
40
32 - 78
-1.0
5.500
Nov-16
107.44
3.970
159
122
121
92
25
12 - 48
-0.6
6.250
Dec-18
111.68
4.398
160
126
123
106
10
2 - 44
-1.5
IMTLN
Baa3 / BBB
7.750
Jun-19
120.22
4.695
161
157
147
108
29
21 - 60
-1.2
IMTLN
Baa3 / BBB
9.000
Feb-22
130.55
5.217
162
191
170
114
43
27 - 76
-0.5
Centrica Plc
CENTRI
A3 / A-
5.125
Dec-14
107.82
2.797
113
63
62
48
12
(19) - 26
0.4
Centrica Plc
CENTRI
A3 / A-
7.000
Sep-18
117.78
4.142
135
108
102
83
14
5 - 40
-0.8
Centrica Plc
CENTRI
A3 / A-
6.375
Mar-22
112.93
4.813
121
125
123
89
28
21 - 65
-1.4
E.ON AG
EOANGR A2 / A
5.125
Jan-14
107.56
2.215
54
37
36
49
-16
(32) - 9
-0.9
EDF
5.375
Nov-16
107.94
3.746
137
100
99
78
17
3 - 42
-0.9
6.625
Aug-17
101.84
6.252
388
324
335
288
28
(101) - 69
0.7
Enel S.P.A.
ENEL
A2 / A-
6.250
Jun-19
109.38
4.823
174
157
157
140
(68) - 22
1.0
Eni S.P.A.
ENIIM
Aa3 / AA-
6.125
Dec-18
114.82
3.836
104
68
66
106
-48
(74) - (9)
-0.4
Gaz De France
GSZFP
Aa3 / A
6.125
Feb-21
113.92
4.342
106
89
87
97
-16
(26) - 39
-2.0
NGGLN
A3 / A-
6.375
Mar-20
114.61
4.342
106
102
99
108
-17
(27) - 21
-1.0
NGGLN
Baa1 / BBB+
6.125
Apr-14
109.32
2.767
110
87
84
51
30
16 - 55
-0.4
-0.1
Utilities
A2 / BBB+
NGN
Baa1 / BBB+
5.875
Jul-19
108.55
4.593
151
132
132
34
95
78 - 113
RWE Aktiengesellschaft
RWE
A2 / A
6.375
Jun-13
109.02
1.876
87
28
27
38
-12
(41) - (6)
1.3
RWE Aktiengesellschaft
RWE
A2 / A
6.500
Apr-21
113.86
4.720
143
127
124
105
11
(9) - 34
-0.1
UU
A3 / BBB+
6.125
Dec-15
111.78
3.334
128
86
83
74
(7) - 36
-1.5
UU
A3 / BBB+
5.375
May-18
107.50
4.122
133
103
104
82
17
11 - 51
-1.8
UU
A3 / BBB+
5.750
Mar-22
107.33
4.864
126
124
126
86
35
20 - 66
-0.8
Vattenfall Aktiebolag
VATFAL A2 / A
6.125
Dec-19
114.15
4.133
105
83
81
85
-10
(19) - 36
-1.8
Data Source : DB Global Markets. For more information on Funding Spreads, see the Quantitative Credit Strategy Monthly dated March 26, 2004. All analytical calculations are performed using bond calendar and
accrual conventions.
20
Deutsche Bank
Global Markets Research
For more in-depth analysis please see the Quantitative Credit Strategy Analytics Daily - Statistics Section on our website at
http://gmr.db.com/QCStrategy
Sections include:
EUR Investment Grade Bond/CDS Relative Value
GBP Investment Grade Bond/CDS Relative Value
Single Name CDS Markets / Europe
Single Name CDS Markets / US
IBoxx Euro Corporate All: Sector Summary
IBoxx Euro Corporate All: Bond Summary
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21