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2011-06-08 UniCredit Markets Today

2011-06-08 UniCredit Markets Today

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8 June 2011Economics & FI/FX Research
Markets Today
UniCredit Research
page 1
See last pages for disclaimer.
News and Events
 
Fed:
Yesterday, Bernanke said the recovery is “frustratingly slow,uneven and well below potential”, and that the current accommodativemonetary policy stance is still needed.
 
JN:
April trade balance recorded a JPY 417.5bn deficit. In the first 20days of May the trade deficit was JPY 1.05tn.
 
 
GE (I):
In April, exports plunged by 5.5% mom, while imports declined by2.5%. Accordingly, the trade surplus narrowed to EUR 10.9bn from18.8bn in the previous month.
 
GE (II):
We expect April industrial production to grow 0.2% mom (vs.0.7% in March).
 
EMU:
The GDP expenditure breakdown for 1Q11 will be released today.We expect that the upside surprise came from domestic demand, but netexports are expected to have added to growth as well.
 
US:
Today, the Fed
 
will publish the Beige Book.
 
(C.Corsa, UniCredit Bank Milan)
FI/FX Strategy
 
Mkt recap/Overnight:
Yesterday, some improvement in risk appetiteand a bit of supply pressure (from Belgium) pushed Bund yields up. The10Y closed just below 3.10% (+7bp) while the 2Y rose to 1.71%.Bernanke's dovish tone weighed on US equities and helped USTserasing previous losses. The 2Y yield hit its lowest level since November.
 
FI view:
Market uncertainty remains high and a light data calendar todayshould favor choppy trading. News regarding Greece remains a wildcard.Bunds might remain on the sell side ahead of the ECB meetingtomorrow, with yields edging up especially at the short end.
 
 
IT (I):
Italy has mandated banks to sell a new 15Y BTPei 15Sep2026. Alinear interpolation of BTPei Sep23 and BTPeiSep41 yields a BE level inthe 210/212bp area. Subtracting this from the BTP Mar26 yield level,results in a real yield of ca. 2.98%, 25bp above the BTPei Sep23. OATeiJul27 trades at 1.61% with a BE (vs. OAT Apr26) of 223bp.
 
 
IT (II):
On 10 June, Italy will sell EUR 6bn of 12M BOT 15Jun12, muchless than the EUR 10.1bn expiring (EUR 6.6bn from a 12M and EUR3.5bn form a 3M). On 14 June, it will reopen the BTP 3.75% Apr16, whileit will not sell long maturity bonds.
 
 
FX View:
The USD remains on offer after the dovish Fed Bernanke, butthe upcoming ECB & BoE meetings may still spark some book squaringlater today, also taking into account that the data calendar is fairly light.
 
EUR:
Debate about the definitive green light to the new rescue plan for Greece did not prevent investors from pushing EUR-USD towards 1.47.We would remain long ahead of the ECB’s verdict tomorrow.
 
CHF:
EUR-CHF managed to recover back to 1.23, as the SNB may stayon hold on rates next week. Indeed, as long as USD-CHF stays below0.85, EUR-CHF upside potential should remain quite limited.
 
GBP:
Cable holding the line above 1.64, despite weak UK data, indicatesthat sterling is largely USD dependent for now and that any EUR-GBPbreak above 0.90 should be capped, even in case of a firmer EUR-USD.
 
 
NZD:
The RBNZ should remain on hold on rates tonight, but may soundslightly more hawkish in its statement. In turn, this may push NZD-USDabove 0.8250 and AUD-NZD back to the 1.2950/1.29 area.
 
NOK:
Norway’s industrial production should reveal a sound 0.5% momrise for April today. However, this will not be sufficient to trigger a EUR-NOK sustained break towards the 7.82 base again.
(L.Cazzulani, C. Cremonesi, E. Lattuga, R. Mialich, UniCredit Bank Milan)
MONEY MARKET FUTURES
 
Euribor Last 1D ch (bp)1M ch (bp)
 
Jun111.49 1.5 -3.0
Sep111.74 1.0 -5.0
Dec111.93 2.5 -6.0
Mar122.06 3.5 -8.0
Eurodollar Last 1D ch (bp) 1M ch (bp)
 
Jun110.26 -0.3 -2.3
Sep110.33 -0.5 0.0
Dec110.39 -0.5 -2.0
Mar120.47 0.0 -8.0
SterlingLast 1D ch (bp) 1M ch (bp)
 
Jun110.83 0.0 0.0
Sep110.90 0.0 -3.0
Dec111.01 0.0 -8.0
Mar121.13 0.0 -12.0
GOVERNMENT BOND YIELDS
EGB Last 1D ch (bp)1M ch (bp)
 
2Y (BKO Mar13)1.65 4.5 -4
5Y (DE0 Feb16)2.34 4.1 -10
10Y (DBR Jan21)3.04 5.4 -3
30Y (DBR Jul40)3.63 5.4 0
2/10138 1 2
USTLast 1D ch (bp) 1M ch (bp)
 
2Y (T Mar13)0.38 -0.9 -14
5Y (T Nov15)1.36 -1.6 -31
10Y (T Feb21)2.96 1.0 -21
30Y (T Feb40)4.25 0.7 -6
2/10258 2 -7
UKLast 1D ch (bp) 1M ch (bp)
 
2Y (GB0 Mar13)0.88 1.1 -10
5Y (UKT Sep15)1.90 2.5 -13
10Y (UKT Sep20)3.33 6.4 -3
30Y (UKT Dec40)4.21 6.7 1
2/10245 5.3 7
10Y SpreadsLast 1D ch (bp) 1M ch (bp)
 
T/Bund (time adj.)-7 -6 -12
UKT/Bund26 1 -1
BTP/Bund (2020)164 2 0
GGB/Bund (2020)1271 -1 19
SPGB/Bund 233 1 5
PGB/Bund (2020)722 0 20
CURRENCIES
Currencies Last 1D ch (%) 1M ch (%)EUR-USD1.4674 0.7 2.2
USD-JPY80.06 0.0 -0.4
USD-CHF0.8365 0.2 -4.0
GBP-USD1.6427 0.4 0.1
EUR-JPY117.48 0.6 1.8
EUR-GBP0.8933 0.2 2.0
EUR-CHF1.2274 0.9 -2.0
EUR-SEK9.01 -0.1 0.3
EUR-NOK7.84 0.0 -0.2
OVERNIGHT
 
Last O'night 1m ch. (%)S&P1284.9 -0.60% -3.9%
Nikkei9449.0 0.06% -2.1%
Oil (WTI)98.7 0.20% -5.6%
O’night denotes changes between 6:00 pm and 7:45 am
Prices at:
08:00 a.m.
Bloomberg:
UCGR, UCFR
Internet:
www.research.unicreditgroup.eu
 
 
8 June 2011 Economics & FI/FX Research
Markets Today
UniCredit Research
page 2
See last pages for disclaimer.
DATA & EVENTS CALENDAR
Time(CET)Country Data PeriodUniCreditEst.Consensus PreviousExp. MktImpact08 June
09.00 EU EU Rehn speaks on Governance to EU Parliament - - - - *10.00 NO Industrial Production (mom) Apr - 0.5% 0.9% *11.00 IT Bank of Italy Lending & Bad Debt Data Apr - - - *11.00 EU GDP (qoq/yoy) 1QP 0.8/2.5% 0.8/2.5% 0.8/2.5% **
12.00 GE Industrial Production (mom) Apr 0.2% 0.1% 0.7% ***
14.15 CA Housing Starts May - 184K 179K *18.00 EU EU Rehn speaks in Koenigstein - - - - *
20.00 US Fed Beige Book - - - - ***23.00 NZ RBNZ Cash Rate - 2.50% 2.50% 2.50% ***09-June
01.50 JN GDP Annualized (yoy) 1QF - -3.1% -3.7% *02.00 NZ MoF English speaks in Wellington - - - - *03.15 NZ RBNZ Bollard speaks at Finance Select Committee - - - - **03.30 AU Unemployment Rate May - 4.9% 4.9% **=low importance, ** =medium importance, *** = high importance
PRIMARY MARKET
Gross Supply LiquidityDate Week day Country Bond in issue Amount Maturity bucketCountry BondredeemedAmount CpnAmount(-) (-) IT New 15Y ILB, BTPei Sep26 3 -- ILB08-Jun Wed FI RFGB Apr21 0 /1.5 10Y10-Jun Fri IT 12M BOT 6 MM GEBKO 1 1/210Jun111514-Jun Tue NL DSL Jan142.5 /3.55YSP 12M & 18M T-bills5 /6MM14-Jun Tue IT BTP Apr163 /3.55YGR26W T-bills - --MM15-Jun Wed GE Schatz Jun13 6--2Y PTPGB 5.1515Jun114.9 1.7PT BT Sep11 & Dec11 0.75 /1.25MM16-Jun Thu FRNew Btan Aug16 & 3Y Btan 8.5 /93Y & 5YFR OATei, OATi, BTNi auction1.5 /2ILB16-Jun Thu SPSPGB Apr21 & Jul26 3.5 /410Y & 15Y21-Jun Tue SP3M & 6M T-bills 2 /3MMNL New DSL Jan175 /65Y21-Jun Tue GR13W T-bills - --MM22-Jun Wed GE Bund Jul21 4--10Y BEBGB22Jun11324-Jun Fri ITBTPei Sep16 1.5 /2ILB27-Jun Mon BE3Y, 5Y & 10Y BGB 3 /3.53Y, 5Y &10YIT6M BOT 9 --MM27-Jun Mon ITCTZ Apr13 2 /2.5CTZ28-Jun Tue ITBTP Apr14 & BTP Sep21 6 /6.53Y & 10YITCCTeu Apr18 1.5 /2CCT29-Jun Wed GE Obl Apr16 6--5Y30-Jun Thu -- - --- ITCTZ30Jun1112.1Numbers and bonds in grey indicate our estimates.
 
 
8 June 2011 Economics & FI/FX Research
Markets Today
UniCredit Research
page 3
See last pages for disclaimer.
 
Disclaimer
Our recommendations are based on information obtained from, or are based upon public information sources that we consider to be reliable but for the completeness andaccuracy of which we assume no liability. All estimates and opinions included in the report represent the independent judgment of the analysts as of the date of the issue. We reserve theright to modify the views expressed herein at any time without notice. Moreover, we reserve the right not to update this information or to discontinue it altogether without notice.This analysis is for information purposes only and (i) does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for anyfinancial, money market or investment instrument or any security, (ii) is neither intended as such an offer for sale or subscription of or solicitation of an offer to buy or subscribefor any financial, money market or investment instrument or any security nor (iii) as an advertisement thereof. The investment possibilities discussed in this report may not besuitable for certain investors depending on their specific investment objectives and time horizon or in the context of their overall financial situation. The investments discussedmay fluctuate in price or value. Investors may get back less than they invested. Changes in rates of exchange may have an adverse effect on the value of investments.Furthermore, past performance is not necessarily indicative of future results. In particular, the risks associated with an investment in the financial, money market or investmentinstrument or security under discussion are not explained in their entirety.This information is given without any warranty on an "as is" basis and should not be regarded as a substitute for obtaining individual advice. Investors must make their owndetermination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal,fiscal and financial position. As this document does not qualify as an investment recommendation or as a direct investment recommendation, neither this document nor any partof it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. Investors are urged to contact their bank's investment advisor for individual explanations and advice.Neither UniCredit Bank AG, UniCredit Bank AG London Branch, UniCredit Bank AG Vienna Branch, UniCredit Bank AG Milan Branch, UniCredit Securities, UniCredit MenkulDe
ğ
erler A.
Ş
., UniCredit Bulbank, Zagreba
č
ka banka, UniCredit Bank, Bank Pekao, Yapi Kredi, UniCredit Tiriac Bank, ATFBank nor any of their respective directors, officers or employees nor any other person accepts any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith.This analysis is being distributed by electronic and ordinary mail to professional investors, who are expected to make their own investment decisions without undue reliance onthis publication, and may not be redistributed, reproduced or published in whole or in part for any purpose.
Responsibility for the content of this publication lies with:
a) UniCredit Bank AG, Am Tucherpark 16, 80538 Munich, Germany, (also responsible for the distribution pursuant to §34b WpHG). The company belongs to UCI Group.Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany.b) UniCredit Bank AG London Branch, Moor House, 120 London Wall, London EC2Y 5ET, United Kingdom.Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany and subject to limited regulation by the FinancialServices Authority (FSA), 25 The North Colonnade, Canary Wharf, London E14 5HS, United Kingdom. Details about the extent of our regulation by the Financial ServicesAuthority are available from us on request.c) UniCredit Bank AG Milan Branch, Via Tommaso Grossi 10, 20121 Milan, Italy, duly authorized by the Bank of Italy to provide investment services.Regulatory authority: “Bank of Italy”, Via Nazionale 91, 00184 Roma, Italy and Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany.d) UniCredit Bank AG Vienna Branch, Julius-Tandler-Platz 3, 1090 Vienna, AustriaRegulatory authority: Finanzmarktaufsichtsbehörde (FMA), Praterstrasse 23, 1020 Vienna, Austria and subject to limited regulation by the “BaFin“ – Bundesanstalt für Finanz-dienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany. Details about the extent of our regulation by the Bundesanstalt für Finanzdienstleistungsaufsicht are availablefrom us on request.e) UniCredit Securities, Boulevard Ring Office Building, 17/1 Chistoprudni Boulevard, Moscow 101000, RussiaRegulatory authority: Federal Service on Financial Markets, 9 Leninsky prospekt, Moscow 119991, Russiaf) UniCredit Menkul De
ğ
erler A.
Ş
., Büyükdere Cad. No. 195, Büyükdere Plaza Kat. 5, 34394 Levent, Istanbul, TurkeyRegulatory authority: Sermaye Piyasas
ı
Kurulu – Capital Markets Board of Turkey, Eski
ş
ehir Yolu 8.Km No:156, 06530 Ankara, Turkeyg) UniCredit Bulbank, Sveta Nedelya Sq. 7, BG-1000 Sofia, BulgariaRegulatory authority: Financial Supervision Commission (FSC), 33 Shar Planina str.,1303 Sofia, Bulgariah) Zagreba
č
ka banka, Paromlinska 2, HR-10000 Zagreb, CroatiaRegulatory authority: Croatian Agency for Supervision of Financial Services, Miramarska 24B, 10000 Zagreb, Croatiai) UniCredit Bank, Na Príkope 858/20, CZ-11121 Prague, Czech RepublicRegulatory authority: CNB Czech National Bank, Na P
ř 
íkop
ě
28, 115 03 Praha 1, Czech Republic j) Bank Pekao, ul. Grzybowska 53/57, PL-00-950 Warsaw, PolandRegulatory authority: Polish Financial Supervision Authority, Plac Powsta
ń
ców Warszawy 1, 00-950 Warsaw, Polandk) UniCredit Bank, Prechistenskaya emb. 9, RF-19034 Moscow, RussiaRegulatory authority: Federal Service on Financial Markets, 9 Leninsky prospekt, Moscow 119991, Russial) UniCredit Bank, Šancova 1/A, SK-813 33 Bratislava, SlovakiaRegulatory authority: National Bank of Slovakia, Stefanikovo nam. 10/19, 967 01 Kremnica, Slovakiam) Yapi Kredi, Yapi Kredi Plaza D Blok, Levent, TR-80620 Istanbul, TurkeyRegulatory authority: Sermaye Piyasas
ı
Kurulu – Capital Markets Board of Turkey, Eski
ş
ehir Yolu 8.Km No:156, 06530 Ankara, Turkeyn) UniCredit Tiriac Bank, Ghetarilor Street 23-25, RO-014106 Bucharest 1,RomaniaRegulatory authority: CNVM, Romanian National Securities Commission, Foi
ş
orului street, no.2, sector 3, Bucharest, Romaniao) ATFBank, 100 Furmanov Str., KZ-050000 Almaty, KazakhstanAgency of the Republic of Kazakhstan on the state regulation and supervision of financial market and financial organisations, 050000, Almaty, 67 Aiteke Bi str., Kazakhstan
POTENTIAL CONFLICTS OF INTEREST
UniCredit Bank AG acts as a Specialist or Primary Dealer in government bonds issued by the Italian, Portuguese and Greek Treasury. Main tasks of the Specialist are toparticipate with continuity and efficiency to the governments' securities auctions, to contribute to the efficiency of the secondary market through market making activity andquoting requirements and to contribute to the management of public debt and to the debt issuance policy choices, also through advisory and research activities.
ANALYST DECLARATION
The author’s remuneration has not been, and will not be, geared to the recommendations or views expressed in this study, neither directly nor indirectly.
ORGANIZATIONAL AND ADMINISTRATIVE ARRANGEMENTS TO AVOID AND PREVENT CONFLICTS OF INTEREST
To prevent or remedy conflicts of interest, UniCredit Bank AG, UniCredit Bank AG London Branch, UniCredit Bank AG Vienna Branch, UniCredit Bank AG Milan Branch,UniCredit Securities, UniCredit Menkul De
ğ
erler A.
Ş
., UniCredit Bulbank, Zagreba
č
ka banka, UniCredit Bank, Bank Pekao, Yapi Kredi, UniCredit Tiriac Bank, ATFBank haveestablished the organizational arrangements required from a legal and supervisory aspect, adherence to which is monitored by its compliance department. Conflicts of interestarising are managed by legal and physical and non-physical barriers (collectively referred to as “Chinese Walls”) designed to restrict the flow of information between onearea/department of UniCredit Bank AG, UniCredit Bank AG London Branch, UniCredit Bank AG Vienna Branch, UniCredit Bank AG Milan Branch, UniCredit Securities, UniCreditMenkul De
ğ
erler A.
Ş
., UniCredit Bulbank, Zagreba
č
ka banka, UniCredit Bank, Bank Pekao, Yapi Kredi, UniCredit Tiriac Bank, ATFBank and another. In particular, InvestmentBanking units, including corporate finance, capital market activities, financial advisory and other capital raising activities, are segregated by physical and non-physical boundariesfrom Markets Units, as well as the research department. In the case of equities execution by UniCredit Bank AG Milan Branch, other than as a matter of client facilitation or deltahedging of OTC and listed derivative positions, there is no proprietary trading. Disclosure of publicly available conflicts of interest and other material interests is made in theresearch. Analysts are supervised and managed on a day-to-day basis by line managers who do not have responsibility for Investment Banking activities, including corporatefinance activities, or other activities other than the sale of securities to clients.

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