FX & Markets Weekly. Week 11/2018. Mag. Ahmet Hüsrev BILGIN Senior Economist Vienna, Austria

Transcription

1 FX & Markets Weekly Week 11/2018 Mag. Ahmet Hüsrev BILGIN Senior Economist Vienna, Austria

2 3M USD Libor rises to highest since Nov As financial markets are pricing in the FOMC s rate hike on Wednesday March 21, also USD Libor fixes continue to rise. Only the overnight USD Libor fell by 1 basis point week over week to 1,446%, but remaining tenors rose, led by 1 week USD Libor, which rose by 14,7 bps to 1,630%, and 3 month USD Libor, that rose by 11,3bps to 2,202%. Hence, short term borrowing costs in the U.S. have risen to levels not seen since the financial crisis. On the other hand, the 3 month Overnight Index Swap rate (fixed/float interest rate swap) another way of borrowing dollars for 3 months is also increasing. But their spread, the relationship, is rising fast. The so called Libor-OIS spread has widened from 25bps at the end of January to above 51 bps currently. EM FX declines ahead of FOMC Led by the recently downgraded sovereign Turkey s TRY, and sanctions embattled RUB, most EM currencies like ZAR, BRL, MXN, CLP, ARS, PLN depreciated this week against the EUR and the USD. By nature, EM countries need to finance trade- and/or current account deficits with foreign investments flows. That is the reason why they are being punished during rate hiking cycles in DM. In fact, Federal Funds Futures are almost fully (99,3%) pricing in a 25bps hike to the Federal Funds Target range (1,25-1,50%). In terms of EM FX outlook, please bear in mind, that every cycle turns one day. And this rate hiking cycle might mature earlier than expected, as indicated in previous editions. New Russian Eurobonds offer RUB pay-out options Holders will have the option to choose between payments in RUB or FX ahead of each payment date. In the event that the issuer is prevented from accessing USD market due to external sanctions or some other event that makes USD payments impossible, bond payments can instead be made in GBP, CHF or EUR. If none of these currencies can be used, issuer can make payment for 2029 bonds in rubles. Basically Russia is targeting local investors with investments abroad for potential repatriation, and/or offering foreign investors more financial scope.

3 Exchange Commodities Rates Energy Futures EUR/USD 1,2269-0,29-1,09 4,08 WTI crude 61,32-1,27-0,49 7,23 EUR/TRY 4,8118 2,51 3,50 6,38 BRENT crude 65,18-0,61 0,87 4,95 EUR/CHF 1,1711-0,02 1,72 0,78 GAS oil 575,25-0,22 0,52 2,27 EUR/GBP 0, ,72-0,21 0,21 Heating oil 189,10 0,07-1,07 0,22 EUR/JPY 130,31-0,91-1,22-1,76 Natural gas 2,68-1,90 3,16 4,56 EUR/RUB 70,7374 1,40 0,96 2,21 Gold Spot 1 311,38-0,95-2,64 3,82 EUR/CNY 7,7712-0,41-1,54-0,60 Silver Spot 16,25-2,13-2,46 0,47 USD/TRY 3,9209 2,80 4,60 2,22 Platinum Spot 947,47-1,89-5,78 3,76 USD/JPY 106,22-0,62-0,05-5,61 Palladium Spot 990,94-0,48-5,17-2,56 USD/RUB 57,6593 1,68 2,12-1,79 Copper 309,40-1,34-5,34-1,68 USD/CNY 6,3348 0,01-0,11-4,26 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 03/16/ days 1 Month YTM ATX ,14 1,11 5,08 Austria 101,40 0,57 1,10 0,57 BIST ,26 0,61 7,21 Belgium 103,31 0,55 0,97 0,58 CAC ,33 0,20-1,07 China 99,83 0,00 0,32 3,83 DAX ,63-0,22-5,18 EFSF 113,97 0,11 0,01-0,10 Dow Jones ,32-0,86 1,42 ESM 110,88 0,27 0,41 0,18 Euro Stoxx ,63 0,45-3,32 France 96,93 0,65 1,19 0,61 FTSE ,62-1,57-4,15 Germany 96,69 0,61 1,17 0,40 HANG SENG ,63 1,24 9,20 Greece 96,89-0,06 0,60 4,16 IBEX ,94-0,56-3,67 Japan 101,04 0,09 0,33-0,03 MICEX ,94 1,54 6,81 Portugal 111,40 0,89 1,83 1,40 NASDAQ ,84 4,00 8,89 Spain 101,42 0,47 1,30 1,11 NIKKEI ,97-0,20-3,89 Russia 108,00-0,46-0,43 7,04 S&P ,03 0,94 3,07 Switzerland 111,19 0,18 0,41-0,14 Interest Rate Price as of Change% Change % Change % Turkey 89,60-2,29-4,54 12,42 Futures UK 101,26 0,39 1,07 1,34 Bobl 130,69 0,35 0,61-0,77 US 93,48 0,39 0,26 2,85 Bund 158,17 0,75 1,40-1,61 Turkey Risk related Sentiment TRY Basket 4,366 2,46 3,96 4,48 Baltic Dry Index ,25 6,09-28,97 WAC of CBRT (T-1) 12,75 0,00 0,00 0,00 VIX 15,44 4,64-21,27 62,63 Gold TRY / gram 165,31 1,84 1,84 5,92 Turkey 5Y CDS (T -1) 173,913 3,90 4,46 1,61 TR Gov. B. 2Y yield 13,93 2,96 7,07 3,42 MSCI EM Index (T-1) 1 216,24 0,75 1,38 8,74 Euribor/Eonia USD Libor Eonia (T-1) -0,366-1,39-0,83-0,83 USD Libor O/N 1,446-0,04 0,09 0,92 Euribor 1 Month -0,370 0,27-0,27 0,27 USD Libor 1M 1,822 4,10 14,33 21,88 Euribor 3 Month -0,328-0,31 0,00 0,30 USD Libor 3M 2,202 5,41 16,81 36,47 Euribor 6 Month -0,272-0,37 0,73 0,00 USD Libor 6M 2,364 4,19 12,23 33,21 Euribor 12 Month -0,192-0,52 0,00 0,52 USD Libor 12M 2,615 2,75 9,36 27,68 EUR Libor TRY Libor EUR Libor O/N -0,440 0,32 0,39-1,41 TRY Libor O/N 13,323 0,00 0,00-0,30 EUR Libor 1M -0,412-0,17-2,42-0,63 TRY Libor 1M 13,645 0,00-0,01-4,51 EUR Libor 3M -0,379 0,00-0,88 1,66 TRY Libor 3M 13,954 0,00 0,11-6,20 EUR Libor 6M -0,330 0,22-1,45-2,49 TRY Libor 6M 14,430 0,00 0,01-4,35 EUR Libor 12M -0,254 1,88 1,01 2,79 TRY Libor 12M 14,960 0,00-0,05-1,59

4 Date Country Economic Release Period Consensus Actual Prior 03/12/ :00 US Monthly Budget Statement Feb -$216.0b -$215.2b -$192.0b 03/13/ :30 US CPI MoM Feb 0.2% 0.2% 0.5% 03/13/ :30 US CPI Ex Food and Energy MoM Feb 0.2% 0.2% 0.3% 03/13/ :30 US CPI YoY Feb 2.2% 2.2% 2.1% 03/13/ :30 US CPI Ex Food and Energy YoY Feb 1.8% 1.8% 1.8% 03/14/ :30 US Retail Sales Advance MoM Feb 0.3% -0.1% -0.3% 03/14/ :30 US PPI Final Demand MoM Feb 0.1% 0.2% 0.4% 03/14/ :30 US PPI Ex Food and Energy MoM Feb 0.2% 0.2% 0.4% 03/14/ :30 US PPI Final Demand YoY Feb 2.8% 2.8% 2.7% 03/14/ :30 US PPI Ex Food and Energy YoY Feb 2.6% 2.5% 2.2% 03/14/ :00 US Business Inventories Jan 0.6% 0.6% 0.4% 03/15/ :30 US Import Price Index MoM Feb 0.2% 0.4% 1.0% 03/15/ :30 US Import Price Index YoY Feb 3.5% 3.5% 3.6% 03/15/ :30 US Export Price Index MoM Feb 0.3% 0.2% 0.8% 03/15/ :30 US Export Price Index YoY Feb % 3.4% 03/15/ :30 US Initial Jobless Claims Mar k 226k 231k 03/15/ :30 US Continuing Claims Mar k 1879k 1870k 03/16/ :15 US Industrial Production MoM Feb 0.4% 1.1% -0.1% 03/16/ :15 US Manufacturing (SIC) Production Feb 0.5% 1.2% 0.0% 03/16/ :15 US Capacity Utilization Feb 77.7% 78.1% 77.5% 03/14/ :00 EA Industrial Production SA MoM Jan -0.5% -1.0% 0.4% 03/14/ :00 EA Industrial Production WDA YoY Jan 4.4% 2.7% 5.2% 03/14/ :00 EA Employment QoQ 4Q % 0.4% 03/14/ :00 EA Employment YoY 4Q % 1.7% 03/15/ :00 EA EU27 New Car Registrations Feb % 7.1% 03/16/ :00 EA CPI Core YoY Feb F 1.0% 1.0% 1.0% 03/16/ :00 EA CPI YoY Feb F 1.2% 1.1% 1.3% 03/16/ :00 EA CPI MoM Feb 0.2% 0.2% -0.9% 03/16/ :00 EA Labour Costs YoY 4Q % 1.6% 03/12/ :00 TU Current Account Balance Jan -6.90b -7.10b -7.70b 03/15/ :00 TU Unemployment Rate Dec 10.4% 10.4% 10.3% 03/15/ :00 TU Central Gov't Budget Balance Feb b 1.7b 03/15/ :30 TU Expected Inflation Next 12 Mth Mar % 9.26% 03/15/ :30 TU Foreigners Net Bond Invest Mar $477m -$107m 03/15/ :30 TU Foreigners Net Stock Invest Mar $223m -$14m 03/16/ :00 TU Industrial Production MoM Jan 1.2% -0.8% 0.9% 03/16/ :00 TU Industrial Production YoY Jan 6.7% 12.0% 8.7% 03/16/ :30 TU House Price Index YoY Jan % 11.15% 03/16/ :30 TU House Price Index MoM Jan % 0.71% 03/14/ :00 RU Trade Balance Jan 13.9b 17.0b 13.7b 03/14/ :00 RU Exports Jan 33.1b 33.4b 37.9b 03/14/ :00 RU Imports Jan 17.9b 16.4b 24.2b 03/15/ :00 RU Gold and Forex Reserve Mar b 452.3b 03/15/ :45 RU Budget Balance YTD Feb 112.5b 226.5b 189.3b

5 Should you have any queries, please contact me as follows: Mag. Ahmet Hüsrev BILGIN, Economic Research Tel: / Disclaimer: This publication was prepared by DenizBank AG exclusively for marketing purposes pursuant to section 36 (2) WAG The information contained in this report is based on the knowledge of the various authors at the time the various texts were finalised for publication. DenizBank AG reserves the right to amendments or additions in this regard at any time without prior notice. The contents of this newsletter are protected by intellectual property rights especially copyright. The use of texts, parts of texts or image material or the reproduction of information or data requires the prior written consent of DenizBank AG. We have carefully checked the information in this report and have prepared it to our best knowledge and judgement. However, DenizBank AG does not assume any liability whatsoever for the accuracy, completeness or up-to-datedness of the information contained in this report and/or for the realisation of the forecasts made therein. This applies likewise for all other websites accessed via links contained within this report. The main source was the following: Bloomberg Finance LP. Every investment decision must be made in accordance with the personal circumstances of the investor. This report is intended for customers who are able to make their investment decisions independently and who do not solely rely on information provided by DenizBank AG. This report is non-binding and does not constitute an offer to purchase the products named nor is it an investment recommendation or financial analysis pursuant to section 36 (1) WAG Website credits and disclosures made in accordance with Sections 24 and 25 Media Act: Media content owner: DenizBank AG (FN t, Commercial Court of Vienna), Thomas-Klestil-Platz 1, 1030 Vienna; Registered address of the company: Vienna; DPR number: Object of the company: Banking; Members of the Management Board: Ahmet Mesut Ersoy, Mehmet Ulvi Taner, Dr. Thomas Roznovsky, Tuncay Akdevelioglu, Cenk Izgi; Members of the Supervisory Board: Hakan Ates, Derya Kumru, Wouter van Roste, Timur Kozintsev, Ruslan Abil, Alexander Vedyakhin, Pavel Barchugov, Dr. Kurt Heindl; Shareholder structure: Member of the Sberbank Group Purpose of document: This report summarises the significant developments within the financial markets over the previous week and comments on their underlying background.