iboxx index roll preview

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx index roll preview

29 June 2015

Changes to the iBoxx € and £ index families Primary market activity remains surprisingly strong going into the summer – however, covered bond issuance remains weak. Issuers continue to make use of the low yield environment. We continue to see an increasing number of international (i.e. non-eurozone) issuers issuing euro bonds. In the upcoming rebalancing, we expect the average duration of the iBoxx € Overall index to increase by 0.05 and the iBoxx Eurozone Sovereign index to increase by 0.02. For both, these are slightly lower than the historical index extensions for a July rebalancing. iBoxx € Overall In the upcoming rebalancing, 47 new bonds are joining the iBoxx universe, consisting of three sovereign bonds (€14.6bn), three sub-sovereigns (€5.6bn), ten covered bonds (€8.7bn) and 31 investment grade corporate bonds (€19.8bn). For the iBoxx € Overall index, we compute a duration increase of c. 0.05 in the upcoming rebalancing, which is in line with the overall historical average (0.05), and in line with extensions historically observed in July (0.05). iBoxx € Sovereigns We expect the duration of the Sovereign index to increase by c. 0.02. While this is below the overall average extension of 0.06, it is in line with the extensions usually seen in July.

This monthly report outlines the projected changes in the iBoxx indices for the coming index roll. It shows the additions and deletions as well as the impact on selected indices. For a detailed analysis of roll impacts on individual indices, also see the index roll report on our website ‘GlobeWeb’ at https://globeweb.commerzbank.com

Contents:

iBoxx € ............................................................ 2 Sovereigns ............................................................. 2 Corporates ............................................................. 8 Covered.................................................................. 9 Roll impact ........................................................... 10 Projected composition change ............................. 11

iBoxx £ .......................................................... 14

Roll impact ........................................................... 15 Projected composition change ............................. 16

iBoxx € Corporates Corporate issuance activity has remained strong as companies continue to benefit from the low yield environment for financing their operations. These days we increasingly see noneuro issuers, as generally tighter credit spreads in € overcompensate for the additional cost from the negative fx basis. With 31 bonds expected to join and 24 bonds leaving the index, the overall market size should increase by c. €1.9bn. We expect an increase of the index duration of c. 0.08. The average asset swap spread is expected to rise by 0.4bp. iBoxx € Covered Issuance activity among covered bonds was weak last month with only ten new bonds totalling €8.7bn. The duration of the iBoxx € Covered index is expected to increase by 0.08. CHART 1: Historical and projected changes in modified duration of the € Sovereign Index 0.18 0.16 0.14 0.12 0.10 0.08

Cross Asset Strategy

0.06

Peter Werno, CFA

+49 69 136 87512 [email protected]

0.04

Andy Lee

0.02 0.00

+44 20 7475 6689 [email protected]

Jan

Feb

Mar

Apr

2012

May 2013

Jun

Jul

Aug

Sep

2014

Source: Markit, Commerzbank Research

Oct 2015

Nov

Dec

Rates & Credit Research Ted Packmohr

+49 69 136 87571 [email protected]

Rainer Guntermann

+49 69 136 87506 [email protected]

Bernhard Grünäugl, CFA

+49 69 136 45814 [email protected]

For important disclosure information please see pages 17 and 18. research.commerzbank.com / Bloomberg: CBKR / Research APP available

Marco Stoeckle, CFA

+49 69 136 82114 [email protected]

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx € The environment for fixed income stabilised somewhat in June. Fed sentiment in the US and varying headlines about Greece continue together to remain the main stories affecting the market. Despite the significant increase in Bund yields, eurozone yield levels remain attractively low, especially for non-euro corporate issuers of which we see an increasing number of new bonds joining. Of the 48 new bonds that we currently expect to join the index, there are three sovereign issues (with a market value of €14.6bn), three sub-sovereign bonds (€5.6bn), ten covered bonds (€8.7bn) and 31 investment grade corporate bonds (€19.8bn).

iBoxx € Sovereigns CHART 2: Historic and projected duration extensions iBoxx € Overall vs iBoxx € Sovereign 0.18 0.16 0.14 0.12 0.10 0.08 0.06 0.04 0.02 0.00

Nov-14

Jul-14

Mar-15

iBoxx EUR Overall

Jul-15

iBoxx Eurozone Sovereign

Source: Markit, Commerzbank Research

Performance Sovereign bond performance pointed downwards across the board in the eurozone in June with the exception of Greece. While sovereign yields generally rose, the peripheral-Bund spread remained unusually constant although slightly wider, peripheral sovereigns’ higher carry was sufficient to cover these slightly higher spreads. Overall, the iBoxx € Sovereign overall index lost -2.46% during June, with the average yield rising 35bp from 1.15% (31 May) to 1.50% (25 June). TABLE 1: Performance, spread & duration of iBoxx € Sovereign indices in June 2015 Name iBoxx Germany

Perf MTD

Perf 3M

Perf YTD

Aswp

Aswp MTD ModDur

Perf 1M

-0.02623

-0.04808

-0.01549

-25.3469

5.261454

6.985285

-0.01898

-0.0302

-0.05262

-0.01633

14.39202

7.156145

7.217917

-0.02349

iBoxx Italy

-0.01791

-0.04669

-0.00071

114.0545

-7.80704

6.451036

-0.01638

iBoxx Austria

-0.03046

-0.05252

-0.02043

-2.20118

9.433542

7.164088

-0.02312

iBoxx Belgium

-0.03359

-0.06156

-0.0177

14.04888

8.030643

7.775485

-0.02662

iBoxx Finland

-0.02442

-0.04093

-0.01711

-14.2351

6.181699

6.685353

-0.01783

iBoxx Ireland

-0.0233

-0.04422

-0.01297

36.83668

6.619094

6.18984

-0.01864

iBoxx Netherlands

-0.02819

-0.04959

-0.01675

-12.4425

7.55705

7.024649

-0.02083

iBoxx Spain

-0.01602

-0.0459

-0.0144

105.8444

-8.23302

6.13594

-0.01697

iBoxx Luxembourg

-0.01419

-0.02693

-0.00142

-29.6777

-0.28213

6.013259

-0.01046

iBoxx Slovakia

-0.03092

-0.04591

0.000122

18.62143

17.97586

6.505375

-0.02866

iBoxx Greece High Yield

0.033199

0.032675

-0.004

423.8293

-26.1668

8.207067

0.043703

iBoxx Portugal High Yield

-0.00757

-0.0402

0.017623

141.7742

-16.0976

6.19373

-0.01628

iBoxx Slovenia

-0.01913

-0.04465

-0.00047

89.02417

5.51005

5.419687

-0.0223

-0.0307

-0.05191

0.020784

30.42423

21.02842

6.530905

-0.02878

iBoxx France

iBoxx Latvia

Source: Markit, Commerzbank Research

2

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

Duration We expect the duration of the iBoxx € Sovereign index to increase by just c. 0.02. While the extension is below the overall average, it is in line with the historical standards in July. CHART 3: Historical and projected index extensions for July index rebalancing 0.10 0.09 0.08 0.07 0.06 0.05 0.04 0.03 0.02 0.01 0.00

1999

2001

2003

2005

Extension

2007

2009

2011

2013

2015

Average

Source: Markit, Commerzbank Research

The two bonds leaving the iBoxx sovereign universe are both Bunds while the joiners consist of an Austrian bond 2 from Spain. Of the sub indices Germany will see the greatest duration extension increasing by c. 0.07, followed by Ireland increasing by c. 0.05 and Netherlands and Austria gain c. 0.04 Table 2:

29 June 2015

3

Cross Asset Strategy | Fixed Income Joint Venture

Change Type

Duration Impact

Spread Impact

-35.5

dropped

0.0139

0.0243

-34.2

dropped

0.0042

0.0075

9.65

-4.1

new

0.0020

-0.0420

30-Jul-20

4.92

57.2

new

-0.0011

0.0082

31-Oct-25

9.18

92.1

new

0.0031

0.0970

28-Sep-21

5.53

-15.0

retirement

0.0003

0.0112

5.5

28-Mar-28

9.88

19.4

retirement

-0.0007

0.0068

0.25

25-Nov-16

1.42

-26.2

retirement

0.0002

0.0006

Netherlands

4

15-Jul-16

1.02

-32.3

retirement

0.0003

0.0006

Netherlands

2.5

15-Jan-17

1.54

-27.7

retirement

0.0005

0.0014

Spain

3.3

30-Jul-16

1.07

-1.0

retirement

0.0002

0.0003

Spain

3.8

31-Jan-17

1.56

9.7

retirement

0.0002

0.0003

Spain

2.1

30-Apr-17

1.83

12.3

retirement

0.0002

0.0004

Spain

4.85

31-Oct-20

4.71

68.0

retirement

0.0001

-0.0009

Spain

4.2

31-Jan-37

14.57

148.4

retirement

-0.0002

-0.0089

Spain

4.9

30-Jul-40

15.27

167.2

retirement

-0.0004

-0.0160

Spain

4.7

30-Jul-41

15.77

166.5

retirement

-0.0004

-0.0138

Spain

5.15

31-Oct-44

16.73

182.4

retirement

-0.0003

-0.0130

Austria

0.25

18-Oct-19

4.28

-23.0

tap

-0.0003

-0.0040

Austria

1.65

21-Oct-24

8.56

-6.9

tap

0.0001

-0.0045

Belgium

3.75

28-Sep-20

4.78

-20.4

tap

-0.0002

-0.0042

Belgium

0.8

22-Jun-25

9.51

3.9

tap

0.0000

0.0001

Belgium

3.75

22-Jun-45

19.79

51.0

tap

0.0020

0.0059

France

0

25-Feb-18

2.67

-24.5

tap

-0.0030

-0.0170

France

3.75

25-Oct-19

4.01

-21.3

tap

-0.0008

-0.0094

France

0

25-May-20

4.90

-17.0

tap

-0.0012

-0.0238

France

1.75

25-May-23

7.40

-7.6

tap

0.0002

-0.0131

France

0.5

25-May-25

9.57

2.1

tap

0.0022

-0.0385

France

2.5

25-May-30

12.53

18.4

tap

0.0043

-0.0258

Germany

0

16-Jun-17

1.98

-32.4

tap

-0.0043

-0.0180

Germany

0

17-Apr-20

4.81

-36.4

tap

-0.0010

-0.0257

Germany

0.5

15-Feb-25

9.33

-31.2

tap

0.0012

-0.0446

Ireland

2.4

15-May-30

12.47

49.4

tap

0.0009

0.0032

Ireland

2

18-Feb-45

21.45

71.2

tap

-0.0001

-0.0008

Issuer

Maturity

Germany

0.25

10-Jun-16

0.96

Germany

6

20-Jun-16

0.99

Austria

1.2

20-Oct-25

Spain

1.15

Spain

2.15

Belgium

4.25

Belgium France

Italy

0

27-Feb-17

1.67

18.6

tap

-0.0002

-0.0001

Italy

0.25

15-May-18

2.87

26.0

tap

-0.0017

-0.0021

Italy

0.7

01-May-20

4.73

53.7

tap

-0.0010

0.0055

Italy

1.35

15-Apr-22

6.40

75.1

tap

-0.0002

0.0133

Italy

1.5

01-Jun-25

9.04

85.6

tap

0.0010

0.0295

Italy

1.65

01-Mar-32

14.06

77.6

tap

0.0008

0.0088

Italy

3.25

01-Sep-46

19.15

141.4

tap

0.0020

0.0445

0

15-Apr-18

2.81

-26.6

tap

-0.0023

-0.0150 -0.0300

Netherlands Netherlands

4

Mod Aswp Sprd Duration

Coupon

2.75

15-Jan-47

21.99

6.6

tap

0.0047

Slovakia

4.625

19-Jan-17

1.53

5.7

tap

0.0000

0.0000

Slovakia

3.375

15-Nov-24

8.08

12.3

tap

0.0000

-0.0006

Spain

4.25

31-Oct-16

1.31

6.6

tap

0.0002

0.0003

Spain

5.5

30-Jul-17

1.95

16.6

tap

0.0002

0.0003

Spain

4.5

31-Jan-18

2.47

29.5

tap

0.0001

0.0001

Spain

0.25

30-Apr-18

2.83

27.4

tap

-0.0019

-0.0020

Spain

4.1

30-Jul-18

2.87

30.9

tap

0.0001

0.0001

Spain

4.6

30-Jul-19

3.68

45.6

tap

0.0001

-0.0002

Spain

4.3

31-Oct-19

3.95

50.0

tap

0.0001

-0.0004

Spain

4

30-Apr-20

4.46

60.1

tap

-0.0003

0.0015

Spain

5.85

31-Jan-22

5.60

90.6

tap

0.0001

-0.0027

Spain

5.4

31-Jan-23

6.36

100.4

tap

-0.0001

0.0081

Spain

4.8

31-Jan-24

7.15

103.5

tap

0.0000

-0.0028

Spain

4.65

30-Jul-25

8.03

107.7

tap

0.0000

-0.0030

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

Issuer

Coupon

Maturity

Mod Aswp Sprd Duration

Change Type

Duration Impact

Spread Impact

Spain

5.9

30-Jul-26

8.33

124.3

tap

0.0000

-0.0045

Spain

6

31-Jan-29

9.89

140.7

tap

-0.0001

-0.0072

Spain

5.75

30-Jul-32

11.53

146.6

tap

-0.0002

-0.0091

Source: Markit, Commerzbank Research * Commerzbank forecast of planned auction. Timing and amount may differ ** Commerzbank forecast of planned new issue. Timing, amount, coupon or other details may not have been known at the time of writing, derived data such as duration is only a forecast

Rating RatingAgency Actions Country/Action Date 10-Jun S&P 5-Jun

S&P

Greece dn (C) Ireland up (A+)

Since our last publication, we observed just two rating actions. First there was S&Ps upgrade of Ireland by one notch to A+, next came their downgrade of Greece to C from C+ as the negotiations continue to look as far away as ever despite many calls for action.

Correlation The following matrices show one-month correlations for the most recent month. “Performance Correlation” tables show the correlation of the daily returns of the relevant iBoxx total return indices, and “Spread Correlation” tables show the daily spread difference correlation.

29 June 2015

5

Cross Asset Strategy | Fixed Income Joint Venture

1yr – 3yr Maturities TABLE 3: Performance correlation for iBoxx € Sovereign indices 1-3yr Performance

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

85%

93%

92%

79%

80%

-21%

-17%

30%

9%

Finland

85%

100%

86%

90%

86%

90%

7%

12%

49%

-6%

Netherlands

93%

86%

100%

86%

89%

88%

10%

11%

42%

15%

Austria

92%

90%

86%

100%

83%

87%

-14%

-10%

34%

2%

France

79%

86%

89%

83%

100%

94%

22%

24%

46%

3%

Belgium

80%

90%

88%

87%

94%

100%

25%

28%

44%

2%

Italy

-21%

7%

10%

-14%

22%

25%

100%

97%

32%

-6%

Spain

-17%

12%

11%

-10%

24%

28%

97%

100%

40%

-4%

Ireland

30%

49%

42%

34%

46%

44%

32%

40%

100%

8%

9%

-6%

15%

2%

3%

2%

-6%

-4%

8%

100%

Portugal

Source: Markit, Commerzbank Research

TABLE 4: Spread correlation for iBoxx € Sovereign indices 1-3yr Aswp

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

94%

96%

96%

91%

91%

7%

12%

71%

4%

Finland

94%

100%

96%

98%

95%

96%

24%

29%

81%

-5%

Netherlands

96%

96%

100%

98%

97%

97%

28%

32%

82%

7%

Austria

96%

98%

98%

100%

96%

97%

23%

27%

80%

2%

France

91%

95%

97%

96%

100%

99%

38%

42%

84%

-1%

Belgium

91%

96%

97%

97%

99%

100%

39%

42%

84%

3%

7%

24%

28%

23%

38%

39%

100%

97%

50%

-12%

Spain

12%

29%

32%

27%

42%

42%

97%

100%

56%

-9%

Ireland

71%

81%

82%

80%

84%

84%

50%

56%

100%

-3%

4%

-5%

7%

2%

-1%

3%

-12%

-9%

-3%

100%

Italy

Portugal

Source: Markit, Commerzbank Research

3yr – 5yr Maturities TABLE 5: Performance correlation for iBoxx € Sovereign indices 3-5yr Performance

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

92%

93%

93%

85%

77%

-7%

-5%

68%

23%

Finland

92%

100%

97%

96%

96%

92%

25%

25%

85%

28%

Netherlands

93%

97%

100%

98%

96%

91%

20%

21%

85%

31%

Austria

93%

96%

98%

100%

97%

90%

20%

20%

83%

27%

France

85%

96%

96%

97%

100%

96%

39%

38%

90%

27%

Belgium

77%

92%

91%

90%

96%

100%

44%

41%

90%

31%

Italy

-7%

25%

20%

20%

39%

44%

100%

98%

57%

12%

Spain

-5%

25%

21%

20%

38%

41%

98%

100%

58%

14%

Ireland

68%

85%

85%

83%

90%

90%

57%

58%

100%

46%

Portugal

23%

28%

31%

27%

27%

31%

12%

14%

46%

100%

Source: Markit, Commerzbank Research

TABLE 6: Spread correlation for iBoxx € Sovereign indices 3-5yr Aswp Germany

DE

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

59%

72%

71%

29%

33%

-38%

-39%

18%

4%

Finland

59%

100%

87%

82%

85%

78%

38%

36%

67%

10%

Netherlands

72%

87%

100%

92%

78%

77%

17%

15%

66%

20%

Austria

71%

82%

92%

100%

79%

72%

15%

11%

59%

10%

France

29%

85%

78%

79%

100%

90%

63%

58%

83%

7%

Belgium

33%

78%

77%

72%

90%

100%

53%

46%

79%

18%

Italy

-38%

38%

17%

15%

63%

53%

100%

98%

68%

5%

Spain

-39%

36%

15%

11%

58%

46%

98%

100%

64%

4%

Ireland

18%

67%

66%

59%

83%

79%

68%

64%

100%

26%

4%

10%

20%

10%

7%

18%

5%

4%

26%

100%

Portugal

Source: Markit, Commerzbank Research

6

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

5yr – 7yr Maturities TABLE 7: Performance correlation for iBoxx € Sovereign indices 5-7yr Performance

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

94%

94%

96%

91%

89%

2%

3%

74%

27%

Finland

94%

100%

98%

98%

98%

97%

26%

28%

87%

30%

Netherlands

94%

98%

100%

99%

98%

97%

21%

23%

86%

27%

Austria

96%

98%

99%

100%

98%

97%

21%

22%

85%

31%

France

91%

98%

98%

98%

100%

99%

37%

38%

90%

28%

Belgium

89%

97%

97%

97%

99%

100%

40%

41%

90%

27%

Italy

2%

26%

21%

21%

37%

40%

100%

98%

56%

12%

Spain

3%

28%

23%

22%

38%

41%

98%

100%

59%

10%

Ireland

74%

87%

86%

85%

90%

90%

56%

59%

100%

34%

Portugal

27%

30%

27%

31%

28%

27%

12%

10%

34%

100%

Source: Markit, Commerzbank Research

TABLE 8: Spread correlation for iBoxx € Sovereign indices 5-7yr Aswp

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

40%

38%

43%

12%

1%

-37%

-32%

4%

-1%

Finland

40%

100%

86%

83%

81%

77%

42%

45%

72%

8%

Netherlands

38%

86%

100%

90%

79%

79%

28%

34%

65%

2%

Austria

43%

83%

90%

100%

86%

83%

38%

43%

67%

15%

France

12%

81%

79%

86%

100%

96%

69%

73%

82%

3%

Belgium

1%

77%

79%

83%

96%

100%

73%

76%

79%

4%

Italy

-37%

42%

28%

38%

69%

73%

100%

97%

70%

6%

Spain

-32%

45%

34%

43%

73%

76%

97%

100%

72%

2%

4%

72%

65%

67%

82%

79%

70%

72%

100%

7%

-1%

8%

2%

15%

3%

4%

6%

2%

7%

100%

Ireland Portugal

Source: Markit, Commerzbank Research

7yr – 10yr Maturities TABLE 9: Performance correlation for iBoxx € Sovereign indices 7-10yr Performance

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

97%

97%

97%

94%

94%

12%

8%

75%

34%

Finland

97%

100%

99%

99%

99%

99%

29%

24%

85%

37%

Netherlands

97%

99%

100%

100%

99%

99%

27%

24%

86%

34%

Austria

97%

99%

100%

100%

99%

99%

29%

24%

86%

38%

France

94%

99%

99%

99%

100%

100%

38%

34%

89%

34%

Belgium

94%

99%

99%

99%

100%

100%

38%

34%

89%

36%

Italy

12%

29%

27%

29%

38%

38%

100%

99%

63%

7%

Spain

8%

24%

24%

24%

34%

34%

99%

100%

60%

0%

Ireland

75%

85%

86%

86%

89%

89%

63%

60%

100%

38%

Portugal

34%

37%

34%

38%

34%

36%

7%

0%

38%

100%

Source: Markit, Commerzbank Research

TABLE 10: Spread correlation for iBoxx € Sovereign indices 7-10yr Aswp Germany

DE

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

41%

51%

43%

24%

16%

-35%

-37%

-4%

Finland

41%

100%

93%

90%

85%

85%

41%

39%

62%

-4%

Netherlands

51%

93%

100%

93%

86%

84%

29%

28%

62%

-14%

Austria

43%

90%

93%

100%

91%

89%

46%

44%

71%

3%

France

24%

85%

86%

91%

100%

97%

65%

64%

78%

-6%

Belgium

-23%

16%

85%

84%

89%

97%

100%

69%

68%

76%

2%

Italy

-35%

41%

29%

46%

65%

69%

100%

99%

74%

5%

Spain

-37%

39%

28%

44%

64%

68%

99%

100%

74%

0%

Ireland

-4%

62%

62%

71%

78%

76%

74%

74%

100%

-4%

-23%

-4%

-14%

3%

-6%

2%

5%

0%

-4%

100%

Portugal

Source: Markit, Commerzbank Research

29 June 2015

7

Cross Asset Strategy | Fixed Income Joint Venture

>10yr Maturities TABLE 11: Performance correlation for iBoxx € Sovereign indices >10yr Performance

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

99%

100%

99%

96%

95%

26%

18%

78%

33%

99%

100%

100%

100%

98%

98%

31%

23%

83%

38%

100%

100%

100%

100%

97%

97%

28%

20%

81%

37%

Austria

99%

100%

100%

100%

97%

97%

30%

22%

82%

38%

France

96%

98%

97%

97%

100%

100%

47%

40%

90%

36%

Belgium

95%

98%

97%

97%

100%

100%

47%

40%

90%

37%

Italy

26%

31%

28%

30%

47%

47%

100%

99%

69%

7%

Spain

18%

23%

20%

22%

40%

40%

99%

100%

62%

0%

Ireland

78%

83%

81%

82%

90%

90%

69%

62%

100%

41%

Portugal

33%

38%

37%

38%

36%

37%

7%

0%

41%

100%

Finland Netherlands

Source: Markit, Commerzbank Research

TABLE 12: Spread correlation for iBoxx € Sovereign indices >10yr Aswp

DE

Germany

FI

NL

AT

FR

BE

IT

ES

IE

PT

100%

77%

92%

83%

28%

25%

-21%

-21%

9%

Finland

77%

100%

91%

95%

70%

69%

19%

15%

55%

0%

Netherlands

92%

91%

100%

94%

51%

49%

-6%

-9%

31%

-9%

Austria

83%

95%

94%

100%

63%

61%

16%

13%

50%

0%

France

28%

70%

51%

63%

100%

99%

76%

74%

86%

10%

Belgium

-31%

25%

69%

49%

61%

99%

100%

75%

72%

84%

13%

Italy

-21%

19%

-6%

16%

76%

75%

100%

99%

79%

17%

Spain

-21%

15%

-9%

13%

74%

72%

99%

100%

77%

13%

9%

55%

31%

50%

86%

84%

79%

77%

100%

18%

-31%

0%

-9%

0%

10%

13%

17%

13%

18%

100%

Ireland Portugal

Source: Markit, Commerzbank Research

Overall (all maturities) TABLE 13: Performance correlation for iBoxx € Sovereign indices (all maturities) Performance

DE

Germany

NL

AT

FI

LU

FR

BE

SK

IE

IT

ES

PT

100%

99%

99%

98%

97%

95%

95%

84%

76%

16%

10%

-6%

Netherlands

99%

100%

100%

99%

97%

98%

98%

86%

82%

23%

17%

1%

Austria

99%

100%

100%

100%

98%

98%

98%

86%

83%

25%

19%

2%

Finland

98%

99%

100%

100%

98%

98%

98%

86%

84%

28%

22%

6%

Luxembourg

97%

97%

98%

98%

100%

95%

95%

84%

78%

19%

13%

-4%

France

95%

98%

98%

98%

95%

100%

100%

86%

90%

41%

36%

17%

Belgium

95%

98%

98%

98%

95%

100%

100%

86%

90%

41%

36%

17%

Slovakia

84%

86%

86%

86%

84%

86%

86%

100%

78%

34%

30%

19%

Ireland

76%

82%

83%

84%

78%

90%

90%

78%

100%

65%

61%

49%

Italy

16%

23%

25%

28%

19%

41%

41%

34%

65%

100%

99%

85%

Spain

10%

17%

19%

22%

13%

36%

36%

30%

61%

99%

100%

87%

Portugal

-6%

1%

2%

6%

-4%

17%

17%

19%

49%

85%

87%

100%

Source: Markit, Commerzbank Research

TABLE 14: Spread correlation for iBoxx € Sovereign indices (all maturities) Aswp

DE

NL

FI

AT

LU

BE

FR

IE

IT

PT

ES

SK

100%

82%

71%

61%

42%

19%

15%

3%

-26%

-30%

-31%

-40%

Netherlands

82%

100%

94%

90%

55%

62%

60%

46%

-10%

6%

4%

-21%

Austria

71%

94%

100%

93%

66%

74%

71%

59%

3%

26%

24%

-6%

Finland

61%

90%

93%

100%

65%

77%

76%

62%

-2%

31%

29%

-6%

Luxembourg

42%

55%

66%

65%

100%

53%

56%

33%

31%

32%

31%

8%

France

19%

62%

74%

77%

53%

100%

99%

81%

0%

76%

75%

35%

Belgium

15%

60%

71%

76%

56%

99%

100%

80%

4%

76%

75%

37%

Ireland

3%

46%

59%

62%

33%

81%

80%

100%

6%

74%

74%

37%

Portugal

-26%

-10%

3%

-2%

31%

0%

4%

6%

100%

8%

4%

21%

Italy

-30%

6%

26%

31%

32%

76%

76%

74%

8%

100%

100%

66%

Spain

-31%

4%

24%

29%

31%

75%

75%

74%

4%

100%

100%

67%

Slovakia

-40%

-21%

-6%

-6%

8%

35%

37%

37%

21%

66%

67%

100%

Germany

Source: Markit, Commerzbank Research

iBoxx € Corporates Primary market activity remained strong in June as the continuous low yield environment attracts investors also from abroad. We currently (as at 25 June) expect 31 new bonds to join the index

8

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

family in the upcoming rebalancing. These consist of ten financials and 21 non-financials. With 24 bonds leaving, the overall market size of the iBoxx € Corporates index should increase by c. €1.8bn. The average duration of the index is expected to increase by c. 0.08; the average asset swap spread is projected to increase by 0.4bp due to the composition change.

TABLE 15: Breakdown of changes in the corporate area # Bonds

Nominal

Market Value

Additions

31

19,800,000,000

19,478,137,591

Deletions

24

-20,037,391,000

-21,013,887,449

Taps

0

0

0

Retirements

3

-311,254,000

-362,699,043

Total

4

-548,645,000

-1,898,448,901

Source: Markit, Commerzbank Research

iBoxx € Covered Issuance activity in the covered bond market increased slightly in June, up to ten from the May total. At time of writing, seven new bonds – with only four bonds making the €1bn level – join the index. At the same time, 17 bonds will leave, resulting in a decline in market value of c. €7.6bn. As a result, the duration of the iBoxx € Covered index is expected to increase by c. 0.08. TABLE 16: Breakdown of changes in the covered bond area No. Bonds

Nominal

Market Value

Additions

10

8,680,900,000

8,714,692,181

Deletions

17

-16,287,000,000

-16,914,802,710

Taps

1

500,000,000

657,266,497

Retirements

0

0

0

-4

-7,055,172,335

-7,649,182,865

Total Source: Markit, Commerzbank Research

29 June 2015

9

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx € roll impact TABLE 17: Projected impact on selected iBoxx € indices Modified Duration Index

Change

New

Based on €1bn invested Roll Costs

Cap. Inflow

Avg asset swap spread Change

New

iBoxx € Overall

0.05

6.18

-27279

3680503

0.1

iBoxx SOV Eurozone

0.02

6.86

-16939

9011274

-0.1

37.4

iBoxx SV EZ 1-3

0.05

1.89

-28750

27891379

1.2

-10.7

iBoxx SV EZ 3-5

0.04

3.77

-8899

-19520319

-0.3

2.3

iBoxx SV EZ 5-7

0.00

5.38

-13216

6869054

0.4

14.3

iBoxx SV EZ 7-10

0.06

7.45

-43056

35417904

0.1

29.8

iBoxx SV EZ 10+

0.05

13.30

-32860

-1321335

0.0

57.3

iBoxx Collateralized

0.08

4.54

-41436

-9346527

-0.1

6.3

iBoxx COLL 1-3

0.12

1.89

-163712

-33975

-0.4

0.0

iBoxx COLL 3-5

0.14

3.92

-152291

-2990426

-0.2

-3.1

iBoxx COLL 5-7

0.08

5.60

-108606

-8639866

0.1

-1.2

iBoxx COL 7-10

0.10

7.66

-69141

-39131623

0.4

7.9

iBoxx COLL 10+

0.05

11.10

0

-21253378

0.7

48.8

iBoxx € Corporates

0.08

5.12

-70116

-1232694

0.4

90.2

iBoxx CORP AAA

0.00

7.13

0

0

0.0

45.2

iBoxx CORP AA

0.14

5.39

-81180

-10651311

0.4

48.0

iBoxx CORP A

0.06

5.22

-133759

-380074

-0.3

69.0

iBoxx CORP BBB

0.08

4.93

-113955

699642

1.0

126.8

iBoxx € Corp Financials

0.07

4.57

-81359

2583413

0.9

102.4

iBoxx Banks

0.08

4.29

-78013

-2021000

0.3

83.6

iBoxx Financial Services

0.01

4.56

-39219

-10644234

-1.3

77.9

iBoxx Insurance

0.05

6.01

-148721

20112453

2.2

206.5

iBoxx Tier I

0.57

2.36

-8001941

1183043981

65.9

244.1

iBoxx Upper Tier II

0.00

2.97

0

0

0.0

282.8

iBoxx Lower Tier II

0.01

4.54

-52250

3093772

1.1

159.0

iBoxx € Corp Non-financials

0.08

5.53

-61870

-4031478

0.0

82.8

iBoxx Automobiles

0.03

4.68

-96774

14007486

0.5

78.6

iBoxx Basic Resources

0.04

5.10

0

-39194059

-4.0

95.6

iBoxx Chemicals

0.20

5.26

-22920

-17222408

-1.8

61.8

iBoxx Construction

0.17

4.64

-57819

-11673502

1.7

80.0

iBoxx Food&Beverage

0.02

6.35

-216323

30454637

1.2

65.9

iBoxx Healthcare

0.59

6.19

-360527

-35705225

0.6

70.8

iBoxx Ind Goods&Services

0.02

4.90

-45488

6825065

0.3

65.4

iBoxx Media

0.00

6.14

0

0

0.0

92.1

iBoxx Oil and Gas iBoxx Personal&Househ. Goods

0.05

6.02

0

-10185791

0.1

83.4

0.00

6.11

0

0

0.0

69.4

iBoxx Retail

0.00

5.48

0

0

0.0

78.5

iBoxx Technology

0.00

7.20

0

0

0.0

50.2

iBoxx Telecommunication

0.04

5.74

0

-8872667

0.1

98.3

-0.03

6.63

-771948

76538806

6.4

95.7

0.09

5.34

-31337

-10609443

0.1

98.3

iBoxx Travel & Leisure iBoxx Utilities

39.1

Source: Markit, Commerzbank Research

10

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx € projected composition change TABLE 18: Projected composition changes to the iBoxx € Indices ISIN

Issuer

Coupon

Maturity

Nominal

Dirty Price

ASW Spread

Mod Duration

Sub-Index

ES00000127G9

Spain

2.15

31-Oct-25

ES00000127H7

Spain

1.15

30-Jul-20

7,399,750,000

99.76

92.1

9.18

IBOXXSovES

3,218,140,000

100.22

57.2

4.92

AT0000A1FAP5

Austria

1.2

IBOXXSovES

20-Oct-25

4,000,000,000

100.00

-4.1

9.65

EU000A1G0DF9

EFSF

0.125

IBOXXSovAT

04-Nov-19

2,250,000,000

99.50

-17.1

4.34

IBOXXSubSovSUP

Additions

DE000A11QTG5

KFW

0.625

04-Jul-22

2,000,000,000

100.08

-21.8

6.85

IBOXXSubSovAGN

ES0378641205

FADE

0.85

17-Sep-19

1,300,000,000

99.38

61.8

4.13

IBOXXSubSovAGN

XS1248340587

Yorkshire Build.Soc.

0.5

19-Jun-20

500,000,000

99.63

4.7

4.91

IBOXXCovUK

XS1246782269

Skand Enskilda

0.75

16-Jun-22

1,000,000,000

99.62

-1.2

6.76

iBoxxCovSE

Banco Com.Port.

4.75

22-Jun-17

930,900,000

109.03

42.5

1.94

iBoxxCovPT

FR0012790319

CFF

0.125

18-Jun-18

1,500,000,000

100.09

-10.3

2.97

IBOXXCovFR

ES0413860455

Sabadell

0.375

10-Jun-20

750,000,000

98.75

13.4

4.89

iBoxxCovES

DG Hyp

0.625

05-Jun-24

500,000,000

97.68

-18.2

8.64

IBOXXCovDE

PTBCUB1E0005

DE000A13SWZ1 DE000MHB14J5

Muench Hyp

0.5

07-Jun-23

750,000,000

97.91

-18.2

7.75

IBOXXCovDE

DE000SK003C7

Sparkasse KoelnBonn

0.375

03-Jun-22

500,000,000

98.29

-18.2

6.82

IBOXXCovDE

XS1246658501

Royal Bk Canada

0.875

17-Jun-22

1,000,000,000

99.99

6.1

6.74

iBoxxCovCA

XS1245943755

Toronto-Dominion Bk.

0.5

15-Jun-20

1,250,000,000

99.94

0.8

4.90

iBoxxCovCA

XS1239586594

ESB FINANCE

2.125

08-Mar-27

500,000,000

100.12

74.8

10.25

IBOXXCorpUTI

XS1241581096

TenneT Hldg

1.75

04-Mar-27

500,000,000

96.53

69.0

10.62

IBOXXCorpUTI

XS1243251375

Eurogrid

1.875

10-Mar-25

500,000,000

98.95

79.3

8.98

IBOXXCorpUTI

XS1241581179

TenneT Hldg

0.875

04-Mar-21

500,000,000

99.31

33.7

5.75

IBOXXCorpUTI

XS1117297512

Expedia

2.5

03-Mar-22

650,000,000

99.15

185.0

6.27

IBOXXCorpTLL

FR0012790327

Gecina

2

17-Mar-24

500,000,000

98.09

111.6

8.11

iBoxxCorpREIT

XS1241701413

Inmobiliaria Colonia

2.728

05-Jun-23

500,000,000

96.82

216.8

7.00

iBoxxCorpREIT

XS1241699922

Inmobiliaria Colonia

1.863

05-Jun-19

750,000,000

99.52

164.9

3.76

iBoxxCorpREIT

XS1242413679

Aviva

3.375

04-Dec-25

900,000,000

94.95

263.8

8.55

IBOXXCorpINS

XS1217882171

Kommunal Landspensjo

4.25

10-Jun-25

600,000,000

98.54

318.2

7.94

IBOXXCorpINS

Autostrade Italia

1.625

12-Jun-23

750,000,000

98.13

92.0

7.38

IBOXXCorpIGS

XS1240751229

Eli Lilly & Co

2.125

03-Mar-30

750,000,000

96.68

85.3

12.58

IBOXXCorpHCR

XS1240751062

Eli Lilly & Co

1.625

02-Mar-26

750,000,000

97.10

61.8

9.89

IBOXXCorpHCR

XS1240750767

Eli Lilly & Co

1

03-Mar-22

600,000,000

98.89

38.1

6.65

IBOXXCorpHCR

XS1244539760

Motability Ops

1.625

09-Jun-23

550,000,000

100.30

62.5

7.40

IBOXXCorpFSV

XS1249493948

Archer Daniels Midld

1.75

23-Jun-23

600,000,000

100.63

73.6

7.40

IBOXXCorpFOB

XS1241577490

Unilever

1

03-Jun-23

500,000,000

97.69

36.8

7.56

IBOXXCorpFOB

XS1242327168

BRF

2.75

03-Jun-22

500,000,000

98.32

217.2

6.20

IBOXXCorpFOB

XS1117296381

Mohawk Ind.

2

14-Oct-21

500,000,000

100.47

119.3

5.86

IBOXXCorpCNS

FR0012766889

AIR LIQUIDE

1.25

03-Mar-25

500,000,000

100.08

6.9

9.06

IBOXXCorpCHM

XS1246732249

LB-BW

3.625

16-Jun-25

500,000,000

98.51

258.1

8.20

IBOXXCorpBNK

XS1240964483

Wells Fargo

1.625

02-Jun-25

1,250,000,000

97.45

73.1

9.06

IBOXXCorpBNK

FR0012770261

Credit Agri/Lon

1.16

09-Jun-22

500,000,000

97.61

69.1

6.61

IBOXXCorpBNK

XS1241546420

Nationw Build Soc

1.125

03-Jun-22

1,000,000,000

97.35

72.2

6.60

IBOXXCorpBNK

XS1239401216

Swedbank

1

01-Jun-22

750,000,000

97.49

56.2

6.63

IBOXXCorpBNK

XS1244060486

ABN Amro Bk

0.75

09-Jun-20

500,000,000

99.23

42.7

4.84

IBOXXCorpBNK

XS1241710323

Nomura Europe Fin. N

1.125

03-Jun-20

750,000,000

98.55

94.3

4.76

IBOXXCorpBNK

XS1241229704

Danske Bk

0.75

04-May-20

750,000,000

99.31

42.3

4.74

IBOXXCorpBNK

FR0012759744

RCI Banque

1.25

08-Jun-22

750,000,000

97.12

85.9

6.58

IBOXXCorpATO

XS1121198094

GM Fin Intl

1.875

15-Oct-19

500,000,000

102.49

114.9

4.06

IBOXXCorpATO

XS1193853006

GM Fin Intl

0.85

23-Feb-18

650,000,000

99.55

92.1

2.61

IBOXXCorpATO

XS0918749622

EIB

1.375

15-Sep-21

350,000,000

106.25

-21.3

5.93

IBOXXSubSovSUP

XS0858366098

EIB

1.375

15-Sep-20

450,000,000

106.30

-22.0

5.01

IBOXXSubSovSUP

SK4120008871

Slovakia

3.375

15-Nov-24

122,900,000

120.66

12.3

8.08

IBOXXSovSK

SK4120008301

Slovakia

4.625

19-Jan-17

49,400,000

108.84

5.7

1.53

IBOXXSovSK

NL0010721999

Netherlands

2.75

15-Jan-47

1,455,000,000

124.18

6.6

21.99

IBOXXSovNL

IT0005108490

Tap

29 June 2015

11

Cross Asset Strategy | Fixed Income Joint Venture

ISIN NL0011005137

Issuer

Coupon

Maturity

Nominal

Dirty Price

ASW Spread

Mod Duration

Sub-Index

Netherlands

0

15-Apr-18

3,265,000,000

100.17

-26.6

2.81

IBOXXSovNL

IT0005083057

Italy

3.25

01-Sep-46

946,567,000

102.70

141.4

19.15

IBOXXSovIT

IT0005094088

Italy

1.65

01-Mar-32

778,433,000

88.99

77.6

14.06

IBOXXSovIT

IT0005090318

Italy

1.5

01-Jun-25

2,875,000,000

94.59

85.6

9.04

IBOXXSovIT

IT0005086886

Italy

1.35

15-Apr-22

2,300,000,000

98.68

75.1

6.40

IBOXXSovIT

IT0005107708

Italy

0.7

01-May-20

2,809,400,000

98.36

53.7

4.73

IBOXXSovIT

IT0005106049

Italy

0.25

15-May-18

2,502,000,000

99.34

26.0

2.87

IBOXXSovIT

IT0005089955

Italy

0

27-Feb-17

300,000,000

99.51

18.6

1.67

IBOXXSovIT

Ireland

2

18-Feb-45

17,500,000

89.08

71.2

21.45

IBOXXSovIE

IE00BJ38CR43

Ireland

2.4

15-May-30

862,500,000

104.30

49.4

12.47

IBOXXSovIE

FR0011883966

France

2.5

25-May-30

4,027,000,000

110.41

18.4

12.53

IBOXXSovFR

FR0012517027

France

0.5

25-May-25

4,917,000,000

93.12

2.1

9.57

IBOXXSovFR

FR0011486067

France

1.75

25-May-23

1,785,000,000

106.67

-7.6

7.40

IBOXXSovFR

FR0012557957

France

0

25-May-20

3,662,000,000

98.26

-17.0

4.90

IBOXXSovFR

FR0010776161

France

3.75

25-Oct-19

1,727,000,000

117.69

-21.3

4.01

IBOXXSovFR

FR0012634558

France

0

25-Feb-18

4,010,000,000

100.14

-24.5

2.67

IBOXXSovFR

ES0000012411

Spain

5.75

30-Jul-32

1,000,000

144.96

146.6

11.53

IBOXXSovES

ES0000011868

Spain

6

31-Jan-29

28,900,000

140.77

140.7

9.89

IBOXXSovES

ES00000123C7

Spain

5.9

30-Jul-26

5,000,000

140.06

124.3

8.33

IBOXXSovES

ES00000122E5

Spain

4.65

30-Jul-25

15,500,000

126.54

107.7

8.03

IBOXXSovES

ES00000121G2

Spain

4.8

31-Jan-24

6,000,000

124.15

103.5

7.15

IBOXXSovES

ES00000123U9

Spain

5.4

31-Jan-23

831,200,000

127.58

100.4

6.36

IBOXXSovES

ES00000123K0

Spain

5.85

31-Jan-22

6,600,000

129.02

90.6

5.60

IBOXXSovES

ES00000122D7

Spain

4

30-Apr-20

782,310,000

114.37

60.1

4.46

IBOXXSovES

ES00000121O6

Spain

4.3

31-Oct-19

4,300,000

117.24

50.0

3.95

IBOXXSovES

ES00000121L2

Spain

4.6

30-Jul-19

17,900,000

119.32

45.6

3.68

IBOXXSovES

ES00000121A5

Spain

4.1

30-Jul-18

27,300,000

114.58

30.9

2.87

IBOXXSovES

ES00000127D6

Spain

0.25

30-Apr-18

2,713,920,000

99.32

27.4

2.83

IBOXXSovES

ES00000123Q7

Spain

4.5

31-Jan-18

12,300,000

112.17

29.5

2.47

IBOXXSovES

ES0000012783

Spain

5.5

30-Jul-17

15,300,000

115.79

16.6

1.95

IBOXXSovES

ES00000123J2

Spain

4.25

31-Oct-16

700,000

108.27

6.6

1.31

IBOXXSovES

DE0001102374

Germany

0.5

15-Feb-25

3,000,000,000

96.88

-31.2

9.33

IBOXXSovDE

DE0001141711

Germany

0

17-Apr-20

3,000,000,000

99.34

-36.4

4.81

IBOXXSovDE

DE0001104602

Germany

0

16-Jun-17

5,000,000,000

100.40

-32.4

1.98

IBOXXSovDE

BE0000331406

Belgium

3.75

22-Jun-45

710,000,000

135.06

51.0

19.79

IBOXXSovBE

BE0000334434

Belgium

0.8

22-Jun-25

130,000,000

95.65

3.9

9.51

IBOXXSovBE

BE0000318270

Belgium

3.75

28-Sep-20

725,000,000

120.29

-20.4

4.78

IBOXXSovBE

AT0000A185T1

Austria

1.65

21-Oct-24

550,000,000

106.20

-6.9

8.56

IBOXXSovAT

AT0000A19XC3

Austria

0.25

18-Oct-19

660,000,000

100.37

-23.0

4.28

IBOXXSovAT

XS0946693834

LB Hessen-Thu

1.875

26-Jun-23

500,000,000

110.19

-18.7

7.34

IBOXXCovDE

DE0001134468

Germany

6

20-Jun-16

-3,750,000,000

106.17

-34.2

0.99

IBOXXSovDE

DE0001137461

Germany

0.25

10-Jun-16 -13,000,000,000

100.49

-35.5

0.96

IBOXXSovDE

EU

2.75

03-Jun-16

-4,750,000,000

102.81

-13.1

0.94

IBOXXSubSovSUP

IE00BV8C9186

Deletions

EU000A1GRYT1 XS0638742485

Romania

5.25

17-Jun-16

-1,500,000,000

104.68

33.4

0.97

IBOXXSubSovSOV

XS0233031326

Quebec

3.375

20-Jun-16

-1,500,000,000

103.32

-11.4

0.99

IBOXXSubSovREG

XS0259231974

BNG

4.125

28-Jun-16

-2,000,000,000

108.25

-18.2

0.97

IBOXXSubSovPBK

DE000A1KRHP2

FMS

2.75

03-Jun-16

-3,000,000,000

102.78

-9.4

0.94

IBOXXSubSovAGN

XS0638499367

Westpac Sec. NZ Ltd

3.5

16-Jun-16

-1,000,000,000

103.39

-5.2

0.97

iBoxxCovNZ

FR0011059930

BNP Paribas Public S

3.125

09-Jun-16

-1,000,000,000

103.07

-5.3

0.96

IBOXXCovFR

FR0011056126

Societe Generale

3.25

06-Jun-16

-1,500,000,000

103.16

-0.9

0.95

IBOXXCovFR

XS0640889803

Aktia R/E Mtge Bank

3.125

22-Jun-16

-600,000,000

103.05

-11.0

0.99

iBoxxCovFI2

ES0414950560

Caja de Madrid

5.75

29-Jun-16

-1,000,000,000

111.11

14.3

0.96

iBoxxCovES

ES0413900251

Santander

4.625

21-Jun-16

-1,000,000,000

104.36

6.1

0.99

iBoxxCovES

ES0413440266

Banesto

3.75

17-Jun-16

-500,000,000

103.54

4.6

0.98

iBoxxCovES

ES0347785000

Im Ced 9

4.25

09-Jun-16

-1,275,000,000

103.82

26.5

0.95

iBoxxCovES

DE000A1KRJA0

ING-DiBa

2.75

29-Jun-16

-500,000,000

105.46

-14.6

0.98

IBOXXCovDE

12

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

ISIN

Issuer

Coupon

Maturity

Nominal

Dirty Price

ASW Spread

Mod Duration

Sub-Index

DE000LB0B9J0

LB-BW

2.25

21-Jun-16

-1,375,000,000

102.21

-13.8

0.99

IBOXXCovDE

DE000AAR0116

Aareal Bank

3.125

14-Jun-16

-500,000,000

103.07

-8.7

0.97

IBOXXCovDE

DE000DB7URS2

Deutsche Bk

3.75

09-Jun-16

-1,000,000,000

103.70

-6.1

0.96

IBOXXCovDE

DE000WLB6AL0

LB Hessen-Thu

4.125

08-Jun-16

-1,450,000,000

104.07

-5.0

0.95

IBOXXCovDE

DE000HV2ADJ6

Unicredit

2.875

07-Jun-16

-1,000,000,000

102.83

-4.6

0.95

IBOXXCovDE

DE000HSH3065

HSH Nordbk

1.125

06-Jun-16

-500,000,000

101.06

-3.0

0.95

IBOXXCovDE

XS0632934583

UBS

3

06-Jun-16

-1,000,000,000

102.91

-1.2

0.95

iBoxxCovCH2

XS0432079381

Erste Bank

4.25

08-Jun-16

-1,087,000,000

104.11

2.1

0.95

iBoxxCovAT

FR0011289230

Gaz de France

2.625

20-Jul-22

-661,327,000

111.35

40.8

6.35

IBOXXCorpUTI

XS0827573766

ESB FINANCE

6.25

11-Sep-17

-600,000,000

117.54

29.0

2.05

IBOXXCorpUTI

XS0371990952

Anglian Water Serv

6.25

27-Jun-16

-500,000,000

112.19

7.1

0.95

IBOXXCorpUTI

XS0257885086

Nederlandse Gasunie

4.25

20-Jun-16

-700,000,000

103.96

3.4

0.98

IBOXXCorpUTI

XS0258428712

Fortum

4.5

20-Jun-16

-750,000,000

104.14

13.0

0.98

IBOXXCorpUTI

XS0256997007

EDP Fin

4.625

13-Jun-16

-500,000,000

103.67

61.4

0.96

IBOXXCorpUTI

XS0257807957

Vodafone Gr

4.75

14-Jun-16

-500,000,000

104.38

17.1

0.97

IBOXXCorpTLS

DE000A0GTCB9

Dt Telekom Int Fin

4.75

31-May-16

-500,000,000

104.50

16.6

0.93

IBOXXCorpTLS

XS0633014427

BP Cap Mkt

3.472

01-Jun-16

-850,000,000

103.22

15.9

0.93

IBOXXCorpOGS

XS0432810116

Novartis Fin. SA

4.25

15-Jun-17

-1,500,000,000

104.05

1.7

0.97

IBOXXCorpHCR

XS0432070752

Pfizer

4.75

03-Jun-16

-2,000,000,000

104.52

13.6

0.94

IBOXXCorpHCR

FR0010333385

Cie Deint-Gobain

4.875

31-May-16

-700,000,000

104.50

28.1

0.93

IBOXXCorpCNS

BASF

4.5

29-Jun-16

-500,000,000

108.77

-3.1

0.97

IBOXXCorpCHM

XS0254808214

Solvay Fin

6.375

02-Jun-16

-500,000,000

104.02

228.3

0.92

IBOXXCorpCHM

XS0435070288

Lloyds Bk

6.375

17-Jun-16

-1,326,064,000

106.10

9.8

0.98

IBOXXCorpBNK

XS0637844605

JP Morgan Chase

3.75

15-Jun-16

-1,000,000,000

103.52

6.0

0.97

IBOXXCorpBNK

XS0433130456

Bank of America

7

15-Jun-16

-1,500,000,000

106.65

17.7

0.97

IBOXXCorpBNK

XS0257496694

HSBC Fin

4.5

14-Jun-16

-750,000,000

104.25

8.8

0.97

IBOXXCorpBNK

XS1074244317

Santan Con Bk

1

10-Jun-16

-500,000,000

100.66

20.1

0.96

IBOXXCorpBNK

XS0940658361

BOI

2.75

05-Jun-16

-500,000,000

101.90

75.0

0.94

IBOXXCorpBNK

XS0255300633

Bq Fed Credit

4.375

31-May-16

-1,800,000,000

104.17

15.1

0.93

IBOXXCorpBNK

FR0012188456

Vallourec

2.25

30-Sep-24

-500,000,000

89.15

241.9

7.95

IBOXXCorpBAS

FR0011149947

Vallourec

4.25

14-Feb-17

-650,000,000

105.43

160.0

1.58

IBOXXCorpBAS

XS0633111207

VW Leasing

3.375

03-Jun-16

-750,000,000

103.12

16.3

0.94

IBOXXCorpATO

NL0009819671

Netherlands

2.5

15-Jan-17

-315,000,000

105.27

-27.7

1.54

IBOXXSovNL

NL0000102283

Netherlands

4

15-Jul-16

-125,000,000

108.17

-32.3

1.02

IBOXXSovNL

FR0011857218

France

0.25

25-Nov-16

-65,000,000

100.74

-26.2

1.42

IBOXXSovFR

ES00000124H4

Spain

5.15

31-Oct-44

-25,000,000

139.22

182.4

16.73

IBOXXSovES

ES00000121S7

Spain

4.7

30-Jul-41

-106,400,000

131.07

166.5

15.77

IBOXXSovES

ES00000120N0

Spain

4.9

30-Jul-40

-90,000,000

134.55

167.2

15.27

IBOXXSovES

ES0000012932

Spain

4.2

31-Jan-37

-5,000,000

119.47

148.4

14.57

IBOXXSovES

ES00000122T3

Spain

4.85

31-Oct-20

-3,100,000

121.92

68.0

4.71

IBOXXSovES

ES00000124I2

Spain

2.1

30-Apr-17

-5,100,000

103.73

12.3

1.83

IBOXXSovES

ES00000120J8

Spain

3.8

31-Jan-17

-15,300,000

107.25

9.7

1.56

IBOXXSovES

ES00000123W5

Spain

3.3

30-Jul-16

-15,000,000

106.43

-1.0

1.07

IBOXXSovES

BE0000291972

Belgium

5.5

28-Mar-28

-739,939,136

147.10

19.4

9.88

IBOXXSovBE

BE0000321308

Belgium

4.25

28-Sep-21

-955,000,000

125.65

-15.0

5.53

IBOXXSovBE

FR0011261924

Gaz de France

3

01-Feb-23

-91,265,000

112.91

41.0

6.80

IBOXXCorpUTI

FR0010952770

Gaz de France

3.5

18-Oct-22

-44,228,000

118.80

23.5

6.44

IBOXXCorpUTI

XS0213026197

CitiGroup

4.25

25-Feb-25

-175,761,000

117.83

118.8

7.99

IBOXXCorpBNK

DE000A0JRFB0

Retirements

Source: Markit, Commerzbank Research * These issues do not have a confirmed rating as at the date of publication. ** Commerzbank forecast of planned auction. Timing and amount may differ. *** Commerzbank forecast of planned new issue. Timing, amount, coupon or other details may not have been known at the time of writing. Derived data such as duration is only a forecast.

29 June 2015

13

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx £ Currently we have no new bonds joining the GBP indices and five bonds leaving the indices. As a result, the duration of the iBoxx £ Overall index is expected to drop by 0.02, while the duration of the iBoxx Gilt index will decline by c. 0.02. CHART 4: Historical and projected duration extensions iBoxx £ Overall vs. iBoxx Gilt 0.4 0.3 0.3 0.2 0.2 0.1 0.1 0.0 -0.1

Jul-14

Nov-14 iBoxx GBP Overall

Mar-15

Jul-15

iBoxx Gilt

Source: Markit, Commerzbank Research

14

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx £ roll impact TABLE 19: Projected impact on selected iBoxx £ indices Modified Duration Index

Change

Based on £1bn invested

Avg asset swap spread

New

Roll Costs

Cap. Inflow

Change

New 55.8

iBoxx £ Overall

0.02

9.41

-4,430

3,500,044

-0.2

iBoxx£ Gilt

0.03

10.16

-5,606

5,730,752

0.0

24.6

iBoxx£ Gilt 1-3

0.00

1.88

0

0

0.0

-36.7

iBoxx£ Gilt 3-5

0.00

3.67

0

0

0.0

-26.6

iBoxx£ Gilt 5-7

0.00

5.25

0

0

0.0

-19.8

iBoxx£ Gilt 7-10

0.00

7.55

0

0

0.0

-7.4

iBoxx£ Gilt 10+

-0.02

16.39

-11,803

12,065,516

-0.1

37.4

iBoxx£ Collateralized

0.00

8.74

0

0

0.0

133.0

iBoxx£ Coll 1-3

0.00

1.93

0

0

0.0

34.0

iBoxx£ Coll 3-5

0.16

3.92

-1,053,956

119,633,210

14.3

136.4

iBoxx£ Coll 5-7

0.38

5.55

-7,727,424

241,075,921

-18.9

62.0

iBoxx£ Coll 7-10

0.13

7.22

-1,089,616

-1,511,091

12.1

113.9

iBoxx£ Coll 10+

0.18

11.58

0

-48,574,695

0.0

148.2

iBoxx£ Corporate

0.02

7.74

-1,699

-3,481,115

0.1

178.7

iBoxx£ Corp AAA

0.00

13.77

0

0

0.0

81.4

iBoxx£ Corp AA

0.00

8.74

0

0

0.0

127.4

iBoxx£ Corp A

0.04

8.48

-15,609

-8,064,020

0.1

169.4

iBoxx£ Corp BBB

0.02

6.76

-28,341

-230,851

-0.1

206.9

iBoxx£ Corp Financials

0.03

6.74

0

-5,490,566

0.1

186.6

iBoxx£ Banks

0.02

6.36

0

-4,188,892

0.0

180.1

iBoxx£ Fin Services

0.07

7.78

0

-11,116,939

0.2

136.1

iBoxx£ Insurance

0.04

6.72

0

-7,074,155

0.2

251.8

iBoxx£ Corp Non-Fin

0.01

8.40

-2,829

-2,144,446

0.1

174.5

iBoxx£ Automobiles

-0.01

3.27

-65,365

23,417,897

-0.7

68.0

iBoxx£ Basic Resources

0.00

7.88

0

0

0.0

154.7

iBoxx£ Chemicals

0.00

4.72

0

0

0.0

107.5

iBoxx£ Construction

0.44

5.86

0

-88,035,217

0.1

147.7

iBoxx£ Food and Beverages

0.00

5.66

0

0

0.0

115.2

iBoxx£ HealthCare

0.00

12.09

0

0

0.0

155.9

iBoxx£ Ind Goods and vs

0.08

8.21

0

-10,973,911

0.1

157.9

iBoxx£ Media

0.00

6.99

0

0

0.0

201.4

iBoxx£ Energy

0.00

6.89

0

0

0.0

130.9

iBoxx£ Pers&Househ. Goods

0.00

6.87

0

0

0.0

152.7

iBoxx£ Retail

0.00

10.13

0

0

0.0

140.4

iBoxx£ Technology

0.00

5.00

0

0

0.0

41.8

iBoxx£ Travel & Leisure

0.00

6.97

0

0

0.0

143.2

iBoxx£ Telecoms

0.00

8.38

0

0

0.0

199.4

iBoxx£ Utilities

0.01

9.38

0

-3,254,612

0.2

192.8

Source: Markit, Commerzbank Research

29 June 2015

15

Cross Asset Strategy | Fixed Income Joint Venture

iBoxx £ projected composition changes TABLE 20: Projected composition changes to the iBoxx € Indices ISIN

Issuer Coupon

Maturity

Nominal

Dirty Price

ASW Spread

Mod Duration

Sub-Index

IBoxxGCorpCNS

Deletions XS0129066923

Aggregate Ind

7.25

31-May-16

-162,934,000

105.62

137.7

0.92

XS0112487482

Rolls Royce

7.375

14-Jun-16

-200,000,000

106.14

42.7

0.96

IBoxxGCorpIGS

XS0066877258

Aviva

9.5

20-Jun-16

-200,000,000

107.95

51.2

0.97

IBOXXGCorpINS

XS0257741834

UBS

5.25

21-Jun-16

-163,079,000

102.86

137.2

0.97

IBOXXGCorpBNK

Coventry Build.Soc.

6.092

29-Jun-16

-120,000,000

104.98

210.4

0.95

IBOXXGCorpBNK

XS0975541961

IBRD

1.25

02-Oct-17

150,000,000

101.33

-15.5

2.21

IBOXXGSup

XS0922187678

FMS

0.75

15-Dec-17

275,000,000

99.37

-9.7

2.42

IBOXXGAgn

XS1015890210

Daimler

2.375

16-Jul-18

200,000,000

103.71

36.3

2.87

IBoxxGCorpATO

GB00B177CL57 Taps

GB00BTHH2R79

UK

2

07-Sep-25

3,250,000,000

98.09

0.6

9.11

IBOXXGilt

GB00BN65R313

UK

3.5

22-Jan-45

2,199,952,000

114.83

41.2

18.86

IBOXXGilt

GB00B06YGN05

UK

4.25

07-Dec-55

750,000,000

137.85

40.1

22.31

IBOXXGilt

Retirements XS0453299173

Motability Ops

5.25

28-Sep-16

-200,000,000

106.26

32.0

1.21

IBoxxGCorpFSV

FR0010721704

Gaz de France

6.125

11-Feb-21

-215,750,000

121.41

57.3

4.80

IBOXXGCorpUTI

XS0116066449

CitiGroup

6.5

16-Aug-30

-18,667,000

135.72

175.4

9.94

IBOXXGCorpBNK

Source: Commerzbank Research

16

29 June 2015

Cross Asset Strategy | Fixed Income Joint Venture

Distribution of ratings: Number of recommendations from Commerzbank, CMResearch, at the end of the first quarter 2015

thereof recommendations for issuers to which investment banking services were provided during the preceding twelve months

88 (43.5%) Buy / Add

24 (64.7%)

92 (45.6%) Hold

11 (29.8%)

22 (10.9%) Sell / Reduce

2 (5.5%)

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Cross Asset Strategy | Fixed Income Joint Venture

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