Consult the monthly economic Research November 2013

Transcription

NOVEMBER 2013 - No. 10
Financial forecasts
What should we expect for 10-year interest rates in
Germany and France?
Investors are extremely uncertain about the future trend in 10-year interest rates on euro-
zone government bonds (we look at Germany and France).
The reason is that this trend depends on:
•
•
•
The outlook for growth and inflation in the United States and the euro zone;
Monetary policies in the United States and the euro zone;
The correlation between long-term interest rates in the United States and in the
euro zone;
•
•
The attitude of domestic and non-resident investors;
Regulations for financial intermediaries.
We believe that because of:
•
•
•
•
Uncertainties about growth;
Disinflation, especially in the euro zone;
The resulting caution of central banks and their modus operandi;
The decorrelation between long-term interest rates in the United States and in
the euro zone;
•
Author:
Patrick Artus
The reduction in the supply of government debt (Germany, France) and the
persistently strong demand from domestic and non-resident investors;
•
The changes in regulations for banks and insurance companies (even if they are
made more flexible);
long-term interest rates in Germany and France will for a long time (several years) stay
close to their current levels.
Chief editor:
Patrick Artus
Uncertainty about the outlook for long-term interest rates
Chart 2B
France: Interest rates on governm ent bonds
(as %)
We look at the interest rates on 10-year German and
French government bonds.
Charts 1A and B and 2A and B show market expectations
for these interest rates.
Chart 1A
Germ any: Interest rates on governm ent bonds
(as %)
10-year interest rate
10-year interest rate in 1 year
10-year interest rate in 2 years
6
5
6
3
2
1
Sources: Datastream, Natixis
0
02
03
04
05
06
07
08
09
10
11
12
13
3.5
3.0
3.0
2.5
2.5
2.0
1.5
Jan12
Apr12
Jul12
Oct12
1.5
Jan13
Apr13
Jul13
The markets expect a very steady rise in the 10-year
interest rate, bringing them to 3% in Germany and 3.70% in
France in 5 years.
Investors’ uncertainty can be great since euro-zone long-
term interest rates depend on many factors: economic
regulations for banks and insurance companies.
However, we believe that all in all, the most likely scenario
3.5
3.0
is that long-term interest rates in Germany and France will
be very stable for a long period of time.
2.5
2.5
2.0
2.0
Germany and France will rise
1.5
1.5
1. Uncertainty about growth and disinflation
1.0
Jan12
Apr12
Jul12
Oct12
Jan13
Apr13
Jul13
Why we do not believe that long-term interest rates in
1.0
Euro zone long-term interest rates mainly depend on the
Oct13
outlook for the economies and monetary policies in the
United States and the euro zone.
Chart 2A
France: Interest rates on governm ent bonds
(as %)
6
5
In both cases, United States and euro zone, the outlook for
growth is uncertain:
6
•
The upturn in consumption is not leading to a
•
The industrial sector is hardly benefiting from the
•
Construction is not picking up in the euro zone
recovery in investment (Charts 3A and B);
5
4
4
3
3
2
recovery (Chart 3C), which is driven by services;
and is already weakening in the United States
(Chart 3D);
2
•
1
02
03
04
05
06
1
07
08
09
10
11
Oct13
in the United States and in the euro zone, investor attitude,
3.0
4.0
3.5
outlook, monetary policies, the link between interest rates
14
Chart 1B
Germ any: Interest rates on governm ent bonds
(as %)
3.5
4.5
5
3
0
4.0
4
1
4.5
2.0
4
2
12
13
14
Unemployment is very high in the euro zone and
its fall in the United States is primarily due to the
fall in the participation rate (Chart 3E).
|
Financial forecasts 2
Chart 3A
Household consum ption
(in volum e term s, Y/Y as %)
Chart 3D
Building perm its (2002:1 = 100)
6
250
4
200
2
2
150
150
0
0
100
100
-2
-2
50
50
-4
0
6
United States
United States
4
Euro zone
02 03 04 05 06 07 08 09 10
20
Chart 3B
Productive investm ent
(in volum e term s, Y/Y as %)
10
0
0
-10
0
Chart 3E
Unem ploym ent rate and participation rate
(as %)
20
10
United States: participation rate (LH scale)
United States: unemployment rate (RH scale)
14
Euro zone: unemployment rate (RH scale)
67
12
66
10
-10
65
United States
Euro zone
-20
-20
-30
Euro zone
6
63
4
02 03 04 05 06 07 08 09 10 11 12 13 14
Chart 3C
Manufacturing production (Y/Y as %)
United States
8
Sources: Datastream, BLS,
Eurostat, Natixis
64
02 03 04 05 06 07 08 09 10 11 12 13 14
10
200
02 03 04 05 06 07 08 09 10 11 12 13 14
11 12 13 14
68
-30
Euro zone
Sources: Datastream, BEA, ECB, Natixis
-4
250
Likewise, in both cases there is disinflation, which has been
10
5
5
0
0
-5
-5
drastic in the recent period in the euro zone (Charts 4A and
B), particularly in Spain and Italy.
6
Chart 4A
Inflation (CPI, Y/Y as %)
6
United States
-10
-10
-15
-15
-20
Euro zone
4
4
2
2
0
0
-20
-25
-25
02 03 04 05 06 07 08 09 10 11 12 13 14
-2
-2
02 03 04 05 06 07 08 09 10 11 12 13 14
|
Chart 4B
Inflation (CPI, Y/Y as %)
6
Germany
France
Spain
Italy
1,800
Chart 5B
Euro zone: Monetary base (in EUR bn)
1,800
6
1,600
1,600
4
1,400
1,400
3
3
1,200
1,200
2
2
1,000
1,000
1
1
0
0
5
5
4
-1
800
800
600
-1
600
Sources: Datastream, ECB, Natixis
-2
-2
400
02 03 04 05 06 07 08 09 10 11 12 13 14
The modus operandi of central banks will help keep long-
2. Caution and modus operandi of central banks
term interest rates low: purchases of Treasuries and ABS in
Due to the uncertainties about the extent of the recovery
and given the fact that there is disinflation, central banks
are necessarily cautious:
•
400
02 03 04 05 06 07 08 09 10 11 12 13 14
the United States (Chart 6A), forward guidance in the United
States and the euro zone, which explains the low expected
interest rates (Chart 6B).
Chart 6A
Outstanding Treasuries and ABS held
by the Federal Reserve (USD bn)
The Federal Reserve will prevent a further rise in
the interest rate on mortgages given the weakness
of residential construction and the limited demand
2,500
2,500
for loans (Chart 5A);
•
Treasuries
ABS
The ECB has to react to the fact that inflation has
2,000
more expansionary monetary policy (Chart 5B).
1,500
1,500
Chart 5A
United States: Interest rate, m ortgage
refinancing index and household m ortgage
application index
1,000
1,000
2,000
fallen far below the 2% target by switching to a
500
10
Mortgage rate (as %, LH scale)
Household mortgage application index (2002 = 100, RH scale)
700
Mortgage refinancing index (2002 = 100, RH scale)
9
600
8
500
7
400
6
300
5
200
4
100
3
02 03 04 05 06 07 08 09 10 11 12 13 14
0
500
Sources: Datastream, Fed, Natixis
0
0
02 03 04 05 06 07 08 09 10 11 12 13 14
6
Chart 6B
Interest rate on 2-year governm ent bonds
(as %)
6
United States
Euro zone*
5
5
(*) Weighted by the public debt
4
4
3
3
2
2
1
1
0
0
02 03 04 05
06 07 08 09 10 11
12 13 14
|
3. Lower correlation between long-term interest rates in
Chart 8A
(as %)
the United States and in the euro zone
Long-term interest rates in the United States ought to be
United States
6
higher than in the euro zone in view of the difference
between the growth outlooks (Charts 7A and B).
6
Chart 7A
Real GDP grow th (Y/Y as %)
Euro zone
4
2
France
5
6
United States
5
4
4
3
3
2
2
4
2
1
0
0
-2
-2
-4
-4
1
02 03 04 05
06 07 08 09 10 11
United States
3.5
11 12 13 14
Chart 7B
Nom inal GDP grow th (Y/Y as %)
8
United States
Euro zone
6
3.5
Germany
-6
02 03 04 05 06 07 08 09 10
12 13 14
Chart 8B
(as %)
-6
6
Germany
France
3.0
3.0
2.5
2.5
2.0
2.0
1.5
1.5
8
6
4
4
2
2
0
0
-2
-2
-4
-4
1.0
Jan-12
May-12
Sep-12
Jan-13
1.0
May-13
Sep-13
We partly ascribe this phenomenon to the appearance of a
-6
Sources: Datastream, Natixis forecasts
substantial external surplus in the euro zone (Chart 9),
which helps shield euro-zone financial markets from
external influences.
-6
02 03 04 05 06 07 08 09 10 11 12 13 14
This could drag down euro-zone long-term interest rates;
but in the recent period we have seen a lower correlation
between long-term interest rates in the United States and
Chart 9
Euro zone: Current-account balance
(as % of nom inal GDP)
3
3
2
2
1
1
0
0
-1
-1
Germany or France (Charts 8A and B).
Sources: Datastream, IMF, Natixis
-2
-2
02 03
04 05 06 07
08 09 10
11 12 13
14
|
4. Supply of and demand for government securities
The supply of government securities is declining in France
and Germany thanks to the reduction (disappearance in
Germany) of fiscal deficits (Chart 10, Table 1 in the
Appendix).
Chart 10
Fiscal deficit (as % of nom inal GDP)
2
2
Chart 12
Euro zone: Outstanding governm ent bonds
held by banks (as % of nom inal GDP)
19
19
18
18
17
17
16
16
15
15
14
14
Germany
France
0
0
13
13
-2
-2
-4
-4
-6
-6
12
12
02 03 04 05 06 07 08 09 10 11 12 13 14
The government bond market in Germany and France is
therefore moving towards a situation of excess demand.
5. Regulations for banks and insurance companies
-8
02
03
04
05
06
07
08
-8
09
10
11
12
13
14
Even though these regulations are not yet completely
stabilised, the changes in regulations are driving banks and
At the same time, demand from domestic and foreign
investors for euro-zone bonds remains strong (Chart 11; it
is well known that non-residents primarily hold bonds
insurers to hold more government debt:
•
securities as the main component of the banks’
issued by core euro-zone countries, Table 2 in the
Appendix); euro-zone banks continue to buy government
bonds (Chart 12).
Institutional investors
Non-residents
8
liquidity reserves (Inset 1 in the Appendix);
•
Solvency II drives insurers to hold government
securities at the expense of assets that finance
companies.
Chart 11
Euro zone: Net purchases of bonds
by institutionals and non-residents
(as % of nom inal GDP)
10
The liquidity ratio (LCR) treats government debt
Conclusion: We do not believe long-term interest rates in
10
8
Germany and France will rise for a long time to come
Due to:
6
6
4
4
•
2
2
•
0
0
•
Monetary policies that aim to prevent long-term
-2
-2
•
The decorrelation between long-term interest
•
The reduction in the supply of government
-4
02 03 04 05 06 07 08 09 10 11 12 13 14
Uncertainties about growth;
Disinflation;
interest rates from rising;
rates in the United States and in the euro zone;
-4
securities in France and Germany and persistently
strong demand;
•
The changes in regulation for banks and insurance
companies;
|
•
We believe long-term interest rates will remain
Chart 13B
France: Nom inal grow th and fiscal deficit
close to the current levels in France and Germany
for a long time. This also means that we do not
Real GDP (as % per year)
4
believe in a widening of the spread between
4
Fiscal deficit (as % of nominal GDP)
France and Germany either (Chart 13A), thanks to
2
2
made possible by the muted upswing in growth
0
0
-2
-2
-4
-4
the slow reduction in the French fiscal deficit
(Chart 13B).
Chart 13A
10-year yield spread: OAT- Bund (in bp)
200
200
180
180
160
160
140
140
120
120
100
100
80
80
60
60
40
40
20
20
0
-20
-6
-6
-8
-8
02 03 04 05 06 07 08 09 10 11 12 13 14 15
0
-20
02 03 04 05 06 07 08 09 10 11 12 13 14
Table 1
Bond issuance programme (in EUR bn)
2012
Germany
France*
Q1
Q2
45
49.5
59.1
58.6
2013
Q3
Q4
52
37.5
39.5
43.4
Total
Q1
Q2
184
46.9
47
200.6
61.3
54
Q3
45
38.4
2014f
Q4
Total
Q1
Q2
Q3
Q4
44
182.9
42.3
42.4
40.6
39.7
38.8
192.5
62.9
55.4
39.4
39.8
Total
165
197.5
* EUR 23.5 bn in buybacks expected in 2013-2014
Sources: Bloomberg, Natixis
Table 2
Structure of the holding of public debt (as %)
Domestic
Rest of the euro
zone
Non-residents
outside the euro
zone
Austria
17
57
26
Finland
9
46
45
Belgium
42
France
36
Greece
44
Germany
Ireland
Italy
Netherlands
Portugal
Spain
38
40
65
44
46
72
39
30
28
48
19
34
34
8
36
24
32
24
21
7
27
45
8
9
IMF Coordinated Portfolio Investment Survey 2011
Source: IMF
|
Inset 1
High-quality liquid assets in the Basel III LCR
One of the main measures of the Basel III recommendations is the adoption of the short-term liquidity ratio (LCR,
Liquidity Coverage Ratio). The objective of the LCR is to promote the short-term resilience of the liquidity risk
profile of banks by ensuring that they have sufficient unencumbered high-quality liquid assets (HQLA) that can
easily and immediately be converted into cash in private markets at little or no loss of value to cover their liquidity
needs for a 30 calendar day time horizon under a liquidity stress scenario.
More particularly, the LCR will enter into force on 1 January 2015; but the minimum requirement will initially be set
at 60% and will be increased annually by equal tranches and reach 100% on 1 January 2019 (Table 1).
Table 1
Minimum LCR
1 January 2015
1 January 2016
1 January 2017
1 January 2018
1 January 2019
60%
70%
80%
90%
100%
The LCR has two components:
•
•
The value of the stock of HQLA in stressed conditions;
Total net cash outflows.
The numerator of the LCR is the "stock of high-quality liquid assets" (HQLA).
There are two categories of eligible assets:
1/ So-called “Level 1 assets” (no limit to the stock), held at market value
A. Level 1 assets
Cash
100%
Marketable securities assigned a 0% risk-weight under the
Basel II Standardised Approach issued by sovereigns, central
banks, public sector entities, and multilateral development
100%
banks
Qualifying central bank reserves, made up of eligible assets
Domestic sovereign or central bank debt securities issued in
domestic currencies for non-0% risk-weighted sovereigns
Domestic
sovereign
debt
securities
issued
currencies by non-0% risk-weighted sovereigns
in
foreign
100%
100%
100%
Example: cash, reserves at the central bank, marketable securities issued or guaranteed by sovereigns, central
banks, public sector entities, international institutions (IMF, ECB, European Commission, etc.) with a 0% risk weight
(for example sovereign debt securities rated AAA and/or AA).
|
2/ So-called "Level 2" assets (not more than 40% of the stock of HQLA)
A minimum 15% haircut is applied to the current market value of each level 2A asset (i.e. booked at 85% of the
market value)
Example:
-
Marketable securities with a weighting of 20%, i.e. corporate bonds (not issued by a financial institution or
any of its affiliated entities), covered bonds (not issued by the bank itself or any of its affiliated entities)
rated AAA and/or AA.
-
Marketable securities issued or guaranteed by sovereign issuers, central banks, public sector entities,
multilateral development banks or international institutions (IMF, ECB, European Commission, etc.) with a
weighting of 20% equal to a single-A rating.
B. Level 2 assets
Marketable securities assigned a 20% risk-weight under the
Basel II Standardised Approach issued by sovereigns, central
banks, public sector entities or multilateral development
85%
banks
Qualifying corporate bonds rated AA- or higher
Qualifying covered bonds rated AA- or higher
85%
85%
Maximum of 2/3 of adjusted Level
Calculation of 40% cap of liquid assets
1 assets that would exist after an
unwinding of all secured funding
transactions
Moreover, so-called level 2B assets can be included in level 2 if national authorities so decide. (Paragraph 54)
This applies to:
•
Residential mortgage-backed securities (RMBS) subject to a 25% haircut with stringent conditions
•
Corporate debt securities (including commercial paper) rated A+ and BBB- subject to a 50% haircut
(Paragraph 54)
•
Ordinary shares complying with the conditions set out in Basel III paragraph 54.
Minimum haircut 50%.
|
Economic Forecasts
November-13
Research Department, http//www.Natixis.com
The picture in a nutshell: The shutdown of the US government will have a negative net effect of 0.3% GDP. While October ISM will show this tomorrow, we expect
a net rebound in November indicators, which should support our expectations of tapering by January’s FOMC. At low frequency, rising real wages and new orders, a
better financial situation by corporate and households as well as fading budgetary consolidation suggest a certain strengthening in US growth next year.
Turning to the ECB, we continue to believe that all easing options remain open. Monetary conditions have still significantly hardened, both by appreciation of the
exchange rate and lowering of energy and underlying inflation. By comparison, monetary conditions are stable in the United States and the UK but have rarely been
as flexible as today in Japan. While the new ECB Staff’s projections for inflation could be the trigger for a cut in key rates in December, it seems to us form today’s
perspective that a new injection of liquidity is less pressing. The disclosure of the AQR methodology late October did not led to much volatility and the critical
threshold for excessive liquidity has been lowered by Draghi.
2013
1,5
2,4
2,2
1,5
3,5
1,2
-0,4
0,5
0,0
-1,9
-1,3
-1,2
1,0
3,8
1,6
7,6
1,9
3,9
4,2
2,2
1,9
2,6
United States
Latin-America
Brazil
Mexico
Argentina
United Kingdom
Euro Zone
Germany
France
Italy
Spain
Netherlands
Eastern Europe *
Turkey
Russia
China
Japan
Asia excluding China and Japan**
India
Korea
World GDP
World GDP (PPP)
GDP (YoY)
2014
2,2
2,6
2,0
2,7
2,4
1,6
0,8
1,5
0,6
0,2
0,7
0,3
2,3
4,2
2,7
7,5
1,2
4,3
4,4
3,4
2,4
3,1
2015
2,6
2,9
2,2
3,2
2,8
2,2
1,1
1,6
1,0
0,7
1,3
0,9
2,7
4,5
3,4
7,3
0,4
4,7
5,4
3,4
2,7
3,4
2013
1,5
7,1
6,1
3,7
10,2
2,7
1,4
1,7
1,0
1,5
1,6
2,8
1,8
7,3
6,9
2,7
0,0
4,0
5,7
1,4
2,3
-
Inflation (YoY)
2014
1,9
6,9
5,9
3,8
10,5
2,5
1,5
1,7
1,4
1,6
1,1
1,6
2,2
7,0
5,8
3,5
2,0
4,1
5,4
3,0
2,7
-
2015
2,1
6,6
5,6
3,8
9,8
2,2
1,5
1,7
1,4
1,5
1,1
1,7
2,6
6,2
5,4
3,2
1,4
4,0
5,8
2,9
2,7
-
Fiscal balance (% of GDP)
2013
2014
2015
-4,0
-3,4
-3,1
-2,2
-2,4
-2,3
-2,4
-3,0
-2,8
-2,0
-2,0
-2,0
-2,3
-2,3
-2,1
-6,8
-6,2
-5,6
-3,0
-2,7
-2,6
-0,2
-0,1
0,0
-4,1
-3,7
-3,7
-3,1
-3,0
-2,9
-6,6
-5,9
-5,5
-3,2
-3,4
-3,0
-3,2
-3,1
-2,6
-2,2
-2,4
-2,2
-0,5
-0,8
-0,9
-2,2
-2,0
-1,8
-11,0
-9,5
-9,1
-2,7
-2,2
-2,2
-5,1
-5,0
-4,5
0,5
0,6
1,1
-
* Poland, Hungary, Czech Republic, Latvia, Lithuania, Bulgaria, Romania
** Korea, Thailand, Malaysia, Singapore, Hong-Kong, Indonesia, Philippines, India, Taiw an, Vietnam
Money Markets
Official Rates / Eonia, Euribor & Libors
FED rate
3M Libor $
Forward
ECB rate
3M Euribor
Forward
Eonia
Forward
BOE rate
3M Libor £
Forward
BOJ rate
3M Libor ¥
Forward
SNB rate
3M Libor CHF
Forward
Dec-12
0,25
0,31
30/10/2013
0,25
0,24
0,75
0,19
0,50
0,23
0,13
0,10
0,50
0,52
0,10
0,18
0,50
0,10
0,00
0,10
0,52
0,00
0,01
0,00
0,15
Dec-13
0,25
0,28
0,25
0,25
0,18
0,25
0,08
0,17
0,50
0,52
0,53
0,10
0,15
0,25
0,00
0,05
0,01
Mar-14
0,25
0,30
0,28
0,25
0,20
0,28
0,12
0,20
0,50
0,55
0,55
0,10
0,15
0,26
0,00
0,05
-0,01
Jun-14
0,25
0,40
0,31
0,25
0,25
0,32
0,15
0,23
0,50
0,60
0,59
0,10
0,15
0,26
0,00
0,05
-0,01
Sep-14
0,25
0,50
0,36
0,25
0,30
0,36
0,20
0,26
0,50
0,65
0,65
0,10
0,15
0,25
0,00
0,05
0,00
Dec-14
0,25
0,60
0,43
0,25
0,35
0,40
0,25
0,31
0,50
0,75
0,71
0,10
0,20
0,26
0,00
0,10
0,02
Mar-15
0,25
0,75
0,52
0,25
0,45
0,45
0,30
0,34
0,50
0,90
0,79
0,10
0,25
0,38
0,00
0,15
0,06
|
European bond & swap Markets
Germany
30/12/2011
31/12/2012
Sovereign yields & spreads (end of period)
2-year
0,14
-0,02
Fwd
5-year
0,76
0,30
Fwd
10-year
1,83
1,32
Fwd
30-year
2,37
2,18
Fwd
2Y - 5Y
61
31
2Y - 10Y
169
133
10Y - 30Y
54
86
30/10/2013
Sovereign spreads
30/12/2011
10Y spreads, in bp (end of period)
OAT - BUND
132
BTP - BUND
528
31/12/2012
30/10/2013
68
318
51
250
0,16
0,71
1,69
2,60
55
153
91
Dec-13
0,15
0,15
0,80
0,72
1,80
1,70
2,70
2,60
65
165
90
Mar-14
0,20
0,19
0,95
0,80
2,10
1,77
2,90
2,63
75
190
80
Jun-14
0,25
0,24
1,05
0,88
2,20
1,83
2,95
2,66
80
195
75
Sep-14
0,35
0,28
1,20
0,97
2,30
1,90
3,00
2,69
85
195
70
Dec-14
0,55
0,38
1,40
1,10
2,40
1,99
3,10
2,73
85
185
70
Mar-15
0,75
0,47
1,60
1,19
2,60
2,06
3,20
2,76
85
185
60
Dec-13
55
230
Mar-14
50
215
Jun-14
45
200
Sep-14
40
190
Dec-14
40
170
Mar-15
35
160
Germany 2-10Y slope (bp)
Germany 10Y sovereign interest rate
Swap rates
(end of period)
2-year
Fwd
5-year
Fwd
10-year
Fwd
30-year
Fwd
30/12/2011
31/12/2012
30/10/2013
1,31
1,72
2,38
2,56
-
0,38
0,77
1,57
2,23
-
0,55
1,17
2,02
2,63
-
Dec-13
0,58
0,54
1,26
1,15
2,12
1,99
2,75
2,62
Mar-14
0,62
0,61
1,41
1,24
2,40
2,06
2,95
2,64
EUR swap curves
Swap spreads
in bp (end of period)
2-year
5-year
10-year
30-year
Jun-14
0,65
0,69
1,49
1,34
2,47
2,14
3,00
2,67
Sep-14
0,72
0,76
1,63
1,44
2,55
2,21
3,07
2,70
Dec-14
0,92
0,90
1,82
1,58
2,65
2,32
3,17
2,74
Mar-15
1,17
1,01
2,05
1,68
2,87
2,39
3,30
2,76
EUR 10Y swap spread (bp)
30/12/2011
31/12/2012
30/10/2013
117
97
55
19
39
47
25
6
40
46
33
3
Dec-13
43
46
32
5
Mar-14
42
46
30
5
Jun-14
40
44
27
5
Sep-14
37
43
25
7
Dec-14
37
42
25
7
Mar-15
42
45
27
10
|
US bond & swap Markets
United States
30/12/2011
31/12/2012
Sovereign yields & spreads (end of period)
2-year
0,24
0,25
Fwd
5-year
0,83
0,72
Fwd
10-year
1,88
1,76
Fwd
30-year
2,89
2,95
Fwd
2Y - 5Y
59
48
2Y - 10Y
164
151
10Y - 30Y
102
119
30/10/2013
Sovereign spreads
30/12/2011
10Y spreads, in bp (end of period)
TNotes - Bund
5
TNotes - Gilt
-10
31/12/2012
30/10/2013
44
-7
85
-2
0,31
1,28
2,51
3,62
98
220
111
Dec-13
0,35
0,38
1,40
1,38
2,60
2,61
3,70
3,66
105
225
110
Mar-14
0,55
0,49
1,70
1,53
3,00
2,69
3,90
3,71
115
245
90
Jun-14
0,70
0,62
2,00
1,69
3,25
2,78
4,00
3,76
130
255
75
Sep-14
1,10
0,76
2,35
1,86
3,40
2,86
4,10
3,81
125
230
70
Dec-14
1,40
0,99
2,50
2,08
3,60
2,97
4,25
3,87
110
220
65
Mar-15
1,80
1,17
2,80
2,24
3,80
3,05
4,40
3,92
100
200
60
Dec-13
80
0
Mar-14
90
10
Jun-14
105
15
Sep-14
110
10
Dec-14
120
15
Mar-15
120
20
Dec-14
1,58
1,05
2,70
2,23
3,83
3,19
4,29
3,81
Mar-15
2,00
1,25
3,00
2,40
4,05
3,30
4,45
3,85
US 10Y sovereign interest rate
Swap rates
(end of period)
2-year
Fwd
5-year
Fwd
10-year
Fwd
30-year
Fwd
US 2-10Y slope (bp)
30/12/2011
31/12/2012
30/10/2013
0,73
1,22
2,03
2,62
-
0,39
0,86
1,84
2,80
-
0,41
1,41
2,63
3,57
-
Dec-13
0,48
0,46
1,55
1,52
2,77
2,72
3,69
3,61
Mar-14
0,69
0,56
1,86
1,67
3,19
2,83
3,91
3,65
Jun-14
0,85
0,67
2,17
1,84
3,45
2,94
4,02
3,70
Sep-14
1,27
0,81
2,54
2,01
3,62
3,05
4,13
3,74
US swap curves
Swap spreads
in bp (end of period)
2-year
5-year
10-year
30-year
US 10Y swap spread (bp)
30/12/2011
31/12/2012
30/10/2013
48,7
39,3
15,1
-27,9
14,5
14,2
8,2
-14,6
12,1
13,8
14,5
-3,6
Dec-13
13
15
17
-1
Mar-14
14
16
19
1
Jun-14
15
17
20
2
Sep-14
17
19
22
3
Dec-14
18
20
23
4
Mar-15
20
20
25
5
|
Bond & swap Markets : United Kingdom, Japan & Switzerland
United Kingdom
30/12/2011
Swap rates (end of period)
2-year
1,33
Fwd
5-year
1,56
Fwd
10-year
2,29
Fwd
30-year
3,01
Fwd
2Y - 5Y
24
2Y - 10Y
96
10Y - 30Y
72
31/12/2012
30/10/2013
0,71
1,02
1,87
2,97
31
116
110
0,79
1,61
2,54
3,21
82
175
67
Gilts
Yields (end of period)
10Y Gilt
30/12/2011
31/12/2012
30/10/2013
1,98
1,83
2,54
Dec-13
0,85
0,83
1,70
1,67
2,70
2,59
3,30
3,23
85
185
60
Mar-14
1,00
0,94
2,00
1,78
2,95
2,67
3,50
3,26
100
195
55
Jun-14
1,15
1,05
2,20
1,91
3,10
2,75
3,55
3,30
105
195
45
Sep-14
1,25
1,17
2,30
2,04
3,35
2,84
3,65
3,33
105
210
30
Dec-14
1,40
1,37
2,40
2,21
3,55
2,95
3,75
3,38
100
215
20
Mar-15
1,65
1,53
2,50
2,33
3,70
3,03
3,85
3,41
85
205
15
Dec-13
2,60
Mar-14
2,90
Jun-14
3,10
Sep-14
3,30
Dec-14
3,45
Mar-15
3,60
UK 10Y sovereign interest rate
UK 2-10Y swap slope (bp)
Japan
30/12/2011
2-year
0,38
Fwd
10-year
0,99
Fwd
2Y - 10Y
48
31/12/2012
30/10/2013
0,22
0,84
93
0,22
0,74
64
JGB
Yields (end of period)
10Y JGB
30/12/2011
31/12/2012
30/10/2013
0,99
0,79
0,60
Dec-13
0,25
0,22
0,80
0,77
64
Mar-14
0,25
0,23
0,85
0,81
70
Jun-14
0,25
0,24
0,90
0,85
70
Sep-14
0,25
0,25
1,00
0,89
75
Dec-14
0,30
0,28
1,05
0,95
75
Mar-15
0,35
0,30
1,15
0,99
70
Dec-13
0,70
Mar-14
0,75
Jun-14
0,80
Sep-14
0,90
Dec-14
0,95
Mar-15
1,00
Japan 10Y sovereign interest rate
Switzerland
30/12/2011
2-year
0,09
10-year
1,23
Japan 2-10Y swap slope (bp)
31/12/2012
30/10/2013
0,07
0,96
0,13
1,43
Dec-13
0,25
1,55
Mar-14
0,30
1,70
Jun-14
0,35
1,85
Sep-14
0,40
1,90
Dec-14
0,45
2,05
Mar-15
0,60
2,22
|
Equity Markets
Equity indices
Main indices (end of period)
S&P 500
QoQ Growth
EURO STOXX 50
QoQ Growth
DAX
QoQ Growth
CAC 40
30/12/2011
31/12/2012
30/10/2013
1258
1426
1763
2317
2636
3041
5898
7612
9010
3160
3641
4274
QoQ Growth
Dec-13
1800
2%
2970
-2%
8750
-3%
4075
Mar-14
1830
2%
2985
1%
8810
1%
4030
Jun-14
1870
2%
3055
2%
8970
2%
4090
Sep-14
1910
2%
3110
2%
9130
2%
4150
Dec-14
1950
2%
3150
1%
9300
2%
4200
-5%
-1%
1%
1%
1%
US Equity Market (S&P500)
European Equity Market (Eurostoxx 50)
Corporate Credit Spreads
Credit Spreads
30/12/2011
EUR Spreads (bp, end of period)
Investment Grade
174
High Yield
779
U.S. Spreads (bp, end of period)
Investment Grade
204
High Yield
738
31/12/2012
30/10/2013
114
505
88
381
Dec-13
90
400
Mar-14
90
400
Jun-14
85
390
Sep-14
80
390
Dec-14
75
380
Mar-15
75
380
143
531
147
443
150
460
150
460
130
455
125
450
125
450
120
440
Sources: iBoxx, Merrill Lynch, Natixis
Note: Investment Grade spreads are non-financial corporates
EUR spreads are expressed against sw ap, US spreads are option-adjusted spreads
Investment Grade EUR spread
High Yield EUR spread
|
Foreign exchange rates
G10 (end of period)
EUR/USD
EUR/GBP
EUR/CHF
EUR/SEK
EUR/NOK
GBP/USD
USD/JPY
USD/CNY
30/12/2011
31/12/2012
30/10/2013
1,30
0,83
1,22
8,92
7,74
1,55
77
6,30
1,32
0,81
1,21
8,58
7,34
1,63
87
6,23
1,37
0,86
1,24
8,78
8,10
1,60
99
6,09
Dec-13
1,33
0,84
1,23
8,70
8,00
1,59
101,00
6,10
Mar-14
1,30
0,82
1,25
8,50
7,80
1,58
103,00
6,10
Jun-14
1,28
0,82
1,25
8,45
7,60
1,57
104,00
6,04
Sep-14
1,27
0,82
1,26
8,40
7,50
1,55
105,00
5,98
Dec-14
1,26
0,81
1,28
8,30
7,40
1,55
106,00
5,94
Mar-15
1,25
0,81
1,29
8,20
7,30
1,55
107,00
5,90
Dec-14
1 070
61,50
2,45
12,85
1,03
0,88
0,76
Mar-15
1 065
61,00
2,50
12,85
1,02
0,87
0,75
EUR/USD
(end of period)
USD/KRW
USD/INR
USD/BRL
USD/MXN
USD/CAD
AUD/USD
NZD/USD
EUR/GBP
30/12/2011
31/12/2012
30/10/2013
1152
53,1
1,87
13,9
1,02
1,02
0,78
1064
55,0
2,05
12,9
0,99
1,04
0,83
1060
61,5
2,19
12,9
1,05
0,95
0,83
Dec-13
1 068
63,00
2,25
13,20
1,04
0,92
0,80
Mar-14
1 100
64,50
2,30
13,00
1,05
0,90
0,78
Jun-14
1 088
64,00
2,35
12,93
1,05
0,89
0,77
Sep-14
1 076
62,50
2,45
12,85
1,04
0,88
0,76
USD/JPY
USD/BRIC
|
Commodity markets
30/12/2011 31/12/2012
Energy prices
Brent spot
Future
WTI spot
Future
30/10/2013
107,6
110,6
109,0
98,8
91,8
96,8
Dec-13
106,0
109,3
101,0
97,2
Mar-14
110,0
107,7
105,0
96,6
Jun-14
107,0
106,3
101,0
94,8
Sep-14
108,0
104,8
106,0
93,0
Dec-14
107,0
103,3
103,0
91,4
Mar-15
109,0
101,8
107,0
89,9
Mar-15
Brent curve
Brent prices ($/bl)
30/12/2011 31/12/2012
30/10/2013
Metals
Dec-13
Mar-14
Jun-14
Sep-14
Dec-14
Gold
1564
1675
1345
1260
1200
1170
1200
1230
1250
Copper
Future
7590
7907
7287
7652
7294
7450
7294
7300
7300
7100
7313
6950
7324
6850
7333
Dec-14
11,5
Mar-15
11,5
Gold-Oil ratio
Copper prices
30/12/2011 31/12/2012
Cross indicators
Gold-Oil ratio (vs Brent)
14,5
15,1
30/10/2013
12,3
Dec-13
11,9
Mar-14
10,9
Jun-14
10,9
Sep-14
11,1
|
Avertissement/Disclaimer
Ce document et toutes les pièces jointes sont strictement confidentiels et établis à l’attention exclusive de ses destinataires. Ils ne sauraient être transmis à quiconque sans l’accord préalable écrit de
Natixis. Si vous recevez ce document et/ou toute pièce jointe par erreur, merci de le(s) détruire et de le signaler immédiatement à l’expéditeur.
Ce document a été préparé par nos économistes. Il ne constitue pas un rapport de recherche indépendant et n’a pas été élaboré conformément aux dispositions légales arrêtées
pour promouvoir l’indépendance de la recherche en investissement. En conséquence, sa diffusion n’est soumise à aucune interdiction prohibant l’exécution de transactions avant
sa publication.
La distribution, possession ou la remise de ce document dans ou à partir de certaines juridictions peut être limitée ou interdite par la loi. Il est demandé aux personnes recevant ce document de
s’informer sur l’existence de telles limitations ou interdictions et de s’y conformer. Ni Natixis, ni ses affiliés, directeurs, administrateurs, employés, agents ou conseils, ni toute autre personne accepte
d’être responsable à l’encontre de toute personne du fait de la distribution, possession ou remise de ce document dans ou à partir de toute juridiction.
Ce document et toutes les pièces jointes sont communiqués à chaque destinataire à titre d’information uniquement et ne constituent pas une recommandation personnalisée d’investissement. Ils sont
destinés à être diffusés indifféremment à chaque destinataire et les produits ou services visés ne prennent en compte aucun objectif d’investissement, situation financière ou besoin spécifique à un
destinataire en particulier. Ce document et toutes les pièces jointes ne constituent pas une offre, ni une sollicitation d’achat, de vente ou de souscription. Ce document ne peut en aucune circonstance
être considéré comme une confirmation officielle d'une transaction adressée à une personne ou une entité et aucune garantie ne peut être donnée sur le fait que cette transaction sera conclue sur la
base des termes et conditions qui figurent dans ce document ou sur la base d’autres conditions. Ce document et toutes les pièces jointes sont fondés sur des informations publiques et ne peuvent en
aucune circonstance être utilisés ou considérés comme un engagement de Natixis, tout engagement devant notamment être soumis à une procédure d'approbation de Natixis conformément aux
règles internes qui lui sont applicables.
Natixis n’a ni vérifié ni conduit une analyse indépendante des informations figurant dans ce document. Par conséquent, Natixis ne fait aucune déclaration ou garantie ni ne prend aucun engagement
envers les lecteurs de ce document, de quelque manière que ce soit (expresse ou implicite) au titre de la pertinence, de l’exactitude ou de l’exhaustivité des informations qui y figurent ou de la
pertinence des hypothèses auxquelles elle fait référence. En effet, les informations figurant dans ce document ne tiennent pas compte des règles comptables ou fiscales particulières qui
s’appliqueraient aux contreparties, clients ou clients potentiels de Natixis. Natixis ne saurait donc être tenu responsable des éventuelles différences de valorisation entre ses propres données et celles
de tiers, ces différences pouvant notamment résulter de considérations sur l’application de règles comptables, fiscales ou relatives à des modèles de valorisation. De plus, les avis, opinions et toute
autre information figurant dans ce document sont indicatifs et peuvent être modifiés ou retirés par Natixis à tout moment sans préavis.
Les informations sur les prix ou marges sont indicatives et sont susceptibles d’évolution à tout moment et sans préavis, notamment en fonction des conditions de marché. Les performances passées
et les simulations de performances passées ne sont pas un indicateur fiable et ne préjugent donc pas des performances futures. Les informations contenues dans ce document peuvent inclure des
résultats d’analyses issues d’un modèle quantitatif qui représentent des évènements futurs potentiels, qui pourront ou non se réaliser, et elles ne constituent pas une analyse complète de tous les
faits substantiels qui déterminent un produit. Natixis se réserve le droit de modifier ou de retirer ces informations à tout moment sans préavis. Plus généralement, Natixis, ses sociétés mères, ses
filiales, ses actionnaires de référence ainsi que leurs directeurs, administrateurs, associés, agents, représentants, salariés ou conseils respectifs rejettent toute responsabilité à l’égard des lecteurs de
ce document ou de leurs conseils concernant les caractéristiques de ces informations. Les opinions, avis ou prévisions figurant dans ce document reflètent, sauf indication contraire, celles de son ou
ses auteur(s) et ne reflètent pas les opinions de toute autre personne ou de Natixis.
Les informations figurant dans ce document n’ont pas vocation à faire l’objet d’une mise à jour après la date apposée en première page. Par ailleurs, la remise de ce document n’entraîne en aucune
manière une obligation implicite de quiconque de mise à jour des informations qui y figurent.
Natixis ne saurait être tenu pour responsable des pertes financières ou d’une quelconque décision prise sur le fondement des informations figurant dans la présentation et n’assume aucune prestation
de conseil, notamment en matière de services d’investissement. En tout état de cause, il vous appartient de recueillir les avis internes et externes que vous estimez nécessaires ou souhaitables, y
compris de la part de juristes, fiscalistes, comptables, conseillers financiers, ou tous autres spécialistes, pour vérifier notamment l’adéquation de la transaction qui vous est présentée avec vos
objectifs et vos contraintes et pour procéder à une évaluation indépendante de la transaction afin d’en apprécier les mérites et les facteurs de risques.
Natixis est agréée par l’Autorité de contrôle prudentiel (ACP) en France en qualité de Banque – prestataire de services d’investissements et soumise à sa supervision. Natixis est réglementée par l’AMF
(Autorité des Marchés Financiers) pour l’exercice des services d’investissements pour lesquels elle est agréée.
Natixis est agréée par l'ACP et réglementée par les « Financial Conduct Authority » et « Prudential Regulation Authority » pour ses activités au Royaume Uni. Les détails concernant la régulation
qu’exercent la Financial Conduct Authority et la Prudential Regulation Authority peuvent être obtenus sur simple demande à la Succursale de Londres.
Natixis est agréée par l’ACP et régulée par la BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) pour l’exercice en libre établissement de ses activités en Allemagne. Le transfert / distribution de
ce document en Allemagne est fait(e) sous la responsabilité de NATIXIS Zweigniederlassung Deutschland.
Natixis est agréée par l’ACP et régulée par la Banque d’Espagne (Bank of Spain) et la CNMV pour l’exercice en libre établissement de ses activités en Espagne.
Natixis est agréée par l’ACP et régulée par la Banque d’Italie et la CONSOB (Commissione Nazionale per le Società e la Borsa) pour l’exercice en libre établissement de ses activités en Italie.
Natixis, Négociateur pour compte de tiers et pour compte propre agréé à l’étranger, ne destine la diffusion aux Etats-Unis de cette publication qu’aux « major U.S. institutional investors », définis
comme tels selon les règles de la SEC. Ce document ne peut être distribué à aucune autre personne aux Etats-Unis. Chaque « major U.S. institutional investors » qui reçoit ce document, s'engage,
par cet acte, à ne pas en distribuer l'original ni une copie à quiconque. Natixis Securities Americas LLC, Négociateur pour compte de tiers et pour compte propre agréé aux Etats-Unis et membre de la
FINRA, est une filiale de Natixis. Natixis Securities Americas LLC n’est impliquée d’aucune manière dans l’élaboration de cette publication et en conséquence ne reconnaît aucune responsabilité quant
à son contenu. Cette publication a été élaborée et vérifiée par les analystes de Natixis, qui ne sont pas associés de Natixis Securities Americas LLC et n'ont pas fait l'objet d'un enregistrement
professionnel en tant qu'analyste auprès de la FINRA et ne sont donc pas soumis aux règles édictées par la FINRA.
This document (including any attachments thereto) is confidential and intended solely for the use of the addressee(s). It should not be transmitted to any person(s) other than the original
addressee(s) without the prior written consent of Natixis. If you receive this document in error, please delete or destroy it and notify the sender immediately.
This document has been prepared by our economists. It does not constitute an independent investment research and has not been prepared in accordance with the legal
requirements designed to promote the independence of investment research. Accordingly there are no prohibitions on dealing ahead of its dissemination.
The distribution, possession or delivery of this document in, to or from certain jurisdictions may be restricted or prohibited by law. Recipients of this document are therefore required to ensure that
they are aware of, and comply with, such restrictions or prohibitions. Neither Natixis, nor any of its affiliates, directors, employees, agents or advisers nor any other person accept any liability to
anyone in relation to the distribution, possession or delivery of this document in, to or from any jurisdiction.
This document (including any attachments thereto) are communicated to each recipient for information purposes only and do not constitute a personalised recommendation. It is intended for general
distribution and the products or services described therein do not take into account any specific investment objective, financial situation or particular need of any recipient. It should not be construed
as an offer or solicitation with respect to the purchase, sale or subscription of any interest or security or as an undertaking by Natixis to complete a transaction subject to the terms and conditions
described in this document or any other terms and conditions. Any undertaking or commitment shall be subject to Natixis prior approval and formal written confirmation in accordance with its current
internal procedures. This document and any attachments thereto are based on public information.
Natixis has neither verified nor independently analysed the information contained in this document. Accordingly, no representation, warranty or undertaking, express or implied, is made to the
recipients of this document as to or in relation to the accuracy or completeness or otherwise of this document or as to the reasonableness of any assumption contained in this document. The
information contained in this document does not take into account specific tax rules or accounting methods applicable to counterparties, clients or potential clients of Natixis. Therefore, Natixis shall
not be liable for differences, if any, between its own valuations and those valuations provided by third parties; as such differences may arise as a result of the application and implementation of
alternative accounting methods, tax rules or valuation models. In addition, any view, opinion or other information provided herein is indicative only and subject to change or withdrawal by Natixis at
any time without notice.
Prices and margins are indicative only and are subject to changes at any time without notice depending on inter alia market conditions. Past performances and simulations of past performances are
not a reliable indicator and therefore do not predict future results. The information contained in this document may include the results of analysis derived from a quantitative model, which represent
potential future events, that may or may not be realised, and is not a complete analysis of every material fact representing any product. The information may be amended or withdrawn by Natixis at
any time without notice. More generally, no responsibility is accepted by Natixis, nor any of its holding companies, subsidiaries, associated undertakings or controlling persons, nor any of their
respective directors, officers, partners, employees, agents, representatives or advisors as to or in relation to the characteristics of this information. The opinions, views and forecasts expressed in this
document (including any attachments thereto) reflect the personal views of the author(s) and do not reflect the views of any other person or Natixis unless otherwise mentioned.
It should not be assumed that the information contained in this document will have been updated subsequent to date stated on the first page of this document. In addition, the delivery of this
document does not imply in any way an obligation on anyone to update such information at any time.
Natixis shall not be liable for any financial loss or any decision taken on the basis of the information contained in this document and Natixis does not hold itself out as providing any advice, particularly
in relation to investment services. In any event, you should request for any internal and/or external advice that you consider necessary or desirable to obtain, including from any financial, legal, tax
or accounting advisor, or any other specialist advice, in order to verify in particular that the investment(s) described in this document meets your investment objectives and constraints and to obtain
an independent valuation of such investment(s), its risks factors and rewards.
Natixis is authorised in France by the Autorité de contrôle prudentiel (ACP) as a Bank –Investment Services providers and subject to its supervision. Natixis is regulated by the AMF in respect of its
investment services activities.
Natixis is authorised by the Autorité de Contrôle Prudentiel and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our
regulation by the Financial Conduct Authority and Prudential Regulation Authority are available from us on request.
Natixis is authorised by the ACP and regulated by the BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) for the conduct of its business in Germany. The transfer / distribution of this document in
Germany is done by / under the responsibility of NATIXIS Zweigniederlassung Deutschland.
Natixis is authorised by the ACP and regulated by Bank of Spain and the CNMV for the conduct of its business in Spain.
Natixis is authorised by the ACP and regulated by Bank of Italy and the CONSOB (Commissione Nazionale per le Società e la Borsa) for the conduct of its business in Italy.
Natixis, a foreign bank and broker-dealer, makes this research report available solely for distribution in the United States to major U.S. institutional investors as defined in Rule 15a-6 under the U.S.
Securities Act of 1934. This document shall not be distributed to any other persons in the United States. All major U.S. institutional investors receiving this document shall not distribute the original
nor a copy thereof to any other person in the United States. Natixis Securities Americas LLC a U.S. registered broker-dealer and member of FINRA is a subsidiary of Natixis. Natixis Securities
Americas LLC did not participate in the preparation of this research report and as such assumes no responsibility for its content. This research report has been prepared and reviewed by research
analysts employed by Natixis, who are not associated persons of Natixis Securities Americas LLC and are not registered or qualified as research analysts with FINRA , and are not subject to the rules
of the FINRA.
|

Consult the monthly economic Research November 2013

Transcription

Documents pareils

Labco secures €728 million in funding to accelerate European

PR PPP - racine

January 19, 2015 - BNP Paribas Personal Finance

Natixis Assurances

PR nominations CA

French Ratings - Moneta Asset Management

NATIXIS STRUCTURED PRODUCTS LIMITED Financial Statements

The shale gas - research.natixis.com

flanders expo gent - la Galerie BALASTRA

a note on Cooperative Banks - V-Lab