Дайджест валютного рынка

LINKS-ДАЙДЖЕСТ 08 марта 2012 г.

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ECB Meeting: Draghi Doing the Victory Dance

Danske о прошедшем заседании ЕЦБ

The ECB kept the leading interest rate unchanged at 1% as widely expected. We continue to expect the ECB to keep the refinancing rate unchanged until Q1 14. The chance of more rate cuts in this easing cycle has diminished further.

At the press conference, ECB President Mario Draghi cherished the effect of the 3Y LTROs and pointed towards the change in market sentiment since November. Draghi stated that the LTROs have been an "unquestionable success".

The quarterly staff forecast on inflation was revised upwards while the growth forecast was revised down. It is surging energy prices in particular that have pushed up inflation.

On previous occasions oil price increases have prompted the ECB to hike rates. We believe that Draghi will abstain from this knee-jerk reaction as he appears to put more emphasis on the fact that price pressures should remain limited in an environment of subdued growth.

The market reaction was muted as the ECB delivered as expected.

Danske Bank считает, что ЕЦБ оставит процентную ставку неизменной вплоть до первого квартала 2014 года.

Драги считает 3-хлетние LTRO несомненным успехом.

Прогноз по инфляции был немного пересмотрен в большую столрону, а по росту экономики еврозоны в меньшую.

Реакция рынка на заседание ЕЦБ по ставке была очень спокойной.

Верояность понижения ставки в течение этого цикла количественного смягчения очень мала.

BOC Statement Less Dovish, CAD Gains in USD/CAD, AUD/CAD

Про заседание ЦБ Канады, посвященное процентной ставке

The bank upgraded its assessment of the economy as well as inflation, which argues for the next step being a rate increase, though that may still be about a year out.

On Growth: “Recent developments suggest that the outlook for the Canadian economy is marginally improved from the January MPR. Although the economy will likely grow faster than forecast in the first quarter due to temporary factors, underlying economic momentum remains around trend, balancing domestic strength and external weakness. Private demand is now expected to be slightly stronger than projected, owing to improved sentiment and highly-supportive financial conditions. Canadian household spending is expected to remain high relative to GDP as households add to their debt burden, which remains the biggest domestic risk. Net exports have been supported by stronger-than-anticipated U.S. activity but are expected to contribute little to growth, reflecting still-moderate foreign demand and ongoing competitiveness challenges, including the persistent strength of the Canadian dollar.”

On Inflation: “The profile for core and total CPI inflation is somewhat firmer than previously anticipated as a result of reduced economic slack and higher oil prices. After moderating in the second quarter, total inflation is expected, along with core inflation, to be around 2 per cent over the forecast horizon, reflecting the combination of modest growth of labour compensation, an economy operating around its potential over time, and well-anchored inflation expectations.”

The bank sees “considerable monetary policy stimulus” but did not mention removing it.

В заявлении повышены прогнозы по инфляции, что повышает вероятность повышения ставки, но никак ее понижения.

Банк видит заметное влияние стимулирующих мер в экономике, но не собирается от них отказываться.

Has Japan Run Out Of Cans To Kick?

Торговый и текущий балансы Японии рисуют удручающую картину. Это является результатом сильной йены в последние годы.

Japan's Trade and Current Account imbalances appear to be hitting some kind of terminal velocity and while neither JGBs nor CDS seem to reflect the ensuing chaotic recognition that perhaps the can that has been so faithfully kicked down the "Nishi-no-michi" or the West Road may have plunged over the lip of Mount Fuji (conjuring images of Mordor), FX markets recent and abrupt weakness brought on by yet more printing (a topic we discussed in great detail recently as the chosen heretical method du decade) may well be coming face to face with reality. We assume Azumi is faithfully watching these market moves but we wonder at what point the quasi-intentional weakening of local currencies flares into a full-blown currency war - and instead of merely encouraging simpleton FX-carry strategies chasing momentum and leverage - quickly becomes the hyperinflationary super nova that many have been waiting for over the last decade. Dismal demographics aside, we wonder how long before Koo prescribes yet more of the same medicine for this constant state of deflation and at what point does inverted-Apple-looking charts for Trade and Current Account balances become simply too hot to handle...

Не перерастут ли QE ЦБ Японии в полномасштабную валютную войну?

US Budget Deficit Hits All Time High In February

Дефицит американского бюджета побил все рекорды в феврале

The Stranger Beside You - Spouses And ETFs

Про приток денег в ETF-индустрию. Почти весь приток денег представлен 6-ю фондами.

ETF fund flows have been a uniformly positive source of capital into U.S. risk markets in 2012. Looking a little deeper at the decidedly 'risk-on' flows, Nic Colas (of Convergex Group) notes perhaps their most provocative feature has been their high degree of net concentration. When you look at the entire “ETF Ecosystem” of listed funds, just 6 funds represent all the net gains in assets over the past month ($5.4 billion in net inflows) – LQD, HYG and JNK in fixed income, VWO in emerging markets, VXX in risk, and GLD in commodities. With 1,433 different ETFs listed on U.S. markets now, Colas likens the comprehension of the $1.2 trillion in AUM across these ETFs to how well you know your spouse as we know ETF flows are important (just like a wedding anniversary date or what day the trash is picked up at home) but with their still-evolving proliferation it seems a daunting task to keep tabs on them. All in all, this brief analysis points to more of a pause in investor sentiment rather than the opening for a more full-blown correction in the coming weeks.

Trading Greece After The PSI

Аналитики Morgan Stanley предлагают свой взгляд на новые греческие облигации, которые заменят старые в результате свопа

Morgan Stanley provides some color on the new GGBs, which they expect to trade at least 200bps wide of Portugal and with an inverted curve expecting prices to stabilize in the mid-20s (with technicals in the short-term pushing prices below 20). The GDP warrants are estimated at a fair-value around 1c and if the Argentine framework is any evidence, this will be heavily discounted (read ignored) by the market. All-in-all, not exactly positive but still buy stocks because 90% sounds like a good number!

The US Deleveraging Is Now Over

Процесс делевереджинга уже закончился

Shockingly Large BLS Adjustments Should Be Main Focus Into NFP

Поразительно большие корректировки BLS могут оказаться в центре внимания в nonfarm payrolls

Gallup Finds February US Unemployment Jumps Most Since 2010, Third Consecutive Monthly Increase

GALLUP считает, что безработица в США в феврале подпрыгнет на величину, наибольшую с 2010 года

Art Cashin Deconstructs The Fed's Paradoxical QE Approach

Art Cashin комментирует новую идею «стерилизованного QE»

So the Fed is looking for a way to lower rates without producing any inflationary pressure. That’s because critics have claimed the inflationary impact of prior easing managed to push up oil, gold and other commodities. It also weakened the dollar.

Okay, now put on your Sherlock Holmes hat and examine yesterday’s action. Stocks rallied but so did gold and oil and lots of commodities. The dollar also fell. Those actions were just the ones that the supposed new program was designed to avoid.

Посмотрите, как среагировали на эту идею цены. Реакция была как раз именно такого характера, которого хотели бы избежать с помощью нового плана.

Ex-ECB's Juergen Stark Says ECB's Balance Sheet "Gigantic", Collateral Quality "Shocking"

Юрген Шларк: «Баланс ЕЦБ – просто гигантский, качество залога – ужасающее».

[Stark] added the structure of the balance sheet is a cause for concern because increasingly short-term debt claims are being replaced by long-term ones and this will make it more difficult for the bank to reverse its loose monetary policy.

With his comments, the bank's former hawk Stark is backing Germany's central bank president Jens Weidmann. The head of the Bundesbank told Der Spiegel weekly magazine over the weekend that requirements for banks' cheap loans have been "very generous" and the program calms the situation in the short term, but this calm could be deceptive. He was concerned about the collateral requirements that the banks had to provide.

The ECB's balance sheet soared past the EUR3 trillion level last week partly because the bank has flooded markets with over EUR500 billion in cheap loans for banks.

Штарк добавил, что структура баланса ЕЦБ изменена таким образом, что краткосрочный долг заменен на более долгосрочный, и это значительно усложнит задачу по свертыванию мягкой монетарной политики.Это спокойствие обманчиво.И ZH добавляет:

Of course, this long-term deterioration in prospects for yet another central bank means that it has bought a short-term reprieve, as has been reflected by rising asset prices. However, what happens when the effect of this latest dilution in the value of the paper currency fades, or worse, when the ECB's balance sheet becomes non-performing and confidence in the montary authority is lost?

Well, since that will be "someone else' problem" why worry?

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