LEF été ETUDE 2010-EN

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• Publié par: Erda
• Nombre de lectures: 17
• Langue: English

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Economic and

Financial Newsletter
Summer 2010

Main stock indices since mid-2007 Change
Since
30/09/2010 10Y high Date Quarterly. end 120
31/12/2007=1002009
100DJIA 10,788.1 14,164.5 09/10/07 10.4% 3.5%
S&P 500 1,141.2 1,565.2 09/10/07 10.7% 2.3% 80
NASDAQ 2,368.6 3,523.1 04/10/00 12.3% 4.4%
60
CAC 40 3,715.2 6,409.1 01/11/00 7.9% -5.6%
40
DAX 30 6,229.0 8,105.7 16/07/07 4.4% 4.6%
S&P 500 COMPOSITE
20 DJ EURO STOXX 50
FTSE 100 5,548.6 6,732.4 15/06/07 12.8% 2.5% NIKKEI 225
0
FTSE MIB 20,505.2 48,437.1 15/11/00 6.2% -11.8%
DJ Euro STOXX 50 2,747.9 5,101.4 03/11/00 6.8% -7.3%
Last observation : 01/10/2010
NIKKEI 225 9,369.4 18,262.0 09/07/07 -0.1% -11.2%

30/09/10 30/06/10 31/12/09 30/09/09

Key rates (%) Monetary policy: key interest rates (%)
USA 0.25 0.25 0.25 0.25 7
%
US UK Japan Euro AreaEuro Area 1.00 1.00 1.00 1.00
6
Money market rates (%)
5Fed Funds 0.15 0.09 0.05 0.07
EONIA 0.88 0.54 0.41 0.53
4
3 M Euribor 0.89 0.77 0.70 0.75
3Long-term interest rate (%)
US T-Bond 10 ans 2.50 2.94 3.84 3.30 2
CNO-TEC 10 2.65 3.05 3.58 3.52
1Exchange rates
USD/EUR 1.37 1.22 1.43 1.46 0
2004 2005 2006 2007 2008 2009 2010EUR/GBP 1.15 1.1.13 1.09
Last observation : 01/10/2010 JPY/USD 83.54 88.49 93.10 89.54


Contents


Economic situation and financial markets ...................................................................................................................... p. 2


Risques – Bond Insurance Industry: Where do we stand?............................................................................................p. 6


Etude – Commodity derivatives markets: recent trends and issues relating to financialisation ..............................p. 7



Sent to press on 4 October 2010
Economic and Financial Newsletter represents the personal opinions of the authors and does not necessarily reflect the AMF’s position

DRAI – Research Department 1 Autorité des marchés financiers
31/12/07
29/02/08
30/04/08
30/06/08
31/08/08
31/10/08
31/12/08
28/02/09
30/04/09
30/06/09
31/08/09
31/10/09
31/12/09
28/02/10
30/04/10
30/06/10
31/08/10Economic
and Financial Newsletter Summer 2010
Macroeconomic indicators
World growth
Faltering recovery in the United States (Change in real GDP, % year-on-year)
5 Widely held expectations of a deceleration in the US
economic recovery materialised during the summer. The
3
positive impact of government support measures is starting
1 to fade, and the resulting fiscal imbalances have reduced
the scope for fresh initiatives. Following an estimated annual
-1 growth rate of 3% in the second quarter, the latest figures
for the usual indicators of industrial activity, real estate and, -3
especially, the labour market suggest that US activity has
-5 slowed since the beginning of the summer. The recovery’s
US Euro Area weak spot is household consumption, which is being held -7
Germany France back by a number of factors. First, and despite the recovery,
UK Japan
-9 the labour market is still sagging. Massive job destruction
and a persistently high unemployment rate are limiting
-11
Q1 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Q4 increases in household income and may be boosting
2000 2000 2001 2002 2003 2003 2004 2005 2006 2006 2007 2008 2009 2009
precautionary saving, especially as employees do not enjoy
Source: national accounts the same protection in the USA as they do in Europe.
Second, the collapse of the real estate bubble and the slide Euro area business confidence indices
in equity prices have led to substantial wealth losses and (balance of opinions)
highlighted often excessive household debt, to which the
30
only answer is deleveraging (i.e. moderate spending and
20
less recourse to credit). Lastly, banks are still in a difficult
10 situation and are therefore limiting their lending.
0
Domestic demand driving activity in the euro area -10

-20 In Europe in general and the euro area in particular, the
-30 economic growth rate picked up in the second quarter, with
-40 GDP rising 1.9% year-on-year. Domestic demand appeared
-50 to be the only source of growth, with an acceleration in
household consumption and a rebound in business -60
investment and stocks that echoes the improvement in
-70
Jan- Sep- May- Jan- Sep- May- Jan- Sep- May- Jan- Sep- May- Jan- Sep- May- Jan- Sep- business confidence and outlook evident since the 00 00 01 02 02 03 04 04 05 06 06 07 08 08 09 10 10
beginning of the year. France has conformed to this overall
Industrial confidence index Production expectations Order books pattern, with GDP increasing 0.7% in the second quarter (or Source: Datastream
1.7% year-on-year). Although its savings rate has trended
General government financial balances and gross financial liabilities slightly higher in 2010, reaching 16.1% in the second
(as % of nominal GDP) quarter, household consumption progressed 0.3% over the
8 105 same period after stagnating in the first three months of the
Gross financial liabilities of OECD’s governments (rhs)
Euro Area 6 100 year. Moreover, the bounce in the summary household
US
UK confidence indicator in September bodes well for the future. 4 95Japan
France Business investment expanded 1.1% in the second quarter 2 90
after several consecutive quarters of decline.
0 85

-2 80 Euro area activity is subject to several risks, however. The
-4 75 American economy’s slowdown is bound to have a negative
-6 70 impact on export demand, meaning that the contribution of
-8 65 foreign trade to growth could turn negative, especially as
indicators for emerging countries – Asia included – reveal -10 60
less vigorous activity. At the same time, constraints -12 55
stemming from government debt and pressure from the
-14 50
markets and rating agencies in this area are resulting in 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
fiscal austerity programmes. These will weigh heavily on
Source: OECD total demand and hamper the recovery from the crisis.
France - principal economic indicators (%)*
08 09 09Q4 10Q1 10Q2
Gross domestic product 0.1 -2.5 0.6 0.2 0.7
Household consumption 0.5 0.6 0.9 0.0 0.3
Investment 0.3 -7.0 -1.0 -0.9 0.8
- o/w businesses 2 .2 -7.9 -1.1 -1.0 1.1
Exports -0.8 -12.2 1.0 4.5 2.8
08 09 09Q4 10Q1 10Q2
Consumer prices (year-on-year)* 1.7 0.4 0.4 1.4 1.6
Unemployment rate (ILO, SA) 7.8 9.5 10.0 9.9 9.7
Sources: INSEE – national accounts, base 2000. * Quarterly change except
unemployment rate and consumer prices
DRAI – Research Department 2 Autorité des marchés financiers Economic
and Financial Newsletter Summer 2010
Equity markets

Stock market indices
Uncertainty over market direction and a drop in activity
110
31/12/07=100
Following a rally in the main stock market indices between
100
first quarter 2009 and second quarter 2010, equities became
hesitant at the beginning of the summer, amid sharply lower 90
trading volumes. This new phase was related to uncertainty in
80 both the USA and Europe over the speed and strength of the
economic recovery. The change was all the more surprising
70 since the Greek crisis and the ‘flash crash’ of 6 May had
driven trading volumes to their highest level since October 60
2008 (EUR 1.1 trillion in May in Europe, according to
50 Thomson Reuters). Turnover slumped to EUR 668 billion in
August: trading volumes in Europe were therefore 46.1%
40
down on their May level and close to where they were in Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10
S&P 500 EURO STOXX NIKKEI 225 CAC 40 August 2009.
Source: Thomson Financial. Last observation 22/09/10 Some media observers have been debating the structural
character of the drop in market activity. They tend to focus on
Trading volumes (USD billion, to 22/09/10) Wall Street, where the slump since June has been particularly
7,000 3,500
WFE Total marked, and several possible causes have been mooted.
Europe-Africa -Middle East One is the withdrawal of high-frequency traders (HFTs) from
6,000 3,000
Asia-Pacific the market. In Europe, this argument is lent credence by a
slight decline in the market share of multilateral trading 5,000 2,500
facilities (MTFs) to the benefit of regulated markets, as HFTs
4,000 2,000 are particularly drawn to MTFs for their trading needs. But it is
also contradicted by a persistently low average transaction
3,000 1,500 size, as HFTs usually operate in small amounts. Another
possible cause of the drop in trading volumes is more
2,000 1,000 fundamental: a switch in equity investments towards
emerging markets, which have recently attracted major initial
1,000 500
public offerings.

0 0 A combination of various factors is probably at work, and it is
Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10
yet to be seen how far the change in market liquidity reflects a
Source: World Feder