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Transcript of Bnp Fx Weekly
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8/22/2019 Bnp Fx Weekly
1/22
Thursday, 24 May 2012 Bloomberg BPFR
FX Weekly http://www.GlobalMarkets.bnpparibas.com
Foreign Exchange 24 May 2012
FX Weekly: EURUSD - A Balancing Act
FX Weekly Outlook 2
G10 Themes 3
FX Technical Analysis 9
FX Recommendations 10
Market Sentiment &Positioning
11
Weekly Currency Summary 14
Economic Calendar 19
Forecasts 21
Contacts 22
Currency Performance vs.USD 1 Week
-5 -4 -3 -2 -1 0 1 2 3
AUD
NZD
GBP
JP Y
EUR
SEK
CHF
NOK
CA D
Currency Performance vs.
USD 1 Month
-10 -5 0 5
SEK
CHF
NOK
CA D
JP Y
GBP
AUD
NZD
EUR
G10 Weekly FX Outlook EURUSD to Pause EyeingUS NFP
G10 Themes
Short AUDNZD Set to Retest the Lows
AUDNZD appears very stretched relative to swap spreads while thetechnical outlook is turning negative.
The AUD has lost is status as the king of the commodity currencybloc.
We initiate a short AUDNZD recommendation via options at
1.2975, targeting 1.2400. We buy an AUDNZD 3-month put spread1.3000/1.2400.
Chinas EUR Incentive
Resilience of EURUSD for much of Q1 and into Q2 could beattributed to several factors
One key factor is Chinas preference to keep the EUR strong tolimit the appreciation of the CNY REER
Given the EUR weight in the CNY REER basket, a 10% move inEUR would lead to a 2% move in the REER
FX Volatility Focus FX vol markets are displaying significant Vol-of-Vol, with last
weeks rally subsiding in the early part of this week, only to gapsharply higher on Wednesday.
FX ATM vols have rallied approx 30% since the beginning of May. Whereas ATM vols have adjusted, butterflies are still underpriced
relative to ATM vols. The front end of the volatility surface is at extreme levels of
steepness. The back end is very flat in comparison.
FX Recommendations Buy an AUDNZD 3-month put spread 1.3000/1.2400 Short NZDCAD at 0.8100, targeting 0.7500, stop loss 0.7775 Short GBPSEK at 11.40, targeting 11.00, stop loss 11.55 Short NOKSEK at 1.2045, targeting 1.1650 stop loss 1.2220 Pay AUD OIS, buy AUDUSD 10 week Put Buy 6m GBPJPY vol vs. Sell 12M EURJPY vol
Market Sentiment & Positioning Combined long USD positions at a record high EUR gross short positioning has increased to record levels amid
ongoing uncertainty in the eurozone IMM long GBP positions remain at elevated levels but FX client
survey suggests clients are now reducing exposure
Currency Views
Current 1 Month 3 Month
EURUSD 1.2590 1.26 1.28
USDJPY 79.40 82.00 85.00
EURCHF 1.2030 1.20 1.25
GBPUSD 1.5700 1.60 1.58AUDUSD 0.9770 1.00 1.02
USDCAD 1.0260 0.99 0.98
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Thursday, 24 May 2012 2 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
G10 FX Outlook: EURUSD May Pause Eyeing US NFP
Kiran Kowshik
+44 20 7595 1495Steven Saywell
+44 20 7595 8487
EURUSD could stabilise next week as EZUS driversintermingle in a US NFP week
But USD out performance intact multi-week as eurozonepolitical brinkmanship begets more uncertainty
Look for good levels to initiate bearish EUR cross trades;market grossly under priced for a June ECB rate cut
Chinese policy activism could stabilise the commodity FX.Pecking order favours Short AUDNZD
Over the past fortnight, FX markets have been driven almost exclusively by
eurozone stress. While we believe this will continue as a multi-week theme to
the June 17 Greek elections, next week could see more two way. We are
content having booked 4.4% profit on our EURUSD short and moving to the
sidelines this week. With the EU meeting behind us, a quiet eurozone debt
auction calendar but heavy US data calendar next week (including non-farm
payrolls), FX drivers could become more two-way. The consensus is for
stronger US data, thus softer outcomes could see EURUSD stabilise with key
technical support levels reached and with short EUR-positioning extreme.
However, over the next few weeks the USD may receive further support if
continued eurozone stress on political brinkmanship sees a continued rush to
safe-havens. Ex-Greek PM Papademos apocalyptic comments on the costs of
a Greek exit should be seen in a similar context of putting pressure on the
Greek populace into re-assessing their support for anti-austerity SYRIZA ahead
of the June 17 elections. Greek poll-watching should continue as a game of
chicken between the ECB/Germans on the one hand, and Greece, Italy and
Spain on the other. The stellar US Treasury and German bund auctions this
week (even at very low yields) support this view.
The softer flash eurozone PMIs and grim underlying details this week have
tipped our economists to forecast a 25bps June rate cut as a central scenario,
with another 25bps rate cut penned in by Q3. Given that the rates market is still
under pricing this outcome by a large margin (only 12.5bps cuts priced to year-
end), this means that the EUR may come under pressure on its declining yield
advantage in the weeks ahead. However, we would need weaker activity data
to prompt such a move, and the early week focus on inflation/money supply
data next week could provide better levels to sell.
Fears of a harder landing in China along with eurozone stress have seen
commodity currencies under perform of late. Next weeks official May China
PMI will be key. But, we would be on guard for a potential recovery (or at least
stabilisation) in commodity currencies given strong signals from Chinese policy
makers of a more aggressive Chinese fiscal/monetary policy response.
However, within the block there remains a pecking order with CAD the top pick
(given its link to an outperforming US) over the AUD or NZD (link to Asia and
Europe). We therefore maintain our short NZDCAD as it nears its extended
0.7500 target, but also add a short AUDNZD trade via options with swap
spreads and technicals providing a sell signal (See page 3).
but multi-week USDstrength intact as market
seeks safety over value
EURUSD could consolidateas FX focuses more evenly
on US data vis--vis EZstress next week
Look for better levels to sellEUR crosses next week;
ECB easing scenario underpriced
but we respect the peckingorder; add short AUDNZD in
addition to short NZDCAD
Chinese policy activismcould stabilize the rout in
commodity FX
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Thursday, 24 May 2012 3 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
Short AUDNZD Set to Retest the Lows
Steven Saywell
+44 (0)20 7595 8487
AUDNZD appears very stretched relative to swap spreadswhile the technical outlook is turning negative.
The AUD has lost is status as the king of the commoditycurrency bloc.
We initiate a short AUDNZD recommendation via options at1.2975, targeting 1.2400. We buy an AUDNZD 3-month putspread 1.3000/1.2400.
AUDNZD is one of our most actively traded currency pairs, for which we have
made two successful sell recommendations over the past six months. We
believe that market conditions again represent an excellent opportunity to
establish a short exposure. We issue a short recommendation at 1.2975
targeting a move back to the lows at 1.24.
AUDNZD has again diverged sharply from the Australian-New Zealand 2-year
swap spread (Chart 1). Such large disparities tend to reverse as markets
reassess the different views of the rates and FX markets. Part of the shift down
in swap spreads has been driven by markets pricing in aggressive rate cuts
from the RBA (our economists forecast a further 50bp of easing). Still, with both
the RBA and the RBNZ expected to ease policy over coming months, a sharp
reversal in the rates market is unlikely over coming months, especially given the
ongoing stresses in the eurozone.
AUDUSD has clearly been under pressure during the markets recent bout of
risk-off trading a clear response to stresses in the eurozone and especially
heightened expectations of an imminent Greek exit from the euro. Still, suchrisk reduction usually affects the commodity bloc generally with little
discrimination between the AUD, NZD and CAD. Differences between
performances of the members of the commodity bloc tend to be driven by each
countrys fundamentals. What has become clear over coming months is the
changing pecking order of these three currencies. In our opinion, the CAD has
become the new favourite and will probably remain the strongest a position
previously occupied by the AUD.
Excellent risk-reward forshort AUDNZD
AUDNZD has again divergedsharply from 2-year swap
spread
AUD has lost its status asthe expected outperformer
of the commodity currencybloc
Chart 1: AUDNZD Diverged from Swap Spreads Chart 2: The Technical Structure is Negative
Source: Reuters EcoWin Pro, Bloomberg, BNP Paribas Source: Reuters EcoWin Pro, Bloomberg, BNP Paribas
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Thursday, 24 May 2012 4 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
Indeed, our most recent FX Quant Insight publication (22 May 2012) showed
the NZD was the most undervalued of all the major currency pairs (Chart 3).
Looking specifically at the updated NZDUSD BNP Paribas STEER fair value,
NZDUSD has actually dropped below the +/- 1.5 standard deviation corridor,
suggesting there are expectations for a rebound (Chart 4). In contrast,AUDUSD is in line with its STEER fair value estimate.
The technical outlook for AUDNZD provides considerable support for a
significant retracement back to the recent lows of 1.2321. The recent rebound
to 1.2990 represents a 61.8% retracement from the December peak at 1.3233.
Stalling momentum around these levels would target a move back to the lows at
1.2321. Moreover, a spot failure around this level would establish a double-top
pattern on AUDNZD that would further cement expectations for a fall (Chart 2).
We would be content to implement a short AUDNZD recommendation via the
spot FX market at 1.2975 targeting a move to 1.24. We would probably use a
stop above 1.3233 a 2.0% risk. However, the current low level of FX option
volatility suggests that playing the trade via options may be advantageous. First,
AUDNZD 3-month volatility has fallen sharply from its recent peak in Q3 2011
above 10% to just 6.6% currently. Second, the structure we have chosen costs
less than the 2% we would be risking on the spot trade.
Accordingly, we initiate a short AUDNZD recommendation via the options
market. We buy an AUDNZD 3-month put spread 1.3000/1.2400 cost:
180 pips (1.38% AUD) from a spot reference of 1.30 (max payout 600 pips =
3.3x).
Bearish technical outlook forAUDNZD targets a return to
the lows at 1.2321
The BNP Paribas STEERmodel signals near-term
NZD outperformancepotential
Short AUDNZD spot isattractive but options appear
more attractive
Accordingly, we initiate a3-month AUDNZD put spread
1.30/1.24 costing 180 pips
Chart 3: NZDUSD the Most Undervalued Chart 4: NZDUSD Falls Below STEER Corridor
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.02.5
N
ZDUS
D
E
URGBP
E
URUS
D
E
URNO
K
U
SDCAD
EURC
HF
G
BPUS
D
AUD
USD
U
SDMXN
USDJPY
EURS
EK
15-May-2012 22-May-2012
0.74
0.76
0.78
0.80
0.82
0.84
0.86
27-Feb-2012 27-Mar-2012 27-Apr-2012
Fair Value NZDUSD
Source: Reuters Ecowin, BIS, BNP Paribas Source: Reuters Ecowin, BIS, BNP Paribas
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Thursday, 24 May 2012 5 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
Chinas EUR Incentive
Mary Nicola
+1 212 841 2492
Resilience of EURUSD for much of Q1 and into Q2 could beattributed to several factors
One key factor is Chinas preference to keep the EUR strongto limit the appreciation of the CNY REER
Given the EUR weight in the CNY REER basket, a 10% movein EUR would lead to a 2% move in the REER
The most discussed anomaly in the FX space in Q1 and into Q2 was how
EURUSD remained range bound despite eurozone woes. Only recent stress
from the Greek election pushed EURUSD below 1.2600. The factors explaining
the euros resilience range from reserve diversification i.e., central bank buying
and bank/corporate repatriation. In fact, the eurozone financial account showed
a surge in capital inflows in February, but the trend reversed in March. The
financial account aside, reserve diversification may be a pivotal part of EURresilience given the continued rise in FX reserves, albeit at a slower pace,
globally. But, there is an important factor to consider which is Chinas
preference for a strong euro as the eurozone remains Chinas largest trading
partner and amid a shrinking current account surplus, which declined to 3% in
2011 from 10% of GDP in 2007.
The CNY real effective exchange rate (REER) rose 8% from July 2011 to April
2012 (Chart 1), implying that China lost competitiveness against its key trading
partners. This time period also corresponds with the steady decline in Chinese
CPI which peaked in July 2011. Meanwhile, eurozone CPI held steady around
2.5-3.0%. According to some academic studies, the exchange rate pass-through
is a 1% appreciation of the nominal effective exchange rate (NEER) results in a
0.132% decline in CPI and 0.495% PPI over the long run. With the inflation
differential a crucial factor in the deterioration of Chinas competitiveness, a
stronger euro becomes ever more important.
According to the BIS REER (as shown in Chart 2), the EUR comprises 19.4% of
the total basket, followed by the USD with 19%, the JPY at 15.9%, the KRW with
7.9%, the TWD at 5.8%, and the GBP with 2.8%. Given the strength of the
correlation between GBPUSD and EURUSD which is greater than 70%, the EUR
Keeping the EUR strong iskey for China
CNY REER showing Chinalosing competitiveness
against key trading partners
Chart 1: CNY Real Effective Exchange Rate Chart 2: CNY REER FX Weights
0.0
5.0
10.0
15.0
20.0
EUR USD JPY KRW TWD GBP SGD CAD MXN THB
0.0
5.0
10.0
15.0
20.0
EUR USD JPY KRW TWD GBP SGD CAD MXN THB Source: Reuters Ecowin, BIS, BNP Paribas Source: Reuters Ecowin, BIS, BNP Paribas
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Thursday, 24 May 2012 6 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
weight is as much as 22%, holding inflation constant. The weights of the REER
would suggest that for every 1% move in EURUSD and GBPUSD, the CNY
REER moves as much as 0.22%.
Given the relationship between FX spot levels and the REER (holding inflation
constant), the recent near 7% drop in EURUSD to the recent low of 1.2584 from
1.35, therefore, would imply a 1.4% increase in the CNY REER. The
corresponding decline in GBPUSD would mean that the total increase in the
CNY REER would be as much as 1.5%.
The impact of the FX moves may seem marginal, but with Chinas trade
balance declining, net exports could potentially be an even larger drag on the
Chinese economy. The abysmal February trade deficit of USD31.5, the largest
since 1989, raised concern that China may see only a small trade surplus or
even a trade deficit for 2012. But, the cumulative trade balance for China up
until April is USD19.59bn; this is still larger than the cumulative sum of the
previous two years for Q1 plus April. Concerns about an even deeper negative
impact on net exports provide China an even greater incentive to keep its
REER stable.
Chinas previous response to ensuring the strength of its export sector was to
repeg the CNY to the USD. From July 2008 when the global financial crisis
began to unfold and the CNY was repegged to the USD to February 2009 the
peak of the CNY REER in 2009, the CNY REER rose 15%, corresponding to
the significant drop in EURUSD (Chart 3) rather than the plunge in Chinese
inflation (Chart 4). The REER rose significantly as the CNY remained stable
while the other trade partner currencies weakened vs. the USD. The
relationship between EURUSD and the CNY REER suggests that the value ofthe EUR remains more important than the USD for Chinese officials.
Chinas preference to keep the EUR well supported remains an important factor.
For some time, the pain trade was EURUSD higher and arguably still is. While
repatriation and FX reserve diversification remains key to the EUR holding up,
the fact is that Chinas motivation to keep the EUR supported in light of its
slowing economy could likely be a dominating factor. This may remain the case
as long as the EUR crisis avoids going over the edge of a cliff.
Weight of EUR in CNY REERsuggests a 1% move in EUR
leads to a 19.4% of 1percentage pt move
Slowdown in net exportsaugmenting incentive to
keep CNY weak
Repeg does not necessarilyprevent CNY REER
appreciation
Worsening of EUR crisismakes China support
irrelevant
Chart 3: EURUSD vs. CNY REER Chart 4: CNY REER vs. China CPI % y/y
Source: Reuters Ecowin, Bloomberg, BNP Paribas Source: Reuters Ecowin, Bloomberg, BNP Paribas
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Thursday, 24 May 2012 7 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
The Current State of the FX Volatility Market
Vasilis Koutsaftis
+1 212 471 7973
FX vol markets are displaying significant Vol-of-Vol, withlast weeks rally subsiding in the early part of this week,only to gap sharply higher on Wednesday.
FX ATM vols have rallied approx 30% since the beginning ofMay.
Whereas ATM vols have adjusted, butterflies are stillunderpriced relative to ATM vols.
The front end of the volatility surface is at extreme levels ofsteepness. The back end is very flat in comparison. Thiscreates an opportunity to enter positive vol slide positions.Selling 1x 6m in 6m EURUSD FVA @ 14.50 vs buying 1x 6min 12m EURUSD FVA @ 14.60 captures 28bps of vol slide in6 months, while being flat vega.
In this piece we survey the state of the FX volatility market as we approach the
end of the 2nd quarter. Over the last several months we have been pointing to
the cheapness of FX vols relative to (i) the amount of systemic risk, (ii) historical
levels of FX vols and (iii) the level of FX vols relative to equity vols or credit
spreads.
Over the last week we saw vols rallying higher, pausing at the beginning of this
week, only to gap higher on Wednesday. Whereas it is hard to argue that ATM
vols are far from fair levels given market positioning, we reiterate that
butterflies remain underpriced relative to ATM vols (Chart 1) and are therefore
attractive vehicles to position for further de-leveraging. Furthermore, as Chart 2
demonstrates, EURUSD and GBPJPY appear particularly attractive as theycombine (i) attractive butterfly/ATM vol ratios and (ii) very reactive FX spot
relative to S&P (as a measure of broader risk aversion).
In G10 gamma space, NZD crosses and USDSEK are good candidates for
holding long gamma positions as they combine (i) gamma that performs almost
in line with implieds, (ii) risk premia that are at their lowest levels over the last 2
Chart 1: G10 3m 25d butterflies/3m ATM vols Chart 2: G10 Butterfly/ATM Vols vs Correlationbetween FX and S&P
Source: Reuters Ecowin, Bloomberg, BNP Paribas Source: Reuters Ecowin, Bloomberg, BNP Paribas
FX ATM vols have rallied30% since early May.
butterflies on the otherhand have not yet
repriced..
In front end vol space, wefavour pairs with performing
gamma and flat volsurfaces
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Thursday, 24 May 2012 8 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com
years, (iii) very flat vol surfaces (Chart 3).
Similarly in EM, EURPLN, USDPLN, EURBRL appear attractive gamma longs
to position for a severe unwind of EM longs, as they also combine the trio of
favourable characteristics (i) gamma that performs almost in line with implieds,
(ii) risk premia that are at their lowest levels over the last 2 years, (iii) very flat
vol surfaces.
A trade that we have discussed in the recent past, exploits the steepness of the
front end of the volatility surface vs the relative flatness of the back end of the
volatility surface, with the 1 year tenor being the pivot point (Chart 4).
Initially we constructed the trade in the form of a forward starting vol surface
steepener (sell 6m in 6m FVA/buy 1y in 6m FVA), that allowed for mild positive
vol slide, while maintaining a long vega position. Given the rally in FX vols, we
modify the form of the trade in a way that makes it flat vega, but with significant
positive vol slide. Specifically selling EURUSD 6m in 6m FVA @ 14.50 vsbuying 6m in 12m EURUSD FVA @ 14.60, for zero cost, captures 28 bps of
positive vol slide, while being net flat vega.
The trade is long 26 bps of 6m vega, short 109 bps of 12m vega and 83bps of
18m vega. The trade looses money if the 12 month vols outperform 6m and 18
month vols to an extend that exceeds the rolldown effect.
To be more precise, either the 1y-6m spread has to move higher (difficult in our
view because we start from already very steep levels), or the 18m-1y spread
has to move lower, which is rather difficult to happen as well. On the other
hand, a flattening of the front end of the curve would benefit the trade.
For a more detailed discussion of these and other trades, please see BNPP FX
Vol Focus (22 May 2012).
Chart 3: G10 3m Risk Premia vs Vol Slide Chart 4: 18m-12m and 12m-6m Implied VolSpreads
Source: Reuters Ecowin, Bloomberg, BNP Paribas Source: Reuters Ecowin, Bloomberg, BNP Paribas
While we also proposeexploiting the steepness ofthe front end relative to theflatness of the back end to
collect the positive vol
slide.
For a more detaileddiscussion
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FX Technical Analysis
Christian Sn
+33 (0)1 43 16 97 17
NOKSEK in a ST consolidative mood after it stalled at key1.2025/32/44 resistance
NZDCAD could develop a ST bottoming/rising bias from key0.7566-78/0.7719 area
NOKSEK Stalled at key 1.2025/44 level, risk of developing a corrective falling 4th wave
The rebound from 1.1654 (ST
61.8% level) rekindled the
possibility of a MT rising scenario
of a main rising wave C of ABC
to develop. However, it failed to
overcome critical resistance at
1.2025/32/44 (wave A top,
March top and MT 61.8% level).
A break above 1.2025/32/44 was
needed to strengthen this rising
wave C scenario towards 1.2368
(LT 61.8% level). However, the
failure to do so could now trigger a
ST consolidative move towards
1.1876 (ST 38.2% level) within a
falling 4th
wave scenario. This
scenario is strengthened by the
overbought RSI.Source Bloomberg
NZD/CAD Weak break below key 0.7719 support opens up 0.7566/78 downside target
The move below 0.7719 (MT
double top neckline) within the
falling 3rd wave is weak. This
break raises the potential for MT
bearish pressure to the critical
0.7566/78 level (weekly LT rising
wedge support & MT 61.8% level)
However, we now have rising
divergences on the oversold dailyRSI which warns us of a ST
technical rebound to come. A
move back above the key 0.7719
level & a break above falling
channel resistance at 0.7773 is at
least needed to develop this ST
technical correction, potentially
towards 0.7882.
Source Bloomberg
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FX Recommendations
New Trades Portfolio
We initiate a short AUDNZD recommendation via
options at 1.2975, targeting 1.24. We buy an
AUDNZD 3-month put spread 1.3000/1.2400.For amore detailed discussion on this see the article
Short AUDNZD Set to Retest the Lows on page 3
Closed Trades
Our short EURUSD trade recommendation reached
its extended target at 1.2625. We choose to lock in
profit of 4.4% and go to the sidelines on the pair.
We took profit on our short EURJPY 99/107 DNT at34% having entered at 12%.
The latest BNP Paribas STEER models (published
22 May 2012) are still highlighting GBPSEK could
move lower over the coming month. GBPSEK fair
value currently stands at 11.04.
Open Positions (Spot)Returns (%)
Entry Date Position Entry Rate Target Rate Stop Loss Weeks Held Spot Carry Total
19-Apr-12 Short NZDCAD 0.8100 0.7500 0.7775* 5 4.62 -0.15 4.47
17-May-12 Short NOKSEK 1.2045 1.1650 1.2220 1 0.92 0.00 0.92
Open Positions Quant Recommandations
Returns (%)
Entry Date Position Entry Rate Target Rate Stop Loss Weeks Held Spot Carry Total
17-May-12 Short GBPSEK 11.40 11.00 11.55 1 1.59 0.02 1.61
Open Positions (Options)
Return (% Premiums)
Entry Date Strategy Current MTM% Return on
Premium
05-Jan-12 Buy 6M GBPJPY vol vs Sell 12M EURJPY vol in equal vega amounts +1.25 vol
26-Apr-12Pay August AUD OIS at 3.48% in 10k PV01, Buy 5 July 1.0150 Put 15mn for 1.18% AUD (Spot ref: 1.0375)
-104K
24-May-12Buy an AUDNZD 3-month put spread 1.3000/1.2400 cost: 180 pips(1.38% AUD) from a spot reference of 1.30 (max payout 600 pips =3.3x).
- -
* Upper end of downtrend channel (currently 0.7775).
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Market Sentiment and Positioning
James Hellawell
+44 (0)20 7595 8485
Steven Saywell
+44 (0)20 7595 8487
Combined long USD positions at a record high EUR gross short positioning has increased to record levels
amid ongoing uncertainty in the eurozone IMM long GBP positions remain at elevated levels but FX
client survey suggests clients are now reducing exposure
The latest CFTC positioning survey, capturing positioning on 15 May, shows
that risk aversion remains the dominant theme as speculative and CTA-type
investors continue to buy USD against all G10 currencies, with the exception of
JPY. Overall net combined long USD positions increased significantly by 85K
contracts last week to 105K this week the highest since 1999. Long USD
positioning is currently close to two standard deviations away from its long-term
average (Chart 4), suggesting that positioning is now extreme
The tension about the fate of the eurozone continues. The latest data from the
CFTC also showed that non-commercial investors continued to express
negative views on the eurozone by further shorting the EUR. Negative EUR
sentiment has now surpassed levels that were seen back in January when
Greece faced a possible default. Non commercial investors holding long EUR
positions have also reduced exposure, suggesting a uniformly bearish outlook.
The net short EUR contracts now stand at a record 173K (41% of open interest)
an increase of 29K contracts from the previous week and cumulatively an
increase of 3K contract seen back in January 2011. This exposure may limit
the scope for speculative investors to continue to extend short EUR
positioning.
For the sixth week running, the CTFC report has shown a continued bias
towards a weaker CHF with non-commercial investors having increased CHF
bearish positions. Net short CHF positioning increased to 27k from 16k. This is
Chart 1 : BNP Overbought / Oversold Indicator* Chart 2 : BNP Momentum Indicator
-10
-8
-6
-4
-2
0
2
4
6
8
10
JPY SEK NOK CHF CAD USD AUD GBP EUR
+8 equals s trongest reading/-8 equals weakest reading
Previous weeks readings shown in grey
BNP Paribas 2012 - All Rights Reserved
-15-12
-9-6-3
03
69
12
1518
SEK NOK CHF AUD JPY CAD EUR USD GBP
+16 equals s trongest reading/-16 equals weakes t reading
BNP Paribas 2012 - All Rights Reserved
Source: BNP Paribas Source: BNP Paribas
*BNP Paribas FX BNP Overbought / Oversold Indicator are derived from our system of technical trading models and are designed toprovide an indication of the overall strength of individual currencies. Readings at extreme bullish or bearish levels have historically provedto be good leading indicators of corrections or turning points in the underlying spot rate.
Net short EUR positioningapproaching previous
extremes
Net short EUR positioningsurpassed its peak in
January
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the largest CHF net short position since July 2007 when CHF was a dominant
funding currency. The CHFs extreme bearish positioning is likely in part driven
by the extreme bearish EURUSD view and the SNBs peg limiting scope for
CHF to strengthen.
We are seeing limited changes overall in our FX sales desks client survey over
the past week However, the notable exception has been with GBP, where we
have seen a substantial reduction in GBP longs over the week. In contrast, we
note that the CFTC report continues to show non-commercial investors still
sizeably net long GBP positioning was steady at 25k, thereby remaining at the
largest net long position since May 2011. The decline in cable from 1.60 to 1.58
since the IMM reporting period and our FX Client survey suggests that
positioning may have lightened more recently.
While our system of medium term models was cautious on the currency last
week, GBP has since suffered a rapid reversal of fortunes. With the AUD now
developing strong negative momentum, we expect the GBP to continue to
remain under pressure.
It is a similar story for SEK; last week it ranked as the weakest currencies within
our proprietary sentiment indicator but with the outlook looking increasingly
bullish. Since then, the SEK has undergone the sharpest reversal over the past
week as the currency has now climbed to the top of the rankings. SEK is
exhibiting strong positive momentum.
Sterling susceptible to longcovering rally given push
from real money flow
ditto for the SEK
Our model signal on GBPmoves from cautious to
outright bearish
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Chart 3: Positions as a percent of Open Interest Chart 4 : Net USD positioning
-50 -40 -30 -20 -10 0 10 20 30 40 50
CAD
NZD
GBP
AUD
JP Y
EUR
CHF 24-May-12
Last Week
-400000
-300000
-200000
-100000
0
100000
200000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
68.00
70.00
72.00
74.00
76.00
78.00
80.00
82.00
84.00
USD positions (net) Dollar Index
+2 std. dev
-2 std. dev
Chart 5 : EUR Net Positioning Chart 6 : EURUSD 3m Risk Reversal
-200000
-150000
-100000
-50000
0
50000
100000
150000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
1.26
1.31
1.36
1.41
1.46
1.51
EUR positions (net) EURUSD
+2 std. dev
-2 std. dev
-5.0
-4.5
-4.0
-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
EURUSD Risk Reversal
+2 std. dev
-2 std. dev
Chart 7 : GBP Net Positioning Chart 8 : GBPUSD 3m Risk Reversal
-100000
-80000
-60000
-40000
-20000
0
20000
40000
60000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
1.52
1.54
1.56
1.58
1.60
1.62
1.64
1.66
1.68
GBP positions (net) GBPUSD
+2 std. dev
-2 std. dev
-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
GBPUSD Risk Reversal
+2 std. dev
-2 std. dev
Chart 9 : CHF Net Positioning Chart 10 : USDCHF 3m Risk Reversal
-30000
-20000
-10000
0
10000
20000
30000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
0.70
0.75
0.80
0.85
0.90
0.95
1.00
CHF positions (net) USDCHF
+2 std. dev
-2 std. dev
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
USDCHF Risk Reversal
+2 std. dev
-2 std. dev
Source: Reuters Ecowin, CFTC
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Chart 11 : JPY Net Positioning Chart 12 : USDJPY 3m Risk Reversal
-80000
-60000
-40000
-20000
0
20000
40000
60000
80000
100000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
75
76
77
78
79
80
81
82
83
84
85
JPY positions (net) USDJPY
+2 std. dev
-2 std. dev
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
USDJPY Risk Reversal
+2 std. dev
-2 std. dev
Chart 13 : AUD Net Positioning Chart 14 : AUDUSD 3m Risk Reversal
-20000
0
20000
40000
60000
80000
100000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
0.90
0.95
1.00
1.05
1.10
AUD positions (net) AUDUSD
+2 std. dev
-2 std. dev
-9.0
-8.0
-7.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
AUDUSD Risk Reversal
+2 std. dev
-2 std. dev
Chart 15 : CAD Net Positioning Chart 16 : USDCAD 3m Risk Reversal
-40000
-20000
0
20000
40000
60000
80000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
0.93
0.95
0.97
0.99
1.01
1.03
1.05
CAD positions (net) USDCAD
+2 std. dev
-2 std. dev
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
USDCAD Risk Reversal
+2 std. dev
-2 std. dev
Chart 17 : NZD Net Positioning Chart 18 : NZDUSD 3m Risk Reversal
-10000
-5000
0
5000
10000
15000
20000
25000
30000
13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12
0.70
0.75
0.80
0.85
0.90
NZD positions (net) NZDUSD
+2 std. dev
-2 std. dev
-8.0
-7.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
23-May-11 23-Aug-11 23-Nov-11 23-Feb-12
NZDUSD Risk Reversal
+2 std. dev
-2 std. dev
Source: Reuters Ecowin, CFTC, BNP Paribas
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Weekly Currency Summary
G10
USD
The USD should remain supported by safe haven flows as eurozone induced uncertaintypersists. Recent US surveys have pointed towards a softening in US growth and next weeksUS data is likely to see this trend continue. But, the deterioration is unlikely to be severeenough to trigger further easing by the Fed at the end of June once Operation Twist end. Fornow, this provides limited scope for the USD to weaken.
EUR
EURUSD has fallen to our target of 1.2625, but the market is likely to remain comfortablewith maintaining its short EUR positions ahead of the June 17 Greek elections unless pollsstart to indicate a clearer election result. The market remains aggressively short EUR, andtechnically EURUSD is at a pivotal support level, reducing the attractiveness of continuing tohold a short EUR position at this time.
CHF
EURCHF remains close to its 1.20 floor although a dramatic fall in risk-reversals (indicating
that the premium of put options have increased) suggest that the market is placing a higherprobability of the floor being broken. We expect the SNB to defend the floor, but Eurozonerisks will keep EURCHF close to 1.20. Meanwhile diversification of interventions by the SNBwill be supportive for USD and GBP.
GBP
Soft UK data in recent weeks and higher expectations for further QE have not weighed onGBP. Rather, GBP continues to benefit from its safe-have status relative to the rest ofEurope. As eurozone risks remain elevated, GBP is likely to outperform the EUR butunderperform against the USD.
JPY
Next weeks US NFPs will be the key release for USDJPY. With our economist expecting thepace of job creation in May to remain similar to April US Treasury yields are likely to remainunderpressue, which will also weigh on USDJPY. The market remains short JPY, meaningthat disappointing US data and a break below 79 in USDJPY could trigger short covering.
CAD
USDCAD is likely to remain driven by general risk sentiment stemming from Europe.Meanwhile, we expect CAD to remain the outperformer against AUD and NZD due to morefavourable exposure to the US vs. exposure to Asia. We are targeting a fall in NZDCAD to0.75.
AUD
AUD has struggled over the past week as risk sentiment worsened. With no real conclusionin sight on the Eurozone situation, AUD will likely remain under pressure. Recent China datasuggests that Chinas policy response will have to be aggressive which could help stabilisethe AUD.
NZD
Our short NZDCAD position targeting 0.75 has worked in our favour and should continue todo so. The current risk environment coupled with the concerns surrounding China growth will
continue to hurt NZD especially given the relative market liquidity in NZD. NZD remainsdependent on events out of the eurozone.
NOK
While a stellar GDP report this week highlights Norways economic outperformance, theresilience of the NOK recently suggests that it is likely to underperform the SEK goingforward and we target NOKSEK falling to 1.1650.
SEK
SEK has recovered this week as risk stabilised and after having been significantly oversoldlast week (according to STEER fair-value). We continue to favour long SEK vs GBP andNOK. Next weeks retails sales, confidence surveys and GDP could trigger the market tounwind its rate cut expectations and further support SEK.
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Converging Europe, Russia, Africa and Israel
PLN
Macroeconomic indicators such as IP, PPI and core inflation are coming in line withexpectations and EURPLN remains driven by global risk sentiment. Retail sales andunemployment on Friday are expected to soften, which could increase the pressure on the
zloty as domestic demand was the main factor supporting growth and driving expectations ofhigher rates. Q1 GDP data next Thursday and the possibility of more concentrated EURsales by the Finance Ministry should help the zloty to outperform regional peers.
CZK
We still expect CNB to cut 25bp at the end of June as the deeper than anticipated Q1 GDPcontraction is very likely to have swayed the majority of the MPC members to support furthereasing. However, the mixed comments from MPC members recently put into question thesize of the upcoming monetary easing. In any case the declining consumer and businessconfidence will keep CZK under pressure.
HUF
The risk off environment turned the HUF into one of the biggest underperformers over thepast week. From an economics point of view that might be justified because of the everdeclining domestic demand. However, the government is still set to vote the revised CB lawduring the first week of June, which will allow them to start IMF negotiations as soon as 23
June. EURHUF above 300 looks like an attractive short for the short term.
RON
The markets concerns related to Greece exiting the eurozone have very serious implicationsfor RON assets because of the heavy presence of Greek banks in Romania. The increase ofEURRON to 4.46 does not seem inappropriate in this way, although the central bankappears confident in its abilities to manage the situation in case of an escalation of theproblems with the Greek banks. EURRON is likely to continue its upward drift towards 4.50.
RUB
RUB continues to depreciate as it had to catch up with the decline in oil prices. Long RUBpositions should be largely squared now as the market is already pricing a tightening of theRUB liquidity in the near future. This becomes evident when looking at the RUB basis beingpaid at the front end and the Finance Ministry cancelling the planned OFZ bond auction. Weexpect CBR to start aggressive interventions if RUB continues with the abrupt depreciation
so we keep short RUB with tight stop and target at 35.70 against the basket.
TRY
The exception days policy introduced this week does not seem to help the TRY tooutperform anymore as the broad-based risk aversion prompted the reduction of long TRYpositions. CBRT will probably keep the wide interest rate corridor after its meeting on 29May, but might consider allowing banks to hold more of their reserve requirements in hardcurrency. This could ease the liquidity conditions, but is unlikely to help the lira to outperformregional peers. In the meantime USDTRY is a buy on dips.
ILS
BoI is widely expected to hold fire on Monday, although the FRA strip is pricing a cut beforethe end of year. Considering BoIs activist approach to monetary policy, the pricing of the cutmight shift forward soon. When that happens the ILS will probably come under pressure as ithas been largely isolated from the depreciation of the EUR and the CEE currencies. Weremain short ILS against a basket and would consider adding to it should BoI be more dovish
on Monday.
ZAR
The SARBs repo rate decision and cautious stance is likely to coincide with the period whenmarket volatility declines. However, the macro uncertainties related to the eurozone remainunresolved and the risk rallies should still be used as opportunities to sell. The Q1 GDP,private sector credit, PPI and trade balance data next week are unlikely help the ZAR torecover much of the losses registered over the past week, but at the current levels we areless bearish toward the ZAR.
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Latam
BRL
Following the sharp BRL sell-off, the BCB decided to halt the currency depreciation byselling USD via derivatives auctions more aggressively and anticipating the amount that wascoming due and becoming net short USD on derivatives. It is clear that they are not
comfortable with USDBRL at current levels and they would like to see a slightly strongerBRL. The currency should outperform its peers in the upcoming sessions.
CLP
The CLP depreciated sharply over the past couple of weeks, realigning its dynamics to itspeers and moving in tandem with copper prices. In this regard, the fragile outlook oncommodities is likely to keep the copper prices at current levels, which is not supportive ofthe CLP.
MXN
The volatility is so acute on the MXN that the Banxico was forced to auction the USD 400mnin the spot market after the USDMXN moved higher above Tuesday's fixing (FIX); theyended up selling USD 258mn. The uncertainty coming from EU woes will continue to affectMXN's price action and any core positions on the currency should be made via options.
COP
We opened a long USDCOP recommendation as the COP was lagging the deterioration
seen on Latam currencies as a whole. Despite the recent catch-up, the COP is still the bestperformer in 2012 and we believe there is more pressure in the short term.
PEN
The deterioration on the PEN continued through the week, which led the BCRP to intervenein the FX market selling the equivalent to USD 223mn of 2-m CDRs (certificate of depositslinked to USD) while it also provided USD via repo operations. We believe the monetaryauthority will continue to intervene to somewhat ease the depreciation on the currency.
VEF
The government was authorized by the National Assembly's finance committee to sell aroundUSD 16bn in debt this year without parliament's approval on conditions. The issuance ofsovereign bonds abroad by the government to feed the markets with USD should continue atleast until after the presidential elections in October 2012. PDVSA proposed an issuance ofUSD 3bn bonds due 2035.
ARS
Implied yield on the short end of NDF curve surged over the past couple of weeks and thecurve inverted, with the 1m NDF implying more than 50% depreciation of the ARS, while the1y implies around 35%. Nevertheless, the government does not want a sharp depreciation ofthe currency and so it imposed several restrictions to the purchase of USD since Q411.
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Asia
SGD
A strong April CPI reading failed to stall the SGDs decline. Core CPI eased to 2.7% y/y from2.9%y/y in March shaping expectations that the MAS may ease monetary policy if theeurozone heads to a full blown crisis. Industrial production due 25 May as well monetary
activity on 31 May will provide insight on the Singaporean economy. USDSGD 1.2875 is akey level it needs to stay below to prevent a test of 1.3000.
MYR
The break above 3.1500 meets trendline resistance at 3.1635, a break there opens the wayto 3.18. Malaysias strong external surplus argues for a strong MYR. Foreign fund inflows forthe targeted end-June IPO of Felda Global Venture - worth USD 3bn - with book buildingstarting 31 May means relative MYR out performance. Clearly, the MYR is able to hold itsown against Europes growing crisis: we remain short EURMYR.
IDR
Spot USDIDR continued its slow grind higher, testing 9,400. The near-term trend remainsdependent on Eurozone events. May CPI, consumer confidence and April trade data are outon 1 June. Resistance is seen at 9,440 and then 9,540. Trading volumes remain thin.
THB
USDTHB rallied as the risk-off bias took hold despite the fact that growth rose 11%q/q in Q1and the BoT upped its 2012 growth forecast to 6%. Until more clarity from Europe is see, the
risk towards 32.00 remains.
PHP
Spot USDPHP shot up, hurtling towards 44.00. News and events on the domestic frontremain thin, and the PHP continues to track broader developments. Q1 GDP reading onFriday offers a glimpse on economic activity. A strong print favours the relativeoutperformance of the PHP and for spot to face resistance near 44.50.
HKD
Failure to trade above a technical hurdle at 7.7720 (200-day MA) prompted profit taking.Chinese players were aggressive sellers of USDHKD. April retail sales, monthly budget andmoney supply prints are due on May 31. We expect USDHKD to trade between 7.7600 and7.7700 in the week ahead.
CNY
USDCNY fixing remains dictated by broader USD moves. With concerns over Chinasgrowth, CNY NDFs continue to price in CNY depreciation. The internationalisation of theRMB continues, with deeper cooperation between Hong Kong and London. Note, too the
HKMA scrapped the 20% RMB NOP limit applicable to AIs, allowing them to set their owninternal limit in consultation with the HKMA. This had a limited impact; there has been waninginterest in CNH deposits as investors re-assess opportunities in China. We stay with our long3X6M CNY DF position with a positive carry of 50 bp/month, entered at 200 pips, with atarget at 300 pips, stop at 150 pips.
TWD
April exports orders and industrial production contracted more than expected, leaving theTWD exposed to more weakness. Outflows from equities weighed on TWD. We continue torun a short 12Mx24M USDTWD NDF entered at -0.250 with a stop at -0.170 and a target of -0.490. On the technical side, we run short USDTWD tech trade entered at 29.51, with a stopat 29.80 and target at 29.10. We expect the 200-day MA resistance to hold in on the back ofexporter selling and CBC defense to curb any excess volatility.
KRW
USDKRW broke above 1180 on poor risk sentiment. Equity outflows further weighed on the
KRW. The FSS said that European funds accounted for 72.5% of all the money that leftKorea. FSS revealed that the foreign currency funding of domestic banks as measured bythe 3M foreign currency liquidity ratio and the 7-day and 1-month maturity mismatch ratios --far exceeded their recommended levels.
INR
USDINR traded to an all-time-high of 56.41 as risk deteriorated. RBI regulatory efforts failedto arrest the INR weakness. The RBI imposed limits on INR trading. The RBI also advisedbanks dealing in foreign currency to bring down their trading limits by end of June. However,these measures only address the symptoms, not the causes, for the rupee's fall. The rootcause of the INR's weakness remains its twin-deficit problem. Unless this is addressed, whichseems unlikely, the INR will continue to remain the weakest link amongst Asiancurrencies.Q1 GDP is due on 31 May and April trade prints are due on 1 June.
VND
With inflation falling to single digits, Viet assets continue to out perform holding the VND
steady. The macro improvement has already turned the fortunes around for the VND.
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Economic Calendar: 25 May 1 JuneGMT Local Previous Forecast Consensus
Fri 25/05 23:30 08:30 Japan CPI National y/y : Apr 0.5% 0.4% 0.4%
23:30 08:30 Core CPI National y/y : Apr 0.2% 0.1% 0.1%23:30 08:30 CPI Tokyo y/y : May -0.3% -0.2% -0.3%
23:30(24/05)
08:30 Core CPI Tokyo y/y : May -0.6% 0.0% -0.5%
06:00 08:00 Germany GfK Consumer Confidence : Jun 5.6 5.5 5.606:45 08:45 France Consumer Confidence : May 88 89 8807:00 09:00 Eurozone ECB's Praet Speaks at International Capital Market Association in Milan08:30 10:30 Eurocoin : May -0.0807:00 09:00 Spain PPI y/y : Apr 3.3% 2.7% 2.7%08:00 10:00 Italy Retail Sales m/m : Mar 0.6%09:00 11:00 Wages m/m : Apr 0.0%09:30 11:30 US Philadelphia Fed's Plosser Speaks at Bundesbank Monetary Policy Conf. in Eltville, Germany13:55 09:55 Michigan Sentiment (Final) : May 77.8 (p) 76.0 77.8
Mon 28/05 Holiday Germany, France, Netherlands, Belgium, Norway, Switzerland, US
Japan BoJ Minutes07:30 09:30 Sweden Retail Sales (sa) m/m : Apr 0.2% -0.2% n/a08:00 10:00 Italy ISAE Business Confidence : May 89.5 88.7 89.110:15 11:15 Eurozone ECB's Knot Speaks in Lisbon
Tue 29/05 23:30 08:30 Japan Household Consumption y/y : Apr 3.4% 2.4% 2.4%23:30 08:30 Unemployment Rate (sa) : Apr 4.5% 4.4% 4.4%
23:50(28/05)
08:50 Retail Sales y/y : Apr 10.3% 5.7% 6.0%
07:00 09:00 Spain Retail Sales y/y : Apr -3.9% -6.2% n/a07:15 09:15 Sweden Consumer Confidence (sa) : May 4.7 2.0 n/a07:30 09:30 PPI (nsa) y/y : Apr 0.2% 0.0% n/a08:00 10:00 Norway Unemployment Rate AKU (sa) : Mar 3.2% 3.2% 3.2%10:00 11:00 UK CBI Reported Sales : May -612:00 14:00 Germany CPI (Prel) m/m : May 0.2% -0.1% 0.0%12:00 14:00 CPI (Prel) y/y : May 2.1% 1.9% 2.1%
12:00 14:00 HICP (Prel) m/m : May 0.1% -0.1% 0.0%12:00 14:00 HICP (Prel) y/y : May 2.2% 2.2% 2.2%13:00 09:00 US S&P/Case-Shiller Home Price Index : Mar 134.214:00 10:00 Consumer Confidence : May 69.2 68.5 70.0
Wed 30/05 01:30 11:30 Australia Retail Sales m/m : Apr 0.9% 0.0% n/a06:45 08:45 France Housing Starts (3-mths) y/y : Apr -11.0% -18.0% n/a16:00 18:00 Jobseekers (ILO def) m/m : Apr 0.6% 1.0% n/a07:00 09:00 Spain HICP Flash y/y : May 2.0% 2.0% n/a07:30 09:30 Sweden GDP (Final, sa) q/q : Q1 -1.1% 0.5% n/a08:00 10:00 Eurozone Economic Sentiment : May 92.8 92.0 92.508:00 10:00 Consumer Sentiment (Final) : May -19.3 (p) -19.3 -19.308:00 10:00 Industrial Sentiment : May -9.0 -9.5 -10.008:00 10:00 Services Sentiment : May -2.4 -2.7 n/a08:00 10:00 M3 y/y : Apr 3.2% 3.4% 3.5%
08:00 10:00 M3 3m y/y : Apr 2.8% 3.1% 3.2%10:00 12:00 EU Issues Economic-Policy Recommendations to All States15:30 17:30 ECB's Draghi Speaks at Brussels Think Tank08:00 10:00 Italy PPI m/m : Apr 0.3% 0.1% n/a08:00 10:00 PPI y/y : Apr 2.7% 2.2% n/a08:30 09:30 UK Net Consumer Credit : Apr GBP0.4bn09:30 10:30 Mortgage Approvals : Apr 49.9k09:00 10:00 Portugal Consumer Confidence : May -53.3 -52.3 n/a09:00 10:00 Economic Climate Indicator : May -4.7 -4.4 n/a10:00 11:00 Retail Sales y/y : Apr -4.8% -8.0% n/a
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Economic Calendar: 25 May 1 JuneGMT Local Previous Forecast Consensus
Wed 30/05 09:15 11:15 Belgium CPI m/m : May 0.1% 0.0% n/a
(cont) 09:15 11:15 CPI y/y : May 3.2% 2.8% n/a09:30 11:30 Switzerland KoF Leading Indicator : May 0.40 0.30 0.4014:00 10:00 US Pending Home Sales m/m : Apr 4.1% -1.5% -0.1%17:20 12:20 Dallas Fed's Fisher Speaks on Economy in San Antonio, Texas17:30 13:30 New York Fed's Dudley Speaks on Regional Economy in New York20:30 16:30 Boston Fed's Rosengren Speaks in Worcester, Massachusetts
Thu 31/05 23:01(30/05)
00:01 UK Gfk Consumer Confidence : May -31
23:50(30/05)
08:50 Japan Industrial Production (Prel, sa) m/m : Apr 1.3% 0.4% 0.8%
05:00 14:00 Housing Starts y/y : Apr 5.0% 6.2% 6.2%05:45 07:45 Switzerland GDP (sa) q/q : Q1 0.1% 0.3% 0.1%05:45 07:45 GDP y/y : Q1 1.3% 1.1% 0.8%06:45 08:45 France PPI m/m : Apr 0.5% 0.2% 0.2%
06:45 08:45 PPI y/y : Apr 3.7% 2.9% n/a06:45 08:45 Retail Sales m/m : Apr -2.9% -0.7% 0.4%06:45 08:45 Retail Sales y/y : Apr -2.0% -0.8% n/a07:00 09:00 Germany Retail Sales (Real, sa) m/m : Apr 1.6% 0.5% 0.0%07:00 09:00 Retail Sales (Real, sa) y/y : Apr 2.3%07:55 09:55 Unemployment (Chg, sa) : May 19k 5k -10k07:55 09:55 Unemployment Rate : May 6.8% 6.8% 6.8%08:00 10:00 Norway Retail Sales (nsa) y/y : Apr 9.6% 5.9% n/a08:00 10:00 Unemployment Rate (nsa) : May 2.6% 2.4% n/a09:00 11:00 Eurozone HICP (Flash) y/y : May 2.6% 2.5% 2.6%09:00 11:00 Italy CPI (NIC, Prel) m/m : May 0.5% 0.0% 0.1%09:00 11:00 CPI (NIC, Prel) y/y : May 3.3% 3.2% 3.3%09:00 11:00 HICP (Prel) m/m : May 0.9% -0.1% 0.1%09:00 11:00 HICP (Prel) y/y : May 3.7% 3.4% 3.6%11:30 07:30 US Challenger Layoffs : May 11.2%12:00 08:00 Cleveland Fed's Pianalto Speaks on Monetary Policy in Cleveland, Ohio
12:15 08:15 ADP Labour Change : May 119k 125k 131k12:30 08:30 GDP (Prel, saar) q/q : Q1 2.2% 2.0% 1.8%12:30 08:30 Initial Claims 370k 370k n/a13:45 09:45 Chicago PMI : May 56.2 56.8 57.5
Fri 01/06 07:30 09:30 Switzerland PMI Manufacturing : May 46.908:00 10:00 Eurozone PMI Manufacturing (Final) : May 45.0 (p) 45.0 n/a09:00 11:00 Unemployment Rate : Apr 10.9% 10.9% 11.0%08:00 10:00 Italy Unemployment Rate q/q : Q1 8.8% 9.3% n/a08:30 09:30 UK CIPS Manufacturing : May 50.5 49.8 50.012:30 08:30 Canada GDP q/q : Q1 1.8% 1.8% n/a12:30 08:30 GDP (monthly) m/m : Mar -0.2% 0.5% n/a12:30 08:30 US Personal Income m/m : Apr 0.4% 0.2% 0.3%12:30 08:30 Personal Spending m/m : Apr 0.3% 0.2% 0.3%12:30 08:30 Non-farm Payrolls (Chg) : May 115k 125k 150k
12:30 08:30 Unemployment Rate : May 8.1% 8.1% 8.1%12:30 08:30 Average Hourly Earnings m/m : May 0.2% 0.1% 0.0%14:00 10:00 Construction Spending m/m : Apr 0.1% 0.5% 0.3%14:00 10:00 ISM Manufacturing : May 54.8 54.0 54.014:00 10:00 ISM Prices Paid : May 61.0 55.0 58.521:00 17:00 Total Vehicle Sales : May 14.38mn
During 28-31/05 UK Nationwide House Prices Index y/y : May -0.9%Week 29-30/05 Germany Import Prices y/y : Apr 3.1% 2.7% 2.7%
Release dates and forecasts as at c.o.b. prior to the date of publication: See Daily Economic Spotlight for any revision Source: BNP Paribas
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FX Forecasts*
USD Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
EUR/USD 1.28 1.35 1.40 1.35 1.35 1.30 1.30 1.30 1.30 1.29 1.29
USD/JPY 85 80 78 78 75 75 80 80 85 85 85
USD/CHF 0.98 0.95 0.93 0.96 0.96 1.00 1.04 1.04 1.04 1.05 1.05
GBP/USD 1.58 1.69 1.75 1.73 1.73 1.71 1.71 1.76 1.76 1.77 1.77
USD/CAD 0.98 0.97 0.95 0.95 0.96 0.97 0.97 0.97 0.96 0.96 0.96
AUD/USD 1.02 1.06 1.12 1.10 1.08 1.06 1.05 1.05 1.00 1.00 1.00
NZD/USD 0.81 0.88 0.90 0.88 0.87 0.88 0.84 0.84 0.80 0.80 0.80
USD/SEK 7.11 6.76 6.43 6.67 6.67 7.02 7.02 7.02 7.02 7.07 7.07
USD/NOK 5.98 5.63 5.36 5.56 5.56 5.85 5.85 5.85 5.85 5.89 5.89
EUR Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
EUR/JPY 109 108 109 105 101 98 104 104 111 110 110
EUR/GBP 0.81 0.80 0.80 0.78 0.78 0.76 0.76 0.74 0.74 0.73 0.73
EUR/CHF 1.25 1.28 1.30 1.30 1.30 1.30 1.35 1.35 1.35 1.35 1.35
EUR/SEK 9.10 9.12 9.00 9.00 9.00 9.12 9.12 9.12 9.12 9.12 9.12EUR/NOK 7.65 7.60 7.50 7.50 7.50 7.60 7.60 7.60 7.60 7.60 7.60
EUR/DKK 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46
Central Europe Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
USD/PLN 3.20 3.26 3.00 3.19 3.22 3.31 3.15 3.00 2.96 3.06 2.95
EUR/CZK 24.6 24.8 24.1 24.5 24.0 23.5 23.3 23.1 23.0 22.8 23.0
EUR/HUF 282 290 285 285 283 287 282 285 280 275 270
USD/ZAR 7.20 7.65 8.00 7.65 7.50 7.40 7.20 7.81 7.68 7.74 7.74
USD/TRY 1.80 1.76 1.75 1.79 1.80 1.84 1.84 1.84 1.85 1.87 1.88
EUR/RON 4.32 4.33 4.29 4.33 4.35 4.35 4.37 4.35 4.33 4.25 4.25
USD/RUB 29.31 30.28 28.55 29.30 29.67 29.52 30.04 29.60 29.25 30.08 30.96
EUR/PLN 4.10 4.40 4.20 4.30 4.35 4.30 4.10 3.90 3.85 3.95 3.80
USD/UAH 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0EUR/RSD 104 100 95 98 100 100 102 100 99 95 90
Asia Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
USD/SGD 1.24 1.22 1.20 1.18 1.17 1.16 1.15 1.20 1.20 1.20 1.20
USD/MYR 3.00 2.97 2.93 2.90 2.87 2.85 2.80 2.80 2.80 2.80 2.80
USD/IDR 8800 8700 8600 8500 8500 8500 8500 8500 8500 8500 8500
USD/THB 30.40 30.00 29.50 29.20 29.00 28.70 28.40 28.40 28.40 28.40 28.40
USD/PHP 42.00 41.00 40.00 39.50 39.00 38.50 38.00 38.00 38.00 38.00 38.00
USD/HKD 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80
USD/RMB 6.30 6.26 6.21 6.16 6.14 6.12 6.11 ----- ----- ----- -----
USD/TWD 29.00 28.70 28.50 28.30 28.00 27.80 27.50 27.50 27.50 27.50 27.50
USD/KRW 1100 1090 1080 1050 1050 1050 1050 1050 1050 1050 1050
USD/INR 53.00 52.50 52.00 51.50 51.00 50.50 50.00 45.00 45.00 45.00 45.00USD/VND 21000 21000 21000 21000 21000 21000 21000 21000 21000 21000 21000
LATAM Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
USD/ARS 4.56 4.68 4.85 5.00 5.15 5.35 5.55 5.70 5.85 6.05 6.25
USD/BRL 1.95 1.90 1.85 1.85 1.90 2.00 2.05 2.07 2.09 2.12 2.15
USD/CLP 490 480 470 477 482 487 494 497 500 502 505
USD/MXN 13.00 12.40 11.90 11.80 11.90 12.10 12.20 12.28 12.35 12.43 12.50
USD/COP 1740 1730 1750 1765 1780 1790 1800 1831 1838 1844 1850
USD/VEF 4.30 4.30 4.30 7.00 7.00 7.00 7.00 7.00 7.00 7.00 7.00
USD/PEN 2.65 2.63 2.62 2.62 2.63 2.64 2.64 2.65 2.66 2.67 2.67
Others Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14
USD Index 81.62 77.58 75.02 76.93 76.60 78.74 79.54 79.29 79.87 80.22 80.22
*End Quarter
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