HALISTER1: WHAT TO WATCH: Greek Deal Expected Even as IMF Digs in Its Heels

WHAT TO WATCH: Greek Deal Expected Even as IMF Digs in Its Heels

(Bloomberg) -- Greek government bonds could continue to rebound if the nation’s creditors agree on a deal in the weeks ahead, if not at today’s Eurogroup meeting, analysts say.
  • Agreement could pave the way for GGBs to become eligible for ECB QE and spur a rally; on the flip side, there are still areas of contention between the govt, the IMF and the EU that could trigger market volatility, analysts say
  • NOTE: Euro area finance ministers are due to discuss Greece in Brussels this afternoon from 2pm London time
  • WHAT ARE THE STICKING POINTS?
  • While the IMF wants Greece to put in place EU3.6b of contingency fiscal measures, the country’s authorities say this would be unconstitutional
  • The fund and the EU disagree about what impact the current measures will have on Greece’s primary surplus by 2018, with the IMF reportedly calling for the target to be lowered to 1.5% from 3.5%, which would imply a higher level of debt restructuring
  • German Economy Minister Sigmar Gabriel says further austerity in the country would stanch country’s economic growth
  • While Germany remains opposed to a Greek debt haircut, there is a readiness to discuss debt-relief measures, spokesperson Steffen Seibert says
WHAT’S THE LATEST?
  • Greek lawmakers approved govt’s pension and income-tax reform bill with majority of 153 votes in country’s 300-seat chamber, according to parliament speaker
  • A new MOU pact has been drawn up ahead of discussions, which paves the way for new austerity measures equal to as much as 2% of GDP, in the event Greece missed its surplus targets
  • Technical tools, including interest rates and schedule, may be studied to help reduce burden of Greek debt, EU Economy Commissioner Pierre Moscovici said Sunday on BFM TV, a French channel.
  • IMF Director Christine Lagarde says the fund won’t join a European bailout of Greece until differences with the European creditors are resolved
WHAT’S THE LIKELY OUTCOME?
  • No deal is expected today, but the target is still the Eurogroup on May 24, RBC analysts say
  • JPMorgan analysts Marco Protopapa and Aditya Chordia expect changes in debt maturity and interest rates, helping to improve debt sustainability; may still need debt relief again in the future but expect that to be forthcoming
  • Athanasios Vamvakidis, strategist at BofA Merrill Lynch, expects a deal before the July payment to the ECB falls due
  • RBS analysts say parties will be aware of the risk that headlines on Greece risk interfering with the Brexit vote, so any decision could be delayed until July
  • But Commerzbank analysts think the EU will be incentivized to avert any escalation of the Greek issue given the migrant crisis and U.K. referendum vote
    • They do, however, think there’s a risk the IMF won’t participate in the third rescue package, a view echoed by SocGen analysts
WHAT DOES IT MEAN FOR MARKETS?
  • Greek two-year govt bonds are the worst performers in Europe so far in 2016; the 10-year notes are the second worst, behind Portugal
  • Morgan Stanley economists expect the bailout review to be concluded, paving the way for debt re-profiling, ECB QE, lifting of capital controls and economic recovery
    • There’s upside potential toward 81 cents on the GGBs if that is the case, strategists at the bank including Robert Tancsa write in note to clients; the 10-year notes are now trading at 71 cents
  • Roubini analysts expect rating upgrades from Fitch or Moody’s in next 12 months if Greece gets through first review with some kind of an agreement on debt relief, pushing Greek CDS and sovereign yields lower
  • UBS Wealth Management analysts, though, recommend selling into any rally in GGBs after a deal and ECB QE inclusion
  • Eurasia’s Mujtaba Rahman says the standoff between Greece’s creditors over debt relief and the U.K. vote are two potentially significant market issues that aren’t being priced in
    • While ECB QE may limit market fears, it may not be able to fully contain them, he says in client note, suggesting there could be some market volatility ahead
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
1004Z GA (Hellenic Republic)
13347Z US (International Monetary Fund)

People
Aditya Chordia (JPMorgan Chase & Co)
Athanasios Vamvakidis (Merrill Lynch International)
Christine Lagarde (International Monetary Fund)
Marco Protopapa (JP Morgan Securities LLC)
Mujtaba Rahman (Eurasia Group)

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UUID: 7947283

HALISTER1: *VALEANT SEES FILING 10-Q ON/BEFORE JUNE 10, REAFFIRMS 1Q VIEW

*VALEANT SEES FILING 10-Q ON/BEFORE JUNE 10, REAFFIRMS 1Q VIEW

Alert: HALISTER1
Source: BN (Bloomberg News)

Tickers
VRX CN (Valeant Pharmaceuticals International Inc)

People
Chris Kittredge (Sard Verbinnen & Co)
Jared Levy (Sard Verbinnen & Co)
Laurie Little (Valeant Pharmaceuticals International Inc)
Renee Soto (Sard Verbinnen & Co)

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UUID: 7947283

HALISTER1: Buy EUR 2y5y Payer Swaptions vs 1y1y5y to Hedge Higher Rates: SG

Buy EUR 2y5y Payer Swaptions vs 1y1y5y to Hedge Higher Rates: SG

(Bloomberg) -- Current EUR swaption levels are attractive to set up hedges against a scenario of eventually higher rates in one or two years’ time, Societe Generale strategist Adam Kurpiel writes in client note.
  • Buy cheap EUR 2y5y payers vs 1y1y5y mid-curve payers (same strike and notional)
  • If in a year’s time, rates remain lower or equal to their current 1y forwards, the 1y1y5y payer expires OTM and the strategy becomes, a pure long 1y5y payer, at today’s 2y5y ATMF strike (0.37%)
  • Longer term, if rates eventually increase, vols will follow higher
  • At expiry of the 1y1y5y option, mark-to-market PnL is 2bp running if rates and vol remain at current levels and ~10bp running if forwards realize
  • Risks: Until expiry of 1y1y5y, strategy is short gamma, but the mark-to-market risk is limited to the premium paid
    • Longer term, risk of unlimited losses if rates increase sharply in a year’s time and then decrease back below the 2y5y ATMF strike
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Adam Kurpiel (Societe Generale SA)

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UUID: 7947283

HALISTER1: MORE: Romania Seizes KMG International Assets, Refinery

MORE: Romania Seizes KMG International Assets, Refinery

(Bloomberg) -- Authorities seize assets worth 1.7b lei, $291m and 34.9m euros, prosecutors say in statement posted on their website.
  • Probe involves 14 suspects who are accused of having formed criminal group to defraud Romanian state during 1998 privatization of Rompetrol, as KMG International was known then, prosecutors say, without naming suspects
  • Charges include money laundering, tax fraud, stock exchange manipulation
  • NOTE: Romania Said to Seize KMG International Assets, Refinery: Digi24
Story Link:NSN O6WH196JIJUV
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
RDGZ KZ (KazMunaiGas Exploration Production JSC)

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UUID: 7947283