FX & Markets Weekly. Week 29/2016. DenizBank AG Economic Research Vienna, Austria

Transcription

1 FX & Markets Weekly Week 29/2016 DenizBank AG Economic Research Vienna, Austria

2 Markets price in political risks in Turkey Sovereign bonds sold off, with yields rising over 100bps in 5 days of almost all maturities. Largest swings were over 6 years (+127bps to 10,28%). Moreover, 5-year USD CDS rose by over 28% to USD 291, up from below USD 230 levels the other week. They are currently trading around USD 275. All TRY money market rates rose this week but one. The Overnight TRY Libor fell tracking the rate cut. BIST dives over 14% Panic sales under elevated and above average volumes have led Turkish stocks to lose over 14% this week (weekly high , weekly low ). A supportive measure taken was that share buyback rules have been significantly relaxed. Previously, share buybacks were limited to 10% of outstanding shares and had to be approved by a shareholder s assembly. Those rules have been relaxed to support Turkish stocks. Any listed company may announce a share buyback program to the Public Disclosure Platform (KAP) without any limits, and without the approval of a shareholders assembly. TRY dives with Turkish assets TRY depreciated against most majors. EUR/TRY passed 3,40 to reach an annual high, as USD/TRY reached a fresh all-time high above 3,09. At-the-money option volatilities in the crosses including TRY are above 200-day averages. The unsolicited rating by S&P has been reduced by 1 notch. No major impact expected out of this move, because the rating was already below investment grade and the other two main rating companies still are rating Turkey investment grade. Central Bank of Turkey continues easing cycle The central bank opted for a measured and cautious step following recent developments in financial markets caused by domestic developments. The pace of rate cuts has slowed to 25bps this time. In fact the central bank has been reducing its overnight lending rate since February by a cumulative 200bps. That was the 5 th consecutive step. Moreover, the CBT also decided to provide local banks with unlimited liquidity, and lowered the commission rate to zero. For TRY liquidity the banks may also pledge FX deposits as collateral. Carry trade opportunities arise With the BIST 100 index down over 14% in 5 days, along with the depreciation in the TRY (-5,92% in 1 month against USD; -3,34% vs. EUR) new carry trade opportunities are arising for the venturesome.

3 Exchange Commodities Rates Energy Futures EUR/USD 1,1015-0,18-2,55-1,84 WTI crude 44,71-4,07-10,10-1,37 EUR/TRY 3,3645 1,06 2,90 5,23 BRENT crude 46,24-2,79-8,54 0,92 EUR/CHF 1,0858 0,01 0,22-1,20 GAS oil 407,00-3,09-10,20-0,61 EUR/GBP 0, ,45 9,33 7,91 Heating oil 136,80-1,93-9,56 1,94 EUR/JPY 116,85 0,99-1,07-6,91 Natural gas 2,72-1,38 0,26 10,98 EUR/RUB 71,1076 1,09-2,23-4,50 Gold Spot 1.326,49-0,84 4,62 7,56 EUR/CNY 7,3529-0,75-0,93 0,64 Silver Spot 19,76-2,39 14,13 16,37 USD/TRY 3,0535 1,25 5,59 7,18 Platinum Spot 1.098,53 0,64 11,84 8,92 USD/JPY 106,08 1,13 1,51-5,13 Palladium Spot 684,64 5,07 21,42 13,43 USD/RUB 64,5562 1,36 0,33-2,97 Copper 225,60 1,05 5,66-0,68 USD/CNY 6,6755-0,27 1,48 2,71 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 07/22/ days 1 Month YTM ATX ,86 1,10-5,10 Austria 123,64-0,16 0,60-0,31 BIST ,89-6,63-15,94 Belgium 117,21-0,07 0,90-0,22 CAC ,41 0,23-3,92 China 108,24 0,42 1,32 2,70 DAX ,00 0,96-1,99 EFSF 121,76-0,11 0,43-0,40 Dow Jones (T-1) ,06 4,14 2,85 ESM 116,85-0,08 0,89-0,18 Euro Stoxx ,66-0,01-5,19 France 115,59-0,13 0,64-0,23 FTSE ,90 7,48 6,64 Germany 112,71-0,10 0,48-0,41 HANG SENG ,41 5,62 2,32 Greece 76,64-1,13 0,56 8,03 IBEX ,79-1,19-6,87 Japan 107,46 0,01 0,52-0,35 MICEX ,41 1,91-1,75 Portugal 114,94 0,29 0,31 2,64 NASDAQ 100 (T-1) ,10 5,50 3,86 Spain 131,31 0,37 1,44 0,50 NIKKEI ,47 3,50-5,38 Russia 95,40-0,65 0,10 8,68 S&P 500 (T-1) ,07 3,82 3,52 Switzerland 132,24-0,34 0,08-0,82 Interest Rate Price as of Change% Change % Change % Turkey 86,63-5,22-2,78 10,89 Futures UK 107,53 0,09 2,75 0,49 Bobl 133,33-0,14 0,35 1,01 US 101,75-0,08 0,50 1,33 Bund 166,15 0,06 1,18 2,90 Turkey Risk related Sentiment TRY Basket 3,209 5,28 4,16 6,10 Baltic Dry Index (T-1) 726 5,91 24,10 5,52 WAC of CBRT 8,03-1,95-4,18-7,17 VIX 12,51-1,26-40,91-5,37 Gold TRY / gram 130,22 0,39 10,46 15,27 Turkey 5Y CDS (T -1) 281,61 25,32 14,19 18,55 TR Gov. B. 2Y yield 9,44 9,77 3,85 3,74 MSCI EM Index (T-1) 871,17 0,38 5,05 3,07 Euribor/Eonia USD Libor Eonia (T -1) -0,335-0,90 0,00 2,05 USD Libor O/N 0,418 0,65 7,26 9,63 Euribor 1 Month -0,371 0,00-3,63-8,48 USD Libor 1M 0,490 1,47 8,48 12,36 Euribor 3 Month -0,297-1,37-10,82-19,28 USD Libor 3M 0,721 4,82 12,64 13,39 Euribor 6 Month -0,189-1,07-17,39-32,17 USD Libor 6M 1,044 5,09 12,34 14,94 Euribor 12 Month -0,050 12,28-72,41-354,55 USD Libor 12M 1,372 4,87 9,66 10,96 EUR Libor TRY Libor EUR Libor O/N -0,399 0,00-0,90-1,94 TRY Libor O/N 8,982-2,62-2,63-12,37 EUR Libor 1M -0,369 0,39-2,79-5,82 TRY Libor 1M 9,580 2,77 3,85-7,67 EUR Libor 3M -0,304 0,24-6,52-13,40 TRY Libor 3M 9,840 4,85 5,53-4,93 EUR Libor 6M -0,193-0,07-15,51-23,21 TRY Libor 6M 9,940 4,61 4,85-4,05 EUR Libor 12M -0,061 8,56-67,83-103,80 TRY Libor 12M 9,960 3,97 3,98-3,95

4 Date Time Country Economic Release Period Consensus Actual Prior 07/18/ :00 US NAHB Housing Market Index Jul /18/ :00 US Total Net TIC Flows May -- -$11.0b $80.4b 07/18/ :00 US Net Long-term TIC Flows May -- $41.1b -$79.6b 07/19/ :30 US Housing Starts Jun 1165k 1189k 1164k 07/19/ :30 US Housing Starts MoM Jun 0.2% 4.8% -0.3% 07/19/ :30 US Building Permits Jun 1150k 1153k 1138k 07/19/ :30 US Building Permits MoM Jun 1.2% 1.5% 0.7% 07/20/ :00 US MBA Mortgage Applications Jul % 7.2% 07/21/ :30 US Chicago Fed Nat Activity Index Jun /21/ :30 US Initial Jobless Claims Jul k 253k 254k 07/21/ :30 US Continuing Claims Jul k 2128k 2149k 07/21/ :30 US Philadelphia Fed Business Outlook Jul /21/ :00 US FHFA House Price Index MoM May 0.4% 0.2% 0.2% 07/21/ :00 US Existing Home Sales Jun 5.48m 5.57m 5.53m 07/21/ :00 US Existing Home Sales MoM Jun -0.9% 1.1% 1.8% 07/21/ :00 US Leading Index Jun 0.2% 0.3% -0.2% 07/22/ :45 US Markit US Manufacturing PMI Jul P /19/ :00 EU Construction Output MoM May % -0.2% 07/19/ :00 EU Construction Output YoY May % -0.4% 07/19/ :00 EU ZEW Survey Expectations Jul /20/ :00 EU ECB Current Account SA May b 36.2b 07/20/ :00 EU Current Account NSA May b 34.0b 07/20/ :00 EU Consumer Confidence Jul A /21/ :45 EU ECB Main Refinancing Rate Jul % 0.000% 0.000% 07/21/ :45 EU ECB Deposit Facility Rate Jul % % % 07/21/ :45 EU ECB Marginal Lending Facility Jul % 0.250% 0.250% 07/21/ :45 EU ECB Asset Purchase Target Jul EU80b EU80b EU80b 07/22/ :00 EU Markit Eurozone Manufacturing PMI Jul P /22/ :00 EU Markit Eurozone Services PMI Jul P /22/ :00 EU Markit Eurozone Composite PMI Jul P /19/ :00 TR Benchmark Repurchase Rate Jul % 7.50% 7.50% 07/19/ :00 TR Overnight Lending Rate Jul % 8.75% 9.00% 07/19/ :00 TR Overnight Borrowing Rate Jul % 7.25% 7.25% 07/20/ :00 TR Consumer Confidence Index Jul /19/ :00 RU PPI MoM Jun 1.3% 2.7% 1.0% 07/19/ :00 RU PPI YoY Jun 3.8% 5.1% 3.2% 07/19/ :00 RU Unemployment Rate Jun 5.5% 5.4% 5.6% 07/19/ :00 RU Real Disposable Income Jun -5.0% -4.8% -5.7% 07/19/ :00 RU Real Wages YoY Jun -1.0% 1.4% -1.0% 07/19/ :00 RU Retail Sales Real MoM Jun 0.5% 0.6% 0.8% 07/19/ :00 RU Retail Sales Real YoY Jun -5.4% -5.9% -6.1% 07/21/ :00 RU Gold and Forex Reserve Jul b 394.7b 07/22/ :00 RU Money Supply Narrow Def Jul t 8.63t

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 re-production 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, Alexander Vedyakhin, Suavi Demircioglu, 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.