Corporate Bond Strategy - NORD/LB · 2018-06-22 · Corporate Bond Strategy 04 July 2017 No. 11...
Transcript of 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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 2 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.
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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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
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.
Corporate Bond Strategy 04 July 2017 No. 11
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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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
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.
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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
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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
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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.
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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.
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 9 of 28
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
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NORD/LB Fixed Income Research Page 10 of 28
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.
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 11 of 28
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
Source: ECB, Bloomberg, NORD/LB Fixed Income Research Source: ECB, Bloomberg, NORD/LB Fixed Income Research
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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 12 of 28
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
FR0013264421 CTE CO TRANSP ELEC 11.1 1.20 1.640
FR0013264439 CTE CO TRANSP ELEC 15.1 1.22 2.090
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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 13 of 28
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+
Source: ECB, Bloomberg, NORD/LB Fixed Income Research Source: ECB, Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 14 of 28
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
Source: ECB, Bloomberg, NORD/LB Fixed Income Research Source: ECB, Bloomberg, NORD/LB Fixed Income Research
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
Source: ECB, Bloomberg, NORD/LB Fixed Income Research Source: ECB, Bloomberg, NORD/LB Fixed Income Research
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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 15 of 28
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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 16 of 28
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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 17 of 28
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-
06.06.17 FR Coentreprise de Transport d'Electricite SA
S&P LT Foreign Issuer Credit A-
06.06.17 FR Coentreprise de Transport d'Electricite SA
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
Corporate Bond Strategy 04 July 2017 No. 11
NORD/LB Fixed Income Research Page 18 of 28
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 *
As at: 4 July 2017 – 15:45 (CET) Source: Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 04 July 2017 No. 11
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
Corporate Bond Strategy 04 July 2017 No. 11
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
As at: 4 July 2017 – 15:45 (CET) Source: Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 21 of 28
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
Basic Materials CommunicationsConsumer, Cyclical Consumer, Non-cyclicalDiversified EnergyFinancial IndustrialTechnology Utilities
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
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 spread levels (5Y) Min/max comparison of current spread levels (5Y)
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
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 22 of 28
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
Source: Markit, Bloomberg, NORD/LB Fixed Income Research Source: Markit, Bloomberg, NORD/LB Fixed Income Research
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
Source: Markit, Bloomberg, NORD/LB Fixed Income Research Source: Markit, Bloomberg, NORD/LB Fixed Income Research
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
Source: Markit, Bloomberg, NORD/LB Fixed Income Research Source: Markit, Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 23 of 28
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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
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
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 24 of 28
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
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 25 of 28
Disclaimer
This investment recommendation/investment strategy recommendation (hereinafter the „Investment Recommendation”) was drawn up
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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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Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 26 of 28
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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L.544-1 and R.621-30-1 of the French Monetary and Financial Code and does qualify as research recommendation under Directive
2003/6/EC and Directive 2003/125/EC.
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None of the information contained in this Investment Recommendation constitutes a solicitation or offer by NORD/LB or its affiliates to
buy or sell any securities, futures, options or other financial instruments or to participate in any other strategy. Only the published pro-
spectus pursuant to the Austrian Capital Market Act should be the basis for any investment decision of the Recipient.
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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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This Investment Recommendation constitutes investment research within the meaning of the definition section of the Cyprus Directive
D1444-2007-01(No 426/07). Furthermore, this material is provided for informational and advertising purposes only and does not consti-
tute an invitation or offer to sell or buy or subscribe any investment product.
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nor has been filed with or approved by the Danish Financial Supervisory Authority as this Investment Recommendation either (i) has not
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context of a public offering of securities in Denmark or the admission of securities to trading on a regulated market in reliance on one or
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The information contained herein describes the view of the author at the time of its publication and it must not be used by its Recipient
unless having first confirmed that it remains accurate and up to date at the time of its use.
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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This Investment Recommendation has not been prepared in accordance with Directive 2003/71/EC, as amended, on prospectuses (the
“Prospectus Directive”) or any measures made under the Prospectus Directive or the laws of any Member State or EEA treaty adherent
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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.
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 27 of 28
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
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Additional information for recipients in Portugal
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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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
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No securities commission or similar regulatory authority in Canada has passed on the merits of these securities nor has it reviewed this
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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.
Corporate Bond Strategy 4 July 2017 No. 11
NORD/LB Fixed Income Research Page 28 of 28
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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