Halister News

(Bloomberg) -- EUR 2s10s swaption implied volatility curve may steepen from near the lower end of a multi-year range should ECB refrain from acting on bund scarcity this week, Bloomberg strategist Tanvir Sandhu writes; see chart here.

• EUR 2s10s now at 28bp/annual vs 5-year average of 30bp
• Over the last week, belly gamma implieds have outperformed with 1m5y +0.20bp/day at 2.32bp/day (see swaption spreadsheet here)
• Economists predict ECB won’t ease policy further at Thursday’s meeting; the central bank may hint at steps it could take in September and possibly even tweak QE to address bund scarcity; see ECB PREVIEW here
• However, vol curve could flatten if ECB acts to address bund scarcity
  • Any removal of depo floor should increase vol at the front end, pushing the vol curve flatter
  • Eonia currently pricing 97% odds of a 10bps ECB deposit rate cut in Jan. assuming 7bps Eonia-depo rate corridor
  • German 2Y yields trading 21bp below the depo rate reflect increasing expectations of ECB making adjustments to QE parameters to tackle increasing scarcity of bunds: see more here

• NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for First Word. The observations he makes are his own and are not intended as investment advice.

(Bloomberg) -- Credit market demand-supply dynamics remain strong and the path of least resistance for secondary corporate spreads seems to remain tighter as all eyes turn to today’s ECB rate decision, Bloomberg strategist Simon Ballard writes.

• EUR, GBP and USD credit quality curves continue to flatten as lower-quality bonds offer yield appeal
  • Asian credit markets strengthened overnight on stimulus hopes, current buoyant corporate earnings season; supportive technicals and fundamentals
• Yet credit market sentiment remains susceptible to macro and geopolitical headline risk amid Turkey’s three-month state of emergency, Brexit negotiations uncertainty, U.S. elections
• Risk Appetite Model highlights still robust nature of credit demand-supply dynamics as summer lull approaches
• CDX IG closed -1.1bps at 75.25 in overnight session; iTraxx Asia Ex Japan IG currently -0.7bps at 119.10 and iTraxx Australia is currently -1.2bps at 109.12

NEWS

• Corporate News
• Unilever 2Q Underlying Sales Growth Beat, 1H Core EPS In Line
• Daimler’s Mercedes Profit Margin Drops on New E-Class Sedan
• Swatch First-Half Profit Declines to Lowest in Seven Years
• Severstal 2Q Ebitda up 93% Q/q to $526m; Est. $546m
• Euromoney 3Q Rev. Fell by 1% to GBP104.7m; Sept. Visibility Low
• Britvic 3Q Rev. Beats Ests.; Keeps Outlook Unchanged
• Thule 2Q Underlying Ebit, Net Sales Beat Ests.
• EasyJet 3Q Revenue Misses Estimate
• SABMiller First-Quarter Sales Gain as Brewer Awaits Takeover
• Hermes 2Q Sales Constant FX Beat Ests., Sees 1H Profit Up Y/y
• Saab 2Q Operating Profit Misses Estimates; Keeps 2016 Outlook
• Publicis 1H Rev. Beats; Sees Tougher 3Q on 2015 Account Losses
• Roche First-Half Profit Rises 7% as Cancer Drugs Get Combined
• ABB Profit Beats Estimates as China Continues to Invest in Grids
• Metso 2Q Sales Miss; Still Sees Weaker Trading Conditions

• Financial News
• Danske Bank Second-Quarter Profit Slips, Missing Estimates
• Swedbank Profit Jumped 71% in Second Quarter, Beating Estimates
• Bankinter 1H Net EU286M, Misses EU319M Estimate
• Close Bros Says Continuing to See Net Inflows, No Brexit Impact
• Russia Revokes License of Moscow-Based Bank ABB

• Credit Rating News
• S&PGR Affirms Standard Chartered Bank (Taiwan) Rtgs; Otlk Pos
• Moody’s affirms Export-Import Bank of Malaysia’s ratings; outlook stable

• Other News
• HSBC’s Johnson Out on Bond After Airport Arrest in Currency Case
• Singapore Takes Aim at Banks Over 1MDB Lapses; Seizes Assets
• Trump Chooses War With Cruz at Convention Aimed at Unification

ANALYST VIEWS

• In a central bank driven world, macro factors continue to trump idiosyncratic and sector specific stories. Beta is what matters most for positioning: Commerzbank

NEW ISSUES

• HSH Nordbank EU350m 0.375% 4/2023 Covered Tap MS +18
• EIB EU300m 1% 3/2031 Tap MS -16
• Schleswig-Holstein EU300m 0% 7/2018 MS -14
• CBA EU1.25b 10Y Covered Bond MS +20
• NRW Bank $1b 3Y Reg S MS +28
• FMS Wertmanagement $200m 10/2020 FRN Tap 3mL +19
• Goldman Sachs EU2b 5Y FRN 3mE +100, EU2b 10Y MS +130
• Teva Total EU4b 4Y, 8Y, 12Y Fixed Notes
• Gamenet EU200m 5NC1.5 Senior Secured 6%
• Bank of America EUR 3Y FRN, EUR 7Y, GBP 9Y
• 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.

--MARTIJN VAN DER STARRE

(Bloomberg) -- Bangladesh expects Philippines’ Anti-Money Laundering Council to turn over within a month $15m returned by casino junket operator Kim Wong, Ambassador John Gomes says at forum in Manila.

• Philippine court on July 7 ordered forfeiture of $15m turned over by Wong, subject to claim by any third parties: AMLC legal officer Arnold Frane
• Bangladesh in process of producing document proving it owns $15m so it could get hold of money within a month: Gomes
• NOTE: Wong, who’s tagged in $81m cyber heist, in May turned over to Anti-Money Laundering Council 250m pesos representing last tranche of funds he received from two Chinese nationals linked to stolen Bangladesh funds Link