HALISTER1: BTP Yields to Rise Up to 50 BPs If U.K. Votes to Leave: Goldman

BTP Yields to Rise Up to 50 BPs If U.K. Votes to Leave: Goldman

(Bloomberg) -- In a “leave’ outcome, expect yield differential between 10Y UST and 10Y BTPs to go back to positive for the first time since the announcement of ECB QE, Goldman Sachs strategist Francesco Garzarelli writes in client note.
  • Estimates BTP yields could increase between 30 bps and 50 bps, assuming that the uncertainty shock ranges between the one seen around the Scottish referendum (lower bound), or the Lehman crisis (upper bound)
  • ECB would be limited to increasing the purchases within the existing flexibility of the program
  • Rough estimate suggests ECB is removing $3.5m per basis point from the market on a daily basis, of which around $1.0m-$1.5m in the periphery
  • Bigger moves in yields would possibly result in changes to the parameters of the QE program subject to the political economy constraints
  • These changes could eventually extend to an increase in peripheral-market purchases relative to the present ‘capital key’ based QE allocations
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
2539Z GR (European Central Bank)

People
Francesco Garzarelli (Goldman Sachs Group Inc/The)

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HALISTER1: FX MACRO SCORECARD: India’s Rupee May Withstand Rajan Departure

FX MACRO SCORECARD: India’s Rupee May Withstand Rajan Departure

(Bloomberg) -- The imminent departure of well-respected Reserve Bank of India governor Raghuram Rajan is a genuine blow to INR, but fundamentals remain very positive, Bloomberg strategist Mark Cudmore writes.
  • NOTE: Click here for today’s FX macro fundamental scorecard
Currencies’ long-term bullish/bearish bias:
  • PHP and IDR overall biases remain bullish
  • JPY overall bias turns neutral from bearish as momentum continues to be yen-positive
  • USD overall bias turns bearish from neutral, with short-term momentum clearly negative
  • EUR overall bias remains bearish
  • Rajan is very respected by markets and his departure at the end of his term in Sept. would leave his reform process unfinished, weighing on INR fundamentals
    • However, fundamentals are easing from a high level and remain very positive
    • India’s real GDP growth is the fastest among G-20 economies
    • According to IMF PPP metrics, INR is now the most undervalued out of all tradeable liquid currencies
    • With high real yield, bond market will remain attractive after current risk-aversion abates
  • INR momentum is currently very negative but when momentum stabilizes, rupee can return to being one of the best- performing currencies on a total return basis, as it was in both 2014 and 2015
  • Any aggressive rise in commodity prices would be a risk to watch as India is a major commodity importer
  • NOTE: Goldman Sees Rupee Selloff Curbed as Investors Look Beyond Rajan
  • NOTE: The FX Macro Fundamental Scorecard presents long-term relative-value comparisons; current trading dynamics are captured by the trend/momentum filter, which is based on momentum indicators against primary trading partners across four time spans
  • NOTE: Mark Cudmore is a former FX trader 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
RBI IN (Reserve Bank of India)

People
Raghuram Rajan (Reserve Bank of India)

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HALISTER1: WHAT TO WATCH: New Spain Vote No Guarantee Deadlock Will End

WHAT TO WATCH: New Spain Vote No Guarantee Deadlock Will End

(Bloomberg) -- Opinion polls suggest Spanish elections this week will once again provide no clear winner. Leftist political grouping Podemos may take second place, suggesting a number of outcomes are still possible, analysts say.
  • While an uncertain outcome is widely expected, the makeup of any eventual government could spur a widening in bond spreads, especially as Spain will go to the polls just days after the U.K. referendum on EU membership, they add
WHO’S WHO?
  • The People’s Party or Partido Popular (PP) came first in the last election in 2015 but its share of seats fell to 123 from 186; while the party’s standing has been wracked by a series of scandals, it retains pole position in recent voter surveys with 120 seats (30.2%) in an El Periodico survey and 30% on avg in last 5 polls
  • The Socialist party (PSOE), which took second place in December with 90 seats has been pushed into third place in recent polls
  • Anti-establishment party Podemos challenging the Socialists’ monopoly over progressive voters in the 2015 election; after talks to form a govt with other parties came to nothing, it formed an alliance with Izquierda Unida; the combined Unidos Podemos (UP) is polling second with 24.9% compared to 71 seats last time around
    • A Metroscopia poll published in El Pais suggests a PSOE and Podemos coalition would have 175 seats, one short of majority, while a Sigma Dos poll published in El Mundo says they would have 170 in any coalition
  • Newly emergent pro-market party Ciudadanos is in fourth place, polling close to the 13.9% percentage it secured at the vote in December
WHAT’S NEXT?
  • Voting takes place on June 26; polls close at 8pm and an exit poll is due shortly after
  • The new parliament is likely to be formed by July 21 as it has to be convened within 25 days of the vote; after that, the king will nominate a candidate for PM
  • If nominee doesn’t get an absolute majority, a second vote will be held 48 hours later where only a simple majority is needed
  • After that, congress has two months to elect a PM before new elections would need to be called
  • The European Commission will decide on whether to sanction Spain for breaching budget limits in July
WHAT’S THE LIKELY OUTCOME?
  • Teneo analyst Antonio Barroso says the probability of a PP- led minority government is 55% and sees a 30% likelihood of a left-wing government; the latter relies on the PSOE and UP groups having enough seats between them to not need the support of pro-independence parties
  • UBS analysts including Reinhard Cluse write there may be greater incentives to form a coalition and avoid a hung parliament this time, but the outcome still seems unclear
    • A left coalition does seem possible this time around, they say
  • Berenberg’s Holger Schmieding sees a 25% likelihood of a left-left government, which he says would probably shy away from a full confrontation with the EU about fiscal policy
  • JPMorgan analysts Gianluca Salford and Aditya Chordia still expect the PP to be part of the next government as their central case, either as part of a grand coalition or minority government with external support
  • Barclays analysts Apolline Menut and Antonio Garcia Pascual see a minority government before the summer break as the most likely outcome, with one led by the PP more likely than one led by the socialist PSOE, likely leading to policy inertia
  • UniCredit analysts including Luca Cazzulani say the least likely outcome is an alliance of Podemos, PSOE and Ciudadanos as prior attempts didn’t succeed
    • If PSOE comes in third, it wouldn’t be willing to join Podemos as a junior coalition partner and run the risk of being permanently overshadowed by the movement
HOW TO TRADE IT?
  • UBS analysts say Spain sovereign bond spreads may tighten on a grand coalition, with the 10Y sector narrowing by as much as 25bps vs Germany and 15bps vs Italy; after the initial phase, much would depend on the specifics of any budgetary agreement
    • A left-wing coalition will likely drive a widening of spreads, with the 10Y moving 50bp or so wider vs bunds and 30bps wider vs Italy, although much of that may take place before the vote
  • Barclays’s Menut and Garcia Pascual say Spanish assets will continue to underperform relative to what economic fundamentals would justify in the event of a minority govt; that said, expect Italy’s sovereign risk profile to worsen relative to Spain’s ahead of the former’s referendum on the constitutional reform in October, suggesting spreads could tighten
  • UniCredit analysts say a result similar to the current parliament won’t come as a surprise so don’t see much room for SPGB underperformance ahead of vote
    • On the medium-term horizon, if the political situation improves, better macro fundamentals speak for further tightening of SPGBs vs BTPs; if Podemos make a strong showing, expect political uncertainty to weigh on SPGBs
  • Rabobank analysts say shorting Spanish bonds vs Italy appeals as a cautious tactical play ahead of the U.K. referendum on Thursday as SPGBs may underperform as the market’s focus shifts to the Spanish vote
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Aditya Chordia (JPMorgan Chase & Co)
Antonio Barroso (Teneo Intelligence)
Antonio Garcia Pascual (Barclays PLC)
Apolline Menut (Barclays PLC)
Gianluca Salford (JPMorgan Chase & Co)

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HALISTER1: EU CREDIT DAILY: Watching Polls; BHP Raises, AXA Seeks Cost-Cuts

EU CREDIT DAILY: Watching Polls; BHP Raises, AXA Seeks Cost-Cuts

(Bloomberg) -- While credit markets have rallied even as the latest aggregate polls on the U.K.’s EU referendum suggest the vote is too close to call, the potential for further volatility remains elevated, Bloomberg strategist Simon Ballard writes.
  • Stronger Asian credit markets overnight should underpin Europe at the open; some investors are reducing or hedging GBP risk exposure into strength
  • German ZEW survey on macro radar today; median forecast is for reading of 4.8 vs 6.4 in May
  • Risk-on sentiment may leave GBP corporate spreads susceptible to sharp widening on Friday if the vote is to leave the union
    • Risk Appetite model pricing in elevated volatility, even as spread dispersion remains anchored
  • CDX IG closed +0.4bps to 80.12 in overnight session; iTraxx Asia Ex Japan IG currently -1.7bps to 141.35
NEWS
  • Corporate News
  • BHP Billiton Raises FY16 Met Coal Target; Trims Thermal Guidance
  • Whitbread 1Q Premier Inn LFL Sales Above Ests.
  • Petrofac Sees 2016 Net in Line With Previous Forecasts
  • Photo-Me FY Pretax Up, to Pay Special Div., Sees FX Uncertainty
  • Huber & Suhner Sees ‘Significantly Higher’ 1H Profit
  • Mitsubishi Motors to Forecast First FY Loss in 8 Years: Yomiuri
  • Kion, Forklift Maker, to Buy Dematic for $2.1 Billion
  • Financial News
  • Axa Seeks EU2.1b Pre-Tax Cost Savings by 2020, Earnings Growth
  • BofA Faces High Stress as Fed Test Verdict Hits With Brexit Vote
  • Nordea Rejects Capital Shortfall Speculation After Media Reports
  • How Abu Dhabi Megabank Would Square With Rivals in Four Charts
  • Rabobank to Close Equity Research and Trading Desks: FD
  • Credit Rating News
  • S&PGR Rates Korea Land and Housing Upsized MTN Program ’AA-’
  • Fitch Revises Outlook on Bangkok Mass Transit Bonds to Negative
  • Other News
  • Germany’s ECB ‘Brexiteers’ Face Final Ruling on OMT Challenge
  • Brexit Vote in Balance as Polls Differ Over Which Side Leads
  • ECB Set to Test Attraction of Paying Banks to Take Its Money
ANALYST VIEWS
  • If we vote to remain in the EU, we dare say that there there will be another session like the one we saw yesterday -- then things will go back to normal, quickly: creditmarketdaily.com
  • S. Europe Banks Exposed Most to Brexit 2nd Round Risk: Bernstein
NEW ISSUES
  • Christian Dior EU350m 5Y MS +82
  • 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
BHP AU (BHP Billiton Ltd)

Topics
Leveraged Finance

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HALISTER1: Korean Won, Taiwan Dollar, Rupee Forwards Most Active on DTCC

Korean Won, Taiwan Dollar, Rupee Forwards Most Active on DTCC

(Bloomberg) -- USD/KRW non-deliverable forwards account for 38.9% of total volume today, according to trades reported to DTCC; USD/TWD second-most active at 16.2%, USD/INR third at 11.7%.
  • Notional amounts traded include:
    • $250m+ of USD/KRW at 1,159.10: matures Nov. 23
    • $250m+ of USD/KRW at 1,161.30: matures Nov. 23
  • Total volume $7.4b as of 2:48pm HKT; global total yday was $61.5b, with USD/BRL accounting for 22.6%
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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HALISTER1: EGB Index Extension Supportive for Long-End of Curves: Citi

EGB Index Extension Supportive for Long-End of Curves: Citi

(Bloomberg) -- Effective duration of European Govt Bond Index expected to extend by 0.07yrs at the end of June, which is in line with 5-year median change, Citigroup strategists Saumesh Dutta and Aman Bansal write in client note.
  • Among individual countries, largest extension is in Belgium, driven by long-end supply, OLO 3.5% 06/2017 dropping out of the index
  • Weighted duration change is most relevant for EGB portfolios; French index projected to extend the most, followed by Spain, Germany
  • NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)
    • Very significant for EGBI portfolio managers as they attempt to keep it unchanged through month-end rebalancing: Citi
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Aman Bansal (Citigroup Inc)
Saumesh Dutta (Citigroup Inc)

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