20140801-法国巴黎银行-Asia_Strategy_Weekly_12页_507kb

报告摘要

Asia FX & IR Strategy Summary

Core Content

This document provides an overview of the Asia FX & IR Strategy for the week of 1 August 2014, highlighting key events, market trends, and investment recommendations across various Asian currencies and interest rate instruments.

Main Points

Next Week's Crucial Events

Central Bank Meetings:
- ECB, BOE, RBA, BOJ, BOT, and RBI will hold meetings. All are expected to keep policy rates on hold.
- ECB is likely to remain in a holding pattern, with focus on Draghi's comments on the economic impact of Russia sanctions.
- RBA is expected to keep policy on hold, with no significant change from current monetary conditions.
- BOJ is also expected to keep policy on hold, with no immediate rate cut anticipated.
Asia Economic Data:
- China will release July HSBC PMI and trade data, with expectations of continued upside surprises.
- Indonesia will report Q2 GDP and June trade balance, with a likely slight trade deficit and subdued GDP growth.
- Malaysia and India will release trade data, with India expected to have a wider trade deficit due to increased oil and non-oil imports.
- Philippines will release July CPI, with core and headline inflation expected to rise slightly.
- Thailand will see a BOT meeting, with no immediate rate change expected.
- Singapore will release July Electronics and Manufacturing PMI.

FX Strategy Highlights

Overall Outlook

A pullback in FX is underway, and it is expected to continue.
USD/CNH is seen as short-term bullish, with a recommendation to stay short due to potential further depreciation.
USD/KRW is bullish, with a recommendation to go long USD/KRW at 1030, targeting 1045 and stop at 1020.
USD/MyR is neutral, but buying on dips is suggested, with a possible extension of the correction to 3.25.
SGD is neutral, but there is potential for a long SGD trade if the SGD NEER falls 0.5% below the mid-point.
IDR is bearish, with the expectation of a modest trade deficit, but risks of a wider deficit due to weak export prices.
INR is neutral, with a potential for a long trade if NDF points back up to onshore levels.
TWD is neutral, with the FX index expected to remain in a range.

Technical and Seasonal Factors

August is a seasonally weak month for Asian currencies, with the exception of USD/IDR which has historically appreciated.
USD/CNH has seen a clear break below 6.200, suggesting further downside.
USD/SGD appears to have found the year's low at 1.2370, with a bias to the upside as long as it closes above 1.2420.
USD/KRW is expected to face limited appreciation due to negative seasonality and market expectations for rate cuts.
CNH has largely converged with spot levels, and the RMB NEER is up 2% month-on-month, indicating a fragile recovery.

IR Strategy Highlights

Interest Rate Outlook

CNY (1Y repo-NDIRS) is expected to trade in a range-bound environment, entering the pay zone with a recommendation to pay at 3.7%, targeting 4.15% and stop at 3.5%.
HKD is neutral, with the expectation of a widening HKD-USD rate spread due to financial integration and BoP issues.
INR is neutral, with a recommendation to pay 1Y ND OIS due to sub-par monsoon progress.
IDR is bullish, with the yield curve expected to flatten due to fiscal reform and benign inflation.
KRW is neutral, with the expectation of a rate cut from the BOK but no immediate action.
MYR is neutral, with the Q2 GDP data to be released on 15 August.
PHP is neutral, with the currency trading rich relative to UST and supported by current account surpluses.
SGD is neutral, with the 10Y asset swap indicating a relatively cheap 10Y paper and a favorable supply outlook.
TWD is neutral, with a steeper yield curve due to global market movements.

Key Recommendations

Buy USD/KRW 1m NDF at 1030, with a target at 1045 and stop at 1020.
Pay 1Y repo-NDIRS at 3.7%, targeting 4.15% with a stop at 3.5%.
Buy USD/MyR on dips, with a potential extension of the correction to 3.25.
Watch for SGD NEER to fall below mid-point to activate a long SGD trade.
Monitor USD/IDR for potential weakness due to BI's possible intervention to support FX reserves.
Stay short USD/CNH, as the RMB NEER is expected to remain stable, and the PBoC may not tolerate rapid appreciation.

Summary of Key Data

Currency	Spot	1m	2m	3m	4m	5m	6m	7m	8m	9m	10m	Sept IMM	Dec IMM	Mar IMM	Jun IMM
CNY	6.168	6.178	6.188	6.196	6.204	6.211	6.217	6.223	6.230	6.236	6.243	6.183	6.207	6.227	6.246
CNH	6.179	6.195	6.211	6.221	6.232	6.242	6.251	6.260	6.269	6.275	6.282	6.202	6.236	6.264	6.285
INR	60.80	61.15	61.43	61.69	61.98	62.31	62.65	62.96	63.32	63.64	63.99	61.30	62.17	63.15	64.16
IDR	11820	11875	11935	11995	12056	12120	12185	12245	12314	12377	12446	11906	12090	12282	12483
KRW	1033	1034	1036	1037	1038	1039	1041	1041	1042	1043	1044	1035	1039	1042	1044
MYR	3.207	3.213	3.219	3.224	3.229	3.236	3.242	3.247	3.253	3.258	3.264	3.216	3.233	3.250	3.267
PHP	43.72	43.75	43.77	43.79	43.81	43.83	43.86	43.87	43.90	43.92	43.94	43.76	43.82	43.89	43.95
THB	32.19	32.23	32.26	32.29	32.33	32.37	32.42	32.45	32.50	32.55	32.61	32.24	32.35	32.48	32.61
TWD	30.03	30.06	30.04	30.02	29.97	29.94	29.92	29.90	29.88	29.86	29.84	30.05	29.98	29.91	29.85

Curve Carry & Rolldowns

Tenor	CNY (Repo)	CNY (Shibor)	INR	KRW	MYR	SGD	THB	TWD
1y	2.89	-5.56	-21.04	-9.14	7.31	6.36	4.77	4.08
2y	4.52	0.07	-10.55	-2.21	5.10	15.77	10.95	5.11
3y	5.49	-0.19	-6.37	0.98	5.28	17.72	11.88	5.60
5y	5.02	0.26	-2.66	1.77	5.03	14.23	10.63	5.65
10y	2.51	1.49	-1.20	1.59	4.01	9.19	8.07	4.31
1s2s	1.62	5.64	10.49	6.93	-2.21	9.41	6.19	1.03
2s5s	0.50	0.19	7.89	3.98	-0.07	-1.54	-0.32	0.54
5s10s	-2.50	1.22	1.46	-0.18	-1.02	-5.04	-2.56	-1.35
2s5s10s	3.00	-1.03	6.42	4.16	0.95	3.51	2.23	1.89

Central Bank Watch

Country	Current Rate	Next Change in Coming Six Months	Comments
China	3.00%	No Change	PBoC focused on targeted RRR cuts and re-lending.
India	8.00%	No Change	No change expected due to CPI and economic conditions.
Indonesia	7.50%	No Change	DMO to issue treasuries, but issuance is expected to be challenging.
Korea	2.50%	No Change	BoK under pressure to ease, but no rate cut expected.
Malaysia	3.25%	No Change	BNM prefers a strong currency but may preserve firepower.
Philippines	3.75%	No Change	No rate change expected, with inflation concerns.
Taiwan	1.875%	No Change	Discount rate and 90-day CP expected to remain stable.
Thailand	2.00%	No Change	BOT likely to keep policy on hold.
Australia	2.50%	No Change	RBA to maintain current stance.