FX & Markets Weekly. Week 35/2015. DenizBank AG Economic Research and Development Vienna, Austria

Transcription

1 FX & Markets Weekly Week 35/2015 DenizBank AG Economic Research and Development Vienna, Austria

2 Rollercoaster week for EUR/USD The rate opened the week at 1,1370 peaked that same day at 1,1740 to fall below 1,13 on Thursday afternoon CET. The massive sell-off in Asian markets spurred demand for safe haven assets which benefitted core European government bonds. Even the euro emerged as a safe haven currency and climbed amid ongoing ECB QE. The rally signalled also the confidence in the euro area despite the Greece situation. But why has the euro depreciated then? ECB chief economist Peter Praet talked it down, as a stronger exchange rate curbs exports and slows an already very low inflation in the euro area. Mr Praet reminded the markets that the ECB could expand its ongoing QE program if necessary, leading to a reversion of the market sentiment. Additionally the second estimate for U.S. 2Q15 GDP growth by the U.S. Commerce Department was upwardly revised (+3,7% q/q up from +2,3%). The revision reflected growth in consumer spending, business and residential investment. Also the contribution to growth from inventory investment was revised up. Gross domestic income, however, increased by only 0,6%. Massive sell-off in Asian markets intensifies The Asian market rout has deepened further outstretching recent slides. Most Asian main stock market indices apart from the Hang Seng are still trading with price/earnings ratios above 15. The Shanghai Composite has lost 30% in the last 3 months but is still up 47% in a year, with price/earnings of 16,22 price/book of 1,91 and even price/sales of 1,35. Looking for a financial market bubble? Here you go. The latest sell-off is a correction of the market that will be temporary. Rough week for Turkish markets This week, the emerging markets rout deepened further leading to selling of Turkish equities and bonds held by foreign investors. Equity market outflows amounted to USD 248m (USD 767m YTD), while bond market outflows reached USD 267m. The lira depreciated to a record low vs. EUR (3,4767). Looking at EUR/TRY at-the-money implied volatility through various maturities we see that volatility in this cross rate is here to remain. (1-, 3-, 6-month ATM are trading above moving averages (50, 100, 200)). Oil s largest weekly gain since April The above mentioned U.S. GDP growth revision drove crude prices up on a weekly basis for the 1 st time in 9 weeks as financial markets realized the potential for global growth, hereby rising demand despite the financial market turmoil in China. The volume of all futures traded was 46% higher than the 100- day average. However, the bearish trend in oil prices is not broken yet. WTI would have to pass approximately 49,50 USD a barrel and Brent to pass 54,50 USD/b to break out of the bearish trend.

3 Exchange Commodities Rates Energy Futures EUR/USD 1,1246-1,26 1,76 2,85 WTI crude 42,48 5,49-11,86-26,90 EUR/TRY 3,2817-0,99 7,69 12,92 BRENT crude 47,49 4,80-11,55-25,66 EUR/CHF 1,0812 0,32 1,55 4,68 GAS oil 465,75 4,25-7,76-19,57 EUR/GBP 0, ,79 3,23 2,36 Heating oil 151,09 3,56-6,06-20,01 EUR/JPY 135,94-2,19-0,48 0,39 Natural gas 2,71 0,70-4,53-2,23 EUR/RUB 75,0108-4,68 12,50 29,93 Gold Spot 1.136,95-2,13 3,72-4,42 EUR/CNY 7,2219 0,47 5,10 6,63 Silver Spot 14,61-4,78-0,62-12,60 USD/TRY 2,9172 0,08 5,83 9,85 Platinum Spot 1.018,90-0,19 3,44-8,84 USD/JPY 120,89-0,95-2,19-2,39 Palladium Spot 582,30-3,73-6,88-26,12 USD/RUB 66,7001-3,61 10,55 26,34 Copper 233,15 1,65-3,17-15,95 USD/CNY 6,3896 0,01 2,90 3,03 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 08/28/ days 1 Month YTM ATX ,37-6,27-9,77 Austria 120,20-0,70-0,56 0,54 BIST ,74-4,71-11,04 Belgium 111,80-0,60-0,29 0,69 CAC ,52-6,47-9,40 China 104,64 0,92 0,41 3,40 DAX ,23-8,28-12,23 EFSF 120,18-0,48 0,03 0,31 Dow Jones ,75-5,94-8,52 ESM 112,27-0,70 0,00 0,57 Euro Stoxx ,71-7,98-10,42 France 111,56-0,59-0,44 0,59 FTSE ,24-5,38-11,91 Germany 108,52-0,78-0,01 0,34 HANG SENG ,56-11,80-21,28 Greece 67,97 4,17 22,29 9,31 IBEX ,11-8,61-9,66 Japan 104,51-0,07 0,15 0,17 MICEX ,96 6,73 3,31 Portugal 120,00 0,21-0,50 2,23 NASDAQ ,73-5,44-4,93 Spain 126,06-0,21-0,51 1,63 NIKKEI ,54-5,87-6,89 Russia 82,10 0,13-3,07 11,75 S&P ,77-5,12-6,36 Switzerland 132,90-0,40 0,23-0,38 Interest Rate Price as of Change% Change % Change % Turkey 84,30-0,24 2,02 10,08 Futures UK 101,02-0,47 0,99 1,60 Bobl 130,31-0,34 0,08 0,22 US 98,27-0,43 1,09 1,89 Bund 154,28-0,89 0,25-0,21 Turkey Risk related Sentiment TRY Basket 3,0992-0,43 6,78 11,43 Baltic Dry Index ,75-17,28 53,91 WAC of CBRT 8,83 0,80 5,50 6,39 VIX 26,88-6,42 95,16 97,07 Gold TRY / gram 106,63-2,10 9,71 4,95 Turkey 5Y CDS (T -1) 260,586-6,64 9,35 23,09 TR Gov. B. 2Y yield 10,92-1,89 8,12 10,19 MSCI EM Index (T-1) 813,08 0,09-8,77-19,46 Euribor/Eonia USD Libor Eonia (T -1) -0,127-7,63-8,55-11,40 USD Libor O/N 0,134 0,38 5,95 8,54 Euribor 1 Month -0,098-6,52-34,25-68,97 USD Libor 1M 0,199-0,43 4,06 7,91 Euribor 3 Month -0,033-6,45-57,14-153,85 USD Libor 3M 0,329-0,03 10,85 16,36 Euribor 6 Month 0,040-4,76-16,67-18,37 USD Libor 6M 0,534 0,84 12,79 26,26 Euribor 12 Month 0,161 0,63-4,73 1,26 USD Libor 12M 0,843-0,54 4,86 12,00 EUR Libor TRY Libor EUR Libor O/N -0,181-0,39-0,39-4,98 TRY Libor O/N 11,068 0,00 0,48 1,87 EUR Libor 1M -0,105 0,00-25,64-53,13 TRY Libor 1M 11,673-0,09 5,45 7,44 EUR Libor 3M -0,030 0,00-109,94-133,28 TRY Libor 3M 11,683-0,02 5,07 8,07 EUR Libor 6M 0,045-13,46-19,02-14,87 TRY Libor 6M 11,683-0,02 4,60 8,34 EUR Libor 12M 0,157 0,00-5,43-8,96 TRY Libor 12M 11,683-0,02 4,60 8,55

4 Date Time Country Economic Release Period Consensus Actual Prior 08/24/ :30 US Chicago Fed Nat Activity Index Jul /25/ :00 US FHFA House Price Index MoM Jun 0.4% 0.2% 0.4% 08/25/ :45 US Markit US Composite PMI Aug P /25/ :45 US Markit US Services PMI Aug P /25/ :00 US New Home Sales Jul 510K 507K 482K 08/25/ :00 US New Home Sales MoM Jul 5.8% 5.4% -6.8% 08/25/ :00 US Consumer Confidence Index Aug /25/ :00 US Richmond Fed Manufact. Index Aug /26/ :00 US MBA Mortgage Applications Aug % 3.6% 08/26/ :30 US Durable Goods Orders Jul -0.4% 2.0% 3.4% 08/26/ :30 US Durables Ex Transportation Jul 0.3% 0.6% 0.8% 08/26/ :30 US Cap Goods Orders Nondef Ex Air Jul 0.3% 2.2% 0.9% 08/26/ :30 US Cap Goods Ship Nondef Ex Air Jul 0.4% 0.6% -0.1% 08/27/ :30 US GDP Annualized QoQ 2Q S 3.2% 3.7% 2.3% 08/27/ :30 US Personal Consumption 2Q S 3.1% 3.1% 2.9% 08/27/ :30 US GDP Price Index 2Q S 2.0% 2.1% 2.0% 08/27/ :30 US Core PCE QoQ 2Q S 1.8% 1.8% 1.8% 08/27/ :30 US Initial Jobless Claims Aug K 271K 277K 08/27/ :30 US Continuing Claims Aug K 2269K 2254K 08/28/ :30 US Personal Income Jul 0.4% 0.4% 0.4% 08/28/ :30 US Personal Spending Jul 0.4% 0.3% 0.2% 08/27/ :00 EU M3 Money Supply YoY Jul 4.9% 5.3% 5.0% 08/27/ :00 EU M3 3-month average Jul 5.0% 5.1% 5.1% 08/28/ :00 EU Economic Confidence Aug /28/ :00 EU Business Climate Indicator Aug /28/ :00 EU Industrial Confidence Aug /28/ :00 EU Services Confidence Aug /28/ :00 EU Consumer Confidence Aug F /25/ :30 TR Real Sector Confidence SA Aug /25/ :30 TR Real Sector Confidence NSA Aug /25/ :30 TR Capacity Utilization Aug % 75.9% 08/26/ :00 RU CPI WoW Aug % 0.0% 08/26/ :00 RU CPI Weekly YTD Aug % 9.4% 08/27/ :00 RU Gold and Forex Reserve Aug B 362.9B 08/28/ :00 RU Money Supply Narrow Def Aug T 8.23T

5 Should you have any queries, please contact me as follows: Mag. Ahmet Hüsrev BILGIN, Economic Research and Development 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; Members of the Supervisory Board: Sergey Gorkov, Hakan Ates, Dr. Kurt Heindl, Derya Kumru, Wouter van Roste, Alexander Vedyakhin 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.