2011-06-10 credit agri wmt

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What matters today (Europe edition)

FIM RESEARCH 10 June 2011

catalystresearch.ca-cib.comCrédit Agricole Corporate and Investment Bank is authorised by the Comité des Etablissements de Crédit et des Entreprises d’Investissement (CECEI) andsupervised by the Commission Bancaire in France and subject to limited regulation by the Financial Services Authority. Details about the extent of our regulation bythe Financial Services Authority are available from us on request.

For a full list of contributors please refer to the back of the document

D e v e l o p e d

m

a c r o

1. Disappointing Chinese data weighed on market sentiment

2. The outcome of yesterday’s ECB meeting was hardly a surprise and we continueto look for July rate hike followed by a gradual pace of monetary tightening

3. UK industrial output likely to decline in April

I n t e r e s t r a t e

s t r a

t e g y

1. Front-end yields look expensive going into Q3 following ECB hike signal

2. No news is bad news for peripherals at the moment; next week’s 15Y Bonoauction will test sentiment

F X

s t r a t e g y

1. EUR: Heavy on Q1 2012 rate expectations despite “vigilance”.

2. SEK: Undermined by weak activity data.

3. NOK: Ignoring Brent’s latest OPEC induced spike.

E m

e r g i n g

m

a r k e t s

1. Turn in sentiment to push up EM FX and rates; but rates are still low

2. China May exports to slow more than expected and so hurt EM mood.

C o m

m o

d i t y

m

a r k e

t s

1. OPEC did not reach agreement at its 8 June meeting

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10 June 2011 2

Developed Markets – Key events – Friday 10 June

GMT Indicator/Event For Cons.CA-CIB

f/cPrev. Comment

00:50 JN Tertiary Industry Index (MoM) APR 2.70 3.50 -6

00:50 JN Domestic CGPI (MoM) MAY 0.20 0.30 0.90 Rise in energy prices to feed into corporate goods

00:50 JN Domestic CGPI (YoY) MAY 2.50 2.60 2.5001:00 NZ RBNZ Governor Bollard

07:00 GE Consumer Price Index (YoY) MAY F 2.30% 2.30% 2.30%

07:00 GE CPI - EU Harmonised (MoM) MAY F -0.20% -0.20% -0.20%

07:00 GE CPI - EU Harmonised (YoY) MAY F 2.40% 2.40% 2.40%

07:45 FR Industrial Production (MoM) APR 0.40 0.40 -0.90

07:45 FR Manufact Production (MoM) APR 0.30 0.50 -1

08:30 SW Industrial Orders s.a. (MoM) APR 1.10

08:30 SW Industrial Prod. s.a. (MoM) APR 0.50 0.90

09:00 IT GDP sa and wda (QoQ) 1Q F 0.10 0.10 0.10

09:00 IT GDP sa and wda (YoY) 1Q F 1 1 1

09:00 NO CPI (MoM) MAY -0.30 -0.20 0.50

09:00 NO CPI (YoY) MAY 1.40 1.70 1.30 Inflation to remain above the Norges Bank forecast

09:00 NO CPI Underlying) MAY -0.10 0.8009:30 UK Industrial Production (MoM) APR 0.10 -0.40 0.20

09:30 UK Industrial Production (YoY) APR 1.50 0.90 0.70

09:30 UK Manufact Production (MoM) APR -0.10 -0.70 0.20 Contraction on additional holidays and Japanese events

09:30 UK Manufacturing Production (YoY) APR 3.40 2.80 2.70

09:30 UK PPI Input NSA (MoM) MAY -1 2.60

09:30 UK PPI Output Core NSA (MoM) MAY 0.30 0.60

09:30 UK PPI Output n.s.a. (MoM) MAY 0.30 0.80

10:00 IT 12m BOT auction for EUR 6.0 bn

12:00 SP ECB's Gonzalez-Paramo Speaks

12:59 UK NIESR GDP Estimate MAY 0.30

18:00 US 1m, 3m and 6m T-bill auctions for GBP 4.5 bn

19:00 US Monthly Budget Statement MAY -$59.0B -$136B

Developed macro

Sentiment was lifted by the unexpectedly narrowing US trade deficitduring US hours. Elsewhere, central banks delivered no surprises intheir rate decisions. The ECB and Bank of England left their ratesunchanged while the key word ‘strong vigilance’ was mentioned in the ECBpress conference, signaling a July rate hike. Overnight in Asia, the upbeatsentiment had been short-lived, with disappointing Chinese trade numbersweighing on markets again.

[email protected]

In our view, the ECB press conference was broadly in line withexpectations although, on balance, the few changes to the official statementwere on the hawkish side. As expected, the Governing Council signalleda rate hike for next month while extending unlimited liquidityprovisioning for another quarter. ECB staff projections were revised higherfor this year albeit by a smaller margin than we had expected. Despite Greekworries (the ECB strongly opposed to any form of debt restructuring onceagain) and the evidence of slowing economic activity, the ECB soundedconfident enough to keep on normalising its monetary stance. Therefore, wecontinue to forecast a gradual pace of monetary tightening, with a 25bp rate

ECB ‘strongly vigilant’ as expected,

on its course to a July rate hike

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10 June 2011 3

hike every three months, bringing real policy rates back into positive territoryby mid-2012 (see The ECB has more in store, 9 June 2011).

UK manufacturing production is expected to post negativegrowth in April (-0.7% MoM) on weak domestic demand and special eventssuch as the additional bank holiday at the end of April and supply chaindisruptions in the automobile industry due to the Japanese tragic events.

UK IP likely off to a weak start in

Q2

[email protected]

Interest rate strategy

Without listening to Trichet’s comments, yesterday’s price actionsuggested the ECB had turned dovish and there was no rate hike on thehorizon. Though many were expecting a rate hike signal for next month, noreaction rather than a bond market rally would have seemed more plausible,particularly at the front end. The German Schatz trades not much morethan 10bp above where the refi policy rate is highly likely to be nextmonth, which seems rather expensive in our view. The Greek rescueplan and Euro banking stress tests are the main sources of uncertainty thatcould justify Euro core yields at these levels in the very near-term, and bothare due towards the end of the month. Choppy market conditions arelikely to persist for the coming weeks, but we would most likely stayaway from front end going into Q3 at these levels.

Front-end yields look expensive

going into Q3 following ECB hike

signal

The Euro rates market was generally in a risk-off mood yesterday, assovereign spreads pushed wider on the back of very little news flow. Thelikelihood is there will not be any official news on the Greek rescue packagefor another two weeks, and judging by the current market behaviour thisinformation vacuum will be negative for peripherals. Whether this lack ofinformation is a serious problem for peripherals will be highlighted byhow well the 15Y Spanish Bono is received via an auction nextThursday.

No news is bad news for

peripherals; next Thursday’s 15Y

Bono auction will be important

hurdle

Despite the reasonable amount of macro data releases today, not many (ifany) will have an impact on rates during this session. Today’s central bankspeakers are more likely to have some market impact in terms of scheduleevents, though Euro-sovereign sentiment remain key influence.

Euro sentiment remains key with

little scheduled news today

[email protected]

FX strategy

EUR: Heavy on Q1 2012 rate expectations despite “vigilance”. EUR/USD should remain heavy today with German inflation data likely to addto the pair’s bearish tone. May consumer prices should again slow (e.g. -

0.2%MoM) maintaining a stable 2.4%YoY inflation rate. Such an outcome isimportant in the aftermath of yesterday’s ECB statement. Indeed it isinstructive that European interest expectations in early 2012 (e.g. asmeasured by 6x9 FRA’s) moderated significantly yesterday despite governorTrichet’s reiteration of “strong vigilance”. Could is be that the market isshifting focus from an expected July ECB rate hike to the potential for asignificant growth downgrade in Europe? Possibly, with the result beingfurther EUR/USD weakness today.

Despite policy maker “vigilance”

ECB Q1 2012 rate expectations

took a hit yesterday

mailto:[email protected]


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10 June 2011 4

SEK: Undermined by weak activity data. Moderating Europeandata appears to have (finally) gained traction with SEK investors. EUR/SEKhas risen swiftly in June with the pair up over 2%Mtd. Importantly similarunderperformance is reflected on an NEER basis (-1.4%Mtd) to suggest SEKselling has been broad based. Thus today’s expected moderation in Aprilindustrial production and orders data is potentially significant given theRiksbank’s relatively aggressive policy stance. Should a stronger European

slow-down become reflected in leading Swedish activity indicators, SEKcould move quickly – particularly against less exposed currencies like NOKand CAD.

Fears surrounding a weaker

European growth outlook are

undermining SEK

NOK: Ignoring Brent’s latest OPEC induced spike. Despite thenear $6bl rise in Brent oil this week NOK has remained curiously heavy.Such performance contrasts against a strong historical connection betweenoil prices and currency performance. Similar to Sweden (see above), recentNOK weakness appears based upon concerns regarding the Europeangrowth outlook. While such concerns are valid, NOK should remain relativelyinsulated to any meaningful deterioration in the European growth outlook.This insulation stems from Norway’s strong oil export exposure and theassociated government pension fund. Thus we maintain a constructive NOK

outlook, and would recommend European growth pessimists add NOK/SEKlongs on any May inflation related weakness.

European growth pessimists should

consider NOK/SEK longs

Technically, EUR/GBP is still moving higher on the daily (andweekly) cloud patterns, but the extended upmove needed a correction, but isnow heading back to the Ichimoku conversion and base lines, which act as arolling 50% retracement levels on a 9-day and 26-day time horizon. Theyshould offer support at 0.8815 and 0.8824 respectively, with signs that theconversion line will now move above the base line (a bullish confirmation),

just below the 38.2% Fibonacci retracement level at 0.8834 (from the 0.8606-0.8975 upmove that started in late May).

[email protected]

[email protected]

Emerging Markets – Key events – Friday 10 June

GMT Indicator/Event For Cons. CA-CIBf/c

Prev. Comment

8:00 RO Consumer Prices (YoY) MAY 8.50% 8.60% 8.30% Inflation should peak this summer

13:00 BZ Retail Sales (YoY) APR - - - - 4.10%

15:00 MX Central Bank Monetary Policy Minutes Likely to provide a more benign outlook on inflation

Emerging markets The emerging positive momentum is finally getting firmer with EM FXs

stronger vs EUR as well USD yesterday. Rate wise, EMEA rates are finallygoing upwards. Nevertheless discrepancies between EMEA, LatAM and Asiaremain the same. It seems indeed hard to stop the bull flattening of Asianrates. The Chinese trade data published overnight should not change it andmay weigh on EM market sentiment this morning, all the more since themacro calendar is light. It is Russia which will garner most part of theattention but it could hard affect the global EM mood.

EM improvement but fragile as

Chinese figures are disappointed





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10 June 2011 6

provide part (or all, if need be) of it. UAE, Kuwait and Qatar are likely to alsoincrease production. This could reduce spare capacity in the group to 1.5Mbdat the end of the year, which appears supportive for prices. On the otherhand, (1) the assumption that Libya will remain out of the market through theend of the year is strong (2) it is very likely that some other OPEC members(Angola for example) will increase production and (3) Saudi Arabia isaccelerating the development of new fields. In any case, if prices remainabove 115$/bl for much longer, economic growth and oil demand are likely tobe severely impacted, reducing the call on OPEC in 2H11.

[email protected]

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10 June 2011 7

European Government Bond Auction Calendar

Announcements highlighted, otherwise Crédit Agricole CIB expectation

Country Date Description

Realised /

Expected Bn Comments

Germany 18-May-11 5Y Obl - Apr 16 4.91 well covered by comp bids - b/c 1.9 - avg yld 2.45%

France 19-May-11 2Y BTAN (new) - Sep 13 4.48 upper size bracket, slight cheapening b/c 2.02 - avg yld 2.04%

France 19-May-11 4Y OAT - Oct 15 2.72 large liquidity injection, underperformed Obl b/c 1.99 - avg yld 2.67%France 19-May-11 5Y OAT - Apr 16 1.28 tiny portion of bids served b/c 4.5 - avg yld 2.8%

France 19-May-11 Linker - Jul 16 1.20 max of announced range b/c 2.28 - avg yld 0.64%

France 19-May-11 Linker - Jul 19 0.41 still substantial bids b/c 3.59 - avg yld 0.98%

France 19-May-11 Linker - Feb 16 0.38 b/c 3.84 - avg yld 1.57%

Spain 19-May-11 10Y SPGB - Apr 21 2.50 expensive to the market, tightened to Italy b/c 1.83 - avg yld 5.395%

Spain 19-May-11 30Y SPGB - Jul 41 0.72 nice outperformance b/c 1.97 - avg yld 6.0%Belgium 23-May-11 2Y OLO - Sep 13 0.68 this maturity still has the best cover of OLO taps b/c 2.84 - avg yld 2.447%

Belgium 23-May-11 7Y OLO - Jun 17 0.65 issued rich to the market, good post auction b/c 1.72 - avg yld 3.753%

Belgium 23-May-11 10Y OLO - Sep 21 1.20 2bp premium and 2bp rally vs OATs and BTPs b/c 1.67 - avg yld 4.202%

Belgium 23-May-11 15Y OLO - Mar 22 0.86 off-the-run 15Y, in demand at the auction and after b/c 1.53 - avg yld 4.198%

Germany 25-May-11 10Y Bund - Jul 21 4.17 issued at 4c premium despite low yield b/c 1.7 - avg yld 3.04%

Italy 26-May-11 2Y CTZ - Apr 13 2.00 went well, ok performance b/c 1.74 - avg yld 2.851%

Italy 27-May-11 Linker - Sep 21 1.50 top of announced range traded flat post auc b/c 1.51 - avg yld 2.51%

Italy 30-May-11 CCT - Apr 18 1.83 mediocre auction, lost 7c post auc, b/c 1.59 avg yld 3.00%

Italy 30-May-11 3Y BTP - Apr 14 2.95 massive concession pre auction, timid bids b/c 1.5 - avg yld 4.73%

Italy 30-May-11 10Y BTP - Sep 21 3.50 large tap in a spread widening environment b/c 1.34 - avg yld 3.43%

France 01-Jun-11 7Y OAT - Apr 18 1.55 bond in demand, held well in the market b/c 2.95 - avg yld 3.02%France 01-Jun-11 10Y OAT (new) - Oct 21 5.00 largely overbid, overperformed Bund post auction b/c 2.54 - avg yld 3.5%

France 01-Jun-11 15Y OAT - Oct 23 1.93 max of expected size b/c 1.97 - avg yld 3.63%Spain 02-Jun-11 3Y SPGB - Apr 14 2.75 decent size, issued rich to the market b/c 2.49 - avg yld 4.04%

Spain 02-Jun-11 5Y SPGB - Apr 15 1.20 3bp premium, richened vs BTPs b/c 2.9 - avg yld 4.23%

Austria 07-Jun-11 10Y RAGB - Apr 22 0.88 timid bids b/c 1.81 - avg yld 3.477%

Austria 07-Jun-11 30Y RAGB - Mar 37 0.88 good size for long end b/c 1.75 - avg yld 4.011%Belgium 07-Jun-11 15Y OLO (new) - Mar 26 3.50 via syndication, ms+83bpFinland 08-Jun-11 10Y RFGB - Apr 21 1.50 2bp premium over the market, mild widening vs bund b/c 1.61 - avg yld 3.33%

Italy 08-Jun-11 Linker (new) - Sep 26 3.00 syndication, BTPei Sep 23 +27bp

Previous auctions Upcoming auctionsItaly 14-Jun-11 5Y BTP - Apr 16 4.00

Netherlands 14-Jun-11 3Y DSL - Jan 14 2.50 - 3.50

Germany 15-Jun-11 2Y Schatz - Jun 13 6.00

France 16-Jun-11 2Y BTAN 2.00

France 16-Jun-11 3Y BTAN 1.00

France 16-Jun-11 5Y BTAN (new) 5.00

France 16-Jun-11 Linker 1.75

Spain 16-Jun-11 15Y SPGB - Jul 26 2.50Netherlands 21-Jun-11 5Y DSL (new) - Jan 17 5.00

Germany 22-Jun-11 10Y Bund - Jul 21 4.00

Italy 24-Jun-11 Linker 1.50Italy 27-Jun-11 2Y CTZ 2.25

Italy 28-Jun-11 10Y BTP 3.50

Italy 28-Jun-11 3Y BTP 2.25

Italy 28-Jun-11 CCT 2.00Germany 29-Jun-11 5Y Obl - Apr 16 6.00

Spain 30-Jun-11 10Y SPGB (new) 4.00

Austria 05-Jul-11 30Y RAGB (new) 3.00

Germany 06-Jul-11 2Y Schatz - Jun 13 5.00

France 07-Jul-11 10Y OAT 4.75

France 07-Jul-11 15Y OAT 2.25

France 07-Jul-11 30Y OAT 2.50Spain 07-Jul-11 5Y SPGB - Apr 16 3.00

Germany 13-Jul-11 10Y Bund 4.00

Italy 13-Jul-11 5Y BTP 3.00



Source: Issuer websites, Crédit Agricole CIB

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10 June 2011 8

FIM Research

Hervé Goulletquer Head of FIM Research hervé [email protected] +33 1 41 89 88 34

Global FX Researc h

Mitul Kotecha Head of Global FX Strategy [email protected] +852 2826 9821Daragh Maher Deputy Head of Global FX Strategy [email protected] +44 20 7214 7469

Simon Smollett Senior FX Options Strategist/Technical Analyst [email protected] +44 20 7214 5609Adam Myers Senior FX Strategist [email protected] +44 20 7214 7468

Commodi t ies Research

Christophe Barret Global Oil Analyst [email protected] +44 20 7214 6537Robin Bhar Senior Metals Analyst [email protected] +44 20 7214 7404

Emerg ing Market s Research

Sébastien Barbé Head of EM Research and Strategy sébastien.barbé@ca-cib.com +33 1 41 89 15 97Frances Cheung Senior Strategist – Asia ex-Japan [email protected] +852 2826 1520Dariusz Kowalczyk Senior Economist/Strategist – Asia ex-Japan [email protected] +852 2826 1519Maxim Oreshkin Senior Strategist – Russia and CIS [email protected] +7 495 937 0581Mario Robles** Senior Strategist – Latin America [email protected] +1 212 261 7736John Sfakianakis Chief Economist BSF Crédit Agricole Group [email protected] +9661 276 4611Guillaume Tresca Emerging Markets Strategist [email protected] +33 1 41 89 18 47Vladimir Vale Chief Strategist Crédit Agricole Brasil SA DTVM [email protected] +55 11 3896 6418

Global Interes t Rate Strat egy

David Keeble** Global Head of Interest Rates Strategy [email protected] +1 212 261 3274Luca Jellinek Head of European Interest Rates Strategy [email protected] +44 20 7214 6244Peter Chatwell Interest Rate Strategist [email protected] +44 20 7214 5289Orlando Green Interest Rate Strategist [email protected] +44 20 7214 7467

Macro Research

Isabelle Job Head of Macro Research [email protected] +44 20 7214 5767Hélène Baudchon Economist - USA [email protected] +33 1 43 23 27 61Frederik Ducrozet Economist - Eurozone [email protected] +33 1 41 89 98 95Slavena Nazarova Economist – UK, Scandinavia [email protected] +33 1 41 89 99 18

Michael P. Carey** Chief Economist - North America [email protected] +1 212 261 7134Sireen Harajli** Associate – North America [email protected] +1 212 261 7139

Susumu Kato Chief Economist - Japan [email protected] +81 3 4580 5336Yoshiro Sato Associate – Japan [email protected] +81 3 4580 5337

Asset A l locat ion

Jean-François Perrin Asset Allocation Strategist jean-françois.perrin @ca-cib.com +33 1 41 89 94 22

** employee(s) of Crédit Agricole Securities (USA), Inc.

Certification The views expressed in this report accurately reflect the personal views of the undersigned analyst(s). In addition, the undersigned analyst(s) has not and will not receiveany compensation for providing a specific recommendation or view in this report.

Simon Smollett, Adam Myers, Frances Cheung, Orlando Green, Frederik Ducrozet, Christophe Barret, Kintai Cheung

Important: Please note that in the United States, this fixed income research report is considered to be fixed income commentary and not fixed income research.Notwithstanding this, the Crédit Agricole CIB Research Disclaimer that can be found at the end of this report applies to this report in the United States as if references toresearch report were to fixed income commentary. Products and services are provided in the United States through Crédit Agricole Securities (USA), Inc.

Disclaimer © 2011, CRÉDIT AGRICOLE CORPORATE AND INVESTMENT BANK All rights reserved. This research report or summary has been prepared by Crédit Agricole Corporate and Investment Bank or one of its affiliates (collectively “Crédit Agricole CIB”) frominformation believed to be reliable. Such information has not been independently verified and no guarantee, representation or warranty, express or implied, is made as toits accuracy, completeness or correctness.

This report is a “commercial communication” as defined in article 6 of the Directive 2000/31/CE of 8 June 2000. For the avoidance of doubt, it is not a “communication à caractère promotionnel ” within the meaning of the Règlement General AMF . It is provided for information purposes only. Nothing in this report should be considered toconstitute investment, legal, accounting or taxation advice and you are advised to contact independent advisors in order to evaluate this report. It is not intended, andshould not be considered, as an offer, invitation, solicitation or personal recommendation to buy, subscribe for or sell any of the financial instruments described herein,nor is it intended to form the basis for any credit, advice, personal recommendation or other evaluation with respect to such financial instruments and is intended for useonly by those professional investors to whom it is made available by Crédit Agricole CIB. Crédit Agricole CIB does not act in a fiduciary capacity to you in respect of thisreport.

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10 June 2011 9

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2011-06-10 credit agri wmt

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