Investment Research General Market Conditions 25 November 2014

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1 Investment Research General Market Conditions 25 November 2014 Danske Daily Market movers today Details on the German Q3 GDP numbers are released today and focus will be on how much private consumption grew last quarter. We expect US household sentiment to get a boost from declining gasoline prices, decent job growth and rising stock prices. This should translate into an increase in the Conference Board s measure of consumer confidence. We look for US Q3 GDP growth to be revised lower in line with consensus. Both S&P/Case-Shiller and the FHFA measure of US house prices are set to have increased in September. The Danish refinancing auctions continue today. Selected market news Yesterday s good news from the German Ifo index gave support to European stocks. The Ifo index increased for the first time since April and the gain was broad-based with higher expectations in the retail, wholesale, construction and manufacturing sectors. Overnight, the minutes released from the 31 October Bank of Japan meeting confirmed that there was considerable disagreement about the bold easing measures announced at the meeting. The main argument for easing was concern about possible lower inflation expectations in the wake of downward pressure on consumer prices and slower growth after the consumption tax hike. However, a substantial minority argued that additional benefits from more easing would be modest and potential costs could be high. Overall the minutes suggest it will be difficult to get a majority for more easing in Japanese markets were closed yesterday and stocks have caught up with the gains in global stocks this morning. In the FX market the Russian rouble continues to strengthen. Brent crude oil prices have moved lower, as expectations that OPEC will be able to agree on cutting oil production at its meeting on Thursday are fading. Market overview USD Oil Brent, USD Gold, USD Note: * The itraxx Europe Index shows the spread development for the most liquid investment grade CDS contracts in the euro credit market. **The itraxx Europe Crossover show the spread development of the most liquid non-investment grade CDS contracts in the euro credit market. ***The Markit CDX North America Investment Grade Index shows the spread development for the most liquid investment grade CDS contracts in the US credit market. Source: Bloomberg 07:30 1 day,% S&P500 (close) S&P500 fut (chng from close) Nikkei Hang Seng :00 07:30, bp US 2y gov 1 2 US 10y gov itraxx Europe (IG) itraxx Xover (Non IG) , % EUR/USD USD/JPY EUR/CHF EUR/GBP EUR/SEK EUR/NOK Selected readings from Danske Bank Today German Ifo expectations increased for first time since April, 24 November 2014 Emerging markets briefer, 24 November 2014 [Tex Senior Analyst Signe Roed-Frederiksen sroe@danskebank.dk Important disclosures and certifications are contained from page 5 of this report.

2 Fixed income markets After three intensive auction days with all five mortgage banks in the market, yesterday s auctions were calmer with only Nykredit, BRFkredit and DLRkredit in the market. The total auction amount was DKK21bn in DKK bonds and EUR280m in EUR bonds. Nykredit had to postpone its 1Y IT EUR auction until today due to an error. The spread tightening we saw on Friday continued yesterday in the 1 year segment with a tightening of 1-2bp, whereas the 3- and 5-year non-callables widened by 3-4bp. With tightening in the short end and widening in the long end of the FlexLoan curve, the curve steepened. Compared with the beginning of the auctions the ASW-curve for the DKK non-callable bonds is trading at higher spreads, which has increased the carry and roll for non-callable bonds. Today the mortgage banks will sell DKK10bn DKK bonds (DKK4bn in the 1Y segment) and EUR270m EUR bonds Nykredit s postponed auction. The total supply at today s auctions is a significant reduction compared to the previous six auction days and this can put some downward pressure on the spread levels. The Netherlands will today tap EUR-2.5bn in the Jul-24 in what will be the last Dutch auction this year. The NETHER Jul-24 still offers the highest carry/roll on the Dutch curve. The semi-core has also reacted to the recent dovish ECB communication, although the move has been more muted than the sharp rally in the periphery. The NETHER Jul-24 is still 4bp wider versus Germany than this year s low. In the periphery 10Y yields in Italy, Spain and Ireland hit new lows again yesterday as the market remains fuelled by the prospect of additional ECB easing. Note also that the Italian linker and zero-coupon auction scheduled for today have been cancelled due to the Italian Tesoro s strong cash position. In the money markets the Eonia fixing continues to grind higher as excess liquidity remains well below EUR100bn. We continue to believe excess liquidity will not get a major boost this year, even when the second TLTRO settles mid-december. Our expectation is for a take-up around EUR bn, which will bring the combined takeup to EUR200bn, or well below initial expectations. This highlights the need for further ECB measures. FX markets The EUR bounced back yesterday and appreciated against all G10 currencies with the exception of the two Scandies, NOK and SEK, on the better-than-expected German Ifo data. It was the first time in six months that the Ifo index increased and it could be an early indication that the German PMIs will bottom out in the coming months. However, while the outlook for the German economy might improve and deflation risks are expected to ease along with a stabilisation in the oil price, we still believe that the ECB will have a hard time expanding its balance sheet sufficiently in order to achieve its target of EUR3bn and thus we expect the bank to grab more tools from the toolbox in early This is a factor that will weigh further on the EUR in the coming months and we still expect EUR/USD to gradually edge lower driven by relative growth and relative monetary policy outlook towards our targets of 1.22 and 1.20 in 3M and 6M, respectively. However, given the already very stretched positioning, which according to the latest IMM data reached a new record high level of bullish USD bets last week, the move lower in EUR/USD will continue to be much more gradual and much more uneven going forward compared to the period from July to September when EUR/USD declined nearly 8%. US S&P500 future Fri Mon Tue Thu Fri Tue US 10y gov yield Fri Mon Tue Thu Fri Tue Global FX EUR/USD (LHS) USD/JPY (RHS) Fri Mon Wed Thu Sun Tue Scandi FX EUR/SEK (LHS) EUR/NOK (RHS) Fri Mon Wed Thu Sun 2 25 November

3 Key figures and events Tuesday, November 25, 2014 Period Danske Bank Consensus Previous 8:00 DEM GDP, final and components q/q y/y 3rd quarter 0.10% % 1.20% 0.10% 1.20% 8:00 DEM Fixed investments q/q y/y 3rd quarter -1.70%.. 8:00 DEM Private consumption q/q y/y 3rd quarter 0.20%.. 8:45 FRF Business confidence Index Nov 9 9:30 SEK PPI m/m y/y Oct -0.30% 1.70% 11:00 EUR EC OECD Economic Outlook 14:30 USD GDP, first revision q/q ann. 3rd quarter 3.20% 3.50% 14:30 USD GDP Price Deflator, first revision q/q 3rd quarter 1.30% 1.30% 14:30 USD PCE core q/q 3rd quarter 1.40% 14:30 USD Personal Consumption q/q 3rd quarter 1.80% 14:30 CAD Retail sales m/m Sep 0% -0.30% 15:00 USD S&P Case Shiller House prices Index Sep :00 USD Conference Board consumer confidence Index Nov November

4 Today s market data: 25 November 2014 STOCKS S&P500 Intraday, % Eurostoxx Intraday, % Close DJSTOXX % 0.30 Max Max 1.1 OMXC % Min Min OMXS % OSE BX % Close DOW JONES % Grey line indicates closing of Danish markets Grey line indicates opening of US markets NASDAQ % 1 month 5.3% 1 month 5.1% S&P % Year-to-date 1% Year-to-date 5.1% NIKKEI (07:30) % FX & COMMODITIES EUR/USD Intraday EUR 17:00 07:30 Gold, $ USD : JPY day Max GBP month Min 124 NOK Year-t-date SEK DKK CRB Oil, Brent, $ CRB, Raw Industrials YIELDS & INTEREST RATES USD-Yields Intraday Spread, 4 Policy Rate 3M bp 17:00 07:30, bp USD2Y USD10Y 2.34 USD USD 10Y Max Max 2.4 EUR USD 30Y Min Min GBP JPY 10Y USD2Y 0 (lhs) 0 DKK USD10 SEK :30(-1)* 17:00, bp Y (rhs) NOK DEM 10Y PLN DKK 10Y SEK 10Y NOK 10Y PLN 10Y * As of closing previous trading day 10Y Yield Spread to Germany USD JPY GBP FRF ITL DKKSEKNOKPLN US Yield Curve 3.00 Max Max Min Min USD2Y USD5Y USD10Y D-t-D, bp (right axis) 07:30 (left axis) 1 month ago (left axis) German Yield Curve DEM2Y DEM5YR DEM10Y D-t-D, bp (right axis) 07:30 (left axis) 1 month ago (left axis) Non-finan. Credit spread, itraxx s. 11* 07:30 1 day 1 month Credit spreads USD 10Y * Ask price ** Ask price Swap Spread, bp** Europe (IG) JPY 10Y HiVol Xover (N-IG) :30(-1)* 17: EUR 10Y DKK 10Y Finan. Sr SEK 10Y Nov Jan Feb Apr May Jul Aug Oct Nov Finan. Sub NOK 10Y itraxx Europe (IG) (left axis) itraxx Xover (Non IG) (right axis) :00 * As of closing previous trading day 07: PLN M future USD 17:00 07:30 07: JPY day month GBP month Year-to-date CHF Year-t-date November

5 Disclosure This research report has been prepared by Danske Bank Markets, a division of Danske Bank A/S ( Danske Bank ). Analyst certification Each research analyst responsible for the content of this research report certifies that the views expressed in the research report accurately reflect the research analyst s personal view about the financial instruments and issuers covered by the research report. Each responsible research analyst further certifies that no part of the compensation of the research analyst was, is or will be, directly or indirectly, related to the specific recommendations expressed in the research report. Regulation Danske Bank is authorised and subject to regulation by the Danish Financial Supervisory Authority and is subject to the rules and regulation of the relevant regulators in all other jurisdictions where it conducts business. Danske Bank is subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation Authority (UK). Details on the extent of the regulation by the Financial Conduct Authority and the Prudential Regulation Authority are available from Danske Bank on request. The research reports of Danske Bank are prepared in accordance with the Danish Society of Financial Analysts rules of ethics and the recommendations of the Danish Securities Dealers Association. Conflicts of interest Danske Bank has established procedures to prevent conflicts of interest and to ensure the provision of highquality research based on research objectivity and independence. These procedures are documented in Danske Bank s research policies. Employees within Danske Bank s Research Departments have been instructed that any request that might impair the objectivity and independence of research shall be referred to Research Management and the Compliance Department. Danske Bank s Research Departments are organised independently from and do not report to other business areas within Danske Bank. Research analysts are remunerated in part based on the overall profitability of Danske Bank, which includes investment banking revenues, but do not receive bonuses or other remuneration linked to specific corporate finance or debt capital transactions. Financial models and/or methodology used in this research report Calculations and presentations in this research report are based on standard econometric tools and methodology as well as publicly available statistics for each individual security, issuer and/or country. Documentation can be obtained from the authors upon request. Risk warning Major risks connected with recommendations or opinions in this research report, including as sensitivity analysis of relevant assumptions, are stated throughout the text. Expected updates Danske Daily is updated on a daily basis. First date of publication Please see the front page of this research report for the first date of publication. Price-related data is calculated using the closing price from the day before publication November

6 General disclaimer This research has been prepared by Danske Bank Markets (a division of Danske Bank A/S). It is provided for informational purposes only. It does not constitute or form part of, and shall under no circumstances be considered as, an offer to sell or a solicitation of an offer to purchase or sell any relevant financial instruments (i.e. financial instruments mentioned herein or other financial instruments of any issuer mentioned herein and/or options, warrants, rights or other interests with respect to any such financial instruments) ( Relevant Financial Instruments ). The research report has been prepared independently and solely on the basis of publicly available information that Danske Bank considers to be reliable. While reasonable care has been taken to ensure that its contents are not untrue or misleading, no representation is made as to its accuracy or completeness and Danske Bank, its affiliates and subsidiaries accept no liability whatsoever for any direct or consequential loss, including without limitation any loss of profits, arising from reliance on this research report. The opinions expressed herein are the opinions of the research analysts responsible for the research report and reflect their judgement as of the date hereof. These opinions are subject to change, and Danske Bank does not undertake to notify any recipient of this research report of any such change nor of any other changes related to the information provided in this research report. This research report is not intended for retail customers in the United Kingdom or the United States. This research report is protected by copyright and is intended solely for the designated addressee. It may not be reproduced or distributed, in whole or in part, by any recipient for any purpose without Danske Bank s prior written consent. Disclaimer related to distribution in the United States This research report is distributed in the United States by Danske Markets Inc., a U.S. registered broker-dealer and subsidiary of Danske Bank, pursuant to SEC Rule 15a-6 and related interpretations issued by the U.S. Securities and Exchange Commission. The research report is intended for distribution in the United States solely to "U.S. institutional investors" as defined in SEC Rule 15a-6. Danske Markets Inc. accepts responsibility for this research report in connection with distribution in the United States solely to U.S. institutional investors. Danske Bank is not subject to U.S. rules with regard to the preparation of research reports and the independence of research analysts. In addition, the research analysts of Danske Bank who have prepared this research report are not registered or qualified as research analysts with the NYSE or FINRA, but satisfy the applicable requirements of a non-u.s. jurisdiction. Any U.S. investor recipient of this research report who wishes to purchase or sell any Relevant Financial Instrument may do so only by contacting Danske Markets Inc. directly and should be aware that investing in non- U.S. financial instruments may entail certain risks. Financial instruments of non-u.s. issuers may not be registered with the U.S. Securities and Exchange Commission and may not be subject to the reporting and auditing standards of the U.S. Securities and Exchange Commission November

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