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CURRENCIES
Current
COD (%)
EQUITIES
Current
COD (%)
EURUSD
1.3369
-0.04
S&P 1st
Future
1651
-0.20
USDJPY
98.04
-0.50
Nikkei
13559.04
-0.57
GBPUSD
1.5577
-0.01
Shanghai Comp
2093.503
-0.14
AUDUSD
0.896
-0.98
ASX200
5138.8
0.07
NZDUSD
0.78140
-0.66
FIXED INCOME
Current
COD (%)
EURJPY
131.17
0.57
UST
Cash 10YR Yield
2.794
0.27
$
Index
81.383
-0.03
Treasury
Future
125.171875
0.10
Gold
1401.21
0.52
JGB
Yield
0.743
-2.22
EURUSD: Rangebound in Asia, and has managed to maintain levels despite cross JPY selling due to ongoing Syrian tensions. All eyes on the European Ifo today, with Current Assessment expected to rise from 110.1 to 111.0 and Expectations from 102.4 to 103.1. Also in Germany a poll prior to the data on Thursday suggests that German unemployment will hold at 6.8%, its lowest rate since May 2012. EURUSD still weighed by Greek Troika tensions and ongoing Italian political problems, and yet despite this appears well supported. London liquidity returns today after the bank holiday so should be a better chance to gauge direction.
EURUSD EXPIRIES: 1.3250 (196m), 1.3420 (150m), 1.3450 (40m), 1.3620 (184m)
GBPUSD: Similarly to the EURUSD, GBPUSD remained rangebound in Asia, despite the cross JPY selling. No data to latch on to today as UK returns from a bank holiday, so will look to EURUSD and the IFO for direction. Getting into month end however and often this is best expressed in EURGBP. Usual talk of large European Reserve manager with a RHS EURGBP interest at some point over the next few days, so may keep GBPUSD contained.
GBPUSD EXPIRIES: 1.5200 (121m), 1.5325 (137m), 1.5400 (20m)
USDJPY: USDJPY lower overnight reacting to the worsening situation in Syria – please refer to our headline below and my earlier overnight news email for full details, but worth flagging is the comment from US Secretary of State John Kerry that the Syrian chemical strike was “undeniable”, and was a “moral obscenity” that should offend “our basic sense
of humanity”. This comment was in direct contradiction to Putin’s claim that there was no evidence the Assad regime had conducted a chemical strike, so brings US / Russian tensions over the issue that bit higher. FX wise the reaction was the old fashioned “risk off”
response, and equity markets sold off throughout Asia and Yen received a good bid on the back of this. Cross JPY selling noted – especially AUDJPY.
USDJPY EXPIRIES: 96.00 (150m), 96.50 (150m), 97.15 (50m), 97.50 (1,270m), 98.10 (50m), 98.25 (30m), 98.50 (100m), 99.45 (200m), 99.50 (780m), 100 (50m)
AUDUSD: AUDUSD suffering more than most from the risk off trade on the back of Syria. Currently targeting the 0.8932 recent low. AUDJPY selling from leveraged and real money has been noted, but also option related sellers of note. AUD vol higher across the board on the story, and with the market short gamma this is becoming a more uncomfortable position as spot continues lower. Demand for downside AUDJPY strikes has been flagged overnight. AUDUSD continues to look vulnerable to any tapering related USD strength.
AUDUSD EXPIRIES: 0.8815 (50m), 0.8885 (113m), 0.8950 (111m), 0.8965 (45m), 0.9000 (30m), 0.9025 (151m), 0.9070 (149m), 0.9085 (51m), 0.9165 (45m), 0.9260 (119m), 0.9355 (30m), 0.9400 (160m)
Other FX
Very messy EM unwind widely discussed in Asia, with one desk highlighting USDTRY of all things. Hardly trades in Asia under normal circumstances obviously but this was stop loss and option related buying on the break of 2.00. Asian equities very weak, and local currencies sold off further. USDINR took another leg higher – but worth also highlighting that the lower House of Parliament in India passed the Food security Bill last night and it is thought this will adversely impact the Indian government budget. Ratings Agency Fitch recently highlighted the problems facing India in meeting fiscal targets, and this will not help. http://www.indianexpress.com/news/indias-fiscal-deficit-target-getting-more-challenging-fitch/1160274/
Election year in India, and we’re unlikely to see any hard austerity from the government who will opt for populist policy instead, and therefore it would appear thr currency must take the strain. Rather surprisingly Large Asian bank tell me they feel the market is not that long USDINR, and still flat to short USD.. so positioning should not be a problem in
continuing to test the topside.
Options Update:
ATM VOL
EURUSD
GBPUSD
USDJPY
AUDUSD
Mid
Change %
Mid
Change %
Mid
Change %
Mid
Change %
Overnight
8.450
26.50
9.205
33.41
14.473
35.38
14.455
23.07
1 Week
6.450
9.04
6.903
4.46
10.890
8.93
12.360
12.31
1 Month
7.978
1.08
8.045
0.81
12.900
2.89
12.780
1.31
3 Month
8.038
0.47
7.950
0.19
12.595
0.94
12.240
0.82
6 Month
8.243
0.46
7.930
-0.19
12.440
0.87
11.725
1.12
1 Year
8.863
0.11
8.233
0.06
12.415
0.87
11.630
0.69
25D RR
EURUSD
GBPUSD
USDJPY
AUDUSD
Mid
Change %
Mid
Change %
Mid
Change %
Mid
Change %
Overnight
-0.858
-20.77
-0.488
1.52
-0.625
-89.39
-1.240
-8.77
1 Week
-0.715
-6.32
-0.500
3.85
-0.490
-1052.94
-1.385
-4.53
1 Month
-0.970
1.52
-0.970
1.52
-0.520
-73.33
-1.970
0.25
3 Month
-1.500
-2.04
-1.483
1.00
-0.715
-31.80
-2.650
-0.38
6 Month
-1.793
-2.14
-1.755
0.85
-0.905
-21.48
-3.145
-0.32
1 Year
-1.978
-1.41
-1.913
0.39
-1.305
-7.85
-3.625
-0.42
European Day Ahead:
Key
Data
NY
UK
Period
Cons
Prev 1
Low Est
Hi Est
21:30
02:30
Chi
Industrial
Profits YTD (y/y)
Jul
–
11.1%
01:00
06:00
Jap
Small
Business Conf
Aug
–
49.4
02:00
07:00
Fin
Business
Conf
Aug
–
-7
02:00
07:00
Fin
Consumer
Conf Index
Aug
7.4
5.0
5.0
8.0
03:00
08:00
Spa
House
Mortgage Approvals (y/y)
Jun
–
-29.0%
03:00
08:00
Spa
Total
Mortgage Lending (y/y)
Jun
–
-24.9%
03:30
08:30
Neth
Producer
Conf Index
Aug
-3.1
-3.5
-3.3
-3
03:30
08:30
Swe
Household
Lending (y/y)
Jul
4.7%
4.7%
4.7%
4.8%
03:30
08:30
Swe
Trade
Balance
Jul
4
4
3
5
04:00
09:00
Ger
IFO
Business Climate
Aug
107.0
106.2
103.2
108.0
04:00
09:00
Ger
IFO
Current Assessment
Aug
111.0
110.1
110.0
112.0
04:00
09:00
Ger
IFO
Expectations
Aug
103.1
102.4
101.7
104.5
09:00
14:00
US
CaseShiller
Comp (m/m)
Jun
1.0%
1.1%
0.7%
1.6%
09:00
14:00
US
CaseShiller
Comp (y/y)
Jun
12.1%
12.2%
10.7%
12.6%
09:00
14:00
US
S&P/Case-Shiller
US HPI (y/y)
2Q
–
10.2%
10:00
15:00
US
Consumer
Conf Index
Aug
79.0
80.3
74.3
82
10:00
15:00
US
Richmond
Fed
Aug
0
-11
-7
2
12:00
17:00
Fra
Jobseekers
Net Chg
Jul
–
14.9
12:00
17:00
Fra
Total
Jobseekers
Jul
–
3,279.4
Other
Events
04:00
09:00
Swe
Swedbank
Release: Updated economic forecasts
05:15
10:15
Eur
ECB:
7-day MRO Allotment (€ 98bn exp; €97.73bn maturing)
06:50
11:50
US
Fed
Speaker: Williams (Non Voter, Leaning Dove) on monetary policy, Sweden
07:00
12:00
Eur
ECB
Speaker: Coeure (Leaning Dove) on ‘Challenges for monetary policy’, Sweden
07:00
12:00
Eur
ECB:
Liquidity drained in 1-wk deposits
11:00
16:00
Ger
Merkel
holds campaign rally (also at 18:00BST)
11:30
16:30
Ger
SPD’s
Steinbrück campaign event in Kiel
12:30
17:30
Can
BoC
Speaker: Dep Gov Murray at CABE
13:00
18:00
Eur
ECB
Speaker: Asmussen (Middle) at Industrial event, Germany
Supply Events
NY
UK
Cpn
Maturity
Size Bn
Fut Equiv
Prev b/c†
Prev Tail
23:45
04:45
Jap
20y JGB Auction
20/06/33
1200.0
04:30
09:30
Spa
3mth
Bills
22/11/13
3.0-4.0 comb.
4.09
04:30
09:30
Spa
9mth
Bills
16/05/14
2.27
05:00
10:00
Ita
5y
BTPei Tap
1.70%
15/09/18
0.5-1.0 comb.
B 3.5k comb.
2.31 (t)
05:00
10:00
Ita
13y
BTPei Tap
3.10%
15/09/26
2.47 (t)
05:00
10:00
Ita
2y
CTZ Auction
30/06/15
2.0-3.0
1.49
06:00
11:00
Bel
5y
BGB Tap
1.25%
22/06/18
1.8-2.8 comb.
B 21k comb.
1.65 (t)
3.7
06:00
11:00
Bel
10y
BGB Tap
2.25%
22/06/23
1.59 (t)
2.4
06:00
11:00
Bel
19y
BGB Tap
4.00%
28/03/32
1.76 (t)
6.5
10:30
15:30
Can
3mth Bills
05/12/13
8.6
2.31
10:30
15:30
Can
6mth Bills
27/02/14
3.2
2.51
10:30
15:30
Can
12mth Bills
28/08/14
3.2
2.94
13:00
18:00
US
Fed
Op Purchase: 4y-4y 8m
08/17-05/18
4.25-5.25
2.71
11:30
16:30
US
4wk
Bill
50.0
4.22
11:30
16:30
US
14-Day
Cash Management Bills
25.0
4.81*
13:00
18:00
US
New
2yr Note Auction
31/08/15
34.0
3.08 (n)
0.4
Overnight News:
-US Sec State Kerry: Syria chemical attack undeniable; Cannot cover up chemical weapon use; Obama believes there must be accountability for weapons use
-WH Spokesman Carney: Will not speculate about any potential responses on Syria
-UK PM Cameron/Putin Phone Call: Cameron says little doubt that Syrian regime used weapons; Putin noted that there is no evidence a chemical attack took place or who would be responsible
-UK Telegraph (AEP): Saudis offer Russia secret oil deal if it drops Syria
-Italy: govt passed measures to trim spending & streamline bureaucracy
-Merkel: won’t stop demands for Euro-wide economic reform if she wins third term
-Moody’s: Eurozone periphery has made significant progress in addressing imbalances; rating outlooks remain negative
-FAZ: Sources: EU FTT likely to be delayed beyond Jan 1 due to division over details
-German BDI Pres: Greek state assets should be placed in ESM as collateral
-French CFDT union leader: first 2 days of discussions with govt about pension reform have been positive
-UK govt to decide today whether to recall parliament
-Denmark: Cut 2013 growth forecast to 0.2% GDP from previous 0.5% (given in May)
-UK CBI Survey: services saw quickest growth in business since 2007 over last quarter & more expected for later this year
-CNBC Sources: Obama will likely name Summers as next Fed Chair; he is still being vetted for the job
-Sources: Obama aides divided on a strategy for fiscal talks; Showdown in talks expected next month when congress returns
-US Tres Sec Lew: U.S. will hit debt ceiling in mid-October
-Japan: decent 20y JGB auction; b/c 3.4 vs 2.6 prior
-Nikkei: Japan PM Abe wants to consider cutting corporate taxes whilst increasing the sales tax
-Japan Econ Min: not been any specific order from PM to consider reducing corp tax
-Document: Japan MoF will ask for a record Y25.3Tr in debt servicing costs in FY2014 budget
-China: July YTD Ind Profits +11.1% y/y (in-line with prior month)
-China V FinMin: economy facing severe challenges internally & externally but confident of hitting 7.5% GDP tgt in 2013; will maintain proactive fiscal policy; will accelerate structural adjustments but stimulus not needed
-PBoC’s Yi: BRICS nations have agreed on $100bn contingency reserve poor
-PBoC injected CNY 29B via 7 day reverse repos