MAY 2020 - cppl.com.sg · Currency 30 Apr 2020 6M 12M 95% Lower Limit 95% Upper Limit Currency 30...

JUNE 2020 G10 FX FORECASTS

Claremont Family Office www.cppl.com.sg | (65) 6430 6633

The information herein is produced as of the date of writing and is subject to change. This research is based on information obtained from sources believed to be reliable, but Claremont Partners Pte Ltd does not make any representation or warranty as to its accuracy, completeness or reliability. This research should not be construed as an offer or solicitation for the subscription, purchase or sale of any securities mentioned herein. This research has been prepared solely for information purposes and is not to be taken in substitution for the exercise of judgement of recipients. Claremont Partners Pte Ltd accepts no liability whatsoever for any direct or consequential loss arising from any use of this research. This research cannot be used as legal dispute related to investment decisions as the final investment decision is based on the recipient’s judgement. The entire contents of this document are protected by copyright law (all rights reserved). This document or any part thereof may not be reproduced, transmitted (electronically or otherwise), altered or used for public or commercial purposes, without the prior written permission of Claremont Partners Pte Ltd. © 2019, Claremont Partners Pte Ltd. All rights reserved.

G10 FX FORECASTS JUNE 2020

Contents MARKET OUTLOOK ........................................................................................ 2

FORECAST SUMMARY .................................................................................. 3

AUDCAD ............................................................................................................ 4

AUDCHF ............................................................................................................ 4

AUDDKK ............................................................................................................ 5

AUDJPY ............................................................................................................ 5

AUDNOK ........................................................................................................... 6

AUDNZD............................................................................................................ 6

AUDSEK ............................................................................................................ 7

AUDSGD ............................................................................................................ 7

AUDUSD ............................................................................................................ 8

CADCHF ............................................................................................................ 8

CADDKK ............................................................................................................ 9

CADJPY ............................................................................................................ 9

CADNOK ........................................................................................................ 10

CADSEK ......................................................................................................... 10

CADSGD ......................................................................................................... 11

CHFDKK ......................................................................................................... 11

CHFJPY ......................................................................................................... 12

CHFNOK ........................................................................................................ 12

CHFSEK ......................................................................................................... 13

CHFSGD ......................................................................................................... 13

DKKJPY ......................................................................................................... 14

DKKSGD ......................................................................................................... 14

EURAUD ......................................................................................................... 15

EURCAD ......................................................................................................... 15

EURCHF ......................................................................................................... 16

EURDKK ......................................................................................................... 16

EURGBP ......................................................................................................... 17

EURJPY .......................................................................................................... 17

EURNOK ......................................................................................................... 18

EURNZD ......................................................................................................... 18

EURSEK.......................................................................................................... 19

EURSGD ......................................................................................................... 19

EURUSD ......................................................................................................... 20

GBPAUD ......................................................................................................... 20

GBPCAD ......................................................................................................... 21

GBPCHF ......................................................................................................... 21

GBPDKK ......................................................................................................... 22

GBPJPY .......................................................................................................... 22

GBPNOK ......................................................................................................... 23

GBPNZD ......................................................................................................... 23

GBPSEK .......................................................................................................... 24

GBPSGD ......................................................................................................... 24

GBPUSD ......................................................................................................... 25

NOKDKK ......................................................................................................... 25

NOKJPY.......................................................................................................... 26

NOKSEK ......................................................................................................... 26

NOKSGD ......................................................................................................... 27

NZDCAD ......................................................................................................... 27

NZDCHF ......................................................................................................... 28

NZDDKK ......................................................................................................... 28

NZDJPY .......................................................................................................... 29

NZDNOK ......................................................................................................... 29

NZDSEK .......................................................................................................... 30

NZDSGD ......................................................................................................... 30

NZDUSD ......................................................................................................... 31

SEKDKK .......................................................................................................... 31

SEKJPY .......................................................................................................... 32

SEKSGD .......................................................................................................... 32

SGDJPY .......................................................................................................... 33

USDCAD ......................................................................................................... 33

USDCHF ......................................................................................................... 34

USDCNH ......................................................................................................... 34

USDDKK ......................................................................................................... 35

USDJPY .......................................................................................................... 35

USDNOK ......................................................................................................... 36

USDSEK .......................................................................................................... 36

USDSGD ......................................................................................................... 37

USDDXY .......................................................................................................... 37

USDUST .......................................................................................................... 38

XAUUSD ......................................................................................................... 38

Research Methodology ............................................................................... 39


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(65) 6430 6633

MARKET OUTLOOK

The US labour market improved slightly with the unemployment rate at 13.3% in May while the rise in jobless claims have slowed as parts of the economy reopens. However, some states may potentially enter a lockdown again as the number of coronavirus cases rise. Headline inflation fell to 0.1% with core inflation at 1.2%. The Fed is expected to focus more on the impact of the coronavirus crisis instead of on inflation for the near term and has reiterated it sees a recovery only in 2021. The economy looks to be improving somewhat with better PMIs and confidence although it remains to be seen if these levels are sustainable given the recent surge in coronavirus cases. The dollar is expected to remain weak as the global economy recovers. We prefer to range-trade the dollar given the uncertainty of the economic recovery coupled with a potential second wave of coronavirus infections. We continue to note President Trump’s tendency to use trade to pressure its partners and remain wary of potential trade wars especially as the country heads towards the November election for which Trump would need “wins”.

Eurozone consumer price fell to 0.1% in May and the unemployment rate rose slightly to 7.3% in Apr. Major economies in the Eurozone have started taking steps to reopen their economies from the coronavirus lockdown while the ECB has provided massive monetary stimulus. We remain wary of a potential second wave of coronavirus infections especially since the tourism and hospitality sectors have recently been given permission to reopen. However, we note that the European governments have been largely more successful in containing the spread of the virus as compared to the United States. We expect the euro to remain relatively weak given that the economy was already not performing well before the pandemic hit. It also remains to be seen if Germany and France can push through a common Eurozone budget, which could provide more cohesiveness to the Eurozone in the long run if it works out. We note that the euro has recently exhibited signs of haven-currency status where it has risen during times of turmoil despite the weakness of the economy.

The sterling pound continues to remain pressured by Brexit although there has recently been increasing optimism for a deal. However, PM Johnson remains unwilling to extend the transitionary period beyond the initial deadline of December this year despite the coronavirus crisis, which might result in a hard Brexit. The British economy also faces rising jobless claims and falling confidence and spending due to the coronavirus crisis. PM Johnson recently moved to reopen the economy and it remains to be seen if the number of coronavirus infections will rise as people slowly begin to resume their normal lives. The economy contracted 2.0% in the first quarter and is likely to remain contractionary in the near term as it deals with the impact of Covid-19 as well as Brexit. The government has performed multiple fiscal stimulus injections and has also provided support for hard-hit businesses and consumers, although the results remain to be seen. We expect sterling to trend lower in the near future as an economic recovery is uncertain while Brexit remains a large geopolitical risk even if the coronavirus issue is resolved.

Japan’s labour market loosened slightly with unemployment at 2.6% in April and a fall in the jobs-to-applicant ratio at 1.32. Inflation fell to 0.4%in May and is likely to remain low with consumer spending hit by government’s sales tax increase from 8% to 10% as well as the increased social distancing measures to combat the spread of the coronavirus even as these restrictions are loosened. Fundamentally, the yen is expected to remain weak as the economy contracts although its status as a haven currency might result in momentary appreciation due to market turmoil. We would prefer to range-trade the yen in the near future and look for long term depreciation once the coronavirus pandemic dies off and the global economy recovers.

1.10

1.20

1.30

1.40

1.50

May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21

GBPUSD Curncy Forecast 95% Upper Limit 95% Lower Limit


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(65) 6430 6633

FORECAST SUMMARY

Spot Forecast Spot Forecast

Currency 31 May 2020 6M 12M 95% Lower

Limit 95% Upper

Limit Currency 31 May 2020 6M 12M

95% Lower Limit

95% Upper Limit

AUDCAD 0.9184 0.8156 0.8221 0.7722 0.8778 GBPCHF 1.1871 1.1600 1.2039 1.0537 1.2807

AUDCHF 0.6413 0.6564 0.6972 0.5880 0.7407 GBPDKK 8.2903 8.2239 7.2125 6.8534 9.0086

AUDDKK 4.4790 4.5394 4.3723 4.1240 4.8549 GBPJPY 133.08 112.87 96.32 87.76 131.85

AUDJPY 71.92 73.64 68.91 65.20 78.02 GBPNOK 12.00 13.17 12.31 11.73 14.04

AUDNOK 6.4799 7.2352 7.1068 6.6364 7.6272 GBPNZD 1.9889 2.0484 1.8737 1.8002 2.1500

AUDNZD 1.0748 0.9060 0.8411 0.8181 0.9694 GBPSEK 11.64 12.61 12.47 11.48 13.22

AUDSEK 6.2871 6.1449 6.3282 5.8731 6.5843 GBPSGD 1.7448 1.8823 1.8343 1.7571 2.0222

AUDSGD 0.9422 0.8883 0.9464 0.7809 0.9926 GBPUSD 1.2343 1.2371 1.1939 1.1338 1.3309

AUDUSD 0.6667 0.6706 0.6823 0.6372 0.7228 NOKDKK 0.6910 0.6711 0.7678 0.6114 0.7926

CADCHF 0.6980 0.7590 0.6761 0.6023 0.8252 NOKJPY 11.10 12.37 12.23 11.04 13.36

CADDKK 4.8738 5.0228 5.8771 4.1366 6.1473 NOKSEK 0.9706 1.1433 1.3277 0.9831 1.3625

CADJPY 78.21 78.97 84.67 69.14 88.43 NOKSGD 0.1454 0.1646 0.1589 0.1495 0.1841

CADNOK 7.0534 7.0144 6.8779 6.5429 7.3700 NZDCAD 0.8550 0.8262 0.8191 0.7934 0.8618

CADSEK 6.8505 7.1031 8.0696 6.3574 8.4057 NZDCHF 0.5964 0.6203 0.6293 0.5600 0.6658

CADSGD 1.0257 1.0417 0.9933 0.9425 1.1057 NZDDKK 4.1662 4.1646 4.0252 3.9359 4.3416

CHFDKK 6.9831 7.3931 7.7641 7.1506 7.9497 NZDJPY 66.91 75.63 76.73 71.52 80.00

CHFJPY 112.15 114.27 114.80 108.55 118.80 NZDNOK 6.0287 6.3756 6.5725 6.0421 6.7346

CHFNOK 10.1081 9.8130 8.5589 8.3016 10.6103 NZDSEK 5.8493 5.9269 5.8749 5.7243 6.1701

CHFSEK 9.8081 10.9088 11.7778 10.0331 12.0503 NZDSGD 0.8764 0.7980 0.8495 0.7664 0.8681

CHFSGD 1.4695 1.4407 1.5147 1.3956 1.5597 NZDUSD 0.6205 0.6852 0.6637 0.6500 0.7197

DKKJPY 16.05 16.09 17.19 15.03 18.53 SEKDKK 0.7122 0.7179 0.7208 0.6934 0.7413

DKKSGD 0.2104 0.2253 0.2393 0.2114 0.2490 SEKJPY 11.43 13.24 12.88 12.18 14.50

EURAUD 1.6671 1.4984 1.4427 1.3843 1.6926 SEKSGD 0.1499 0.1467 0.1497 0.1365 0.1576

EURCAD 1.5299 1.6345 1.7613 1.4620 1.8264 SGDJPY 76.25 85.06 89.28 80.82 91.72

EURCHF 1.0675 0.9863 0.9650 0.8961 1.0225 USDCAD 1.3780 1.2012 1.2271 1.1307 1.2968

EURDKK 7.4568 7.4550 7.4678 7.4428 7.4776 USDCHF 0.9616 0.7485 0.5701 0.5147 0.9609

EURGBP 0.8995 0.8644 0.8940 0.8094 0.9170 USDCNH 7.1332 7.3001 7.3114 7.1435 7.4362

EURJPY 119.77 88.79 70.06 64.58 118.75 USDDKK 6.7164 6.6469 6.8145 6.3724 7.0099

EURNOK 10.7896 12.4605 12.4957 11.6649 12.7411 USDJPY 107.83 90.59 75.36 68.97 112.40

EURNZD 1.7890 1.7199 1.7029 1.6473 1.7992 USDNOK 9.7205 9.9061 10.0771 9.3354 10.5285

EURSEK 10.47 13.44 13.92 12.96 14.46 USDSEK 9.4320 9.6393 9.6639 9.0878 10.3965

EURSGD 1.5687 1.5838 1.4437 1.3852 1.6654 USDSGD 1.4135 1.3975 1.3841 1.3602 1.4158

EURUSD 1.1101 1.1183 1.0867 1.0322 1.1783 USDDXY 98.34 94.67 92.60 89.64 102.05

GBPAUD 1.8512 1.7845 1.7544 1.6631 1.9366 USDUST 0.6526 0.5697 0.1385 0.0039 0.9126

GBPCAD 1.6998 1.7730 1.6758 1.5413 2.0967 XAUUSD 1,730.3 1,616.2 1,636.9 1,494.6 1,747.3


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(65) 6430 6633

AUDCAD

Model Summary Predictive Variables R 0.9620 AU CoreLogic Median City Values MoM

AU Trade Exports YoY

CA Business Outlook Future Sales Growth

CA Markit Manufacturing PMI

CH Coincident Index

CH PPI Wholesale Goods YoY

EU Labor Unemployment

JP Merchandise Trade Export Volume to US YoY

JP PPI MoM

JP Retail Sales YoY Convenience Stores

JP Tankan Business Conditions Medium Enterprises Manufacturing

SK Auto Production

SK GDP Government Consumption Expenditure QoQ

SK GDP Real YoY

SK Government Expenditure and Lending

SK Leading Indicator - Domestic Machinery Shipments

SK Retail Sales

US Chicago Fed National Activity Index

US Government Bond 20Y Yields

US Labor NFP Average Hourly Wages YoY

R-Square 0.9260

Adjusted R-Square 0.9190

Standard Error 0.0200

Forecast Summary 6M Forecast 0.8156

12M Forecast 0.8221

95% Upper Limit 0.8778

95% Lower Limit 0.7722

AUDCHF

Model Summary Predictive Variables R 0.9870 AU Government Bonds 10Y Yield

AU Labour Force Hourly Wage ex Bonuses YoY

AU WMI Consumer Confidence

CH Balance of FX Settled and Sold by Banks

CH Industrial Profits Cumulative YoY

CH Retail Prices YoY

EU EC Retail Trade Confidence

JP Outward Investment Stocks

JP Vehicle Production YoY

SK Government Revenue

SK House Rental to Purchase Price

SK KOSPI

SK Lagging Indicator - Imports of Consumer Goods

SK Trade Price Exports

SW GDP at Current Prices QoQ

SW GDP Household Consumption Expenditure QoQ

SW Real Estate Single Family Homes YoY

SW Retail Sales Real YoY

SW Trade Balance Exports

SW Trade Current Account Balance Yearly (% GDP)

SW Trade Export Level YoY

US GDP Gross Fixed Capital Formation Private QoQ


US Trade Exports YoY

R-Square 0.9740




12M Forecast 0.6972



0.70

0.80

0.90

1.00


AUDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit

0.50

0.60

0.70

0.80


AUDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit


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(65) 6430 6633

AUDDKK

Model Summary Predictive Variables R 0.9850 CH Consumer Confidence

CH Cross-Border RMB Settlement

DE GDP Government Consumption Expenditure QoQ

DE Government Bond 10Y Yield

DE Labor Eurostat Unemployment Rate

EU EC Consumer Confidence

EU ECB Change in Credit Standards Lending to Business (last 3M)

EU GDP Government Consumption Expenditure

EU GDP Household Consumption Expenditure

EU STOXX 50

JP BSI Business Conditions Large QoQ

JP Business Cycle Indicators Leading

JP Economy Watchers Survey Current Conditions

JP Trade Export Price YoY

SE Budget Surplus or Deficit (% GDP)

SK GDP Government Consumption Expenditure QoQ

SK House Price Index

UK Conference Board Coincident Indicator

UK Conference Board Leading Indicator

UK Spreads on Loans Medium PFNCs (past 3M)

US Consumer Comfort

US Monetary Base YoY

US Money Supply M1 YoY

R-Square 0.9700




12M Forecast 4.3723



AUDJPY

Model Summary Predictive Variables R 0.9880 AU GDP Implicit Price Deflator YoY

AU GNP Imports of Goods & Services QoQ

AU Money Supply M3 YoY

AU Trade Exports

AU Trade Terms of Trade

CH Business Cycle Signal

CH GDP YoY BBG Estimate

CH Labor Zhaopin CIER Employment Index

CH Monetary Conditions Index


CH Shanghai Stock Exchange

CH Trade BOP Goods and Services Balance

EU DZ Bank Leading Indicator YoY


JP Household Savings Ratio

JP Land Prices YoY

JP Nikkei 42 Commodity Price Index

JP Tankan Fixed Investments Non-Manufacturing


SK Auto Sales

SK Consumer Confidence

SK Foreign Reserves

SK Leading Indicator - KOSPI

SK Money Supply M1 Average YoY

US Chicago Fed National Activity Index (3M MA)

US Conference Board Leading Index Building Permits

US Conference Board Leading Index Leading Credit

R-Square 0.9760




12M Forecast 68.91



4.00

4.50

5.00

5.50


AUDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit

60

70

80

90


AUDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit


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AUDNOK

Model Summary Predictive Variables R 0.9890 AU CoreLogic Median City Values MoM

AU Household Saving Ratio

AU RBA FX Transactions Market

CH Industrial Profits Cumulative


CH Net Fund Flows for Approved China Fund

CH Retail Alibaba Online Shopping Price Index YoY

EU Trade Current Account (% GDP)

JP Inflation ex Food YoY

JP Tankan Fixed Investments Manufacturing

NO Money Supply M0 YoY

SE OMX Stockholm 30

SK Business Conditions NSA

SK GDP Real YoY

SK Money Supply LF YoY

UK Demand for Lending Medium PNFCs (next 3M)

UK Spreads on Loans Large PFNCs (next 3M)

US GDP Change in Private Inventories



US Inflation YoY

US Labor NFP Manufacturing MoM



US Total Debt Outstanding Notes

US Treasury Budget Surplus or Deficit

R-Square 0.9780




12M Forecast 7.1068



AUDNZD

Model Summary Predictive Variables R 0.9920 AU IMF Total Reserves ex Gold

AU Labour Force Hourly Wage ex Bonuses YoY


AU Official Reserve Assets

JP Consumer Confidence Households


NZ Monetary Conditions

NZ Number of Building Consents

NZ REI Median House Price

NZ Total Card Spending Retail

NZ Westpac McDermott Miller Consumer Confidence

SK GDP Government Consumption Expenditure YoY

SK Leading Indicator - Construction Orders

SK Retail Sales

US House Price YoY


US OECD Leading Indicators YoY

US Total Debt Outstanding Bills

US Treasury Budget Surplus or Deficit (% GDP)

R-Square 0.9840




12M Forecast 0.8411



5.50

6.00

6.50

7.00

7.50


AUDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit

0.80

0.90

1.00

1.10

1.20


AUDNZD Curncy Forecast 95% Upper Limit 95% Lower Limit


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AUDSEK

Model Summary Predictive Variables R 0.9780 AU Inflation Weighted Median YoY


CH Labor Unemployment Rate

CH Money Supply M0 YoY


DE Money Supply M1 YoY

EU ECB Expected Change in Lending for House Purchase

EU Eurozone Budget Balance (% GDP)

SE Trade Current Account Balance (% GDP)

SE Trade Import Prices

SK Auto Production

SK Industrial Production Service Volume YoY

SK PPI

UK Demand for Secured Lending for House Purchases (next 3M)


US House Price YoY

US Labor Cost YoY

US Output per Hour Non-Farm QoQ

R-Square 0.9560




12M Forecast 6.3282



AUDSGD


AU Labour Force Hourly Wage ex Bonuses QoQ


CH Leading Index



HK Money Supply M2 YoY


MY Money Supply M2 YoY

MY Residential Property Starts

SK Consumer Confidence

SK GDP Consumption Expenditure YoY


SK Money Supply LF YoY

US Chicago Fed National Activity Index (3M MA)

US Consumer Comfort


US ISM Manufacturing Price Index

US Retail and Food Sales YoY

R-Square 0.9740




12M Forecast 0.9464



5.75

6.00

6.25

6.50

6.75


AUDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit

0.70

0.80

0.90

1.00

1.10


AUDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


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(65) 6430 6633

AUDUSD

Model Summary Predictive Variables R 0.9950 AU Government Bonds 10Y Yield

AU RBA Aggregate Private Sector Credit MoM

AU Trade Current Account Balance

AU Trade Exports


CA Business Outlook Future Sales Growth

CA S&P/TSX Composite Index

CH House Prices YoY

JP Loans and Discounts Outstanding

JP Money Supply M3 YoY

JP TOPIX

SK Coincident Indicator - Retail Sales

SK Foreign Reserves YoY

SK GDP Gross Fixed Capital Formation YoY


SK KOSPI

SK Leading Indicator - IR Spread (5Y-Call)

SK Money Supply L (End of) YoY

SK PPI

SK Trade Imports




US Wholesale Inventories MoM

R-Square 0.9900




12M Forecast 0.6823



CADCHF

Model Summary Predictive Variables R 0.9870 CA GDP at Nominal Prices QoQ

CA Manufacturing Survey New Orders


CH Trade Foreign Balance

EU GDP YoY

EU New Passenger Car Registrations YoY

EU PPI Ex Construction and Energy YoY

EU PPI Ex Construction YoY

EU STOXX 50


SW Industrial Production YoY

SW Labour Employment Level QoQ

SW Real Estate Industrial Space

SW Real Estate Industrial Space YoY

SW Trade Export Level

SW Trade Import Level YoY


US Labor NFP Average Hourly Wages

US Total Debt Outstanding Bonds

US Trade Exports YoY

US Trade Import Price YoY

R-Square 0.9750




12M Forecast 0.6761



0.60

0.70

0.80

0.90


AUDUSD Curncy Forecast 95% Upper Limit 95% Lower Limit

0.60

0.70

0.80

0.90


CADCHF Curncy Forecast 95% Upper Limit 95% Lower Limit


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CADDKK

Model Summary Predictive Variables R 0.9270 CA GDP at Nominal Prices QoQ

CH Labor Population


CH SHIBOR 3M

DE Labor Gross Unemployment Rate

EU Labor Costs YoY

EU STOXX 50

SE Labor Private Employees QoQ

SE Labor Private Employees YoY

SE Lending to Households YoY

UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)

UK Credit Scoring Criteria for Loan Applications (next 3M)

UK Default Rate on Loans Medium PFNCs (last 3M)

UK GDP YoY

UK Labor Unemployment Claimant Count MoM

UK Net Lending to Individuals Secured on Dwellings


R-Square 0.8600




12M Forecast 5.8771



CADJPY

Model Summary Predictive Variables R 0.9840 CA BOC Money Supply M1 YoY


CA New House Price MoM

CA Retail Sales YoY

CH Labor Population



EU ECB Change in Demand for Loans to Enterprises (last 3M)

EU Markit PMI Manufacturing

EU Money Supply M3 YoY

EU OECD Leading Indicators

EU PPI Intermediate Goods YoY

EU STOXX 50

JP Corporate Operating Profits

JP Government Bonds 3M Yield


JP Industrial Activity

JP Labor Unemployment Rate

JP Merchandise Trade Export Volume to Asia YoY

JP Merchandise Trade Export Volume YoY


JP TOPIX


US Fed Fund Target Rate Upper Bound

US GDP Household Consumption Core Expenditure QoQ

US ISM PMI

US Trade Current Account Balance

R-Square 0.9690




12M Forecast 84.67



4.00

4.50

5.00

5.50

6.00


CADDKK Curncy Forecast 95% Upper Limit 95% Lower Limit

60

70

80

90


CADJPY Curncy Forecast 95% Upper Limit 95% Lower Limit


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CADNOK

Model Summary Predictive Variables R 0.9480 CA Ivey PMI Prices

CH Government Bond Yield 10Y

EU ECB Change in Demand for Loans for House Purchase (last 3M)

EU ECB Expected Change in Demand for House Purchases

SE Capacity Utilization in Mining and Manufacturing

SE OMX Stockholm 30

UK EC Manufacturing Confidence

UK Mortgage Lending Approvals

UK Rightmove National Asking Price YoY

R-Square 0.8990




12M Forecast 6.8779



CADSEK


CA Ivey PMI Prices

CA OECD Surplus or Deficit (% GDP)

DE Labor Gross Unemployment Rate

NO GDP Real Fixed Capital Formation YoY

NO Retail Sales Volume ex Auto YoY


SE Trade Export Prices

UK GDP YoY

UK Labor Wages 3M Average YoY

UK Mortgage Lending Approvals

UK Nationwide House Prices YoY

US Business Conditions

US GDP YoY




R-Square 0.8910




12M Forecast 8.0696



6.00

6.50

7.00

7.50


CADNOK Curncy Forecast 95% Upper Limit 95% Lower Limit

6.00

7.00

8.00

9.00


CADSEK Curncy Forecast 95% Upper Limit 95% Lower Limit


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CADSGD

Model Summary Predictive Variables R 0.9910 CA Ivey PMI Employment


CA Merchandise Trade Total Exports

CA Trade Current Account Balance (% GDP)


CH Consumer Confidence

CH Inflation YoY

CH Leading Index

CH Required Reserve Ratio for Major Banks


HK Composite Interest Rate

HK Trade Domestic Exports

IN GDP YoY

IN Government Bond Yield 10Y

IN Inflation YoY


MY Inflation YoY

MY Labor Force



MY Trade Current Account Balance (% GDP)

MY Trade Imports YoY

SG Consumer Confidence

SG Labor Unemployment Rate NSA

SG Trade Current Account Balance (% GDP)


US Trade Imports

R-Square 0.9820




12M Forecast 0.9933



CHFDKK

Model Summary Predictive Variables R 0.9940 CH Baidu Economic Index - Auto Sales YoY

CH Balance of FX Settled and Sold by Banks


CH Freight Turnover YoY

CH FX Transactions Total

DE GDP Government Consumption Expenditure YoY

DE Inflation Eurostat HICP YoY

DE Trade Balance Exports

DE Trade Current Account (% GDP)



SW SNB LIBOR 3M


SW Trade Import Level

UK Default Rate on Loans Large PFNCs (next 3M)


US ISM PMI Manufacturing

US Retail Sales in Stores YoY


US Trade Exports

US Treasury Budget Surplus or Deficit

R-Square 0.9890




12M Forecast 7.7641



0.90

1.00

1.10

1.20


CADSGD Curncy Forecast 95% Upper Limit 95% Lower Limit

6.00

6.50

7.00

7.50

8.00


CHFDKK Curncy Forecast 95% Upper Limit 95% Lower Limit


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CHFJPY

Model Summary Predictive Variables R 0.9930 CH Annual Disposable Income per capita

CH Baidu Economic Index - Auto Sales YoY

CH Baidu Economic Index - Employment YoY

CH Foreign Receipt of Bank on Behalf of Client





EU DZ Bank Leading Indicator Index




JP Inflation YoY Tokyo


JP Tankan Business Conditions Forecast Medium Enterprises Manufacturing

JP Tankan Business Conditions Small Enterprises Manufacturing

JP Tankan Change in Input Prices Large Enterprises Manufacturing

JP Tankan Fixed Investments


SW Budget Balance

SW Budget Balance (% GDP)

SW Labour Unemployment Level

SW OECD Leading Indicators

SW PPI YoY

SW Real Estate Office Space


US Consumer Confidence

R-Square 0.9860




12M Forecast 114.80



CHFNOK

Model Summary Predictive Variables R 0.9960 CH GDP YoY



EU OECD Leading Indicators


NO Consumer Confidence

NO IMF Current Account Balance (% GDP)

NO OECD Government Surplus or Deficit (% GDP)

NO Oslo Stock Exchange

SE OMX Stockholm 30


SW GDP at Current Prices YoY

SW Industrial Production Orders YoY

SW Money Supply M3 YoY


SW Trade Import Prices YoY

UK Lloyds Business Activity (next 12M)

UK Trade Balance of Payments Current Balance

US Conference Board Leading Index Average Workweek Production Workers

US Total Debt Outstanding Bonds

R-Square 0.9930




12M Forecast 8.56



105

110

115

120


CHFJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

8.00

9.00

10.00

11.00


CHFNOK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 13


(65) 6430 6633

CHFSEK

Model Summary Predictive Variables R 0.9950 CH Total FI CNY Loans

DE GDP Deflator YoY

DE GDP Government Consumption Expenditure YoY

DE IMF Total Reserves ex Gold

DE Trade Export Prices YoY


EU Markit PMI Manufacturing

NO GDP Real Mainland QoQ

SE Eurostat Foreign Official Reserves

SE IMF Total Reserves ex Gold

SE OMX Stockholm 30

SW PMI Purchase Prices

SW PPI Production & Import Prices YoY

SW SMI Index


US Industrial Production

US Inflation YoY

US Labor NFP Value

US Trade Import Price MoM

R-Square 0.9900




12M Forecast 11.78



CHFSGD

Model Summary Predictive Variables R 0.9810 CH Cross-Border RMB Settlement


CH Inflation YoY

CH Production Electricity YoY



EU Retail Sales YoY

HK Labor Real Wages


JP Official Reserve Assets

MY PPI Imports

SW Budget Balance

SW Industrial Production Orders YoY

SW Labour Unemployment Rate

SW Real Estate Office Space YoY

SW Retail Sales Ex-Fuel Real YoY

SW SMI Index


US Philadelphia Fed Business Outlook General Conditions

R-Square 0.9620




s12M Forecast 1.5147

d95% Upper Limit 1.5597


8.00

9.00

10.00

11.00

12.00


CHFSEK Curncy Forecast 95% Upper Limit 95% Lower Limit

1.30

1.40

1.50

1.60


CHFSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 14


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DKKJPY

Model Summary Predictive Variables R 0.9790 CH Shanghai Stock Exchange

DE Trade Balance Imports


EU New Passenger Car Registrations YoY



JP Merchandise Trade Exports YoY

JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing


SE Bank Lending to Households YoY

SE OECD Outlook Labor Productivity


UK Credit Scoring Criteria for Loan Applications (last 3M)

UK Government Bond 10Y Yield


UK OECD Leading Indicator


US Trade Current Account Balance (% GDP)

R-Square 0.9580




12M Forecast 17.19



DKKSGD

Model Summary Predictive Variables R 0.9860 CH Fixed Asset Investment Cumulative YoY


DE GDP Deflator YoY

DE Government Debt (% GDP)

DE Inflation HICP YoY

DE Inflation YoY

EU ECB Change in Demand for Loans for House Purchase (last 3M)


EU ECB Main Refinancing Operations Announcement Rate

HK Employment Confidence

HK GDP Government Consumption Expenditure YoY

HK Labor Real Wages YoY

HK Labor Unemployment Rate

HK Residential Mortgage Outstanding Loans MoM

HK Trade Current Account (% GDP)

IN Consumer Confidence Expectations - Income

JP BOG Average Outstanding Monetary Base YoY

JP Producer Inventory Shipment Ratio


MY Government Bond Yield 10Y

MY Labor Employed Persons

SE OMX Stockholm 30


SG Business Expectations Manufacturing

SG Money Supply M2 YoY

R-Square 0.9730




12M Forecast 0.2393



15

16

17

18

19


DKKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

0.20

0.21

0.22

0.23

0.24

0.25


DKKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 15


(65) 6430 6633

EURAUD

Model Summary Predictive Variables R 0.9850 AU Government Bonds 3M Yield


EU EC Business Climate Indicator


GM Government Debt (% GDP)

GM Trade Import Prices YoY

JP GDP YoY

NL GDP Government Consumption Expenditure YoY

SK Foreign Direct Investment

SK Labor Economically Active Population YoY

SP Labor Cost Average YoY

SW GDP QoQ

SW Inflation Core YoY

SW Labour Unemployment Level


UK FTSE 100




R-Square 0.9710




12M Forecast 1.4427



EURCAD

Model Summary Predictive Variables R 0.9480 CA Merchandise Trade Total Imports YoY



GM External Manufacturing Orders YoY

GM Labor Productivity per Hour YoY

GM Terms of Trade

GM Trade Import Prices YoY

IT EC Budget Deficit or Surplus (% GDP)

SP GDP Government Consumption Expenditure QoQ


SW GDP Household Consumption Expenditure YoY

SW Labour Unemployment Rate NSA


UK RPI YoY



R-Square 0.8980




12M Forecast 1.7613



1.20

1.40

1.60

1.80


EURAUD Curncy Forecast 95% Upper Limit 95% Lower Limit

1.40

1.60

1.80

2.00


EURCAD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 16


(65) 6430 6633

EURCHF

Model Summary Predictive Variables R 0.9960 CH Baidu Economic Index - Auto Sales YoY


CH Labor Population




FR GDP Government Consumption Expenditure QoQ

FR GDP Household Consumption Expenditure QoQ

GM ZEW Expectation of Economic Growth

NL Consumer Confidence

NL Trade Current Account Balance (% GDP)

SP IBEX35

SP Inflation YoY

SP Labor Cost Value YoY


SW OECD Leading Indicators

SW Real Estate Condominiums YoY

SW Trade Import Level YoY



UK Overall Secured Lending Spreads (last 3M)


R-Square 0.9930




12M Forecast 0.9650



EURDKK

Model Summary Predictive Variables R 0.9190 CH Inflation YoY

EU Core Inflation YoY

EU ECB Change in Lending to Consumer Credit (last 3M)

FR Housing Starts 3M YoY

GM Government Budget Deficit / Surplus (% GDP)

IT Markit PMI Retail

SE Economic Sentiment


SW SMI Index

SW Trade Current Account Balance Quarterly (% GDP)

UK Conference Board Coincident Indicator YoY

UK Department for Communities and Local Government House Prices YoY



R-Square 0.8440




12M Forecast 7.4678



0.80

0.90

1.00

1.10

1.20


EURCHF Curncy Forecast 95% Upper Limit 95% Lower Limit

7.42

7.44

7.46

7.48


EURDKK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 17


(65) 6430 6633

EURGBP

Model Summary Predictive Variables R 0.9910 CH House Prices YoY

CH Inflation YoY


GM Household Income Net Wages & Salaries YoY

GM Labor Unit Costs per Turnover Unit YoY

GM Manufacturing Orders YoY

NL AEX

NL GDP Price Deflator YoY

NL Government Bonds 10Y Yields

NL Government Debt (% GDP)

NL Industrial Sales YoY

SP Government Bonds 10Y Yields

SW Consumer Confidence Economic Situation (next 12M)

SW GDP Implicit Price Deflator QoQ

SW PPI YoY

SW Real Estate General Apartment Rentals QoQ

UK BOE Official Bank Rate

UK Demand for Secured Lending Small Businesses (next 3M)

UK FTSE 100

UK GDP QoQ


UK Loans Approved for House Purchase

UK PPI Output Price Ex F&B, Tobacco and Petroleum MoM

UK Trade Current Balance (% GDP)

US GDP Nominal YoY


US PPI YoY

US Total Debt Outstanding Bills

R-Square 0.9830




12M Forecast 0.8940



EURJPY

Model Summary Predictive Variables R 0.9880 CH PPI Industrial Products YoY




FR Labor Non-Farm Payrolls YoY

GM Consumer Confidence

GM GDP Government Consumption Expenditure QoQ

GM Government Bonds 3M Yield

IT GDP Price Deflator YoY

IT Government Bonds 10Y Yields

IT Labor Large Industry Employment YoY

IT Markit PMI Retail

JP GDP Chained Deflators YoY

JP Government Bonds 10Y Yield


JP Housing Starts




JP Trade Import Price YoY


SW GDP QoQ

SW GDP Real QoQ



UK Availability of Secured Credit to Households (next 3M)



UK EC Services Confidence


UK Money Supply M4 MoM

UK PSNCR Net Debt (% GDP)


R-Square 0.9760




12M Forecast 70.06



0.80

0.85

0.90

0.95


EURGBP Curncy Forecast 95% Upper Limit 95% Lower Limit

60

80

100

120

140


EURJPY Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 18


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EURNOK

Model Summary Predictive Variables R 0.9890 CH Annual Disposable Income per capita

CH GDP YoY

CH Industrial Profits Cumulative




EU ECB Expected Change in Demand for House Purchases

EU Markit PMI Retail

EU PPI Ex Construction and Energy MoM

FR Labor Hourly Wage YoY

FR Labor Monthly Wage YoY

IT Labor Monthly Unemployment Rate


NO Credit to Households YoY

NO GDP Real Household Expenditure YoY

NO Trade Exports ex Ships and Oil Platforms




SW GDP Exports YoY

SW GDP Household Consumption Expenditure YoY

SW Real Estate Condominiums YoY

UK Default Rate on Loans Large PFNCs (next 3M)

UK FTSE 100

US Total Debt Outstanding Total Marketable

R-Square 0.9790




12M Forecast 12.50



EURNZD

Model Summary Predictive Variables R 0.9920 AU GDP Implicit Price Deflator QoQ

AU Household Saving Ratio

AU Inflation Weighted Median YoY


CH House Prices YoY


CH PMI Backlogs of Orders

CH Trade Current Account Balance (% GDP)

FR Labor Monthly Wage YoY

IT Labor Cost YoY

JP Economy Watchers Survey Expectations


NZ ANZ Survey Residential Construction

NZ Labor Force Unemployed


NZ Residential Property YoY

UK Business Investment YoY

UK GDP QoQ


R-Square 0.9850




12M Forecast 1.7029



9.00

10.00

11.00

12.00

13.00


EURNOK Curncy Forecast 95% Upper Limit 95% Lower Limit

1.40

1.60

1.80

2.00


EURNZD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 19


(65) 6430 6633

EURSEK

Model Summary Predictive Variables R 0.9790 CH Net Fund Flows for Approved China Fund



GM Terms of Trade

IT Markit PMI Services

NL Trade Current Account Balance (% GDP)

SE Consumer Confidence Macro


SW Budget Balance


SW Labour Employment Level YoY

UK Conference Board Leading Indicator YoY

UK Corporate Lending Credit Availability to the Commercial Real Estate Sector (next) 3M)


UK Halifax House Prices 3M YoY

UK Labor Unemployment Claimant Count MoM

UK Money Supply M4 YoY

UK New Car Registrations YoY

R-Square 0.9580




12M Forecast 13.92



EURSGD

Model Summary Predictive Variables R 0.9920 EU EC Retail Trade Confidence


FR Core Inflation YoY

FR Inflation YoY


HK Trade Re-Exports YoY

IN Labor Unemployment

MY Industrial Production YoY - Manufacturing


NL Retail Sales - Price YoY

SG Business Expectations Manufacturing


SG PMI Supplier Deliveries

SW Budget Balance Government Debt

SW GDP Implicit Price Deflator YoY



UK Mortgage Equity Withdrawal

US Economy Expectations Diffusion Index






R-Square 0.9850




12M Forecast 1.4437



8.00

10.00

12.00

14.00

16.00


EURSEK Curncy Forecast 95% Upper Limit 95% Lower Limit

1.40

1.50

1.60

1.70


EURSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 20


(65) 6430 6633

EURUSD

Model Summary Predictive Variables R 0.9890 CA BOC Inflation Ex 8 & Tax YoY

CA BOC Money Supply M1 YoY

CH Baidu Economic Index - Auto Sales YoY



CH PMI New Orders

IT FTSE MIB


JP PPI MoM



MX BMV

NL AEX


SP Labor Cost Value YoY

UK GDP Household Consumption Expenditure QoQ

UK GDP QoQ




R-Square 0.9780




12M Forecast 1.0867



GBPAUD

Model Summary Predictive Variables R 0.9950 AU RBA FX Transactions Market




CH PBOC Survey Bankers Confidence


CH Wealth Management Products Amount Outstanding




JP GDP Real Public Demand Contributions



SK Debt (% GDP)

SK GDP Deflator YoY

SK Money Supply L (End of) YoY

SK PPI

UK FTSE 100

UK Overall Secured Lending Spreads (last 3M)

UK PPI Output Price Ex F&B, Tobacco and Petroleum YoY

UK Trade Capital Balance

US Conference Board Leading Index MoM

US GDP Household Consumption Core Expenditure QoQ



US PPI Core YoY

R-Square 0.9890




12M Forecast 1.7544



1.00

1.10

1.20

1.30


EURUSD Curncy Forecast 95% Upper Limit 95% Lower Limit

1.60

1.80

2.00

2.20


GBPAUD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 21


(65) 6430 6633

GBPCAD

Model Summary Predictive Variables R 0.9900 CA Ivey PMI Prices

CA Merchandise Trade Total Imports

CH Industrial Production Cumulative YoY

CH Money Supply M2



EU EC Capacity Utilization

EU ECB Expected Change in Demand for Loans to Enterprises

EU ECB MFI Loans to Households for House Purchase Transactions

EU Eurostat Eurozone Budget Deficit / Surplus (% GDP)

EU Inflation Flash Estimate YoY


UK Availability of Secured Credit to Households (last 3M)

UK FTSE 100


UK IOS Total Service Industries 3M/3M



UK Trade Balance Value Imports

UK Trade Balance with EU27

US GDP Price Index QoQ

US S&P 500

R-Square 0.9790




12M Forecast 1.6758



GBPCHF

Model Summary Predictive Variables R 0.9970 CH CHIBOR 3M

CH House Prices YoY



SW Consumer Confidence Willingness to Purchase Durable Goods


SW Real Estate Condominiums




UK BOE Mortgage Approvals

UK BOE Official Bank Rate

UK Core Inflation YoY


UK PPI Output Price Ex F&B, Tobacco and Petroleum MoM



US Inflation YoY

US Personal Consumption Expenditures Core YoY

US Trade Balance

R-Square 0.9950




12M Forecast 1.2039



1.40

1.60

1.80

2.00

2.20


GBPCAD Curncy Forecast 95% Upper Limit 95% Lower Limit

1.00

1.10

1.20

1.30

1.40


GBPCHF Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 22


(65) 6430 6633

GBPDKK



DE Labor Costs Nominal Values YoY

DE Trade Import Prices YoY

EU Inflation YoY

SE Government Bond 10Y Yield

SE Government Bond 3M Yield

SE OECD Outlook Gross Public Debt (% GDP)

UK Core Inflation YoY


UK PPI Manufactured Products YoY

US Labor Aggregate Weekly Hours Average

US PPI Core YoY


R-Square 0.9820




12M Forecast 7.2125



GBPJPY

Model Summary Predictive Variables R 0.9910 CH Government Bond Yield 10Y

CH House Prices YoY

EU EC Services Confidence

EU Monthly Production in Construction YoY

JP Merchandise Trade Export Volume YoY



JP Tankan Business Conditions Forecast Large Enterprises Manufacturing


JP Trade Current Account

UK BOE Mortgage Approvals

UK GDP QoQ



UK Overall Secured Lending Spreads (next 3M)



UK Trade Current Balance (% GDP)


US PPI YoY

R-Square 0.9830




12M Forecast 96.32



7.0

7.5

8.0

8.5

9.0


GBPDKK Curncy Forecast 95% Upper Limit 95% Lower Limit

80

100

120

140

160


GBPJPY Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 23


(65) 6430 6633

GBPNOK

Model Summary Predictive Variables R 0.9760 CH Balance of FX Settled and Sold by Banks

CH Coincident Index

CH Labor Population


NO Money Supply M1 YoY

SE Consumer Confidence Micro

SE GDP Exports YoY

SE MFIs Lending to Households YoY

UK Budget Balance (% GDP)

UK Conference Board Coincident Indicator YoY

UK IOS Total Service Industries 3M/3M



US Fed Consumer Credit MoM

R-Square 0.9530




12M Forecast 12.31



GBPNZD


AU RBA Aggregate Broad Money YoY

AU Trade Imports YoY



EU ECB Expected Change in Lending to Business

EU Labor Costs YoY

JP Tankan Business Conditions Forecast Large Enterprises Non-Manufacturing


NZ RBNZ Official Cash Rate



UK ICE LIBOR 3M




R-Square 0.9950




12M Forecast 1.8737



10

11

12

13

14


GBPNOK Curncy Forecast 95% Upper Limit 95% Lower Limit

1.60

1.80

2.00

2.20


GBPNZD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 24


(65) 6430 6633

GBPSEK




EU ECB Change in Demand for Consumer Credit (last 3M)

EU STOXX 50

NO Government Bonds 3M Yield

SE Labor Unemployment Rate

SE Trade Import Prices YoY

UK FTSE 100


UK PPI Input Price MoM

UK RICS Housing Market Price


US Labor Job Cut Announcements YoY

R-Square 0.9680




12M Forecast 12.47



GBPSGD

Model Summary Predictive Variables R 0.9970 CH Foreign Receipt of Bank on Behalf of Client

CH OECD Leading Indicators


CH Trade Imports YoY

EU Eurozone Government Debt (% GDP)


IN Government Bond Yield 3M




MY Residential Property Starts

SG Official Foreign Reserves SGD



UK OECD Leading Indicator


UK Trade Balance Value Imports


US OECD Leading Indicators

R-Square 0.9940




12M Forecast 1.8343



10

11

12

13

14


GBPSEK Curncy Forecast 95% Upper Limit 95% Lower Limit

1.60

1.70

1.80

1.90

2.00

2.10


GBPSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 25


(65) 6430 6633

GBPUSD

Model Summary Predictive Variables R 0.9910 CA Manufacturing Survey Unfilled Orders

CA New House Price Index





EU Government Bonds 10Y Yield

JP Bankrupt Cases with Total Debt 10Mil Yen or More

JP Labor Wages





MX Bank of Mexico Overnight Rate


UK ICE LIBOR 3M


UK PPI Input Price MoM




R-Square 0.9820




12M Forecast 1.1939



NOKDKK

Model Summary Predictive Variables R 0.9880 CH Industrial Profits Cumulative


CH OECD Leading Indicators YoY

CH PPI Raw Materials YoY

DE Effective Repo Rate





EU PPI Ex Construction MoM

EU PPI Ex Construction YoY

NO Credit to Households YoY

NO Credit to Non-Financials YoY

NO Government Bonds 3M Yield



SE IMF Total Reserves ex Gold

SE Money Supply M2 YoY



UK RPI Less Mortgage Interest Payments YoY

US Conference Board Leading Index Stock Prices 500


US Industrial Production YoY

R-Square 0.9770




12M Forecast 0.7678



1.10

1.20

1.30

1.40

1.50


GBPUSD Curncy Forecast 95% Upper Limit 95% Lower Limit

0.60

0.65

0.70

0.75

0.80

0.85


NOKDKK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 26


(65) 6430 6633

NOKJPY


CH PMI Non-Manufacturing

EU Government Bonds 10Y Yield






JP PPI MoM



NO Trade Balance ex Ships and Oil Platforms







UK Spreads on Loans Medium PFNCs (next 3M)

NOKSEKR-Square 0.9620




12M Forecast 12.23



NOKSEK

Model Summary Predictive Variables R 0.9700 CH Industrial Profits Cumulative


DE GDP Deflator QoQ

DE GDP Deflator YoY


DE PPI YoY


EU EC Business Climate Indicator (12M MA)


EU GDP Gross Fixed Capital Formation QoQ

NO Government Bonds 10Y Yield


SE House Average Assessed Value

SE Industrial Production WDA YoY

SE Swedbank PMI Supplier Delivery Times




US S&P 500

R-Square 0.9420




12M Forecast 1.3277



10

12

14

16


NOKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

0.90

1.00

1.10

1.20

1.30

1.40


NOKSEK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 27


(65) 6430 6633

NOKSGD

Model Summary Predictive Variables R 0.9910 CH Business Cycle Signal



CH PMI Manufacturing


HK Composite Interest Rate

IN Budget Balance (% GDP)



JP Merchandise Trade Imports YoY




SE Economic Tendency

SG GDP YoY

US Conference Board Leading Index Stock Prices 500


R-Square 0.9830




12M Forecast 0.1589



NZDCAD

Model Summary Predictive Variables R 0.9900 AU S&P/ASX 200


CA Government Bonds 3M Yield







JP Trade Wholesale YoY

NZ ANZ Survey Investment


NZ ANZ Survey Employment

NZ Inflation Food YoY


NZ OECD Leading Indicators YoY

NZ RBNZ Expected Hourly Wage Growth in 2Y

NZ RBNZ Perception of Monetary Conditions

NZ Residential Property YoY

NZ Trade Imports

NZ Trade Imports Price

US GDP Gross Fixed Capital Formation Public QoQ

R-Square 0.9810




12M Forecast 0.8191



0.12

0.14

0.16

0.18

0.20


NOKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit

0.75

0.80

0.85

0.90

0.95

1.00


NZDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 28


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NZDCHF

Model Summary Predictive Variables R 0.9860 AU GDP at Current Prices QoQ

AU National Quarterly Expected Business Confidence

AU OECD Weekly Manufacturing Wages Index




JP Housing Starts

JP Labor Average Monthly Contractual Cash Wages



SW GDP QoQ



US Total Debt Outstanding Total Non-Marketable


R-Square 0.9710




12M Forecast 0.6293



NZDDKK

Model Summary Predictive Variables R 0.9970 AU Building Approvals - All Houses

AU Inflation QoQ

AU PPI Finished Goods YoY

CH CHIBOR 3M



DE Official Currency Net Reserves







JP OECD Leading Indicators YoY

JP Tankan Lending Attitude of Financial Institutions

NZ ANZ Consumer Confidence

NZ ANZ Survey Business Confidence

NZ ANZ Survey Inflation Expectations

NZ BNZ PMI

NZ Central Government Debt Held by Non-Residents

NZ GDP Gross Fixed Capital Formation Residential Buildings QoQ


NZ Trade Current Account Balance (% GDP)


UK GDP YoY





US Labor Participation Rate (% Population)

US OECD Leading Indicators YoY

US PPI Core YoY

R-Square 0.9950




12M Forecast 4.0252



0.55

0.60

0.65

0.70

0.75


NZDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit

3.80

4.20

4.60

5.00


NZDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 29


(65) 6430 6633

NZDJPY


AU Labour Force Unemployment Rate


EU Sentix Economic Indices Aggregate





JP Labor Unemployment Rate

JP Tankan Annual Net Income Projections Manufacturing

JP Tankan Employment Conditions

JP TOPIX



NZ ANZ Survey Commercial Construction

NZ GDP Gross Fixed Capital Formation QoQ


NZ OECD Surplus or Deficit (% GDP)

NZ RBNZ Expected Unemployment Rate in 2Y

NZ Westpac McDermott Miller Present Conditions


US Conference Board Leading Index New Orders Nondefence Capital Goods


US Personal Consumption Expenditures Core YoY

R-Square 0.9910




12M Forecast 76.73



NZDNOK

Model Summary Predictive Variables R 0.9950 AU GDP at Current Prices QoQ


CH Fixed Asset Investment Cumulative YoY

CH GDP YoY

CH Leading Index






NO GDP Real Exports YoY

NO Government Bonds 10Y Yield

NO Norges Bank Announcement Effective Rate


NZ BNZ PMI Employment


NZ Migration - Permanent and Long Term


NZ Performance of Services Employment

NZ RBNZ Perception of Monetary Conditions

NZ Retail Sales Real QoQ



US Business Barometer

US Conference Board Leading Index Average Consumer Expectation

R-Square 0.9900




12M Forecast 6.5725



60

65

70

75

80

85


NZDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

5.00

5.50

6.00

6.50

7.00


NZDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 30


(65) 6430 6633

NZDSEK

Model Summary Predictive Variables R 0.9910 AU Household Saving Ratio

AU Inflation Trimmed Mean QoQ

AU Labour Force Hourly Wage ex Bonuses

AU RBA Aggregate Private Sector Credit YoY

AU Trade Current Account Balance to GDP

AU Trade Export Price YoY

CH Caixin PMI





JP Tankan Annual Net Income Projections Manufacturing

NO IMF Total Reserves ex Gold


NZ Inflation Food YoY

NZ Labor Force Hours Worked QoQ


SE Effective Repo Rate

SE PES Unemployment Rate




US PPI YoY

R-Square 0.9820




12M Forecast 5.8749



NZDSGD

Model Summary Predictive Variables R 0.9970 AU AIG Services Performance Index

AU HIA Housing Affordability Index

AU Labour Force Hourly Wage ex Bonuses QoQ

AU Labour Force Skilled Vacancies


CH Fixed Asset Investment Cumulative YoY


CH Leading Index




HK GDP Imports of Goods QoQ

IN GDP Household Consumption Expenditure YoY

IN OECD Leading Indicators YoY




SG Budget Balance (% GDP)

SG STI

US Existing Home Sales

US Industrial Production

US Trade Current Account Balance (% GDP)

R-Square 0.9940




12M Forecast 0.8495



5.60

5.80

6.00

6.20

6.40


NZDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit

0.70

0.80

0.90

1.00

1.10


NZDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 31


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NZDUSD

Model Summary Predictive Variables R 0.9990 AU IMF Total Reserves ex Gold

AU Official Reserve Assets

CA Inflation Core YoY

CA Merchandise Trade Total Exports YoY

CH Inflation YoY


JP Bankrupt Cases with Total Debt 10Mil Yen or More

JP BSI Business Conditions Large Manufacturing QoQ


JP GDP Real Public Demand YoY


JP Tankan Fixed Investments

MX Consumer Confidence SA

MX Labor Unemployment Rate

NZ ANZ Survey Inflation Expectations

NZ Government Bond 3M Yield


NZ RBNZ Expected Inflation in 2Y


US Delinquencies (% Total Loans)

US Durable Goods New Orders YoY




US Manufacturing and Trade Inventories MoM


R-Square 0.9970




12M Forecast 0.6637



SEKDKK

Model Summary Predictive Variables R 0.9800 CH Labor Population

CH Production Electricity YoY

CH SHIBOR 3M




EU Labor Costs YoY



NO GDP Real Mainland QoQ

SE GDP Gross Fixed Capital Formation QoQ

SE Government Bond 3M Yield

SE Inflation Eurostat HICP YoY


UK GDP Household Consumption Expenditure QoQ

UK Labor Unemployment Rate

UK Money Supply M4 YoY

UK Spreads on Loans Medium PFNCs (past 3M)


R-Square 0.9600




12M Forecast 0.7208



0.50

0.60

0.70

0.80


NZDUSD Curncy Forecast 95% Upper Limit 95% Lower Limit

0.65

0.70

0.75

0.80


SEKDKK Curncy Forecast 95% Upper Limit 95% Lower Limit


Page | 32


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SEKJPY

Model Summary Predictive Variables R 0.9830 CH Government Expenditure


JP Capital Investment ex Software YoY

JP GDP Real Public Demand YoY




JP Tankan Business Conditions Medium Enterprises Non-Manufacturing

NO IMF Total Reserves ex Gold


SE Government Bond 10Y Yield



UK GDP YoY



US Conference Board Leading Index Building Permits

US Existing Home Sales

R-Square 0.9660




12M Forecast 12.88



SEKSGD



HK GDP Government Consumption Expenditure YoY

HK Labor Nominal Wages YoY

IN Consumer Confidence Expectations - Business Conditions

IN Inflation YoY




MY International Reserves USD


NO GDP Real Household Expenditure YoY

SE GDP Government Consumption Expenditure YoY



UK Default Rate on Secured Loans to Households (next 3M)



US Durable Goods New Orders YoY

R-Square 0.9790




12M Forecast 0.1497



10

11

12

13

14

15


SEKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

0.13

0.14

0.15

0.16

0.17

0.18


SEKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit


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(65) 6430 6633

SGDJPY

Model Summary Predictive Variables R 0.9900 CH Shanghai Stock Exchange




EU Trade Exports to Non-Eurozone Countries

HK Labor Real Wages YoY

IN Budget Balance (% GDP)

JP Government Bonds 10Y Yield

JP Government Bonds 3M Yield


JP Inflation ex Food & Energy YoY Tokyo



JP Tankan Business Conditions Forecast Small Enterprises Non-Manufacturing


JP TOPIX




US GDP Price Index QoQ



R-Square 0.9810




12M Forecast 89.28



USDCAD

Model Summary Predictive Variables R 0.9940 CA Government Bonds 10Y Yield

CA Government Bonds 3M Yield

CA Manufacturing Survey Inventories

CA Merchandise Trade Total Balance

CA Merchandise Trade Total Imports YoY

CA OECD Surplus or Deficit (% GDP)


CH OECD Leading Indicators


EU GDP YoY

JP Labor Average Monthly Cash Wages YoY

JP Labor Force Participation Rate



MX Manufacturing Index

MX Manufacturing Index General

MX Money Supply M1 YoY

MX Trade Balance Imports

US Conference Board Leading Index Average Workweek Production Workers

US Consumer Sentiment


R-Square 0.9880




12M Forecast 1.2271



75

80

85

90

95


SGDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit

1.10

1.20

1.30

1.40

1.50


USDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit


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USDCHF

Model Summary Predictive Variables R 0.9940 CA OECD Leading Indicators YoY


CH CHIBOR 3M

CH GDP YoY



EU OECD Leading Indicators YoY

EU ZEW Expectation of Economic Growth



JP Tankan Annual Net Income Projections Non-Manufacturing



SW SMI Index


US Labor Job Cut Announcements YoY

US Philadelphia Fed Business Outlook General Conditions

R-Square 0.9880




12M Forecast 0.5701



USDCNH

Model Summary Predictive Variables R 0.9690 AU Building Approvals - Dwellings YoY

AU Government Bonds 10Y Yield

AU RBA Commodity Special Drawing Rights YoY

AU Trade Current Account Balance to GDP

AU Trade Export Price QoQ

CH Fixed Asset Investment Cumulative


CH SHIBOR 3M


EU ECB Expected Change in Demand for Consumer Credit


EU Money Supply M3 (3M MA)

JP Business Cycle Indicators Leading

JP Nikkei PMI Manufacturing


MX PPI YoY

SK Auto Domestic

SK Auto Production

SK Bloomberg Market Capitalization

SK Mortgage to Households

R-Square 0.9380




12M Forecast 7.3114



0.40

0.60

0.80

1.00

1.20


USDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit

6.00

6.50

7.00

7.50


USDCNH Curncy Forecast 95% Upper Limit 95% Lower Limit


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USDDKK





CH Labor Population

CH PPI Raw Materials YoY



DE Government Bond 3M Yield


DE Official Currency Net Reserves



EU ECB Change in Lending to House Purchase (last 3M)


JP BSI Business Conditions Large QoQ


JP Tankan Business Conditions Medium Enterprises Non-Manufacturing

SE Labor Job Openings YoY







US New One Family Houses Sold


R-Square 0.9910




12M Forecast 6.8145



USDJPY

Model Summary Predictive Variables R 0.9820 CA BOC Inflation Ex 8 & Tax YoY


EU EC Services Confidence




JP Labor Average Monthly Contractual Cash Wages

JP Labor Force Participation Rate


JP TOPIX

JP Trade Current Account


US Conference Board Leading Index Interest Spread





R-Square 0.9640




12M Forecast 75.36



5.50

6.00

6.50

7.00

7.50


USDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit

60

80

100

120


USDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit


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USDNOK

Model Summary Predictive Variables R 0.9870 CA Inflation Core YoY

CA New House Price YoY




CH Leading Index





MX Labor Unemployment Rate


SE GDP YoY

UK Labor Unemployment Rate

UK RICS Housing Market Price

US Conference Board Leading Index MoM



R-Square 0.9750




12M Forecast 10.08



USDSEK


CH Trade IMF Current Account Balance (% GDP)




JP Tankan Business Conditions Forecast Large Enterprises Manufacturing

JP TOPIX

MX GDP QoQ

MX Inflation YoY



SE Trade Export Prices YoY


UK EC Manufacturing Confidence

US Conference Board Leading Index New Orders Nondefence Capital Goods




US Retail Sales in Stores YoY

US Trade Balance

R-Square 0.9710




12M Forecast 9.66



7.0

8.0

9.0

10.0

11.0


USDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit

7

8

9

10

11


USDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit


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USDSGD

Model Summary Predictive Variables R 0.9990 CA BOC Overnight Lending Rate

CA Merchandise Trade Total Balance

CA Trade Current Account Balance (% GDP)



HK Government Bond Yield 10Y

HK Government Bond Yield 3M

HK Hang Seng Index

HK HKMA Loans and Advance YoY

HK Labor Real Wages

HK Trade Terms of Trade

JP Business Sales Diffusion Small Businesses






MX Government Bond Yield 10Y

MX Trade Balance Exports

MY International Reserves USD

MY Labor Employed Persons

MY Trade Current Account Balance


SG Official Foreign Reserves SGD

SG Official Foreign Reserves USD

US GDP Change in Private Inventories

US House Price YoY

US Labor Cost YoY

US Labor Hires Rate

US Labor NFP Average Hourly Wages YoY

US Personal Savings Rate (% Disposable Personal Income)

US PPI Core YoY

R-Square 0.9990




12M Forecast 1.3841



USDDXY


CA BOC Overnight Lending Rate

CA Ivey PMI Prices

CA Manufacturing Survey Inventories

CH GDP YoY




EU ECB MFI Loans to Households for House Purchase Outstanding


EU Trade Imports from Non-Eurozone Countries

FR OECD Leading Indicators YoY


GM Terms of Trade

JP Housing Starts




JP TOPIX


MX Manufacturing Index

NL GDP Household Consumption Expenditure YoY

SP Government Debt (% GDP)

US Fed Consumer Credit MoM





R-Square 0.9870




12M Forecast 92.60



1.30

1.35

1.40

1.45


USDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit

80

90

100

110


DXY Curncy Forecast 95% Upper Limit 95% Lower Limit


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USDUST

Model Summary Predictive Variables R 0.9990 CA BOC Overnight Lending Rate

CA Government Bonds 10Y Yield

CH Inflation YoY


CH Trade BOP Goods and Services Balance


EU STOXX 50

FR Household Savings Rate

FR Labor Hourly Wage YoY

IT Labor Hourly Wages YoY


MX Bank of Mexico Overnight Rate

MX IMF Reserves Ex Gold

MX PPI YoY

NL GDP Domestic Demand YoY




US Government Bond 3M Yields

R-Square 0.9970




12M Forecast 0.1385



XAUUSD

Model Summary Predictive Variables R 0.9970 CA Merchandise Trade Total Balance

CH FX Reserves

CH GDP

CH Trade Exports


FR Consumer Confidence

FR GDP Domestic Demand QoQ

IT Economic Sentiment

IT Labor EC Unemployment Rate

IT Labor Hourly Wages YoY

JP BOG Average Outstanding Monetary Base YoY

JP Business Sales Diffusion Forecast Small Businesses

JP GDP Chained Deflators YoY


JP Inflation ex Food & Energy YoY


MX Inflation YoY



SP Consumer Confidence

SP House Prices Total Homes YoY

SP Trade Current Account Balance (% GDP)


US PPI YoY

R-Square 0.9950



Forecast Summary 6M Forecast 1,616

12M Forecast 1,637

95% Upper Limit 1,747

95% Lower Limit 1,495

0.00

1.00

2.00

3.00

4.00


USGG10YR Curncy Forecast 95% Upper Limit 95% Lower Limit

1,000

1,200

1,400

1,600

1,800


XAUUSD Curncy Forecast 95% Upper Limit 95% Lower Limit


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Research Methodology

Data collection Major economic data for each country was collected. Data is collected either monthly, quarterly or yearly, depending on the type of economic data release. The data collection period begins from January 1997 up till the most recent month.

Data collected for the Eurozone consists of Eurozone economic data as well as country data from Germany, France, Spain, Italy and the Netherlands, which together contributed around 60% of Eurozone GDP in 2016 according to Eurostat. Considering the UK leaving the European Union, the contribution from these countries is expected to increase.

Model building (i) Economic data input as independent variables for each currency pair is based on the country’s major trade partners in 2017. The

major trade partners for each country are identified in Research Methodology – Major Trade Partners Analysis. In determining major trade partners, total trade flow is considered the absolute sum of imports and exports.

(ii) The model follows a two-step selection process for independent variables. Independent variables that are significantly correlated with the dependent variable are first identified. The significance level used is 1%.

(iii) Statistically significant independent variables are then regressed against the dependent variable to obtain the regression model. The regression model with the best Adjusted R2 and lowest standard error of the estimate is chosen.

(iv) A forecast for each independent variable is performed for the next 12 months using either exponential or ARIMA forecasting. The selection of the forecasting model for each independent variable is based on the model with a lower normalized Bayes Information Criterion, Mean Absolute Percentage Error (MAPE), Bayes Information Criterion (BIC) or economic theory. The parameters of the forecasting model remain constant unless a revision of the model is required.

(v) The forecasts for independent variables are then included in the selected regression model to obtain the 12-month forecast for the dependent variable.

(vi) Each model is monitored according to the accuracy of its forecasts. The analysis considers the following criteria:

• The accuracy of the direction of the forecast;

• Whether the 95% confidence interval captures most of the currency fluctuation; and

• Whether the actual average currency figure for the month differs from predicted by an amount not exceeding a threshold amount. The threshold is set at 2%.

(vii) The model is revised when the forecasts consistently do not meet the criteria provided only if the revised model has a better fit.

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