FX & Markets Weekly. Week 9/2016. DenizBank AG Economic Research Vienna, Austria

Transcription

1 FX & Markets Weekly Week 9/2016 DenizBank AG Economic Research Vienna, Austria

2 EUR/USD goes up and down on mixed U.S. data The U.S. trade deficit widened more than forecast as exports slumped to their lowest level in 4 years. Nonfarm-payrolls rose, but average hourly earnings fell. That was the 1 st monthly decline in a year. On the other hand, at-the-money (ATM) option volatilities surged most since December. Investors looking to hedge against fluctuations in EUR/USD will have to pay the highest premium in 3 months. 1-week ATM vols capture the ECB meeting next Thursday, and 2-week ATM vols capture now the Fed s March 16 meeting. Their spread indicates investors place more focus on the ECB meeting in determining a direction for the pair. Euro area negative inflation spurs ECB easing bets Eurostat s flash February HICP (harmonized index of consumer prices) release showed a decline by 0,5 percentage points to -0,2%. Core inflation (ex-energy) dropped also to 0,7% from 1,0% hereby increasing the likelihood of March easing when ECB staff macro projections are available. Remember, already in January, Draghi hinted on further measures in March. Accordingly, markets have priced in cuts of 20 bps in the next 3 months and of 30bps within 12 months. Highest probability (84%) is for -10bps on March 10, and another -10bps in June as there is no monetary policy in May due to the ECB s new 6 week cycle. Could also be -20bps at once, in order to over deliver and get more market impact. Turkish sovereign bonds surge on CPI surprise February inflation (CPI, consumer price index) dropped to 8,78% y/y down from 9,58% and well below consensus estimate of 9,40%. Whereas the CBRT s survey of inflation expectations of 24-month CPI expectations shows 7,29% indicating there is still room in the rally. As a result, Turkish TRY denominated sovereign bonds rose across the board with the 5-years outperforming. Meanwhile, the rating agency Fitch has affirmed Turkey at BBB- with a stable outlook mentioning fiscal discipline, above BBB-peer average GDP growth, and banking sector strength. However, emphasizing also external vulnerabilities as key credit weakness. Azerbaijan hikes rates 2 nd time in less than a month To encourage savings in the local currency manat (AZN) the Central Bank raised its key rate by 2 percentage points to 7%, widening its 1 st increase from 3% on February 15. As cheaper crude oil prices burden the economy, the central bank was forced to shift to a free-floating exchange rate regime in December because the countries FX reserves had dwindled.

3 Exchange Commodities Rates Energy Futures EUR/USD 1,1036 0,84-1,53 1,33 WTI crude 34,65 5,52 3,62-20,43 EUR/TRY 3,215-1,68-1,55 2,02 BRENT crude 37,26 4,99 5,86-18,43 EUR/CHF 1,0913 0,05-2,12 0,49 GAS oil 335,50 1,44 3,15-20,26 EUR/GBP 0, ,60 1,03 7,74 Heating oil 112,18 5,20 2,75-19,96 EUR/JPY 125,07 0,27-4,46-6,71 Natural gas 1,64-8,65-20,66-29,36 EUR/RUB 80,1556-3,98-6,31 8,14 Gold Spot 1.276,77 4,34 10,48 17,50 EUR/CNY 7,1825 0,17-2,26 3,14 Silver Spot 15,65 6,31 5,18 7,39 USD/TRY 2,9122-2,71 0,04 0,74 Platinum Spot 968,56 5,90 7,29 10,09 USD/JPY 113,33-0,57-2,97-7,93 Palladium Spot 552,85 13,72 6,91-2,78 USD/RUB 72,6375-4,83-4,86 6,75 Copper 223,75 5,22 4,76 7,22 USD/CNY 6,5067-0,44-0,88 1,70 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 03/04/ days 1 Month YTM ATX ,71 5,28-9,11 Austria 122,64-0,36 0,13 0,02 BIST ,19 2,78 3,11 Belgium 115,21-0,48 0,41 0,15 CAC ,91 5,01-5,82 China 107,93-0,12 0,07 2,89 DAX ,78 4,09-9,06 EFSF 121,36 0,04 0,30-0,11 Dow Jones ,67 3,05-5,21 ESM 115,02-0,04 0,62 0,14 Euro Stoxx ,24 4,08-9,21 France 114,50-0,35 0,34 0,06 FTSE ,11 4,49-1,19 Germany 111,92-0,19 0,66-0,21 HANG SENG ,20 5,18-9,26 Greece 66,76 3,61-1,63 10,05 IBEX ,22 3,75-12,83 Japan 106,86-0,13 0,47-0,20 MICEX ,90 4,56 6,51 Portugal 116,39 1,02-0,63 2,55 NASDAQ ,70 3,36-8,66 Spain 129,04 0,32 0,23 1,01 NIKKEI ,10-0,18-12,76 Russia 93,00 2,36 4,84 9,27 S&P ,17 3,91-4,85 Switzerland 133,59 0,00 0,67-0,74 Interest Rate Price as of Change% Change % Change % Turkey 84,75 1,68 1,25 10,89 Futures UK 104,36-0,33 0,78 1,05 Bobl 133,09-0,00 0,51 2,01 US 100,06-0,67-0,44 1,61 Bund 165,31-0,35 1,13 5,19 Turkey Risk related Sentiment TRY Basket 3,0635-2,01-0,79 1,73 Baltic Dry Index (T-1) 342 4,59 14,77-39,25 WAC of CBRT 9,04-0,55 1,23 3,55 VIX 16,8-14,89-22,80 13,84 Gold TRY / gram 119,56 1,57 10,59 18,44 Turkey 5Y CDS (T -1) 280,214-7,58-2,29 4,19 TR Gov. B. 2Y yield 10,7-2,64-2,90 1,04 MSCI EM Index (T-1) 780,19 5,43 5,50-3,95 Euribor/Eonia USD Libor Eonia (T -1) -0,238 4,42 3,64-75,00 USD Libor O/N 0,372-0,67 0,43 185,06 Euribor 1 Month -0,281-6,44-20,09-64,33 USD Libor 1M 0,438-0,11 2,41 58,98 Euribor 3 Month -0,215-6,44-29,52-90,27 USD Libor 3M 0,634-0,25 2,14 37,12 Euribor 6 Month -0,136-5,43-33,33-353,33 USD Libor 6M 0,892 1,29 3,14 28,83 Euribor 12 Month -0,028-64, ,00-141,18 USD Libor 12M 1,194 2,84 5,80 17,32 EUR Libor TRY Libor EUR Libor O/N -0,286-1,26-0,75-50,19 TRY Libor O/N 11,015 0,00 0,00 0,00 EUR Libor 1M -0,285-7,03-20,18-58,33 TRY Libor 1M 11,610-0,17-0,44 5,79 EUR Libor 3M -0,230-4,41-24,21-109,22 TRY Libor 3M 11,685 0,00 0,20 5,38 EUR Libor 6M -0,132-2,78-21,37-414,55 TRY Libor 6M 11,735-0,07 0,02 5,53 EUR Libor 12M -0,025-21,39-362,98-133,21 TRY Libor 12M 11,835 0,08 0,43 5,96

4 Date Time Country Economic Release Period Consensus Actual Prior 02/26/ :30 US GDP Annualized QoQ 4Q S 0.4% 1.0% 0.7% 02/26/ :30 US Personal Consumption 4Q S 2.2% 2.0% 2.2% 02/26/ :00 US U. of Mich. Sentiment Feb F /29/ :00 US ISM Milwaukee Feb /29/ :45 US Chicago Purchasing Manager Feb /29/ :30 US Dallas Fed Manf. Activity Feb /01/ :45 US Markit US Manufacturing PMI Feb F /01/ :00 US ISM Manufacturing Feb /01/ :00 US ISM New Orders Feb /02/ :00 US MBA Mortgage Applications Feb % -4.3% 03/02/ :15 US ADP Employment Change Feb 190k 214k 205k 03/03/ :30 US Initial Jobless Claims Feb k 278k 272k 03/03/ :00 US ISM Non-Manf. Composite Feb /04/ :30 US Trade Balance Jan -$44.00b -$45.68b -$43.36b 03/04/ :30 US Change in Nonfarm Payrolls Feb 195k 242k 151k 03/04/ :30 US Unemployment Rate Feb 4.9% 4.9% 4.9% 03/04/ :30 US Average Hourly Earnings MoM Feb 0.2% -0.1% 0.5% 03/04/ :30 US Labor Force Participation Rate Feb 62.8% 62.9% 62.7% 02/26/ :00 EU Economic Confidence Feb /26/ :00 EU Business Climate Indicator Feb /26/ :00 EU Services Confidence Feb /29/ :00 EU CPI Estimate YoY Feb 0.0% -0.2% 0.3% 02/29/ :00 EU CPI Core YoY Feb A 0.9% 0.7% 1.0% 03/01/ :00 EU Markit Eurozone Manufacturing PMI Feb F /01/ :00 EU Unemployment Rate Jan 10.4% 10.3% 10.4% 03/02/ :00 EU PPI MoM Jan -1.0% -1.0% -0.8% 03/02/ :00 EU PPI YoY Jan -2.9% -2.9% -3.0% 02/29/ :00 TR Trade Balance Jan -3.80b -3.76b -6.18b 02/29/ :33 TR Foreign Tourist Arrivals YoY Jan % -7.3% 03/01/ :00 TR Markit/ISO Turkey PMI Mfg Feb /03/ :00 TR CPI MoM Feb 0.50% -0.02% 1.82% 03/03/ :00 TR CPI YoY Feb 9.40% 8.78% 9.58% 03/03/ :00 TR CPI Core Index YoY Feb 9.70% 9.72% 9.63% 03/03/ :00 TR PPI MoM Feb 0.78% -0.20% 0.55% 03/03/ :00 TR PPI YoY Feb 5.67% 4.47% 5.94% 03/01/ :00 RU Markit Russia PMI Mfg Feb /02/ :00 RU Reserve Fund Feb -- $49.9b $49.7b 03/02/ :00 RU Wellbeing Fund Feb -- $71.3b $71.2b 03/02/ :00 RU CPI Weekly YTD Feb % 1.5% 03/02/ :00 RU CPI WoW Feb % 0.2% 03/03/ :00 RU Gold and Forex Reserve Feb b 379.4b 03/04/ :00 RU Money Supply Narrow Def Feb t 8.46t 03/04/ :00 RU CPI MoM Feb 0.8% 0.6% 1.0% 03/04/ :00 RU CPI YoY Feb 8.4% 8.1% 9.8%

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, Cenk Izgi; Members of the Supervisory Board: Sergey Gorkov, 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.