HALISTER1: Fade Inversion in EUR Rates Vol Term Structures: Commerzbank

Fade Inversion in EUR Rates Vol Term Structures: Commerzbank

(Bloomberg) -- Short-gamma implied vols in EUR ultra-long tails still seem rich compared to medium-term expiries, Commerzbank strategist Markus Koch writes in client note.
  • Fade currently inverted term structures through a long calendar trade
  • Sell 3-mo. EUR straddles vs vega-neutral buying 6-mo. expiries in EUR 30y tails
    • Look for the curve ratio to drop from currently 104% into double digit territory
  • Volatility delivered by ultra-long EUR IRS is going to level off with major event risks out of the room and the Fed unlikely to provide tangible guidance for now
  • Other risks, for example Italian banks, still justify a normally sloped delivered term structure (derived from IRS forwards) with no quick fix at hand
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Markus Koch (Commerzbank AG)

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UUID: 7947283

HALISTER: A Bank Account That Pays Interest in a New Currency: Mobile Data

A Bank Account That Pays Interest in a New Currency: Mobile Data

Alert: HALISTER
Source: BN (Bloomberg News)

Tickers
MA US (MasterCard Inc)
F5R GR (FIDOR Bank AG)
O2D GR (Telefonica Deutschland Holding AG)
TEF SM (Telefonica SA)

People
Leonhard Bayer (Hauck & Aufhaeuser Inst Rsch)

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UUID: 7947283

HALISTER1: EU CREDIT DAILY: No ECB Surprise; Vodafone Revenue, NAB Exits

EU CREDIT DAILY: No ECB Surprise; Vodafone Revenue, NAB Exits

(Bloomberg) -- The general grind tighter in credit spreads should be underpinned by Draghi’s net accommodative rhetoric after ECB left policy unchanged yesterday, even as an expected seasonal liquidity decline across risk-asset markets sets in, Bloomberg strategist Simon Ballard writes.
  • Overnight weakness in Asian equities may damp EUR synthetics’ price action this morning, but depth of risk appetite highlighted in recent EUR credit-quality curve compression
    • EUR HY/IG yield spread currently 312bps, from 496bps high Feb 24; Bloomberg data
    • GBP HY/IG yield spread currently 353bps; 398bps post- Brexit high, at peak of risk aversion
  • Macro focus today: July manufacturing, services and composite PMI data
  • Risk Appetite Model remains well anchored by fundamentals and technicals as ECB maintains accommodative stance
  • CDX IG closed +1.6bps at 76.87 in overnight session; iTraxx Asia Ex Japan IG currently -1.0bps at 119.18 and iTraxx Australia quoted +1.2bps at 110.25
NEWS
  • Corporate News
  • Vodafone 1Q Organic Service Rev. Growth 2.2%
  • Swedish Match 2Q Sales Beat Estimates, Operating Profit Meets
  • Philips Lighting’s Debut Profit Jumps on Soaring Sales of LEDs
  • Beazley 1H Gross Premiums Up 2%, Net Premiums Up 6%; Pretax Down
  • Lindt 1H Sales In Line, Sees Meeting 2016 Organic Sales Targets
  • SSAB 2Q Sales Beat Ests.; Expects Stable Underlying Demand in 3Q
  • Syngenta 1H Ebitda Misses Ests; Confident on ChemChina Closing
  • AT&T Sales Fall Short as TV Viewer Losses Continue to Mount
  • Financial News
  • Sabadell 1H Net EU425.3M Vs EU352.2m Yr Earlier
  • Goldman Said to Plan Buyout Fund Wielding Up to $8 Billion
  • Bankia 2Q Net ex CNB EU245m; Bad Loans Ratio Declines
  • National Australia’s Overhaul Leads to Exit of Top Managers
  • Credit Rating News
  • Fitch Rates CIMB Thai Bank’s Short-Term Program at ’F1+(tha)’
  • Fitch: Australia Non-Life Insurers Earnings May Improve in 2016
  • S&PGR Takes Various Rtg Actions On 18 US RMBS Deals
  • Other News
  • Brexit Fallout Has Danske CEO Bracing for Longer Negative Rates
  • Schlumberger Joins Halliburton in Calling Bottom of Oil Downturn
ANALYST VIEWS
  • Italy banks need EU30b-EU100b; sell into any strength: Berenberg
  • Defaults are rising, but China’s onshore bond market appears to have recovered quickly from the panic in April: CreditSights 
NEW ISSUES
  • State of Hessen EU200m 2y MS -17
  • L-Bank $1.85b 2Y Reg S FRN 3mL +17
  • Teva Pharmaceutical CHF1b 3-Part Deal
  • Viesgo EU150m 2.875% 2026 Tap MS +192
  • European IG credit pipeline here and HY credit pipeline here
  • Issuers exposed to S-T rollover and interest-rate reset risk here
  • NOTE: Simon Ballard is a credit strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice.
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
2539Z GR (European Central Bank)
VOD LN (Vodafone Group PLC)

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UUID: 7947283

HALISTER: Goldman Sees Significant Jump in China Capital Outflows in June

Goldman Sees Significant Jump in China Capital Outflows in June

Alert: HALISTER
Source: BN (Bloomberg News)

Tickers
GS US (Goldman Sachs Group Inc/The)

People
Guy Ryder (International Labor Organization/Switzerland)
Jim Kim (World Bank Group/The)
Jose Gurria Trevino (Organization for Economic Co-operation & Development)
Malcolm Scott (Malcolm Scott Holdings Ltd)
Mark Carney (Bank of England)

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UUID: 7947283