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Greek Fixed Income Monitor
1. Ilias Lekkos Lekkosi@piraeusbank.gr
Veni Arakelian Arakelianv@piraeusbank.gr
Dimitria Rotsika Rotsikad@piraeusbank.gr
Paraskevi Vlachou VlachouPar@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: <PBGR>
Piraeus Bank Government Bond Index: {PBGGGSBI Index<GO>}
Weighted Average Yield: {PBGGGWAY Index<GO>}
Piraeus Bank Corporate Bond Index : {PBGGGCBI Index<GO>}
Weighted Average Yield : {PBGGIWAY Index<GO>}
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 Indices
} Financial Analysis of Piraeus Bank Corporate Bond Index Members
2
April 2015
3. 3
} April was characterized by intense fluctuations for the short end of the yield curve, driven mainly by uncertainty about the outcome of the
Greek debt negotiations and structural reforms programme. In the meantime, worries about liquidity led to losses for corporate bond issues.
Nevertheless, from mid-April we observed an upward movement for corporate bonds, probably due to the gains in the government bond
market.
} In particular, by 30th April, the Piraeus Bank Government Bond Index had increased by 3.71%, since the beginning of the year and 12.35%
compared to the previous month. It is important to note that due to this sharp upward movement in mid-April, the index value fluctuates
close to the January 2015 levels.
} The Corporate Bond Index lost almost 2.58% of its value during the first 20 days of April. Interestingly though, by the end of April, the
corporate bond index managed to reduce losses to -0.53%.
} In April there were coupon payments for the National Bank of Greece bond on 30th April and the 5-Year Government bond on 17th April. On
7th April OTE repurchased €57.55 million of its debt.
Source: Piraeus Bank Research, Bloomberg
-30 -20 -10 0 10 20
PiraeusBank Corporate ex Financials Bond Index
PiraeusBank Corporate Bond Index
PiraeusBank Financials Bond Index
PiraeusBank Government Bond Index
Bloomberg Corporate High Yield Bond Index
Bloomberg Government Bond Index
MoM YtD
April 2015
4. 4
} A partial recovery in trading activity relative to the previous month was recorded in April and the 3-Year and 10-Year annualized volatility
indicators trended upwards. Notably, these volatility indices increased by 3 and 8 percentage points respectively.
} Moreover, by 30th April the yield to maturity for the 3-Year bond had dropped 106 basis points (bps) to 21.06%, while the yield to
maturity for the 5-Year bond had fallen by almost 2% to 14.75%. Maturities greater than 5 years recorded gains in the range of 48.6 to
70 bps.
} Nevertheless, the negative slope in the yield curve and the high yields to maturity for the short end of the curve continue to reflect the
ongoing macroeconomic uncertainty and the deterioration of liquidity in the market. Furthermore, the downgrade of Greece’s credit rating
to Caa2 with negative outlook by Moody’s on 29th April signals the possibility of new negative surprises in the bond market.
3YR
10YR
13YR
16YR
19YR
22YR
25YR
28YR
0
5
10
15
20
25
30
percentagepoints
25-30
20-25
15-20
10-15
5-10
0-5
April 2015
Source: Piraeus Bank Research, Bloomberg
5. 5
Estimated Interest Rate Curve Estimated Forward Rate Curve
} In April, the cost of short-term debt shifted downwards, shadowing long-term interest rates. Short-term maturities recorded strong gains with the interest rates for the 3-Year and 5-
Year tenures decreasing by 194 and 148 basis points respectively. In addition, the interest rate for the 10-Year maturity was estimated at 10.07%, 36 bps lower than the previous
month’s level.
} Comparing the forward rate curves for the next 30 days, we note market expectations moving towards higher interest rates in the medium part of the curve, while short-term interest
rates are expected to fall by more than 200 bps. Regarding longer maturities, there are signs of an anticipated decline for maturities between 11 and 20 years, while interest rates for
the long end of the curve are expected to increase. In conclusion, the assessment model continues to reflect the high economic uncertainty in the Greek debt market.
April 2015
Source: Piraeus Bank Research, Bloomberg
-250
-200
-150
-100
-50
0
6
7
8
9
10
11
12
13
14
15
16
17
18
19
3 5 6 8 10 11 13 14 16 18 19 21 23 24 26
bps
percent
Maturity (in years)
Change (RHS) Spot Rates 30/4/2015 Spot Rates 31/3/2015
-350
-300
-250
-200
-150
-100
-50
0
50
100
150
0
1
2
3
4
5
6
7
8
9
10
3 5 6 8 10 11 13 14 16 18 19 21 23 24 26
bps
percent
Maturity (in years)
Change (RHS) Forward Rates 30/4/2015 Forward Rates 31/3/2015
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 have trended downwards for the past two
months. Nevertheless, by mid-April a renewed trading interest was recorded and annualized volatility is showing signs of increase.
} Specifically, the annualized volatility index at the end of April for the 3-Year bond was 91.1 percentage points, 3 percentage points higher than the previous month’s level.
Similarly, the volatility index for the 10-Year bond reached 52.3 percentage points from 44.61 the previous month. Nevertheless, on a Year to Date (YtD) basis, the two
indices are 30 and 10 percentage points lower respectively.
} Short-term lending is still considerably riskier than long-term lending for the Greek debt market. In particular, the 10-Year and 3-Year term spread ranged between -881 and
-1512 bps, posting a value of -972 bps at the end of April. At the moment, the upside and downside risks for the slope of the yield curve are considered equally likely due to
the uncertainty that delineates the country’s negotiations with its official creditors.
April 2015
Source: Piraeus Bank Research, Bloomberg
-1600
-1500
-1400
-1300
-1200
-1100
-1000
-900
-800
-700
-600
-500
-400
-300
-200
-100
0
basispoints
0
20
40
60
80
100
120
140
160
180
percent
Ann. Vol 3Y Ann. Vol 10Y
7. 7
} The lowest price in April for the index was 237.64, while the highest price was 302.43.
} The value of the Greek Government Bond Index on April 30 was 12.35% higher, compared to the
previous month. The index’s average (MoM) return in the same month was -7.8%.
} 27 months of historical data show that the index MoM return at the end of April was near the 77th
percentile of the empirical distribution.
6
7
8
9
10
11
12
13
14
15
0
50
100
150
200
250
300
350
IndexEvolution– April 2015 (Base Date:9/3/12=100)
Price (LHS) Yield(RHS)
0%
2%
4%
6%
8%
10%
12%
14%
-39 -34 -28 -23 -17 -11-6 0 6 11 17 22 28 34 39 45 50
Frequency
MoM Returns (percentage points)
MoMReturnsHistogramm
30-Apr
Members 22
Market Capitalisation (EUR bn.) 35,75
Weighted Average Yield 10,26
Weighted Average Coupon 3,22
Weighted Average Maturity 14,57
Weighted Average Duration 9,57
April 2015
Source: Piraeus Bank Research, Bloomberg
9. 9
} The lowest price in April for the index was 108.27, while the highest price was 111.5.
} The value of the Greek Corporate Bond Index on April 30 decreased by 0.53% compared to the
previous month. Moreover, the index’s average (MoM) return in the same month was -3.81%.
} 27 months of historical data show that the index MoM return at the end of April was near the 25th
percentile of its empirical distribution.
3,0
4,0
5,0
6,0
7,0
8,0
9,0
106
107
108
109
110
111
112
IndexEvolution– April 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
April 2015
Source: Piraeus Bank Research, Bloomberg
30-Apr
Members 15
Market Capitalisation (EUR bn) 6,63
Weighted Average Yield 7,05
Weighted Average Coupon 5,47
Weighted Average Maturity 3,36
Weighted Average Duration 2,97
11. 11
} The lowest price in April for the index was 99.7, while the highest price was 104.46.
} The value of the Greek Corporate and Financials Bond Index on April 30 had fallen by 0.67%
compared to the previous month. Similarly, the index’s average (MoM) return in the same month
was -5.16%.
} 27 months of historical data show that the index MoM return at the end of April was near the 27th
percentile of the empirical distribution.
3
5
7
9
11
13
15
97
98
99
100
101
102
103
104
105
01/04/15 06/04/15 11/04/15 16/04/15 21/04/15 26/04/15
Index Evolution– April2015 (Base Date:2/1/13=100)
Price (LHS) Yield(RHS)
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
-7,0 -6,1 -5,1 -4,2 -3,3 -2,4 -1,5 -0,5 0,4 1,3 2,2 3,1 4,1 5,0
Frequency
MoM Returns (percentage points)
MoM ReturnHistogramm
30-Apr
Members 19
Market Capitalisation (EUR bn) 8,78
Weigthed Average Yield 10,71
Weighted Average Coupon 5,19
Weighted Average Maturity 3,26
Weighted Average Duration 2,91
April 2015
Source: Piraeus Bank Research, Bloomberg
13. 13
} The lowest price in April for the index was 61.71, while the highest price was 70.35.
} The value of the Greek Financials Bond Index on April 30 had fallen by 1.31% compared to the
previous month. Similarly, the index’s average (MoM) return in the same month was -9.06%.
} 13 months of historical data show that the index MoM return at the end of April was near the 57th
percentile of its empirical distribution.
30-Apr
Members 4
Market Capitalisation (EUR bn) 2,15
Weighted Average Yield 21,87
Weighted Average Coupon 4,31
Weighted Average Maturity 2,96
Weighted Average Duration 2,73
0
5
10
15
20
25
30
56
58
60
62
64
66
68
70
72
01/04/15 06/04/15 11/04/15 16/04/15 21/04/15 26/04/15
IndexEvolution– April 2015 (Base Date:20/3/14=100)
Price (LHS) Yield(RHS)
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
-21,3 -19,5 -17,7 -15,9 -14,0 -12,2 -10,4 -8,6 -6,8 -4,9 -3,1 -1,3 0,5 2,4 4,2 6,0 7,8 9,6 11,5
Frequency
MoMReturns (percentage points)
MoMReturnHistogramm
April 2015
Source: Piraeus Bank Research, Bloomberg
14. 14
Index Composition– April 2015
Name
Issuance
Amount
(€mn)
Amount
Outstanding
(€mn)
Currency Coupon CouponType
Coupon
Frequency
NextCoupon
Payment
IssuanceDate Maturity
CreditRating
(Standard&
Poor's)
LastPrice -30
April
Yield- 30
April
Piraeus Bank 500 500 € 5,000 Fixed Annual 03/27/2016 18/03/14 03/27/2017 CCC+/*- 68,14 29,15
National BankofGreece 750 750 € 4,375 Fixed Annual 04/30/2016 17/04/14 04/30/2019 63,82 17,81
Alpha Bank 500 400 € 3,375 Fixed Annual 06/17/2015 12/06/14 06/17/2017 CCC+/*- 71,73 21,29
Eurobank 500 500 € 4,250 Fixed Annual 06/26/2015 19/06/2014 06/26/2018 CCC+/*- 63,80 21,13
April 2015
Source: Piraeus Bank Research, Bloomberg
15. In this section, we carry out to a financial analysis of the
companies that comprise the Piraeus Bank Greek Corporate
Bond Index.
The portfolio of the companies we examine is the following:
In our presentation we focus on structural analysis, namely we
examine the financial performance of the companies for 2014.
A key tool for assessing the performance of the fundamentals of
the companies is to examine the ratios derived from the
consolidated financial figures.
Our data source is Bloomberg, in line with the calculations of the
examined indicators and the standardization methods that it
adopts.
15
Hellenic Telecommunications Organization (HTO) ΤΙΤΑΝ
Public Power Corporation (PPC) COCA-COLA HBC
Motor Oil Intralot
Hellenic Petroleum (ELPE) Frigoglass
Note: it is worth mentioning that this analysis focuses on companies undertaking different types of activity, whose
nature varies to some extent in the effect it has on the performance of ratios.
April 2015
16. Note: group consolidated data
The figures of the presented ratios are those provided and calculated by Bloomberg.
The figures in the graphs refer to 2014.
Date of data extract: 04/05/2015
Source: Piraeus Bank Research, Bloomberg
April 2015
42,0
75,4
90,1
105,6
173,0251,4
289,7
452,5
TITAN
COCA-COLA
HBC
PPC
HTO
ELPE
Intralot
Motor Oil
Frigoglass
Total debt/equity (%)
2013
2014
24,3
30,6
31,8
33,8
38,7
49,7
55,2
58,9
TITAN
COCA-COLA
HBC
PPC
HTO
ELPE
Motor Oil
Frigoglass
Intralot
Total debt/total assets (%)
35,4
20,8
15,7
12,9
12,1
9,5
0,6
-0,9
HTO
PPC
TITAN
Frigoglass
COCA-COLA HBC
Intralot
Motor Oil
ELPE
EBITDA margin %
15,0
8,7
6,6
6,4
6,1
4,8
-0,5
-3,1
HTO
PPC
TITAN
COCA-COLA HBC
Frigoglass
Intralot
Motor Oil
ELPE
Operating margin (%)
6,8
4,5
2,7
1,6
-0,9
-2,7
-3,9
-11,6
HTO
COCA-COLA HBC
TITAN
PPC
Motor Oil
Intralot
ELPE
Frigoglass
Net income margin (%)
13,2
10,3
2,2
1,6
-17,9
-19,7
-20,5
-105,3
HTO
COCA-COLA HBC
TITAN
PPC
Motor Oil
ELPE
Intralot
Frigoglass
Return on common equity (%)
4,2
3,4
1,1
0,6-3,5
-4,0
-4,9
-10,0
COCA-COLA HBC
HTO
TITAN
PPC
Motor Oil
Intralot
ELPE
Frigoglass
Return on assets (%)
2,02
1,59
1,58
1,27
1,14
1,02
0,94
0,80
TITAN
Intralot
Frigoglass
PPC
Motor Oil
HTO
COCA-COLA
HBC
ELPE
Current ratio
1,47
1,05
0,90
0,90
0,81
0,66
0,64
0,60
Intralot
TITAN
HTO
Frigoglass
PPC
Motor Oil
ELPE
COCA-
COLA
HBC
Quick ratio
18,94
14,80
11,75
10,60
8,58
8,24
4,53
2,18
HTO
COCA-COLA
HBC
ELPE
Intralot
TITAN
Motor Oil
Frigoglass
PPC
CFO/Total liabilities
16
17. 17
Note: group consolidated data
The figures of the presented ratios are those provided and calculated by Bloomberg.
Date of data extract: 04/05/2015
Source: Piraeus Bank Research, Bloomberg
•The highest profit margins of the examined companies are recorded by HTO in 2014, with further decline of leverage and liquidity to approximately
the same level as in 2013.
•COCA-COLA HBC paints a satisfactory financial picture, especially as regards the return on assets and equity and the level of debt to equity,
however, it lacks in liquidity compared to the rest examined companies.
•The performance of TITAN is also good. In 2014 it succeeded in moving into positive net profit and return on equity and assets territory from
negative in 2013, while it appears to have restricted the level of leverage.
•The net profit of PPC is in positive territory in 2014, with the profitability and liquidity ratios showing signs of improvement, whereas the leverage of
the company is around the same level as in 2013.
•Regarding INTRALOT, its liquidity may well have improved in 2014, however, the other examined ratios recorded decline, with the debt burden and
the negative net profit rising. Similar is the picture for FRIGOGLASS, with its leverage remaining high amongst the highest of the examined
companies. At the same time, the fact that the net losses have increased results in an additional burden of return on assets and equity ratios.
•The profitability capacity of ELPE deteriorated further in 2014, without showing improvement in its level of debt burden.
•By maintaining the same level of liquidity, MOTOR OIL posted declines in the other examined ratios. In particular, its return on assets and equity
from marginally negative showed further deterioration in 2014, while the company’s profit margins moved downward.
April 2015
α/α 1 2 3 4 5 6 7 8
Current Ratio ΤΙΤΑΝ Intralot Frigoglass PPC Motor Oil HTO COCA-COLA HBC ELPE
Quick Ratio Intralot ΤΙΤΑΝ HTO Frigoglass PPC Motor Oil ELPE COCA-COLA HBC
CFO/Total Liabilities HTO COCA-COLA HBC ELPE Intralot ΤΙΤΑΝ Motor Oil Frigoglass PPC
Total Debt/Equity ΤΙΤΑΝ COCA-COLA HBC PPC HTO ELPE Intralot Motor Oil Frigoglass
Total Debt/Total Assets ΤΙΤΑΝ COCA-COLA HBC PPC HTO ELPE Motor Oil Frigoglass Intralot
EBITDA Margin HTO PPC ΤΙΤΑΝ Frigoglass COCA-COLA HBC Intralot Motor Oil ELPE
Operating Margin HTO PPC ΤΙΤΑΝ COCA-COLA HBC Frigoglass Intralot Motor Oil ELPE
Net Income Margin HTO COCA-COLA HBC ΤΙΤΑΝ PPC Motor Oil Intralot ELPE Frigoglass
Return on Common Equity HTO COCA-COLA HBC ΤΙΤΑΝ PPC Motor Oil ELPE Intralot Frigoglass
Return on Assets COCA-COLA HBC HTO ΤΙΤΑΝ PPC Motor Oil Intralot ELPE Frigoglass
18. 18
Note: group consolidated data
Date of data extract: 04/05/2015
Source: Piraeus Bank Research, Bloomberg
•The high net profit margin of HTO had a positive impact on the good performance of
its ROE and ROA, the highest among the companies. Similar is the picture for COCA-
COLA HBC.
•There was improvement in components of the ROE of TITAN in 2014, which was
significantly strengthened, as its profit margin became positive from negative and the
degree of leverage slightly declined.
•Similarly, the positive performance of the profit margin of PPC in 2014 – from negative
in 2013 – was basically the factor that boosted the improvement in the ROE and ROA,
which are now in positive territory.
•The increase in the negative profit margin and the level of leverage of MOTOR OIL also
resulted in significant deterioration in its ROE and ROA in 2014. ELPE and INTRALOT are
in a similar situation.
•FRIGOGLASS showed by far the lowest structural performance in terms of its ROE and
ROA in 2014.
DuPont Analysis allows us to examine the structure of the return on
equity and its simplified from is as follows:
Return on equity (ROE) = Net profit margin * Asset turnover *
Leverage ratio
Additionally, Return on Assets (ROA) = Net profit margin * Asset
turnover
¹ based on net income available to common shareholders
2 The figures in parentheses following the names of the companies are
referred to ROA.
April 2015
0,5 0,9 0,4 0,3
3,8
1,3 1,5
0,9
6,8
4,5
2,7
1,6
-0,9 -3,9 -2,7
-11,6
3,9
2,5 1,9 2,9
5,1
4,0
5,1
10,5
13,2 10,3
2,2 1,6
-17,9 -19,7 -20,5
-105 -110,0
-60,0
-10,0
40,0
90,0
140,0
HTO
COCA-COLAHBC
ΤΙΤΑΝ
PPC
MotorOil
ELPE
Intralot
Frigoclass
DuPont Analysis (2014)
Asset turnover Net common profit margin¹ (%)
leverage ratio Return on common equity (%)
Motor Oil (-3,5)
Intralot (-4,0)
ELPE (-4,9)
COCA-COLA HBC
(4,2)
Frigoglass (-10,0)
HTO (3,4)
ΤΙΤΑΝ (1,1)
PPC (0,6)
-15
-10
-5
0
5
10
0 2 4 6 8 10 12
Netcommonincomemargin1(%)
Asset turnover
Return on assets2
(%) (2014)
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19
April 2015
