FX & Markets Weekly. Week 42/2015. DenizBank AG Economic Research and Development Vienna, Austria

Transcription

1 FX & Markets Weekly Week 42/2015 DenizBank AG Economic Research and Development Vienna, Austria

2 EUR money market rates refresh record lows After Euribor rates saw fresh all-time lows a fortnight ago, also EUR Libor rates followed suit. With ECB excess liquidity for the euro area at its highest since January 2013 (has risen to EUR 536,4bn on Tuesday) and money market rates at all-time lows, the ECB s negative deposit rate (-0,2% for overnight deposits) effectively acts as the policy rate. ECB overnight deposits rose above EUR 174bn, its highest level since August. As the ECB s asset purchase programme will run at least until September 2016, also excess liquidity will remain elevated in the euro area hereby pushing EUR money market rates lower. Turkish sovereign bonds rise on CAD improvement This week the central bank of Turkey published upbeat current account balance data. Accordingly, the Turkey current account deficit (CAD) narrowed to USD 163m in August, its lowest level since 2009, down from USD 3,2bn in July and from USD 2,2bn in August Turkish sovereign bonds rose sending yields lower. Largest changes were recorded in the 2-year segment (-41 bps to 10,38%), followed by 3-years (-26bps to 10,4%). Meanwhile, also the World Bank raised its GDP growth forecast for Turkey to 3,2% this year, vs. previous estimate of 3%. USD extends decline as EM benefits As the U.S. economy continues to send mixed signals, the market keeps on pricing in a possible delay of the initial rate hike. Some Fed speakers remain the only supporters of a rate hike in In fact the Bloomberg USD spot index that tracks the performance of a basket of 10 currencies vs. the USD has extended its decline since peaking on September 23, when China devalued its Yuan. Overall, sentiment turned more optimistic on risky assets such as EM and commodities. Metals outperformed energy futures. Brazilian stocks drop on Fitch downgrade Fitch downgraded Brazil s sovereign credit rating by 1 notch to BBB-, the lowest investment grade, and kept outlook on negative. Key rating drivers were Brazil s rising government debt, increased challenges to fiscal consolidation and a worsening economic growth outlook. Equities on the Sao Paolo Stock Exchange (Ibovespa Index) dropped by 3,6% compared to last Friday. Back in August Moody s downgraded Brazil to Baa3 its lowest investment grade. In September S&P had cut Brazil already below investment grade ( BB+, with a negative outlook).

3 Exchange Commodities Rates Energy Futures EUR/USD 1,1366 0,08 0,51 4,51 WTI crude 46,81-5,58-1,37-10,18 EUR/TRY 3,2942-0,47-2,82 13,87 BRENT crude 49,95-5,52-1,05-14,28 EUR/CHF 1,0824-0,91-1,13 3,85 GAS oil 463,50-5,60-3,99-13,68 EUR/GBP 0, ,82 0,70 5,55 Heating oil 148,95-6,22-4,62-13,55 EUR/JPY 135,51-0,83-0,73 0,39 Natural gas 2,44-2,64-11,06-18,20 EUR/RUB 69,9455-0,24-5,27 13,16 Gold Spot 1.179,85 2,04 5,04 3,04 EUR/CNY 7,217 0,43 0,53 6,50 Silver Spot 16,06 1,44 7,49 6,83 USD/TRY 2,8974-0,59-3,32 8,91 Platinum Spot 1.004,34 2,19 3,06-0,64 USD/JPY 119,22-0,91-1,24-3,95 Palladium Spot 696,53-2,17 13,60 10,00 USD/RUB 61,5358-0,06-5,73 8,28 Copper 239,75-0,66-2,20-5,29 USD/CNY 6,3538 0,14-0,27 2,32 Stock Price as of Change% Change % Change % Sovereign Price as of Change % Change % Ask Indices Bonds 10Y 10/16/ days 1 Month YTM ATX ,21 4,25-5,60 Austria 121,21 0,25 1,00 0,36 BIST ,15 6,67-4,47 Belgium 113,02 0,33 1,32 0,51 CAC ,20 0,99-8,39 China 106,98 0,33 1,66 2,93 DAX ,22-1,50-14,02 EFSF 120,16 0,24 0,64 0,26 Dow Jones ,50 2,57-5,25 ESM 112,33 0,43 1,20 0,54 Euro Stoxx ,08 0,04-11,52 France 112,64 0,34 1,12 0,42 FTSE ,67 2,31-6,23 Germany 109,44 0,37 1,25 0,20 HANG SENG ,71 5,01-8,33 Greece 75,31 0,44 6,99 7,82 IBEX ,18 2,11-11,49 Japan 104,89-0,03 0,16 0,11 MICEX ,07-0,27 4,51 Portugal 120,73-0,38 1,65 2,11 NASDAQ ,25 0,93-3,71 Spain 127,88 0,28 1,82 1,35 NIKKEI ,83 0,66-11,21 Russia 88,50 1,37 5,77 10,17 S&P ,57 1,56-4,60 Switzerland 133,19 0,23 0,96-0,48 Interest Rate Price as of Change% Change % Change % Turkey 84,50 0,95 3,28 9,95 Futures UK 101,91 0,43 1,09 1,46 Bobl 129,20 0,16 0,56 1,06 US 99,34 0,43 2,10 1,73 Bund 156,85 0,61 2,02 3,12 Turkey Risk related Sentiment TRY Basket 3,0952-0,66-3,04 11,52 Baltic Dry Index 766-6,24-5,90-24,08 WAC of CBRT 8,77 0,00-1,46 6,05 VIX 16,24-6,72-23,89 34,19 Gold TRY / gram 109,89 1,42 1,53 12,19 Turkey 5Y CDS (T -1) 269,603 1,46-0,23 26,80 TR Gov. B. 2Y yield 10,51-1,96-7,56 9,02 MSCI EM Index (T-1) 864,73 0,63 5,11-8,17 Euribor/Eonia USD Libor Eonia (T -1) -0,143-3,62-0,70-17,21 USD Libor O/N 0,132 0,00-3,30 3,13 Euribor 1 Month -0,116-2,66-12,62-63,38 USD Libor 1M 0,194-1,32-8,72 3,32 Euribor 3 Month -0,051-4,08-37,84-168,42 USD Libor 3M 0,317-1,08-6,61 10,51 Euribor 6 Month 0,021-25,00-41,67-57,14 USD Libor 6M 0,518-1,86-5,66 13,76 Euribor 12 Month 0,129-7,19-17,31-23,67 USD Libor 12M 0,826-2,26-4,72 6,78 EUR Libor TRY Libor EUR Libor O/N -0,181-0,39 0,00-0,79 TRY Libor O/N 11,014-0,01-0,50 0,09 EUR Libor 1M -0,128-4,68-10,50-61,26 TRY Libor 1M 11,220-0,19-3,98 1,79 EUR Libor 3M -0,055-20,32-37,50-266,67 TRY Libor 3M 11,478 0,18-1,89 3,66 EUR Libor 6M 0,018-13,90-39,54-68,54 TRY Libor 6M 11,479-0,09-1,92 3,70 EUR Libor 12M 0,122-3,73-14,97-26,55 TRY Libor 12M 11,528-0,02-1,75 4,10

4 Date Time Country Economic Release Period Consensus Actual Prior 10/13/ :00 US NFIB Small Business Optimism Sep /14/ :00 US MBA Mortgage Applications Oct % 25.5% 10/14/ :30 US Retail Sales Advance MoM Sep 0.2% 0.1% 0.2% 10/14/ :30 US PPI Final Demand MoM Sep -0.2% -0.5% 0.0% 10/14/ :30 US PPI Ex Food and Energy MoM Sep 0.1% -0.3% 0.3% 10/14/ :30 US PPI Final Demand YoY Sep -0.8% -1.1% -0.8% 10/14/ :30 US PPI Ex Food and Energy YoY Sep 1.2% 0.8% 0.9% 10/14/ :00 US Business Inventories Aug 0.1% 0.0% 0.1% 10/15/ :30 US Initial Jobless Claims Oct k 255k 263k 10/15/ :30 US Continuing Claims Oct k 2158k 2204k 10/15/ :30 US Empire Manufacturing Oct /15/ :30 US CPI MoM Sep -0.2% -0.2% -0.1% 10/15/ :30 US CPI Ex Food and Energy MoM Sep 0.1% 0.2% 0.1% 10/15/ :30 US CPI YoY Sep -0.1% 0.0% 0.2% 10/15/ :30 US CPI Ex Food and Energy YoY Sep 1.8% 1.9% 1.8% 10/15/ :30 US Real Avg Weekly Earnings YoY Sep % 2.3% 10/15/ :00 US Philadelphia Fed Business Outlook Oct /15/ :30 US Monthly Budget Statement Sep $95.0b $91.1b $105.8b 10/16/ :15 US Industrial Production MoM Sep -0.2% -0.2% -0.4% 10/16/ :15 US Capacity Utilization Sep 77.3% 77.5% 77.6% 10/16/ :15 US Manufacturing (SIC) Production Sep -0.2% -0.1% -0.5% 10/13/ :00 EU ZEW Survey Expectations Oct /14/ :00 EU Industrial Production SA MoM Aug -0.5% -0.5% 0.6% 10/14/ :00 EU Industrial Production WDA YoY Aug 1.8% 0.9% 1.9% 10/16/ :00 EU EU27 New Car Registrations Sep % 11.2% 10/16/ :00 EU Trade Balance SA Aug 22.1b 19.8b 22.4b 10/16/ :00 EU Trade Balance NSA Aug 20.0b 11.2b 31.4b 10/16/ :00 EU CPI MoM Sep 0.2% 0.2% 0.0% 10/16/ :00 EU CPI YoY Sep F -0.1% -0.1% -0.1% 10/16/ :00 EU CPI Core YoY Sep F 0.9% 0.9% 0.9% 10/14/ :00 TU Current Account Balance Aug 0.00b -0.16b -3.15b 10/15/ :00 TU Unemployment Rate Jul 9.8% 9.8% 9.6% 10/16/ :21 TU Central Gov't Budget Balance Sep b 5.24b 10/12/ :11 RU Trade Balance Aug 10.4b 8.7b 10.7b 10/12/ :11 RU Imports Aug 16.5b 16.6b 17.0b 10/12/ :11 RU Exports Aug 26.5b 25.3b 27.7b 10/13/ :10 RU Budget Balance YTD Sep b b b 10/15/ :00 RU Gold and Forex Reserve Oct b 370.2b 10/15/ :00 RU Industrial Production YoY Sep -4.8% -3.7% -4.3% 10/16/ :00 RU PPI MoM Sep 0.3% -1.1% 0.1% 10/16/ :00 RU PPI YoY Sep 14.3% 12.7% 13.7%

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.