20140502-巴黎银行证券-Asia_Strategy_Weekly_12页_694kb

Asia FX & IR Strategy Summary

Core Content

This document provides an analysis of the Asia FX and Interest Rate (IR) market outlook for the week of 2 May 2014, focusing on central bank decisions, currency movements, and investment strategies. It outlines the views of BNP Paribas on various currencies and interest rate instruments, emphasizing the importance of monitoring key economic data and policy responses.

Main Points and Key Information

What's Crucial Next Week

• Monetary Policy Meetings:
  • Global: RBA, BoE, ECB meet (all expected to keep rates unchanged), BoJ releases MPC minutes.
  • Asia: BoK, BSP, BI, BNM meet on 9 May. Expectations are for rate holds, though BSP may hike CRR.
• Trade Data:
  • India, Taiwan, Malaysia, and China will release trade data. China's trade surplus is expected to rebound significantly (+USD25bn vs. consensus of USD15bn), which could improve sentiment towards the RMB.
• Key Events:
  • Thailand's Prime Minister Yingluck will testify before the Constitutional Court on 6 May.
  • China-Japan diplomatic engagement is expected to continue with a large Japanese delegation visiting Beijing.

Currency and Interest Rate Outlooks

Key Strategies

• USD/CNH:

  • Sell front-dated NDFs and deep OTM USD/CNH calls.
  • Avoid CNH/NDF basis trades and naked cash positions due to risk of dislocation.
  • Target range for onshore spot: 6.20-6.29 over next 3 months.
  • Recommend selling 1Y USD/CNH call with a strike of 6.90 to collect 60bps premia.

• KRW:

  • Recommend receiving 1Y1Y KRW NDIRS at current levels (2.90%), targeting 2.65%.
  • BoK may push back rate hikes due to the won's strength, but risks remain.

• CNY:

  • Switch from receivers to 1x5 flatteners, targeting 12bps in the spread.
  • 5Y NDIRS is near target of 4%, but still receive on spikes.

• Curve Management:

  • Favor 1x5 curve flatteners, targeting 12bps spread.
  • Expect consolidation in repo fixings for about 6-9 months.

Market Risks and Considerations

• KRW:
  • BoK may intervene or impose capital controls if the won rallies too much.
  • Market is momentum-driven, and BoK may not be prepared for a large move.
• USD/CNH:
  • Risk of dislocation if PBoC fails to supply liquidity at the top of the band.
  • If PBoC does not act, USD/CNH could spike, leading to gappy moves.
• China:
  • Growth stabilization remains a key focus, with efforts to lower term funding costs.
  • Expect continued range trading in the USD/CNY fixing around 6.16.

Market Data Highlights

• Current Market Levels:

  • CNY Spot: 6.157
  • CNH Spot: 6.255
  • INR Spot: 60.32
  • IDR Spot: 11580
  • KRW Spot: 1031
  • MYR Spot: 3.264
  • PHP Spot: 44.55
  • THB Spot: 32.37
  • TWD Spot: 30.25

• Curve Carry & Rolldowns:

  • CNY 1X3: -0.04%
  • CNY 1X6: -0.13%
  • CNY 1X9: -0.15%
  • CNY 1X12: -0.15%
  • CNY 3X6: -0.09%
  • CNY 3X9: -0.11%
  • CNY 3X12: -0.11%
  • CNY 6X12: -0.02%
  • CNY Jun-Sep: -0.16%
  • CNY Sep-Dec: -0.04%
  • CNY Dec-Mar: -0.03%

• ND IRS/ND OIS 3M Curve Carry & Rolldown (bps):

  • CNY (Repo): 1y 2.00, 2y 2.74, 3y 3.67, 5y 3.39, 10y 1.64
  • CNY (Shibor): 1y -35.30, 2y -13.13, 3y -9.52, 5y -5.12, 10y -2.64
  • INR: 1y -1.18, 2y -0.37, 3y 0.54, 5y 1.69, 10y 0.78
  • KRW: 1y 4.10, 2y 4.90, 3y 4.61, 5y 3.82, 10y 2.49
  • MYR: 1y 18.48, 2y 8.71, 3y 8.55, 5y 7.62, 10y 5.61
  • SGD: 1y 3.55, 2y 13.15, 3y 17.07, 5y 15.15, 10y 9.66
  • THB: 1y 2.59, 2y 10.02, 3y 11.38, 5y 11.40, 10y 8.61
  • TWD: 1y 2.50, 2y 3.66, 3y 4.46, 5y 4.52, 10y 3.70

Policy Rate Priced-In

Conclusion

The strategy emphasizes range-bound markets, cautious trading, and the importance of monitoring central bank interventions. While some currencies like KRW and CNY show bullish potential, others like MYR are bearish. The key recommendations include selling front-dated NDFs, avoiding naked cash positions, and being selective with curve flatteners and NDIRS trades. The document also highlights the risks of market dislocation and the need for liquidity management.