20140613-巴黎银行证券-Asia_Strategy_Weekly_12页_741kb

报告摘要

Asia FX & IR Strategy Summary - 13 June 2014

Core Content Overview

This document outlines the FX and interest rate (IR) strategy for the Asia-Pacific region for the week of 13 June 2014. It highlights key events, market trends, and investment recommendations across various currencies and bond markets.

Key Events & Market Outlook

Global Events

FOMC Meeting (18-19 June): Expected to be more hawkish, potentially including a lower unemployment rate forecast, a slight inflation upgrade, and upward drift in rate projections. This may affect global risk sentiment and USD rates.
June Empire Manufacturing and May IP: Expected to show improvement, reflecting a rebound in manufacturing activity.
May CPI and Housing Starts: CPI is expected to ease slightly, while housing starts may show a modest retracement but remain in an uptrend.
June Philadelphia Fed Business Outlook and May Lending Index: Will provide insights into regional economic activity.
ECB General Council Meeting (17 June): May influence Eurozone monetary policy.

Asia Events

BOT (Thailand): Expected to keep policy rates on hold on 18 June.
BSP (Philippines): Likely to keep rates on hold but may hike reserve requirements due to onshore liquidity growth.
Malaysia CPI (20 June): Will be closely watched for clues on BNM's policy direction.
Indonesia's Second Presidential Debate (15 June): Could impact market sentiment due to the political climate.
Malaysia 3Y MGS Auction (16-20 June): Expected to see strong demand from both onshore and offshore investors.

FX & IR Strategy Recommendations

FX Strategy

Long KRW and INR vs. EUR and SGD: KRW and INR are showing strong trends and are supported by improving economic fundamentals.
Tactically Long MYR vs. TWD: Favorable carry environment supports this trade.
Buy 2m USD/IDR ATMF Put: To hedge against potential market volatility ahead of the Indonesian election.
Stay Short 3m USD/CNH with 6.20 Target: The RMB is in a range market, not a new trend of appreciation. The target is close, and the market may reverse to 6.18 if USD weakens.

IR Strategy

CNY: Bullish. Liquidity remains strong, and we maintain 1x5 flatteners with a target of 12bps.
HKD: Front-end and belly rates underperform USD rates. Recommend paying 5y HKD-USD IRS spread around par, expecting it to widen to 40 bps in 1 year.
INR: Flatter 1s5s and 2s5s. RBI remains hawkish to control inflation, and we expect the new government's budget to be bullish for bonds.
IDR: Neutral. Bond yields may trend higher due to weakening onshore demand, but foreign money will cap the rise.
KRW: Bullish. BOK is expected to keep rates on hold, and the won may strengthen due to a current account surplus and portfolio inflows.
MYR: Neutral. Onshore tightening and possible rate hikes are expected, but bond yields are well anchored by strong demand.
PHP: Neutral. PHP govies trade rich relative to UST, but the Fitch upgrade and current account surplus support the peso.
SGD: Bullish. The front-end is trading lower, indicating a potential outperformance of SGD over USD.
TWD: Neutral. The market is expected to trade within a range, influenced by both inflows and outflows.

Market Analysis & Comments

CNH: The RMB is in a range, not a new appreciation trend. Investors should remain cautious and not overreact to current bullish sentiment.
KRW: Front-end swaps have rallied, but the correlation to USD rates has broken down. The market may need to price in the possibility of a rate cut.
MYR: Long positioning is stretched, and USD/MyR is near its key support level. Fundamentally, MYR is bearish due to domestic capital flight.
IDR: USD/IDR trades at the upper range of BI's preferred band, but the absence of NDF risk premia suggests weak corporate flows.
Thailand: The current account surplus has improved significantly, supporting the baht. Political normalization could drive further gains.

Market Levels & Carry/Rolldown Analysis

NDF/Offshore Forward Outright Levels (as of 13 June 2014)

Currency	Spot	T/N	1m	2m	3m	4m	5m	6m	7m	8m	9m	10m	11m	12m	Jun IMM	Sept IMM	Dec IMM	Mar IMM
CNY	6.151	6.151	6.159	6.168	6.174	6.180	6.184	6.189	6.194	6.198	6.203	6.207	6.212	6.216	6.153	6.175	6.190	6.203
CNH	6.219	6.219	6.232	6.244	6.252	6.260	6.268	6.276	6.283	6.288	6.293	6.298	6.304	6.310	6.224	6.254	6.276	6.294
INR	59.33	59.35	59.55	59.83	60.08	60.39	60.75	61.10	61.47	61.84	62.16	62.52	62.89	63.23	59.34	60.13	61.15	62.22
IDR	11775	11775	11800	11846	11900	11960	12025	12090	12164	12225	12286	12356	12428	12500	11760	11910	12099	12298
KRW	1018	1018	1019	1021	1022	1024	1025	1026	1028	1029	1030	1032	1033	1034	1018	1022	1027	1030
MYR	3.210	3.210	3.214	3.219	3.225	3.230	3.237	3.243	3.250	3.255	3.261	3.267	3.273	3.278	3.210	3.226	3.243	3.262
PHP	43.80	43.80	43.81	43.82	43.83	43.84	43.86	43.88	43.90	43.92	43.94	43.96	43.99	44.02	43.80	43.83	43.88	43.94
THB	32.44	32.44	32.48	32.52	32.56	32.62	32.67	32.72	32.79	32.84	32.89	32.95	33.00	33.06	32.45	32.57	32.73	32.90
TWD	30.00	30.00	29.97	29.95	29.92	29.89	29.86	29.84	29.81	29.78	29.77	29.75	29.72	29.70	30.00	29.91	29.84	29.77

NDF Curve Rolldown (Monthly, as % of notional)

Tenor	CNY	CNH	INR	IDR	KRW	MYR	PHP	THB	TWD
1X3	-0.03%	-0.08%	0.05%	0.25%	0.00%	0.03%	0.00%	-0.01%	-0.02%
1X6	-0.06%	-0.10%	0.21%	0.34%	-0.01%	0.05%	0.02%	0.04%	0.01%
1X9	-0.07%	-0.14%	0.16%	0.31%	-0.02%	0.04%	0.02%	0.04%	0.03%
1X12	-0.07%	-0.13%	0.19%	0.40%	-0.02%	0.04%	0.05%	0.03%	0.02%
3X6	-0.03%	-0.02%	0.16%	0.09%	-0.01%	0.02%	0.02%	0.05%	0.02%
3X9	-0.04%	-0.06%	0.11%	0.06%	-0.02%	0.00%	0.02%	0.05%	0.05%
3X12	-0.03%	-0.05%	0.14%	0.15%	-0.02%	0.01%	0.05%	0.04%	0.03%
6X12	0.00%	-0.02%	-0.02%	0.06%	-0.01%	-0.01%	-0.01%	-0.02%	0.01%
Jun-Sep	-0.12%	-0.05%	0.13%	0.33%	-0.01%	0.07%	0.05%	-0.02%	0.03%
Sep-Dec	-0.05%	-0.03%	0.06%	0.01%	-0.01%	-0.02%	0.02%	0.00%	0.01%
Dec-Mar	-0.02%	-0.03%	-0.10%	-0.04%	-0.03%	-0.02%	-0.01%	-0.02%	0.02%

Policy Rate Priced-In

Market	Current Policy Rate	Spot Benchmark Rate	Forward Benchmark Rate	Policy Rate Priced In (Spot Spread)	Policy Rate Priced In (Forward Spread)	Implied Policy Rate
China	1Y Bank Lending Rate (6.000%)	1Y Depo (3.000%)	1Y1Y Depo (2.95%)	-5 (bp)	-51 (bp)	No Change
India	Repo Rate (8.000%)	1M NDOIS (8.135%)	6M Fwd 1M NDOIS (7.91%)	-14 (bp)	-51 (bp)	+25bp (Q314)
Indonesia	BI Rate (7.500%)	-	-	-	-	No Change
Korea	Base Rate (2.500%)	91 CD Rate (2.650%)	6x9M FRA (2.65%)	-15 (bp)	-15 (bp)	No Change
Malaysia	Overnight Policy Rate (3.000%)	3M Klibor (3.510%)	6x9M FRA (3.72%)	-51 (bp)	-51 (bp)	No Change
Philippines	Overnight Borrowing Rate (3.500%)	-	-	-	-	No Change
Taiwan	Discount Rate (1.875%)	90 CP (0.830%)	6x12M Generic T-Bills (2.07%)	-106 (bp)	-104.5 (bp)	No Change
Thailand	1D Repo Rate (2.000%)	6M Generic T-Bills (3.060%)	6x12M Generic T-Bills (2.07%)	-106 (bp)	-104.5 (bp)	No Change
Australia	Cash Rate (2.500%)	-	July RBA OIS (2.50%)	-	-	No Change

Summary of Key Views

The FOMC meeting is a major focus, with a potential hawkish shift expected.
KRW and INR are seen as the most attractive for long positions due to positive carry and improving fundamentals.
The RMB (CNH) is in a range market, and the strategy is to stay short with a target at 6.20.
MYR vs. TWD is a tactical carry trade, but the USD/MyR pair is near key support.
Thailand's THB is supported by a large current account surplus and improving political situation.
Malaysia's MGS auction is expected to see strong demand from both onshore and offshore investors.
Indonesia's election could impact USD/IDR, with a recommendation to buy ATMF puts.
Korea's KRW is expected to remain on hold, with a potential for rate cuts due to weak macro momentum.

Investment Strategy Summary

Long KRW and INR against EUR and SGD.
Tactically long MYR vs. TWD.
Buy 2m USD/IDR ATMF put for election-related risk.
Stay short 3m USD/CNH with a target at 6.20.
Maintain received positions in KRW and INR with potential to add if rates roll down.