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

More documents

Recommendations

Info

Economic Forecasts GDP Year 2010 2011 (% y/y) ’09 ’10 (1) ’11 (1) Q1 Q2 (1) Q3 (1) Q4 (1) Q1 (1) Q2 (1) Q3 (1) Q4 (1) US -2.4 2.9 2.8 2.4 3.4 3.4 2.6 2.6 2.7 2.9 3.1 Eurozone -4.1 1.2 0.6 0.6 1.4 1.3 1.4 1.2 0.6 0.4 0.4 Japan -5.2 3.6 2.3 4.6 3.0 3.7 3.2 2.4 2.5 2.2 2.1 World (2) -0.6 4.5 3.8 4.7 4.8 4.5 4.2 3.9 3.8 3.8 3.9 Industrial Production Year 2010 2011 (% y/y) ’09 ’10 (1) ’11 (1) Q1 Q2 (1) Q3 (1) Q4 (1) Q1 (1) Q2 (1) Q3 (1) Q4 (1) US -9.7 5.5 4.6 2.4 7.0 6.6 5.9 5.1 4.5 4.4 4.5 Eurozone -14.6 8.1 0.8 4.2 10.1 9.9 8.0 3.4 0.4 -0.2 -0.3 Japan -21.9 18.6 5.3 27.5 21.4 16.5 11.7 5.7 5.2 5.4 4.8 Unemployment Rate Year 2010 2011 (%) ’09 ’10 (1) ’11 (1) Q1 Q2 (1) Q3 (1) Q4 (1) Q1 (1) Q2 (1) Q3 (1) Q4 (1) US 9.3 9.6 8.5 9.7 9.8 9.6 9.5 9.2 8.7 8.2 8.0 Eurozone 9.4 10.0 10.3 10.0 10.0 10.0 10.0 10.1 10.2 10.3 10.4 Japan 5.1 4.8 4.2 4.9 5.1 4.8 4.6 4.4 4.3 4.1 4.0 CPI Year 2010 2011 (% y/y) ’09 ’10 (1) ’11 (1) Q1 Q2 (1) Q3 (1) Q4 (1) Q1 (1) Q2 (1) Q3 (1) Q4 (1) US -0.4 1.7 1.0 2.4 1.8 1.4 1.2 1.0 1.3 1.0 0.7 Eurozone 0.3 1.6 1.5 1.1 1.5 1.8 2.1 2.0 1.5 1.4 1.3 Japan -1.4 -0.6 -0.2 -1.2 -0.9 -0.5 0.2 -0.3 -0.2 -0.1 -0.2 Current Account (% GDP) ’09 Year ’10 (1) ’11 (1) General Government (% GDP) ’09 Year ’10 (1) ’11 (1) US -2.7 -2.7 -2.7 US (4) -9.9 -10.0 -8.4 Eurozone -0.6 -0.3 -0.1 Eurozone -6.3 -6.6 -5.3 Japan 2.8 3.9 3.9 Japan -10.7 -9.4 -6.8 Interest Rate Forecasts Interest Rate (3) Year 2010 2011 (%) ’09 ’10 (1) ’11 (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 0.25 0.95 0.75 0.29 0.54 1.00 0.95 0.90 0.85 0.80 0.75 2-year yield 1.14 0.75 2.00 1.02 0.68 0.75 0.75 0.85 1.00 1.25 2.00 10-year yield 3.84 3.00 3.75 3.83 3.12 2.90 3.00 3.10 3.25 3.50 3.75 2y/10y Spread (bp) 269 225 175 281 244 215 225 225 225 225 175 Eurozone Refinancing Rate 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 3-month Rate 0.70 0.70 1.00 0.63 0.74 0.85 0.70 0.65 0.70 0.80 1.00 2-year yield 1.37 0.50 1.25 0.97 0.58 0.40 0.50 0.50 0.50 0.50 1.25 10-year yield 3.40 2.00 3.00 3.10 2.65 2.20 2.00 2.10 2.25 2.60 3.00 2y/10y Spread (bp) 203 150 175 212 207 180 150 160 175 210 175 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 0.46 0.40 0.40 0.43 0.38 0.40 0.40 0.40 0.40 0.40 0.40 2-year yield 0.15 0.25 0.75 0.18 0.16 0.20 0.25 0.30 0.35 0.55 0.75 10-year yield 1.30 1.40 1.80 1.40 1.15 1.30 1.40 1.50 1.60 1.70 1.80 2y/10y Spread (bp) 115 115 105 122 99 110 115 120 125 115 105 Footnotes: (1) Forecast (2) Country weights used to construct world growth are those in the IMF World Economic Outlook Update April 2010 (3) End Period (4) Fiscal year Figures are y/y percentage change unless otherwise indicated Market Economics / Interest Rate Strategy 16 July 2010 Market Mover 68 www.GlobalMarkets.bnpparibas.com
FX Forecasts* USD Bloc Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 EUR/USD 1.16 1.08 1.00 0.98 0.97 1.00 1.05 1.08 1.12 1.15 1.17 USD/JPY 85 88 94 101 106 114 118 121 124 126 123 USD/CHF 1.12 1.18 1.29 1.33 1.35 1.33 1.29 1.26 1.23 1.22 1.40 GBP/USD 1.43 1.35 1.28 1.26 1.21 1.27 1.24 1.24 1.26 1.28 1.31 USD/CAD 1.02 0.98 0.95 0.90 0.87 0.90 0.95 1.00 1.02 1.09 1.11 AUD/USD 0.86 0.90 0.94 0.97 0.97 0.95 0.92 0.93 0.92 0.90 0.87 NZD/USD 0.71 0.74 0.78 0.78 0.75 0.73 0.72 0.69 0.67 0.66 0.64 USD/SEK 8.02 8.43 9.20 9.29 9.59 9.30 8.76 8.70 8.57 8.43 8.12 USD/NOK 6.81 7.13 7.35 7.55 7.84 7.50 7.05 6.94 6.79 6.52 6.24 EUR Bloc Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 EUR/JPY 99 95 94 99 103 114 124 131 139 145 144 EUR/GBP 0.81 0.80 0.78 0.78 0.80 0.79 0.85 0.87 0.89 0.90 0.89 EUR/CHF 1.30 1.27 1.29 1.30 1.31 1.33 1.35 1.36 1.38 1.40 1.64 EUR/SEK 9.30 9.10 9.20 9.10 9.30 9.30 9.20 9.40 9.60 9.70 9.50 EUR/NOK 7.90 7.70 7.35 7.40 7.60 7.50 7.40 7.50 7.60 7.50 7.30 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 Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 USD/PLN 3.62 3.70 4.20 4.23 4.18 3.95 3.71 3.56 3.39 3.26 3.16 EUR/CZK 26.5 26.0 25.8 25.5 25.0 24.7 24.3 24.0 23.9 23.8 24.0 EUR/HUF 275 270 275 270 270 265 250 250 250 245 235 USD/ZAR 7.80 8.00 7.90 8.20 8.00 8.00 7.80 7.80 7.50 7.70 7.00 USD/TRY 1.56 1.59 1.60 1.60 1.61 1.62 1.60 1.58 1.56 1.54 1.45 EUR/RON 4.50 4.40 4.35 4.25 4.20 4.05 4.00 3.95 3.90 3.80 3.90 USD/RUB 30.78 31.37 32.25 32.29 32.24 31.50 30.32 29.68 28.94 28.29 29.73 EUR/PLN 4.20 4.00 4.20 4.15 4.05 3.95 3.90 3.85 3.80 3.75 3.70 USD/UAH 7.9 8.0 7.5 7.7 7.5 7.5 7.4 7.2 7.0 7.5 ----- EUR/RSD 110 110 105 115 105 100 90 86 87 85 86 Asia Bloc Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 USD/SGD 1.36 1.34 1.33 1.32 1.31 1.30 1.30 1.30 1.30 1.30 ----- USD/MYR 3.15 3.10 3.07 3.05 3.03 3.00 3.00 3.00 3.00 3.00 ----- USD/IDR 8800 8600 8500 8400 8300 8200 8100 8000 8000 8000 ----- USD/THB 32.30 32.00 31.70 31.50 31.30 31.00 31.00 31.00 31.00 31.00 ----- USD/PHP 44.00 43.00 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 ----- USD/RMB 6.70 6.80 6.75 6.70 6.64 6.60 6.54 6.49 6.45 6.41 ----- USD/TWD 31.00 30.00 29.70 29.50 29.30 29.00 29.00 29.00 29.00 29.00 ----- USD/KRW 1100 1050 1030 1020 1010 1000 1000 1000 1000 1000 ----- USD/INR 43.50 42.00 41.00 40.00 39.00 38.00 38.00 38.00 38.00 38.00 ----- USD/VND 20000 20500 20500 20500 20500 20500 20500 20500 20500 20500 ----- LATAM Bloc Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 USD/ARS 4.10 4.20 4.25 4.35 4.45 4.50 4.60 4.70 4.80 4.90 4.95 USD/BRL 1.80 1.75 1.72 1.70 1.70 1.75 1.80 1.85 1.90 1.90 1.91 USD/CLP 520 510 500 490 485 495 505 510 510 515 520 USD/MXN 12.20 11.90 11.70 11.50 11.40 11.60 11.85 11.90 12.00 12.00 12.00 USD/COP 1900 1875 1850 1825 1825 1875 1900 1925 1950 1950 1955 USD/VEF (Priority) (1) 4.29 4.29 4.29 4.29 4.29 4.29 8.80 8.80 8.80 8.80 8.80 USD/VEF (Oil) (1) 2.59 2.59 2.59 2.59 2.59 2.59 5.30 5.30 5.30 5.30 5.30 Others Q3 '10 Q4 '10 Q1 '11 Q2 '11 Q3 '11 Q4 '11 Q1 '12 Q2 '12 Q3 '12 Q4 '12 Q1 '13 USD Index 88.61 93.44 99.58 101.62 103.22 102.03 100.08 99.11 97.26 96.30 95.20 *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 16 July 2010 Market Mover 69 www.GlobalMarkets.bnpparibas.com
Page 1 and 2:
Market Economics | Interest Rate St
Page 3 and 4:
2-10s receivers attractive in the 1
Page 5 and 6:
arrest the slow growth dynamic we s
Page 7 and 8:
US Housing: A Cold Summer • After
Page 9 and 10:
we expect residential investment to
Page 11 and 12:
ebounded from -13% y/y to +8%. That
Page 13 and 14:
At first glance, this latest develo
Page 15 and 16:
But property prices have barely cor
Page 17 and 18: political leaders persuaded the pub
Page 19 and 20: …average fiscal multiplier is 1,
Page 21 and 22: US: 10y Range Trade with a Receiver
Page 23 and 24: give-up because we’re switching f
Page 25 and 26: term structure models mentioned bel
Page 27 and 28: swaps. The overall volume of USD 9.
Page 29 and 30: EUR: Deflation Macro Hedge Via Opti
Page 31 and 32: EUR: SAS Diversification to Enhance
Page 33 and 34: Global Inflation Watch June CPI in
Page 35 and 36: Table 2: BNP Paribas' Inflation For
Page 37 and 38: Inflation: Sell 30y in the UK & US
Page 39 and 40: GBP: Market Downplays Shift to CPI
Page 41 and 42: averaging introduces sizable upside
Page 43 and 44: Europe ITraxx Credit Indices • Ou
Page 45 and 46: SEN vs. SUB There has been no stron
Page 47 and 48: Technical Analysis - Interest Rates
Page 49 and 50: Trade Reviews Options, Money Market
Page 51 and 52: should not come as a complete surpr
Page 53 and 54: EUR/USD Rally Sets Sights on 1.3000
Page 55 and 56: Currency Spot Trade Recommendations
Page 57 and 58: Economic Calendar: 16 - 23 July (co
Page 59 and 60: Key Data Preview Chart 3: US Housin
Page 61 and 62: Key Data Preview Chart 8: French Hh
Page 63 and 64: Key Data Preview Chart 11: UK GDP v
Page 65 and 66: Treasury and SAS Issuance Calendar
Page 67: Central Bank Watch Interest Rate EU
Page 71: RESEARCH DISCLAIMERS: IMPORTANT DIS
show all

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

Create successful ePaper yourself

Delete template?

Save as template?