PDF Archive

Easily share your PDF documents with your contacts, on the Web and Social Networks.

Share a file Manage my documents Convert Recover PDF Search Help Contact



FX Daily53 .pdf


Original filename: FX-Daily53.pdf
Title: Danske Daily
Author: Morten Helt

This PDF 1.5 document has been generated by Microsoft® Office Word 2007, and has been sent on pdf-archive.com on 15/11/2013 at 10:08, from IP address 212.23.x.x. The current document download page has been viewed 598 times.
File size: 623 KB (3 pages).
Privacy: public file




Download original PDF file









Document preview


Investment Research — General Market Conditions

15 November 2013

Danske Daily
Market movers today
The final euro inflation figure will be interesting after the flash estimate dropped to
0.7% and the ECB cut the refi rate. The final German and Spanish figures were
revised downward but we estimate the figure will remain unchanged from the flash
estimate.
ECB’s executive board member Mersch speaks today and focus will be on whether he
will be very dovish in line with other members of the board. Among the previous
comments it was particularly interesting that Praet did not rule out the possibility of
asset purchases, even though he emphasised that additional stimulus from the ECB is
not needed right now.
In the US industrial production and Empire manufacturing PMI, which have both
undershot the ISM manufacturing index, are released. For industrial production we
estimate an increase of 0.2% m/m, which will imply the gap to ISM will persist in
October. On the other hand, the Empire manufacturing index is expected to increase
and close part of the gap.

Selected market news
As implied by the prepared testimony, which was released one day ahead of her
nomination hearing, Janet Yellen struck a dovish tone when she spoke to the Senate
Banking Committee last night. Yellen reiterated that the Fed will maintain its monetary
stimulus until the US economy is stronger. When asked about QE, Yellen answered that
she currently sees the benefits of the programme outweighing the costs and that she does
not see risks to financial stability. On the other hand, however, she acknowledged that QE
cannot continue forever and that the risk to financial stability increases by the length of
the programme. However, in respect of timing, there is no set time to start tapering and it
will be data dependent.
It appears to be the consensus perception that Yellen’s dovish tone implies that the Fed is
not going to taper any time soon, despite the ongoing recovery in the US labour market.
According to a survey on Bloomberg, the median response among economists expects the
Fed to start tapering its bond purchases at its 18-19 March meeting.

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

1790.6
1790.1
15193.0
23030.8

1 day +/-,%





17:00

07:30

US 2y gov
US 10y gov

0.29
2.69

0.29
2.70



iTraxx Europe (IG)
iTraxx Xover (Non IG)

82
343

83
344



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

1.346
99.970
1.23
0.837
8.968
8.32

1.345
100.100
1.23
0.837
8.946
8.28



Oil Brent, USD
Gold, USD

108.3
1289.3

108.5
1289.1



0.48
0.13
2.13
1.68
+/-, bp
0.0
0.8



0.5
0.9











+/-, %
-0.07
0.13
0.14
0.04
-0.24
-0.47
USD
0.14
-0.02

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

Selected readings from Danske Bank

Reading the Markets Sweden

Sentiment remains positive, as investors respond to the prospect of continued liquidity
support and US equities gained yesterday, with S&P500 up around 0.5% to a new recordhigh, while yields on US 10-year treasuries dropped another few basis-points.

EMEA Weekly

In Asia the stock rally continued this morning with Chinese bourses in the lead amid
speculations that the Chinese government as early as next week may release details of its
policy plans in the wake of the third plenum in Beijing.

Flash Comment: Euro area
recovery loses momentum in Q3,
expected to gain ground in 2014

Flash Comment Japan: slower
growth should prove temporary

Today

[Tex

Danske Daily

Scandi markets today
In Scandinavia a series of tier 2 releases from Denmark, Sweden and Norway is due.
Today’s releases should not have any significant market impact.

Fixed Income markets
Janet Yellen delivered a dovish message at yesterday’s confirmation hearing and she
managed to push rates further down by some 5bp in the 2-5Y segments of the curve. In
terms of assets purchases, she sees the benefits still outweighing the costs and she
currently does not see risks to financial stability. She gave no hints on the timing of
tapering, which is hardly a surprise. Overall she put a lot of emphasis on job creation and
restoring growth. Further she noted that the Fed had been worried about the rapid increase
in mortgage rates, over the summer, which signals this has a lot of weight in the Fed’s
reaction function and implies that the Fed will tread very carefully when finally starting to
taper. Fundamentally this strengthens the case for lowering the unemployment threshold
for hiking rates, when tapering is announced. Moreover, she hinted that the rate on excess
reserves could be lowered to provide additional stimuli. All in all, the market can
probably push US rates a bit lower in the coming weeks as the ongoing central bank
dovishness amid low inflation can keep the monetary easing bias alive for some time.
Once again central bank communication was the main driver of the EGB market
yesterday with Yellen’s comment’s fuelling a broad-based rally. ECB members have
made it very clear that the ECB toolbox by no means has been emptied yet. Persistent low
inflation in the euro area will ensure an accommodative ECB, which implies a good
environment for compression and extension trades.

FX markets
For the first time in two months USD/JPY is trading above 100 (currently at 100.20). The
cross appears to be supported by improved risk sentiment and higher equity markets on
the back of Janet Yellen’s dovish testimony before US Senate. Moreover, the slowdown
in the Japanese growth rate in Q3 might have fuelled speculations that weak data and the
fact that most other major central banks currently step up their dovishness, could trigger a
reaction from Bank of Japan. However, in our view, the Japanese recovery remains
relatively strong and we expect GDP growth to rebound above 3% q/q AR in Q4. Hence,
we do not expect the Bank of Japan to change its policy at this stage and consequently,
we still expect USD/JPY to remain range bound in the coming months, before eventually
rising on a six- to 12-month horizon driven by divergent monetary policy as the Fed starts
to taper and the Bank of Japan possibly scales up on its bond purchases at some point
around summer next year. Hence, we still target USD/JPY at 110 in 12-month time.

US S&P500 future
1790

1790

1780

1780

1770

1770

1760

1760

1750

1750

1740
Wed

Source: Bloomberg, Danske Bank Markets

2|

15 November 2013

Mon

Tue

Wed

Fri

Source: Danske Bank Markets

US 10y gov yield
2.84

2.84

2.74

2.74

2.64

2.64

2.54
Wed

2.54
Thu

Fri

Tue

Thu

Fri

Source: Danske Bank Markets

Global FX
EUR/USD (LHS)

USD/JPY (RHS)

1.36

100.3

1.35

99.4

1.34

98.5

1.33
Wed

97.6
Thu

Mon

Tue

Wed

Fri

Source: Danske Bank Markets

Scandi FX
EUR/SEK (LHS)

EUR/NOK (RHS)

8.97

8.31

8.88

8.21

8.79

8.11

8.70
Wed

Key figures and events

1740
Thu

8.01
Thu

Mon

Tue

Source: Danske Bank Markets

Wed

Danske Daily

Today’s market data: 15 November 2013
STOCKS
S&P500 Intraday, %
0.90

Eurostoxx Intraday, %

0.90

Clo se
1.30

0.60

Max
Min

0.30

1.3

0.60

0.9
-0.3
0.3

Max
Min

0.80
0.30

0.00

0.00

-0.30

-0.30

1.5
-0.2
0.5

0.8

0.30

0.3

-0.20

-0.2

+/-

DJSTOXX50

2885



0.9%

OM XC20

590



0.7%

OM XS30

1289



1.1%

OSE B X

539



0.8%
+/-

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



5.5%

Year-to -date



25.6%

DOW JONES

15876



0.3%

NA SDA Q

3973



0.2%

1791



0.5%

15193



0.9%

1mo nth



2.8%

S&P 500

Year-to -date



11.9%

NIKKEI (07:30)

FX & COMMODITIES
EUR/USD Intraday

135.0

134.7

Max
Min

135.0

134.7

##
##
0.3

134.4

134.4

134.1

134.1
07 10 13

16

19

22

01

04

E UR

17:00

+/-

07:30

O il,
B re nt , $

G o ld, $

USD

134.59

134.50



-0.09

JP Y
GB P

134.54
83.67

134.64
83.70




0.10
0.03

NOK

831.73

827.78



-3.95

SEK

896.75

894.62



-2.13

DKK

745.89

745.89



0.00

CRB

C R B , R aw

P LN

419.03

419.02



-0.01

1M f ut ure

Indus t ria ls

US D

17:00

07:30

+/-

JP Y

99.97

100.10



0.13

1mo nth



-0.74

GB P

160.86

160.68



-0.18

Year-to -date



2.57

CHF

91.58

91.77



0.19

07:30

1289.07

108.47

1day
1mo nth




1.87
6.69




0.19
-1.49

Year-t-date



-386.28



-2.64

07:30

273.84

518.89

1day



0.35



1mo nth



-12.47



3.82

Year-t-date



-21.17



-11.51

-0.73

YIELDS & INTEREST RATES
USD-Yields Intraday

USD2Y
0.31
Max
0.3
Min
0.3
0
0.29

USD10Y
Max 2.8
Min 2.7
0

2.73
2.71
2.69

0.27

2.67
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

2.69

2.70



1

EUR

0.25

0.22

-3

USD 30Y

3.78

3.80



2

JP Y 10Y

0.60

0.64



3

2.75

+/-, bp

GB P

0.50

0.52

2

DKK

0.20

0.26

6

SEK

1.00

1.17

17

07:30(-1)*

17:00

NOK

1.50

1.68

18

DEM 10Y

1.73

1.70



-2

P LN

2.50

2.55

5

DKK 10Y

1.82

1.80



-2

SEK 10Y

2.31

2.28



-3

NOK 10Y

2.82

2.82



0

P LN 10Y

4.37

4.33



-4

04

USD10Y (rhs)

+/-, bp

* As of closing previous trading day

10Y Yield Spread to Germany
3.0

2.63 3.0

2.36

2.5
2.0

0.47

0.5

1.0

0.5

0.10

0.0

-0.5

1.5

1.0

0.58

USD JPYGBPFRF ITL DKKSEKNOKPLN

-1.0

0.0

0.5

-0.5

0.0

-1.0
-1.07

-1.5

-1.5

1day

-1.1

## M ax
## M in
USD2Y

0.000

-1.6

-2.620

USD5Y

-2.1
-2.6
USD10Y

1mo nth

Euro pe (IG)

83



0



-6

HiVo l

128



1



-12

Xo ver (N-IG)

344



0



-14

Finan. Sr.

109



0



-12

Finan. Sub.

160



-1



-18

No n-finan.

16

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

160
600
140
500
120
400
100
80
300
60
200
40
100
20
0
0
Nov Jan Feb Apr May Jul Aug Oct Nov

3|

15 November 2013

0.6
0.1
-0.4

## M ax 1.000
## M in # # #

-0.9
-1.4
-1.9
-2.4
DEM10Y

DEM5YR

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

S wa p S pre a d, bp**
17:00

07:30

9

9

07:30(-1)*

17:00

+/-

USD 10Y
JP Y 10Y



0
+/-

EUR 10Y

0

DKK 10Y

28

28



0

SEK 10Y

43

44



0

NOK 10Y

37

38



0

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

* Ask price

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

Credit spreads

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

-0.6

2.0

1.5

1.12

1.05

German Yield Curve
-0.1

2.5

2.0

1.5 1.00
1.0

US Yield Curve

3.0

2.5

* As of closing previous trading day
** Ask price


FX-Daily53.pdf - page 1/3
FX-Daily53.pdf - page 2/3
FX-Daily53.pdf - page 3/3

Related documents


fx daily53
fx daily108
fx daily115
fx daily124 1
market research1
fxpulse1


Related keywords