Greek Fixed Income Monitor

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<ol><li> 1. Ilias Lekkos Lekkosi@piraeusbank.gr Veni Arakelian Arakelianv@piraeusbank.gr Dimitria Rotsika Rotsikad@piraeusbank.gr Haris Giannakidis GiannakidisCh@piraeusbank.gr Piraeus Bank Amerikis 4, 105 64, Athens Tel: 210 328 8187, Fax: 210 328 8605 researchdivision@piraeusbank.gr Bloomberg Page: Piraeus Bank Government Bond Index: {PBGGGSBI Index} Weighted Average Yield: {PBGGGWAY Index} Piraeus Bank Government Bond Index : {PBGGGCBI Index} Weighted Average Yield : {PBGGIWAY Index} </li><li> 2. } Latest Developments in Greek Bond Market } Greek Government Bonds Yield Curve Evolution } Greek Government Bonds Interest Rate Curve Estimation } Piraeus Bank Greek Government Bond Index } Piraeus Bank Greek Corporate Bond Index 2 March 2015 </li><li> 3. 3 } Low volatility and significant losses for the short end of the yield curve were observed during March on the government bond market, while downward pressures were recorded on corporate bond indices. } Specifically, the annualized volatility indicators for 3-Year and 5-Year government bonds followed a downward trend, reaching 88 and 44.61 percentage points respectively at the end of March. } However, by 31st March, the Government Bond Index had fallen by 12.83%, since the beginning of the year, due to the short end of the yield curve. } A significant downturn was recorded on the corporate bond market with the Piraeus Bank Greek Corporate Bond Index (excluding banks) lower by 3.32% since the beginning of the year. A significant decline was observed in the banking sector whose index fell by 21.23% compared with its level at the beginning of the year. } In March there was coupon payment for the Piraeus Bank bond, while we removed from the corporate bond indices the SB Minerals bond with issuance amount of 275 million, as it was called on April 4, 2015. Source: Piraeus Bank Research, Bloomberg -25 -20 -15 -10 -5 0 5 10 Piraeus Bank Greek Corporate ex Financials Bond Index PiraeusBank Greek Corporate Bond Index Piraeus Bank Greek Financials Bond Index Piraeus Bank Greek Government Bond Index Bloomberg Corporate High Yield (in EUR )Bond Index Bloomberg EA Government Bond Index MoM YtD March 2015 </li><li> 4. 4 } In March there was a decline in volatility accompanied by significant losses for the entire length of the interest rate curve, and short-term maturities (3-5 years) displayed strong downward pressure. } Specifically, at the end of March the yield to maturity for the 3-Year bond exceeded 20%, while the yield to maturity for the 5-Year bond increased by 4.2%. Losses over 10% mom were recorded for all maturities. } The yield to maturity for the 10-Year bond had increased by 225 basis points at the beginning of the month, reaching 11.81%, and then during the last 30 days it reached a 2-year high of 12.24%. 3YR 10YR 13YR 16YR 19YR 22YR 25YR 28YR 0 5 10 15 20 25 percentagepoints 20-25 15-20 10-15 5-10 0-5 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 5. 5 Estimated Interest Rate Curve Estimated Forward Rate Curve } An upward shift for the estimated yield curve was recorded at end-March, while the negative slope of the curve was significantly strengthened. Short-term maturities experienced considerable losses with the interest rates for the 3-Year and 5-Year tenures increasing by 576 and 325 basis points (bp) respectively. The interest rate for the 10-Year maturity was 173 basis points higher than its level of 8.7% recorded the previous month. For maturities over 16 years there was a reduction in interest rates of less than 100 bps. } Comparing the forward rate curves for the next 30 days, we note market expectations move towards higher interest rates in the medium part of the curve, while short-term interest rates are expected to fall. Regarding longer maturities, there are signs of an anticipated decline for maturities between 14 and 23 years, while interest rates for the long end of the curve are expected to increase. In conclusion, the assessment model indicates a climate of uncertainty in the market concerning the future evolution of the Greek government bond interest rates curve. -60 -40 -20 0 20 40 60 80 0,00 1,00 2,00 3,00 4,00 5,00 6,00 7,00 8,00 9,00 10,00 3 5 6 8 10 11 13 14 16 18 19 21 23 24 26 bps percent Maturity (in years) Change (RHS) Forward Rates 31/3/2015 Forward Rates 27/2/2015 0 100 200 300 400 500 600 700 6,00 7,00 8,00 9,00 10,00 11,00 12,00 13,00 14,00 15,00 16,00 17,00 18,00 19,00 3 5 6 8 10 11 13 14 16 18 19 21 23 24 26 bps percent Maturity (in years) Change (RHS) Spot Rates 31/3/2015 Spot Rates 27/2/2015 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 6. 6 10year-3year spread Annualized Monthly Volatility Indices } The annualized monthly volatility indices for short-term (3-Year) and medium-term (10-Year) maturities of the interest rate curve point towards a downward trend since the end of last month. } Specifically, the annualized volatility index at the end of March for the 3-Year bond was 88 percentage points, approaching the same levels as those recorded during December 2014. The volatility index for the 10-Year bond reached 44.6 percentage points. Compared with the previous months levels, the two indices were 40 and 30 percentage points lower respectively. } Combined with the high yields to maturity, this downturn in volatility probably implies a stand by stance on the part of investors in the bond market. } The 10-Year and 3-Year term spread ranged between -400 and -1121 bp, reaching the level of -1032 bp at the end of March . 0 20 40 60 80 100 120 140 160 180 percent Ann.Vol 3Y Ann. Vol 10Y -1200 -1100 -1000 -900 -800 -700 -600 -500 -400 -300 -200 -100 0 basispoints March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 7. 7 } The lowest price in March for the index was 259.81, while the highest price was 312.06. } The value of the Greek Government Bond Index on March 31 had fallen by 12.84% compared to the previous month. Similarly, the indexs average (MoM) return in the same month was 0.87%. } 26 months of historical data show that the performance of the index at the end of March was near the 6th percentile of the distribution of historical MoM returns. 6 7 8 9 10 11 12 13 0 50 100 150 200 250 300 350 IndexEvolution March 2015 (BaseDate:9/3/12=100) Price (LHS) Yield(RHS) 0% 2% 4% 6% 8% 10% 12% 14% -39 -34 -28 -22 -16 -10-5 1 7 13 19 24 30 36 42 48 Frequency MoM Returns (percentage points) MoMReturnsHistogramm 31-Mar Members 22 Market Capitalisation (EUR bn.) 35,75 Weighted Average Yield 11,74 Weighted Average Coupon 3,22 Weighted Average Maturity 14,66 Weighted Average Duration 9,33 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 8. Index Composition March 2015 8 Name Issuance Amount (bn) Amount Outstanding (bn) Currency Coupon CouponType Coupon Frequency NextCoupon Payment Issuance Date Maturity Credit Rating (Standard&amp; Poor's) LastPrice - 31 March Yield- 31 March HellenicRepublicGovernment Bond 2,97 1,79 3,000 Stepped Annual 24/2/2016 24/02/2012 24/02/2023 B- *- 55,9 12,4 HellenicRepublicGovernment Bond 2,97 1,77 3,000 Stepped Annual 24/2/2016 25/02/2012 24/02/2024 B- *- 55,0 11,8 HellenicRepublicGovernment Bond 2,97 1,74 3,000 Stepped Annual 24/2/2016 26/02/2012 24/02/2025 B- *- 53,8 11,5 HellenicRepublicGovernment Bond 2,97 1,50 3,000 Stepped Annual 24/2/2016 27/02/2012 24/02/2026 B- *- 51,7 11,4 HellenicRepublicGovernment Bond 2,97 1,47 3,000 Stepped Annual 24/2/2016 28/02/2012 24/02/2027 B- *- 50,5 11,3 HellenicRepublicGovernment Bond 3,17 1,53 3,000 Stepped Annual 24/2/2016 29/02/2012 24/02/2028 B- *- 49,4 11,1 HellenicRepublicGovernment Bond 3,17 1,50 3,000 Stepped Annual 24/2/2016 01/03/2012 24/02/2029 B- *- 49,5 10,7 HellenicRepublicGovernment Bond 3,17 1,44 3,000 Stepped Annual 24/2/2016 02/03/2012 24/02/2030 B- *- 49,0 10,5 HellenicRepublicGovernment Bond 3,17 1,37 3,000 Stepped Annual 24/2/2016 03/03/2012 24/02/2031 B- *- 48,7 10,3 HellenicRepublicGovernment Bond 3,17 1,37 3,000 Stepped Annual 24/2/2016 04/03/2012 24/02/2032 B- *- 48,6 10,1 HellenicRepublicGovernment Bond 3,17 1,45 3,000 Stepped Annual 24/2/2016 05/03/2012 24/02/2033 B- *- 48,4 9,9 HellenicRepublicGovernment Bond 3,17 1,41 3,000 Stepped Annual 24/2/2016 06/03/2012 24/02/2034 B- *- 48,3 9,8 HellenicRepublicGovernment Bond 3,17 1,44 3,000 Stepped Annual 24/2/2016 07/03/2012 24/02/2035 B- *- 48,1 9,7 HellenicRepublicGovernment Bond 3,17 1,51 3,000 Stepped Annual 24/2/2016 08/03/2012 24/02/2036 B- *- 48,1 9,5 HellenicRepublicGovernment Bond 3,17 1,40 3,000 Stepped Annual 24/2/2016 09/03/2012 24/02/2037 B- *- 47,9 9,4 HellenicRepublicGovernment Bond 3,17 1,38 3,000 Stepped Annual 24/2/2016 10/03/2012 24/02/2038 B- *- 48,0 9,3 HellenicRepublicGovernment Bond 3,17 1,34 3,000 Stepped Annual 24/2/2016 11/03/2012 24/02/2039 B- *- 47,7 9,2 HellenicRepublicGovernment Bond 3,17 1,37 3,000 Stepped Annual 24/2/2016 12/03/2012 24/02/2040 B- *- 48,0 9,1 HellenicRepublicGovernment Bond 3,17 1,36 3,000 Stepped Annual 24/2/2016 13/03/2012 24/02/2041 B- *- 48,0 9,0 HellenicRepublicGovernment Bond 3,17 1,43 3,000 Stepped Annual 24/2/2016 14/03/2012 24/02/2042 B- *- 48,3 8,9 HellenicRepublicGovernment Bond 4,08 4,08 4,750 Fixed Annual 17/04/2015 10/04/2014 17/04/2019 B- *- 66,7 16,7 HellenicRepublicGovernment Bond 2,09 2,09 3,375 Fixed Annual 17/7/2015 10/07/2014 17/07/2017 B- *- 68,8 22,1 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 9. 9 } The lowest price in March for the index was 111.2, while the highest price was 117.24. } The value of the Greek Corporate Bond Index on March 31 had fallen by 5.17% compared to the previous month. Similarly, the indexs average (MoM) return in the same month was 0.91%. } 26 months of historical data show that the performance of the index at the end of March was near the historical low of the distribution of past MoM returns. 3,0 3,5 4,0 4,5 5,0 5,5 6,0 6,5 7,0 7,5 108 109 110 111 112 113 114 115 116 117 118 IndexEvolution March 2015 (Base Date::2/1/13=100) Price (LHS) Yield (RHS) 0% 2% 4% 6% 8% 10% 12% 14% 16% -5,6 -4,8 -4,0 -3,2 -2,4 -1,7 -0,9 -0,1 0,7 1,5 2,3 3,1 3,9 4,7 Frequency MoM Returns (percentage points) MoMReturnHistogramm 31-Mar Members 15 Market Capitalisation(EUR bn) 6,68 Weighted Average Yield 6,80 Weighted Average Coupon 5,47 Weighted Average Maturity 3,43 Weighted Average Duration 3,02 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 10. Index Composition March 2015 10 Name Issuance Amount (mn) Amount Outstanding (mn) Currency Coupon CouponType Coupon Frequency NextCoupon Payment Issuance Date Maturity CreditRating (Standard&amp; Poor's) LastPrice - 31 March Yield- 31 March COCA-COLAHBC FINANCEBV 800,00 800,00 2,375 Fixed Annual 18/6/2015 06/10/2013 06/18/2020 BBB 106,69 0,99 OTE PLC 700,00 700,00 7,875 Fixed Semi-Annual 7/8/2015 01/29/2013 02/07/2018 BB- /*- 102,25 6,99 HELLENICPETROLEUMFINAN 500,00 500,00 8,000 Fixed Semi-Annual 10/5/2015 04/29/2013 05/10/2017 -- 91,71 12,60 INTRALOTFINANCELUXEMBU 325,00 325,00 9,750 Fixed Semi-Annual 15/8/2015 08/01/2013 08/15/2018 B+/*- 102,24 8,68 SBMINERALS FINANCE/SB I 275,00 9,250 Fixed Semi-Annual 15/8/2015 07/30/2013 08/15/2020 -- FRIGOGLASSFINANCEBV 250,00 250,00 8,250 Fixed Semi-Annual 15/5/2015 05/13/2013 05/15/2018 B+ 88,60 12,79 COCA-COLAHBC FINANCEBV 600,00 600,00 4,250 Fixed Annual 16/11/2015 11/09/2009 11/16/2016 BBB 106,12 0,46 OTE PLC 900,00 687,00 4,625 Fixed Annual 20/5/2015 11/14/2006 05/20/2016 BB- /*- 98,87 5,67 TITANGLOBALFINANCEPLC 200,00 200,00 8,750 Fixed Semi-Annual 19/7/2015 12/17/2012 01/19/2017 BB 106,85 4,73 PPC FINANCEPLC* 500,00 500,00 5,500 Fixed Semi-Annual 1/5/2015 04/30/2014 05/01/2019 B-/*- 73,60 14,25 PPC FINANCEPLC* 200,00 200,00 4,750 Fixed Semi-Annual 1/5/2015 04/30/2014 05/01/2017 B-/*- 77,43 18,27 INTRALOTCAPITALLUX* 250,00 250,00 6,000 Fixed Semi-Annual 15/5/2015 04/30/2014 05/15/2021 B+/*- 90,28 8,04 MOTOR OILFINANCEPLC* 350,00 350,00 5,125 Fixed Semi-Annual 15/5/2015 05/15/2014 05/15/2019 -- 90,41 7,90 TITANGLOBALFINANCEPLC* 300,00 297,50 4,250 Fixed Semi-Annual 10/7/2015 07/03/2014 07/10/2019 BB 95,66 5,40 HELLENICPETROLEUMFINANCE* 325,00 325,00 5,250 Fixed Semi-Annual 4/7/2015 06/25/2014 07/04/2019 -- 82,11 10,57 OTEPLC* 700,00 700,00 3,500 Fixed Annual 9/7/2015 07/07/2014 07/09/2020 BB- /*- 89,72 5,82 *2014 Issues March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 11. 11 } The lowest price in March for the index was 104.5, while the highest price was 111.9. } The value of the Greek Corporate and Financials Bond Index on March 31 had fallen by 6.38% compared to the previous month. Similarly, the indexs average (MoM) return in the same month was 0.33%. } 26 months of historical data show that the performance of the index at the end of March was near the historical low of the distribution of past MoM returns. 3 4 5 6 7 8 9 10 11 12 100 102 104 106 108 110 112 114 01/03/15 06/03/15 11/03/15 16/03/15 21/03/15 26/03/15 31/03/15 Index Evolution March 2015 (BaseDate:2/1/13=100) Price (LHS) Yield(RHS) 0% 2% 4% 6% 8% 10% 12% 14% 16% -6,7 -5,8 -4,9 -4,0 -3,1 -2,2 -1,3 -0,4 0,6 1,5 2,4 3,3 4,2 5,1 Frequency MoM Returns (percentage points) MoM ReturnHistogramm 31-Mar Members 19 Market Capitalisation (EUR bn) 8,83 Weigthed Average Yield 9,98 Weighted Average Coupon 5,18 Weighted Average Maturity 3,34 Weighted Average Duration 2,95 March 2015 Source: Piraeus Bank Research, Bloomberg </li><li> 12. Index Composition March 2015 12 Name Issuance Amount (mn) Amount Outstanding (mn) Currency Coupon Coupon Type Coupon Frequency Next Coupon Payment Issuance Date Maturity Credit Rating (Standard &amp; Poor's) Last Price - 31 March Yield - 31 March COCA-COLA HBC FINANCE BV 800,00 800,00 2,4 Fixed Annual 18/6/2015 06/10/2013 06/18/2020 BBB 106,69 0,99 OTE PLC 700,00 700,00 7,9 Fixed Semi-Annual 7/8/2015 01/29/2013 02/07/2018 BB- /*- 102,25 6,99 HELLENIC PETROLEUM FINAN 500,00 500,00 8,0 Fixed Semi-Annual 10/5/2015 04/29/2013 05/10/2017 -- 91,71 12,60 INTRALOT FINANCE LUXEMBU 325,00 325,00 9,8 Fixed Semi-Annual 15/8/2015 08/01/2013 08/15/2018 B+ /*- 102,24 8,68 SB MINERALS FINANCE/SB I 275,00 -- 9,3 Fixed Semi-Annual 15/8/2015 07/30/2013 08/15/2020 -- -- -- FRIGOGLASS FINANCE BV 250,00 250,00 8,3 Fixed Semi-Annual 15/5/2015 05/13/2013 05/15/2018 B+ 88,60 12,79 COCA-COLA HBC FINANCE BV 600,00 600,00 4,3 Fixed Annual 16/11/2015 11/09/2009 11/16/2016 BBB 106,12 0,46 OTE PLC*** 787,75 -- 7,3 Fixed Annual -- 02/05/2008 02/12/2015 NR -- -- OTE PLC 900,00 687,00 4,6 Fixed Annual 20/5/2015 11/14/2006 05/20/2016 BB- /*- 98,87 5,67 TITAN GLOBAL FINANCE PLC 200,00 200,00 8,8 Fixed Semi-Annual 19/7/2015 12/17/2012 01/19/2017 BB 106,85 4,73 PPC FINANCE PLC* 500,00 500,00 5,5 Fixed Semi-Annual 1/5/2015 04/30/2014 05/01/2019 B- /*- 73,60 14,25 PPC FINANCE PLC* 200,00 200,00 4,8 Fixed Semi-Annual 1/5/2015 04/30/2014 05/01/2017 B- /*- 77,43 18,27 INTRALOT CAPITAL LUX* 250,00 250,00 6,0 Fixed Semi-Annual 15/5/2015 04/30/2014 05/15/2021 B+ /*- 90,28 8,04 MOTOR OIL FINANCE PLC* 350,00 350,00 5,1 Fixed Semi-Ann...</li></ol>

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