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FX Daily108 .pdf


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Investment Research — General Market Conditions

22 October 2013

Danske Daily
Market movers today
The main release is the US employment report for September. The report was
compiled just before the shutdown, hence the data should be undistorted. We expect
to see a decent report with 180,000 jobs added to the economy during September, as
higher chain store sales and a rise in expected service demand indicate an increase in
service sector employment. Initial jobless claims have also indicated that job growth
is keeping up despite the subdued growth picture.
The new German parliament holds its first meeting after the election last month. A
grand German coalition seems more likely after SPD won a vote from its party to start
coalition talks with Merkel. The negotiations are set to begin Wednesday.
Retail sales out of Denmark is the only key Scandi economic release today.

Selected market news
Investors appeared to be sitting on their hands yesterday ahead of the delayed US
September employment report today.

Market overview
07:30
S&P500 (clo se)
S&P500 fut (chng fro m clo se)
Nikkei
Hang Seng

1744.7
1737.0
14694.8
23324.5

1 day +/-,%





17:00

07:30

US 2y gov
US 10y gov

0.31
2.61

0.31
2.60



iTraxx Europe (IG)
iTraxx Xover (Non IG)

86
346

87
347



EUR/USD
USD/JPY
EUR/CHF
EUR/GBP
EUR/SEK
EUR/NOK

1.368
98.150
1.23
0.846
8.755
8.08

1.367
98.310
1.23
0.848
8.749
8.09



Oil Brent, USD
Gold, USD

109.9
1317.3

109.7
1314.3



0.01
-0.07
0.01
-0.48
+/-, bp
0.0
-1.0



0.3
1.1











+/-, %
-0.04
0.16
0.10
0.14
-0.07
0.13
USD
-0.19
-0.23

US stock markets closed more or less unchanged in a session where the S&P500 traded
sideways in a +/- 0.2% range. Also US treasuries did not move much with the 10Y yield
still trading around 2.6%.

Note:
* The iTraxx Europe Index shows the spread
development for the most liquid investment grade CDS
contracts in the euro credit market.

US existing home sales dropped less than expected yesterday showing only a 1.9%
decline from August. Home sales at 5.29 million thus held near a cycle high but housing
market data will be monitored closely over the coming months when more evidence is
available about the impact of the summer’s increase in mortgage rates.

**The iTraxx Europe Crossover show the spread
development of the most liquid non-investment grade
CDS contracts in the euro credit market.

USD/JPY is trading back above 98 and remains one of the currency pairs with the highest
expected betas to the US employment report. However, given that the consensus
expectation is for the Fed to postpone QE tapering to Q1 next year, today’s employment
report likely holds less potential to move the market than recent reports (which were seen
to be almost decisive for whether the Fed would taper at its September meeting).
Other arguments for why today’s report holds less potential, than usual, to move the
market is that it is delayed (i.e. has greater publication lag) and that it covers the period
before the US government shutdown.

***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

Selected readings from Danske Bank

Scandi Markets Ahead: Norges
Bank and Riksbank in focus

Today

[Tex

Danske Daily

Fixed Income markets
Usually the release of the US Labour Market Rapport poses risk of great movements in
the markets. Not least since the Federal Reserve linked its policy moves directly to the
strength of the labour market through its QE programme. However, we think that the
sensitivity today may be less and that the dynamics are such that if rates move
significantly on the release, it is most likely to be down. A big change in non-farm
payrolls would not be judged as strong because we would expect some shutdown
distortions in later data releases to effectively prevent rates from rising significantly. And
the opposite, a weak number would provide further evidence of a weakness seen since the
summer - and we would expect a further weakness in later data. So all in all, we expect a
weak number to have more effect than a strong one on the rates markets today.

US S&P500 future

FX markets

US 10y gov yield

Like the rest of the market the G10 currencies traded fairly quietly yesterday and the
dollar index has now been broadly flat since Thursday. The biggest movers since Friday
have been NZD and JPY, which have both lost about 0.5% against EUR. Both currencies
also tend to have fairly high betas to the US employment report and notwithstanding the
potential volatility from today’s report we continue to see upside potential in USD/JPY
over the coming months.

2.79

2.79

2.69

2.69

2.59

2.59

1741

1741

1731

1731

1721

1721

1711

1711

1701

1701

1691

1691

1681

1681
Fri

Mon

Tue

Thu

Fri

Tue

Source: Danske Bank Markets

2.49

2.49
Fri

Tue

Wed

Thu

Mon

Tue

Source: Danske Bank Markets

Key figures and events

Global FX
EUR/USD (LHS)

USD/JPY (RHS)

99.5
1.377
99
1.367

98.5

1.357

98

1.347
Fri

Source: Bloomberg, Danske Bank Markets

Mon

Wed

Thu

Sun

97.5
Tue

Source: Danske Bank Markets

Scandi FX
EUR/SEK (LHS)

EUR/NOK (RHS)

8.19
8.82

8.16

8.79

8.13

8.76

8.10

8.73

8.07
Fri

Mon

Wed

Thu

Source: Danske Bank Markets

2|

22 October 2013

Sun

Danske Daily

Today’s market data: 22 October 2013
STOCKS
S&P500 Intraday, %
0.50

Eurostoxx Intraday, %

0.50

Clo se
0.60

Max
Min

0.20

0.5
-0.4
0.3

0.6

Max
Min

0.20

0.20

-0.10

-0.10

-0.40

-0.40

0.8
-0.6
0.4

0.2

-0.20

-0.2

-0.60

-0.6

+/-

DJSTOXX50

2842



0.2%

OM XC20

585



0.6%

OM XS30

1289



0.4%

OSE B X

525



1.1%

Clo se
15

16

17

18

19

20

21

Grey line indicates closing of Danish markets

09

10

11

12

13

14

15

16

17

18

Grey line indicates opening of US markets

1mo nth



2.0%

Year-to -date



22.3%

1mo nth



1.4%

Year-to -date



10.2%

+/-

DOW JONES

15392



NA SDA Q

3920



0.1%

S&P 500

1745



0.0%

14695



0.2%

NIKKEI (07:30)

0.0%

FX & COMMODITIES
EUR/USD Intraday

137.0

136.8

Max
Min

137.0

136.8

##
##
0.2

136.6

136.6

136.4

136.4
07

10

13

16

19

22

01

04

E UR

17:00

+/-

07:30

O il,
B re nt , $

G o ld, $

USD

136.76

136.71 

-0.05

JP Y
GB P

134.23
84.65

134.40
84.77




0.17
0.12

1day
1mo nth




NOK

808.35

809.44



1.09

Year-t-date



SEK

875.52

874.90



-0.62

DKK

745.91

745.90



-0.01

CRB

C R B , R aw

P LN

417.33

417.36



0.03

1M f ut ure

Indus t ria ls

US D

17:00

07:30

JP Y

98.15

+/-

07:30

1314.29

0.16

1mo nth



1.78

GB P

161.57

161.27



-0.30

Year-to -date



4.78

CHF

90.18

90.30



0.12

0.03
0.45



-1.44

-361.06

285.34

07:30

98.31 

109.67

-1.71 
-11.76 

513.99

1day



-1.58



-0.49

1mo nth



-2.10



-7.93

Year-t-date



-9.67



-16.41

YIELDS & INTEREST RATES
USD-Yields Intraday
0.33

USD2Y
0.32Max
0.3
Min
0.3
0.31
0

USD10Y
Max 2.6
Min 2.6
0

2.62
2.60
2.58

0.30

2.56

0.29
07

10

13

16

19

22

USD2Y (lhs)

01

P o lic y R a t e

3M

S pre a d,
bp

17:00

07:30

USD

0.25

0.24

-1

USD 10Y

2.61

2.60



-1

EUR

0.50

0.22

-28

USD 30Y

3.68

3.67



-1

GB P

0.50

0.52

2

JP Y 10Y

0.63

0.62



0

DKK

0.20

0.28

8

SEK

1.00

1.21

21

07:30(-1)*

17:00

NOK

1.50

1.69

19

DEM 10Y

1.84

1.85



1

P LN

2.50

2.57

7

DKK 10Y

1.98

1.98



0

SEK 10Y

2.44

2.43



-1

NOK 10Y

2.99

2.99



0

P LN 10Y

4.23

4.30



7

04

USD10Y (rhs)

+/-, bp

+/-, bp

* As of closing previous t rading day

10Y Yield Spread to Germany
3.0

2.45

2.34

2.5

1.0 0.75

0.89
0.51

1.14

2.0

1.5

1.5

1.0

0.58
0.14

0.5
0.0

USD JPYGBPFRF ITL DKKSEKNOKPLN

0.5

1.0

0.0

0.5

-0.5

0.0

-1.0

-1.0

-1.5

-1.5

-1.23

## M ax
## M in
USD2Y

USD5Y

USD10Y

Euro pe (IG)

87



1



-14

HiVo l

138



2



-17

Xo ver (N-IG)

347



4



-54

Finan. Sr.

123



2



-17

Finan. Sub.

185



2



-22

No n-finan.

16



0

160
140
120
100
80
60
40
20
0

500

400

3|

22 October 2013

17:00

200

07:30

+/-

USD 10Y
JP Y 10Y

300

14
07:30(-1)*

14



0
+/-

17:00

EUR 10Y

0

100

DKK 10Y

28

28



0

0

SEK 10Y

41

41



0

NOK 10Y

38

39



1

iTraxx Europe (IG) (left axis)
iTraxx Xover (Non IG) (right axis)

* Ask price

DEM5YR

S wa p S pre a d, bp**
600

Oct Dec Jan Mar Apr Jun Jul Sep Oct

## M ax 0.910
## M in # # #

0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
DEM10Y

D-t-D +/-, bp (right axis)
07:30 (left axis)
1 month ago (left axis)

Credit spreads

1mo nth

1day

1.800
0.000

German Yield Curve
2.0
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
DEM2Y

D-t-D +/-, bp (right axis)
07:30 (left axis)
1 month ago (left axis)

C re dit s pre a d, iT ra xx s . 11*
07:30

1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0

2.5

2.0

1.5

US Yield Curve

3.0

2.5

2.0

-0.5

3.0

* As of closing previous t rading day
** Ask price


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