Helaba Research
FIXED INCOME DAILY
AUTHOR
Viola Julien
Ulrich Wortberg
+49 69/ 91 32-18 91
[email protected]


SALES
Savings Banks
+49 69/91 32-17 06/
-17 15/-18 15
+49 211/ 30174-9286
Institutionals
+49 69/91 32-18 30
+49 211/ 30174-92 83
Banks
+49 69/91 32-20 45/
-11 96
Corporates
+49 69/91 32-17 00/
-14 42
Public Authorities
+49 69/91 32-26 64/
-48 20/-24 36
+49 211/ 30174-59 52
22.03.
+/-
B und-Fut.
160,20
+0,64
B o bl-Fut.
131,33
+0,23
Schatz-Fut.
112,20
+0,05
T-No te-Fut.
124,42
-0,11
20661,30
-0,0%
S&P 500
2348,45
+0,2%
DA X
11904,12
-0,5%
EUR-USD
1,0797
-0,0%
Öl US-LCF
48,43
+0,8%
1246,60
-0,2%
Go ld
Source: Bloomberg
Asian equity markets mixed – China weaker
Oil price (WTI futures) recovers slightly, back above USD 48/barrel.
“Should we stop pursuing an accommodative monetary policy? At this stage, the answer is
clearly no.” ECB Council member Francois Villeroy de Galhau
EDITOR
Ralf Umlauf
Do w Jo nes
23 March 2017
The GfK consumer climate index will be published today. Sentiment declined slightly a month earlier, which the market research experts at the Nuremberg-based consumer research firm Gesellschaft für Konsumforscher attributed to higher inflation. The protectionist policies of President
Trump may have also unsettled employees of export-oriented companies. Overall, however, the
German labour market is very robust. The equity markets are also stable (despite the latest setback), while oil and petrol prices have fallen in recent weeks. All of these factors should generally
support consumer sentiment and keep the index at a high level. This is also suggested by the fact
that cash investments still seem unattractive given the low yield level. French business sentiment is
on the agenda today and is historically high, too. Accordingly, uncertainty amongst companies
about the outcome of the presidential election does not seem to be particularly high. The index will
provide guidance for tomorrow’s preliminary PMIs in France, Germany and the Eurozone. Overall,
the figures should show that there is no cause for economic concerns at present.
The situation in the US is similar as sentiment indicators are also coming in at high levels. By contrast, real economic data have been disappointing in some cases. The weak trend in industrial
production is particularly noticeable, while the ISM manufacturing index has posted six consecutive
increases and reached its highest level since August 2014 at 57.7 points recently. The Kansas City
Fed index will provide further guidance for this month's ISM index. The Fed surveys published to
date indicate a slight fall in sentiment. Nonetheless, the high index level bodes well for solid economic momentum. With readings below 250k, initial jobless claims point to continued job growth
and new home sales should rise again after declining a month earlier. All in all, the data should not
prevent key rates from being raised at a gradual pace, but are also unlikely to fuel interest rate
speculation, in our view.
Bund futures: The futures has firmed in the wake of declining stock prices and lower US yields.
However, the contract has not climbed above the resistances at 160.41/45 and the indicators in the
daily chart have so far presented a mixed picture. Further hurdles can be found at 160.66 and
161.55. We pinpoint supports at 159.09 and 158.73. Trading range: 159.10 – 160.50.
Time
Country
Period
8:00
DE
Apr
8:45
FR
March
Indicator/event
Consensus
Prior
Impact
GfK consumer sentiment
10.0
10.0
low
INSEE business confidence
104
104
low
+0.3% m/m
-0.2%
medium
240k
241k
medium
565k
555k
low
14
14
low
-5.9
-6.2
low
9:00
EZ
10:30
UK
Feb
13:30
US
Wk 11
13:45
US
15:00
US
Feb
16:00
US
March
Kansas City Fed index
March
Consumer confidence, preliminary
16:00
EZ
Source: Bloomberg
ECB speeches: Nouy, Lautenschläger (15:45)
Retail sales excluding fuel
Initial jobless claims
Fed speeches: Yellen, Kashkari (17:30)
New home sales
Published by: Helaba Research, Publisher: Dr. G. R. Traud, Chief Economist/ Head of Research, Neue Mainzer Straße 52-58, 60311 Frankfurt am Main, phone + 49 69/91 32-20 24, Internet:
http://www.helaba.de.This publication was very carefully researched and prepared. However, it contains analyses and forecasts regarding current and future market conditions that are for
informational purposes only. The data is based on sources that we consider reliable, though we cannot assume any responsibility for the sources being accurate, complete, and up-to-date. All
statements in this publication are for informational purposes. They must not be taken as an offer or recommendation for investment decisions.
HELABA FLOOR RESEARCH · 23 MARCH 2017 08:03:55 · © HELABA
1
FIXED INCOME DAILY
Primary market calendar
Time
Country Bond/coupon
Volume
15:00
IT
Announcement of BTP€i/CTZ auctions for 28 March
16:00
US
Announcement of new 2Y, 5Y and 7Y notes for 27/28/29 March
16:00
US
Announcement of a 2-year floater for 29 March
18:00
US
10-year TIPS
USD 11bn
Sources: Bloomberg; Reuters, national debt agencies
Primary market: Announcements on next week’s issuance activities will dominate the primary
market calendar today. Firstly, the Italian treasury will provide information on the bonds due to be
auctioned on Tuesday. The Tesoro's funding calendar includes a monthly combination of zerocoupon and inflation-indexed bonds. However, as Italy placed a new BTPei 2028 worth EUR 3bn
on the market via a consortium two weeks ago, it remains to be seen whether it will opt for this
segment again. The US will also report back to the capital market after a break of some two weeks
to announce which 2, 5 and 7-year notes and which short-dated floater will be on offer next week.
In addition, a 10-year linker will be reopened by USD 11bn today.
Spreads
Charts and table
Bunds still exhibit a high level of volatility.
The 10-year Bund yield has been moving in
a range of 0.51% to 0.38% since 10 March
and temporarily declined by some 6bp versus the previous day’s closing level yesterday in response to the tumbling US yield.
Accordingly, this cannot be attributed to
supply pressure stemming from yesterday's
Bund reopening. The latter went smoothly
with an allotment yield of 0.41%, up from
0.25% in early March. Bids of EUR 3.73bn
were submitted, compared to the target
volume of EUR 3bn. With an amount set
aside for secondary market operations of EUR 0.48bn (16.0%), the oversubscription rate was 1.5
times. While the 10-year Bund yield has generally declined lately, two-year yields have gained a
good 10bp. Consequently, the German yield curve has palpably flattened to 117bp after recently
reaching a 33-month high of 132bp. %
140
140
120
120
100
140
140
10/2 Treasuryspread
120
120
100
100
80
80
100
10/2 Bundspread
80
80
60
60
40
Mrz. 16
Mai. 16
Jul. 16
Sep. 16
Nov. 16
Jan. 17
40
Mrz. 17
60
Mrz. 16
Mai. 16
Jul. 16
Sep. 16
Nov. 16
Jan. 17
60
Mrz. 17
B unds
Spread zu B und
10J
Euro Swap
Swap/B undSpread
Treasuries
Spread zu UST
10J
2J
-0,77
118
-0,10
67
1,26
115
5J
-0,33
74
0,27
60
1,94
47
7J
-0,08
49
0,51
59
2,22
18
10J
0,41
0
0,83
43
2,41
0
30J
1,14
-73
1,42
27
3,02
-61
Source: Bloomberg
HELABA RESEARCH · 23 MARCH 2017 08:03:55 · © HELABA
2