FX & Markets Weekly. Week 26/2017. Mag. Ahmet Hüsrev BILGIN Senior Economist Vienna, Austria

Transcription

1 FX & Markets Weekly Week 26/2017 Mag. Ahmet Hüsrev BILGIN Senior Economist Vienna, Austria

2 EUR/USD rose to 13-month high The rate climbed above 1,14 on Thursday and has seen 1,1445 on Friday intraday. That is a 13-month high. Several drivers can be attributed. Financial markets overreacted to ECB President Draghi s speech in Sintra at the ECB Forum. It was interpreted as a turning point in ECB policy although it was in line with his June 8 speech after the Governing Council. In fact, this week s ifo German business climate index climbed to a new record high after last month s record. In the U.S., the delay in voting on the health care bill reinforced doubts about the Trump government s ability to enact policy changes. The IMF has already reduced it s GDP growth forecast for the U.S. by the fiscal stimulus component. Currently the IMF sees U.S. GDP growth at 2,1% this year, down from 2,3% in its April forecast, and at 2,1% in 2018, down from 2,5% previously. From a macroeconomic perspective, in long term capital flows are going into current account surplus countries/regions. From a short-term perspective, next week will be the start of the U.S. 2Q earnings season, releases could lift the USD back up as Wall Street analysts have maintained their upbeat earnings outlook. They only reduced their earlier estimates by 2%. That is only half the historical average and one of the smallest downward revisions post- Lehman. Hence, expectations of pro-growth policies from the Trump administration have been replaced by strong corporate earnings growth. Furthermore, the Bund-U.S.Treasury divergence is getting stronger. German 10-year yields are up 16bps year-to-date but UST 10-year yields are down 24bps. The Bund- Treasury discount fell to 180bps this week, the narrowest since U.S. election day. Moreover, Germany has the steepest yield curve among G3 countries. German 5-30 spread is 141bps, while U.S spread is 94bps, and Japan 5-30 spread is 90bps. Euro-bullish sentiment was also visible in the options market this week. 1-week 25 delta risk reversals touched 0,77 vols on Thursday, the most euro-bullish sentiment since U.S. election day. Quarter-to-date EUR outperformed all majors Quarter-to-date ARS depreciated by 12,96% against EUR, followed by RUB (-11,36%), JPY (-7,23%), USD (-6,67%), AUD ( -5,97%), CNY(-5,2%), and ZAR (-4,61%). Only DKK could appreciate against the EUR quarter-to-date (by 0,03%) among G10 currencies. Stock market volatility is back As we approach the start of the 2Q earnings season stock market volatility gauges rose week-over-week. VSTOXX surged by 20,13% this week as the VIX rose by 16,86%.

3 Exchange Commodities Rates Energy Futures EUR/USD 1,1421 2,07 1,68 7,27 WTI crude 45,24 5,30-6,73-12,33 EUR/TRY 4,0214 2,46 1,43 3,87 BRENT crude 47,57 4,59-6,17-11,76 EUR/CHF 1,0928 0,69 0,45 2,22 GAS oil 434,25 5,53-3,01-8,67 EUR/GBP 0, ,08 1,01 3,78 Heating oil 145,70 6,22-4,01-8,28 EUR/JPY 128 2,92 3,05 7,98 Natural gas 3,00 1,83-3,35-9,84 EUR/RUB 67,6331 1,73 6,20 12,98 Gold Spot 1.243,25-1,14-2,16-0,54 EUR/CNY 7,7455 1,16 1,15 5,16 Silver Spot 16,65-0,36-4,19-8,84 USD/TRY 3,5191 0,31-0,27-3,19 Platinum Spot 925,54-0,49-2,40-2,60 USD/JPY 112,07 0,77 1,33 0,67 Palladium Spot 847,29-1,57 3,46 6,22 USD/RUB 59,2232-0,34 4,45 5,34 Copper 270,50 2,62 4,26 0,78 USD/CNY 6,7809-0,81-0,54-1,54 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 06/30/ days 1 Month YTM ATX ,08-0,06 10,35 Austria 101,15-1,85-1,29 0,62 BIST ,97 2,88 12,83 Belgium 103,32-1,77-1,31 0,62 CAC ,85-2,18 0,90 China 99,60 0,01 0,50 3,44 DAX ,60-1,69 0,72 EFSF 116,57-0,67-0,76-0,10 Dow Jones ,03 1,80 3,51 ESM 112,89-1,06-0,85 0,09 Euro Stoxx ,04-2,34-0,84 France 95,59-1,96-0,78 0,74 FTSE ,95-2,21 0,42 Germany 96,54-1,94-1,54 0,39 HANG SENG ,37 0,41 6,86 Greece 89,74 0,20 5,89 5,19 IBEX ,86-3,13 0,73 Japan 100,44-0,23-0,28 0,05 MICEX ,64-1,10-5,84 Portugal 100,64-1,14-0,25 2,77 NASDAQ ,48-2,23 4,11 Spain 99,06-1,41 0,06 1,41 NIKKEI ,49 1,95 5,95 Russia 103,90-0,33-0,44 7,68 S&P ,33 0,76 2,85 Switzerland 112,23-1,21-1,52-0,15 Interest Rate Price as of Change% Change % Change % Turkey 101,80-0,73-0,10 10,89 Futures UK 102,72-1,92-1,83 1,19 Bobl 131,72-0,78-0,97-0,61 US 97,72-1,16 na 2,28 Bund 161,98-1,88-1,42-0,74 Turkey Risk related Sentiment TRY Basket 3,7702 1,50 0,62 0,40 Baltic Dry Index (T-1) 920 7,60 4,78-29,07 WAC of CBRT (T-1) 11,94-0,08-0,08 5,38 VIX 10,32 6,69 2,69-13,58 Gold TRY / gram 140,65-0,80-2,39-3,69 Turkey 5Y CDS (T -1) 194,158 2,48-2,02-18,86 TR Gov. B. 2Y yield 11,12 0,18 0,27-2,11 MSCI EM Index (T-1) 1.014,02 0,23 0,86 5,81 Euribor/Eonia USD Libor Eonia (T-1) -0,360 0,55 0,28-0,84 USD Libor O/N 1,162-1,27 24,76 25,36 Euribor 1 Month -0,373 0,27 0,00 0,00 USD Libor 1M 1,224 0,32 16,51 24,53 Euribor 3 Month -0,331 0,00-0,61-0,30 USD Libor 3M 1,299 0,46 8,10 13,21 Euribor 6 Month -0,271 0,73-6,69-12,45 USD Libor 6M 1,448 0,18 2,32 2,04 Euribor 12 Month -0,156 4,29-19,08-43,12 USD Libor 12M 1,738 0,29 0,98-3,07 EUR Libor TRY Libor EUR Libor O/N -0,428 0,50 0,40-0,84 TRY Libor O/N 12,732 1,18 2,29 6,67 EUR Libor 1M -0,401 0,71 0,36-1,08 TRY Libor 1M 12,687 0,29 1,07 5,38 EUR Libor 3M -0,372 0,23-0,73-4,58 TRY Libor 3M 12,709 0,01 0,84 5,09 EUR Libor 6M -0,305-2,64-6,85-22,40 TRY Libor 6M 12,808 0,32 1,22 5,03 EUR Libor 12M -0,187-0,77-11,70-54,25 TRY Libor 12M 12,858 0,18 0,38 2,02

4 Date Time Country Economic Release Period Consensus Actual Prior 06/26/ :30 US Durable Goods Orders May P -0.6% -1.1% -0.8% 06/26/ :30 US Durables Ex Transportation May P 0.4% 0.1% -0.5% 06/26/ :30 US Cap Goods Orders Nondef Ex Air May P 0.4% -0.2% 0.1% 06/26/ :30 US Cap Goods Ship Nondef Ex Air May P 0.4% -0.2% 0.1% 06/26/ :30 US Chicago Fed Nat Activity Index May /26/ :30 US Dallas Fed Manf. Activity Jun /27/ :00 US Conf. Board Consumer Confidence Jun /27/ :00 US Conf. Board Present Situation Jun /27/ :00 US Conf. Board Expectations Jun /28/ :00 US MBA Mortgage Applications Jun % 0.6% 06/28/ :30 US Advance Goods Trade Balance May -$66.0b -$65.9b -$67.6b 06/28/ :30 US Wholesale Inventories MoM May P 0.2% 0.3% -0.5% 06/28/ :30 US Retail Inventories MoM May % -0.3% 06/29/ :30 US GDP Annualized QoQ 1Q T 1.2% 1.4% 1.2% 06/29/ :30 US Personal Consumption 1Q T 0.6% 1.1% 0.6% 06/29/ :30 US Core PCE QoQ 1Q T 2.1% 2.0% 2.1% 06/29/ :30 US Initial Jobless Claims Jun k 244k 241k 06/29/ :30 US Continuing Claims Jun k 1948k 1944k 06/30/ :30 US PCE Deflator MoM May -0.1% -0.1% 0.2% 06/30/ :30 US PCE Deflator YoY May 1.5% 1.4% 1.7% 06/30/ :30 US PCE Core MoM May 0.1% 0.1% 0.2% 06/30/ :30 US PCE Core YoY May 1.4% 1.4% 1.5% 06/28/ :00 EA M3 Money Supply YoY May 5.0% 5.0% 4.9% 06/29/ :00 EA Economic Confidence Jun /29/ :00 EA Business Climate Indicator Jun /29/ :00 EA Industrial Confidence Jun /29/ :00 EA Services Confidence Jun /29/ :00 EA Consumer Confidence Jun F /30/ :00 EA CPI Estimate YoY Jun 1.2% 1.3% 1.4% 06/30/ :00 EA CPI Core YoY Jun A 1.0% 1.1% 0.9% 06/28/ :30 TR House Price Index YoY Apr % 13.34% 06/28/ :30 TR House Price Index MoM Apr % 1.12% 06/29/ :00 TR Economic Confidence Jun /29/ :00 TR Foreign Tourist Arrivals YoY May % 18.1% 06/30/ :00 TR Trade Balance May -7.68b -7.31b -4.95b 06/30/ :30 TR Foreigners Net Bond Invest Jun $177m $756m 06/30/ :30 TR Foreigners Net Stock Invest Jun $26m $252m 06/28/ :00 RU CPI WoW Jun % 0.1% 06/28/ :00 RU CPI Weekly YTD Jun % 2.0% 06/29/ :00 RU Gold and Forex Reserve Jun b 406.4b 06/30/ :00 RU Money Supply Narrow Def Jun t 9.19t 06/30/ :00 RU Current Account Balance 1Q F m 22800m 06/30/ :00 RU GDP YoY 1Q F 0.5% 0.5% 0.5%

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.