FX Comment : return to risk on the margin, EUR continue to suffer vs USD on relative macro differences

Transcription

1 FX Comment : return to risk on the margin, EUR continue to suffer vs USD on relative macro differences June Anders Eklöf FX/MM strategist Swedbank FI/FX Research 1

2 FX this week Majors slowly return to stable markets, EUR/JPY up a bit EUR/USD trend down on relative rates outlook China PMI expected to drop, but fiscal stimulus kept in place and policy measures aimed at stabilize growth at high levels Closed in US/UK today, but less stress in USD money markets. Markets continue to sit back and make more sober analysis on global recovery EUR/USD fails to gain as relative macro differences and interest rates speak for the downside. US NFP expected at 470k new jobs due to census hiring, but the underlying labor market is recovering (see page 4) China PMI expected to slow to 54 (55.7 in April) but commodity currencies/ EM take back lost ground vs funding currencies JPY and EUR CAD in spotlight as BOC expected to hike 25 bp to 0.50 % (Tuesday), USD /CAD towards RBA to hold rates at 4.5 % (Tuesday) but Aussie has sold off and rates expectations are lower. AUD/JPY continues to climb. G20 meeting to discuss currencies on June 4-5? Japanese officials not happy with EUR/JPY at

3 FX this week NOK and SEK : we stay long vs EUR EUR/SEK will continue to drop on the back of last week s strong Q1 GDP numbers, strong gov finances and risk appetite returning slowly 25 bp hike already priced in for July and September, still very cautious pricing of next year s interest rate outlook (for good reasons) open question if the Riksbank combines hikes with revising down repo rate outlook for 2011 We look for EUR/SEK at 9.40 in 3 m EUR/NOK to lag EUR/SEK moving down? Norwegian macro a little bit slower and Norges bank will have to slash GDP forecast in June (the opposite goes for the Riksbank) Still, Norges bank is almost priced to leave interest rates on hold for the rest of the year Also, Norges bank did not announce today to start buying FX on the back of its petroleum revenues which was in the cards We keep our EUR/NOK target at 7.70 in 3 m in the wake of the relative difference in fundamentals Gradually more stable markets should help scandies 3

4 (Fri) Non Farm Payroll expected to remain strong in May though the headline number will be distorted by census hiring ( Market est 500k / prev 290k) Non Farm Payroll will be positively distorted in May thanks to US Census Hiring (Exp 475k vs 290k in April) A better gauge of the underlying labor market in May is Private Payrolls expected at 225k vs 231k in April We look for at least the consensus number in May due to: 1. Trend in household survey employment is strong (graph) 2. Temporary hiring is still elevated (26k in April) Jobless claims in May is stable compared to April :02: :07: :12: :05: :10: :03: :08: :01: :06: :11: :04: :09: :02: :07: :12: :05: :10: :03: :08: :01: :06: :11: :04: :09: :02:00 Household Survey Non Farm Payroll 4

5 (Tue) ISM has probably peaked at 60.4 in April Slower momentum in Leading Indicators hint of a lower ISM (Market est 59.5 / prev 60.4), Mar April May June July Aug Sep Oct Nov Dec Jan Feb Mar April -6 IS M (lhs ) Leading Indicators (% yoy; rhs) 5

6 FX Trade recommendations year to day row trade date trade nr profit,vs loss strategy spot ref expiry or projected time to reach target Trade specifics total cost in exit date pips* 1 05-Jan-10 1 open, see 1below USD/JPY call spread 1 by m buy 1*** USD call /JPY 95, sell 1.5 USD call/jpy see row 9 26-Jan-10 1 open ref 1 converted to USD call /JPY put buy 1.5 sold USD call /JPY put strike 105, cost 20 pips Jan-10 2 closed with loss EUR put/sek call days buy EUR put / SEK call KO 25-Mar Jan-10 3 closed with profit short EUR/SEK spot m sell 0.5 EUR/SEK , 10.37, S/L move 10,05 on feb 18,S/P to 9.76 on 25-Mar, 29-Mar 1.8% 5 28-Jan-10 4 closed with profit short GBP/NOK 1 to 3 m sell 0.5 GBP/NOK 9,49, 9,65 18-Feb 1.3% 6 26-Feb-10 5 closed with loss EUR/USD downside butterfly m buy 1.35 EUR put /USD call, sell 1.32 EUR put /USD call, buy 1 EUR put/usd expiry Mar-10 6 closed with profit half of trade 5 closed with profit (105 pips recieved) m buy 1.35 EUR put /USD call, sell 1.32 EUR put /USD call, buy 1 EUR put/usd Mar Apr-10 7 closed with profit short NOK/SEK week sell 0.5 NOK/SEK@1.2185, s/l@1.2320,target 1.20, pos closed at as Riksbank was quite soft 20-Apr 0.27% 9 16-Apr-10 8 closed with loss long NOK/SEK vol 1 week buy a / strangle expiry 21 April Apr Apr-10 9 closed at break-even short EUR/USD weeks sell 0.5 unit , target new lows, Apr Apr see row 11&12 EUR/USD put spread 1 by 1 with up&in on sold put ,5 m buy 1 EUR put/ USD 1.33 and sell 1 EUR put / USD 1.30 up&in 1.38, expiry Nov Jun closed with profit half of trade 10 closed with profit ,5 m buy 1 EUR put/ USD 1.33 and sell 1 EUR put / USD 1.30 up&in 1.38, expiry Nov May Jun open half of trade 10 changed to 40 pips cost ,5 m buy 1 EUR put/ USD 1.33, expiry Nov May closed with profit short NOK/SEK spot weeks sell 0.5 unit , 1.26, target 1.22, profit May May 1.3% May closed with loss short EUR/SEK spot weeks sell 0.5 unit 9.71, 9.82, target May -0.56% May open EUR/SEK downside 1 by 2 put spread m buy 1 EUR put/ SEK 9.70 and sell 2 EUR put / SEK 9.40, expiry July May open short JPY/NOK to 3 m sell with May-10 open short EUR/NOK to 3 m sell with option positions in Italic writing * net cost in price currency spot year to day ret 4.1% **return in % (spot) or return in pips (options) *** notionals in units return** 6

7 Monday - JPN Industrial production - Sweden Economic Tendency Survey - Norway Retail sales - EMU M3 - EMU Business Climate Indicator - EMU CPI Estimate Tuesday - Sweden Swedbank PMI Manufacturing - Sweden Financial Stability Report - Norway PMI Manufacturing - EMU PMI Manufacturing - EMU Unemployment Rate - Sweden Speech by Lars Nyberg - US ISM Manufacturing Wednesday - Sweden Current Account - US Pending Home Sales IN FOCUS - WEEK 22 Thursday - EMU PMI Services - UK PMI Services - EMU Retail Sales - US ADP Employment Change - US ISM Non-Manufacturing Friday -EMU GDP - US Change in Nonfarm Payrolls - US Unemployment Rates - Sweden Speech by Lars Nyberg 7

8 Swedbank FX forecasts month 3 month 6 month 12 month USD/SEK EUR/SEK GBP/SEK NOK/SEK CHF/SEK CAD/SEK AUD/SEK JPY/SEK EEK/SEK LVL/SEK LTL/SEK RUB/SEK EUR/NOK EUR/USD EUR/GBP EUR/CHF EUR/JPY USD/JPY USD/CAD AUD/USD GBP/USD USD/RUB

9 Contact information Research - Macro, FI & FX VP Cecilia Skingsley Tel: cecilia.skingsley@swedbank.se Macro Knut Hallberg Tel: knut.hallberg@swedbank.se Macro Per Selldén Tel: per.sellden@swedbank.se Macro Karl-Johan Bergstrom Tel: karl-johan.bergstrom@swedbank.se FX/MM Anders Eklöf Tel: anders.eklof@swedbank.se Emerging markets Hans Gustafson Tel: hans.gustafson@swedbank.se This research report has been compiled by Swedbank Markets, a division of Swedbank AB (publ). The document is not advisory and is merely intended to serve as information to a limited amount of qualified investors. The information in this document has been compiled from sources believed to be reliable. We accept however no responsibility for correctness or completeness. It is recommended that recipients of this document supplement the basis for their decision-making with any material that might be considered necessary. Opinions and recommendations obtained in this document represent our present opinions but may change. Swedbank Markets accepts no liability whatsoever for any direct or consequential loss or injury of any kind arising from the use of this document. Recipients should be aware 9 that Swedbank AB and its subsidiaries from time to time may have positions or holdings in securities of such companies or issuers directly or indirectly referred to herein or may be providing or seeking to provide corporate finance and dept capital markets services to such companies or issuers. This document must not be published or distributed in the United States or to other countries or persons to which publication or distribution is prohibited. The material may not be reproduced without the consent of Swedbank Market. Reproduced by Swedbank Markets, Swedbank AB (publ), Stockholm 2009.