Market Economics | Interest Rate Strategy - BNP PARIBAS ...

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Economic Forecasts GDP Year 2009 2010 (% y/y) ’08 ’09 (1) ’10 (1) Q1 Q2 Q3 Q4 Q1 (1) Q2 (1) Q3 (1) Q4 (1) US 0.4 -2.4 3.2 -3.3 -3.8 -2.6 0.1 2.5 3.5 3.6 3.0 Eurozone 0.5 -4.0 0.9 -5.0 -4.9 -4.1 -2.2 0.4 1.1 0.9 1.0 Japan -1.2 -5.2 2.2 -8.9 -5.7 -5.2 -1.0 2.7 1.7 2.3 1.9 World (2) 3.1 -0.6 4.3 -2.1 -1.7 -0.6 1.8 4.2 4.5 4.4 4.3 Industrial Production Year 2009 2010 (% y/y) ’08 ’09 (1) ’10 (1) Q1 Q2 Q3 Q4 Q1 (1) Q2 (1) Q3 (1) Q4 (1) US -2.2 -9.7 4.8 -11.6 -12.9 -9.4 -4.7 2.4 6.3 5.7 4.9 Eurozone -12.5 -3.9 3.9 -18.0 -18.0 0.0 -14.6 0.0 0.0 0.0 5.5 Japan -3.4 -22.4 16.4 -34.6 -27.8 -20.1 -5.4 26.8 18.9 12.6 9.8 Unemployment Rate Year 2009 2010 (%) ’08 ’09 (1) ’10 (1) Q1 Q2 Q3 Q4 Q1 (1) Q2 (1) Q3 (1) Q4 (1) US 5.8 9.3 9.5 7.0 8.2 9.3 10.0 9.7 9.6 9.5 9.3 Eurozone 7.6 9.4 10.3 8.8 9.3 9.6 9.9 10.1 10.2 10.4 10.5 Japan 4.0 5.1 4.7 4.5 5.1 5.4 5.2 4.9 4.8 4.7 4.5 CPI Year 2009 2010 (% y/y) ’08 ’09 ’10 (1) Q1 Q2 Q3 Q4 Q1 (1) Q2 (1) Q3 (1) Q4 (1) US 3.8 -0.4 2.0 0.0 -1.2 -1.6 1.4 2.4 2.2 1.7 1.6 Eurozone 3.3 0.3 1.4 1.0 0.2 -0.4 0.4 1.1 1.5 1.5 1.7 Japan 1.4 -1.4 -0.9 -0.1 -1.0 -2.2 -2.1 -1.2 -1.0 -1.1 -0.4 Current Account (% GDP) ’08 Year ’09 (1) ’10 (1) General Government (% GDP) ’08 Year ’09 (1) ’10 (1) US -4.9 -2.9 -3.3 US (4) -3.2 -9.9 -10.0 Eurozone -1.6 -0.6 -0.3 Eurozone -2.0 -6.3 -6.8 Japan 3.2 2.8 3.7 Japan -2.6 -9.2 -7.8 Interest Rate Forecasts Interest Rate (3) Year 2009 2010 (%) ’08 ’09 ’10 (1) Q1 Q2 Q3 Q4 Q1 Q2 (1) Q3 (1) Q4 (1) US Fed Funds Rate 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 3-month Rate 1.43 0.25 0.45 1.19 0.60 0.29 0.25 0.29 0.30 0.40 0.45 2-year yield 0.77 1.14 1.25 0.80 1.12 0.95 1.14 1.02 0.90 1.00 1.25 10-year yield 2.22 3.84 3.75 2.67 3.54 3.31 3.84 3.83 3.50 3.50 3.75 2y/10y Spread (bp) 145 269 250 186 242 236 269 281 260 250 250 Eurozone Refinancing Rate 2.50 1.00 1.00 1.50 1.00 1.00 1.00 1.00 1.00 1.00 1.00 3-month Rate 2.89 0.70 1.25 1.51 1.10 0.75 0.70 0.63 0.80 1.10 1.25 2-year yield 1.74 1.37 1.30 1.23 1.38 1.28 1.37 0.97 1.00 1.15 1.30 10-year yield 2.35 3.40 3.10 3.00 3.38 3.23 3.40 3.09 3.00 3.00 3.10 2y/10y Spread (bp) 61 203 180 177 200 195 203 212 200 185 180 Japan O/N Call Rate 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 3-month Rate 0.74 0.46 0.40 0.65 0.56 0.54 0.46 0.43 0.40 0.40 0.40 2-year yield 0.40 0.15 0.15 0.41 0.32 0.25 0.15 0.18 0.25 0.35 0.40 10-year yield 1.18 1.30 1.65 1.35 1.36 1.31 1.30 1.40 1.40 1.60 1.65 2y/10y Spread (bp) 78 115 150 94 104 106 115 122 115 125 125 Footnotes: (1) Forecast (2) Country weights used to construct world growth are those in the IMF World Economic Outlook Update October 2009 (3) End Period (4) Fiscal year Figures are y/y percentage change unless otherwise indicated Source: BNP Paribas Market Economics / Interest Rate Strategy 7 May 2010 Market Mover 82 www.GlobalMarkets.bnpparibas.com
FX Forecasts* USD Bloc Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 EUR/USD 1.22 1.16 1.08 1.00 1.04 1.07 1.10 1.15 1.20 1.24 1.30 USD/JPY 88 92 100 105 110 115 118 120 122 124 126 USD/CHF 1.17 1.22 1.31 1.40 1.34 1.31 1.29 1.25 1.21 1.19 1.15 GBP/USD 1.47 1.43 1.35 1.28 1.30 1.26 1.22 1.26 1.33 1.39 1.44 USD/CAD 1.06 1.10 1.09 1.04 1.00 0.95 0.90 0.95 1.00 1.02 1.09 AUD/USD 0.87 0.82 0.85 0.87 0.90 0.92 0.92 0.92 0.93 0.92 0.90 NZD/USD 0.69 0.67 0.67 0.66 0.66 0.68 0.69 0.72 0.69 0.67 0.66 USD/SEK 7.79 8.10 8.61 9.20 8.75 8.69 8.45 8.00 7.83 7.74 7.46 USD/NOK 6.31 6.47 6.76 7.20 7.12 7.10 6.82 6.43 6.25 6.13 5.77 EUR Bloc Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 EUR/JPY 107 107 108 105 114 123 130 138 146 154 164 EUR/GBP 0.83 0.81 0.80 0.78 0.80 0.85 0.90 0.91 0.90 0.89 0.90 EUR/CHF 1.43 1.42 1.42 1.40 1.39 1.40 1.42 1.44 1.45 1.48 1.49 EUR/SEK 9.50 9.40 9.30 9.20 9.10 9.30 9.30 9.20 9.40 9.60 9.70 EUR/NOK 7.70 7.50 7.30 7.20 7.40 7.60 7.50 7.40 7.50 7.60 7.50 EUR/DKK 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 Central Europe Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 USD/PLN 3.20 3.53 3.70 4.05 3.85 3.64 3.59 3.39 3.21 3.06 2.88 EUR/CZK 26.2 26.5 26.0 25.8 25.5 25.0 24.7 24.3 24.0 23.9 23.8 EUR/HUF 258 265 260 260 255 250 250 250 250 250 245 USD/ZAR 7.70 7.80 8.00 7.90 8.20 8.00 8.00 7.80 7.80 7.50 7.70 USD/TRY 1.58 1.65 1.60 1.60 1.58 1.55 1.50 1.50 1.45 1.45 1.47 EUR/RON 4.00 4.25 4.20 4.20 4.15 4.10 4.05 4.00 3.95 3.90 3.80 USD/RUB 30.48 30.41 30.41 32.00 30.45 29.08 28.71 27.53 27.59 28.15 28.34 EUR/PLN 3.90 4.10 4.00 4.05 4.00 3.90 3.95 3.90 3.85 3.80 3.75 USD/UAH 7.7 7.5 7.5 7.5 7.7 7.5 7.5 7.4 7.2 7.0 6.8 EUR/RSD 105 95 93 90 87 85 87 90 86 87 85 Asia Bloc Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 USD/SGD 1.36 1.36 1.34 1.33 1.32 1.31 1.30 1.30 1.30 1.30 1.30 USD/MYR 3.15 3.13 3.10 3.07 3.05 3.03 3.00 3.00 3.00 3.00 3.00 USD/IDR 8800 8700 8600 8500 8400 8300 8200 8100 8000 8000 8000 USD/THB 32.50 32.30 32.00 31.70 31.50 31.30 31.00 31.00 31.00 31.00 31.00 USD/PHP 44.00 43.50 43.00 42.50 42.00 41.50 41.00 41.00 41.00 41.00 41.00 USD/HKD 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 USD/RMB 6.83 6.72 6.62 6.57 6.52 6.47 6.42 6.37 6.32 6.27 6.22 USD/TWD 30.50 30.30 30.00 29.70 29.50 29.30 29.00 29.00 29.00 29.00 29.00 USD/KRW 1090 1070 1050 1030 1020 1010 1000 1000 1000 1000 1000 USD/INR 44.00 43.00 42.00 41.00 40.00 39.00 38.00 38.00 38.00 38.00 38.00 USD/VND 19500 20000 20500 20500 20500 20500 20500 20500 20500 20500 20500 LATAM Bloc Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 USD/ARS 4.00 4.10 4.20 4.25 4.35 4.45 4.50 4.60 4.70 4.80 4.90 USD/BRL 1.85 1.80 1.75 1.75 1.80 1.80 1.85 1.85 1.85 1.85 1.90 USD/CHL 530 525 515 515 510 500 500 500 500 500 500 USD/MXN 12.50 12.25 12.00 12.00 11.75 11.75 11.75 12.00 12.00 12.00 12.00 USD/COP 2000 1950 1900 1875 1850 1825 1800 1800 1800 1800 1800 USD/VEF (Priority) (1) 2.59 2.59 2.59 2.59 2.59 2.59 2.59 5.30 5.30 5.30 5.30 USD/VEF (Oil) (1) 4.29 4.29 4.29 4.29 4.29 4.29 4.29 8.80 8.80 8.80 8.80 Others Q2 '10 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 USD Index 86.54 90.51 96.47 102.22 99.67 98.46 96.95 94.48 92.04 90.13 87.79 *End Quarter (1) Following the devaluation of the VEF, there is now an official ‘priority’ exchange rate and a so-called ‘oil’ exchange rate used for certain transactions Source: BNP Paribas Foreign Exchange Strategy 7 May 2010 Market Mover www.GlobalMarkets.bnpparibas.com 83
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Market Economics | Interest Rate St
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UK: all eyes on the election US: re
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Event response The ECB is being ove
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Eurozone Periphery: Compare and Con
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over 20% in Q1) and, last but not l
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Market Stress Charts • Signs of s
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Chart 7: Greek Bank CDS* 900 Greece
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• The plan also contains a number
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Germany: Downs and Ups • The impa
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Retail sales data from month to mon
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On inflation, the statement was als
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quarterly average of 2.7% in the fi
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US Credit: Still the Recovery’s B
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Japan: Rising Chance of Sales Tax H
Page 29 and 30:
BNP Paribas Surprise Indicator •
Page 31 and 32: UK headline After surprising to the
Page 33 and 34: US: Supply Could Affect Swap Spread
Page 35 and 36: steep curve is typically associated
Page 37 and 38: decline. We continue to maintain ou
Page 39 and 40: Chart 12: 90-119 Day Dlq for FRE 90
Page 41 and 42: the gamma sector for some time now.
Page 43 and 44: EUR: Limited Nervousness at ECB Ten
Page 45 and 46: with the big redemption (EUR 17.7bn
Page 47 and 48: measures are not promptly taken to
Page 49 and 50: Table 1: BNP Paribas' Inflation For
Page 51 and 52: Table 3: BNP Paribas' Inflation For
Page 53 and 54: Table 1: BNP Paribas Carry Analysis
Page 55 and 56: What’s the call? It is relatively
Page 57 and 58: Update on FIN SEN and FIN SUB 5/10y
Page 59 and 60: Germany 10y: Within MT falling wedg
Page 61 and 62: Judging Currencies by Liquidity •
Page 63 and 64: type of regulation would reduce mon
Page 65 and 66: Euro Dives • The euro is collapsi
Page 67 and 68: Currency Spot Trade Recommendations
Page 69 and 70: Economic Calendar: 7 - 14 May (cont
Page 71 and 72: Key Data Preview Chart 1: US Payrol
Page 73 and 74: Key Data Preview Chart 5: UK Manufa
Page 75 and 76: Key Data Preview Chart 9: French GD
Page 77 and 78: Key Data Preview Chart 13: US Indus
Page 79 and 80: Treasury and SAS Issuance Calendar
Page 81: Central Bank Watch Interest Rate EU
Page 85: RESEARCH DISCLAIMERS: IMPORTANT DIS
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