This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. Important disclosures can be found in the Disclosures Appendix. This document is provided for general circulation and information purposes only, it does not take into account the specific investment objectives, needs or financial
situation of any particular person or class of persons and it has not been prepared as investment advice for such person(s). ‘Person’ includes a corporation, co-operative society, trade union, sole proprietorship, partnership, limited liability partnership and any other business entity. Prospective investors should seek advice
from a financial adviser on the suitability of an investment, taking into account these factors before making a commitment to invest in an investment.
1
fx strategy fx | 12 December 2016 This reflects the views of the Wealth Management Group
Focus on Fed’s forward guidance The FOMC statement this week is critical for validation of recent optimism in the US rates market and how the Fed’s outlook is likely to be
affected by the recent gains in the USD. Hence, a Fed decision to hike rates (which will not surprise markets) is less important than the forward guidance the Fed may provide. We believe the Fed is unlikely to drastically alter its stance of signalling a modest rate hiking cycle, which could provide a catalyst for a pullback in US yields.
Against this backdrop, we are wary of chasing the USD higher and see potential for a short-term consolidation. With the improving commodity price outlook, we believe the best way to express this view is through long AUD, NZD and CAD.
In the week ahead, policy statements from the Fed and BoE will be closely followed; jobs data in Australia and the UK and China industrial production data are also likely to be key.
Pairs Outlook (2-4 wk) Summary comments Support 2 Support 1 Spot Resistance 1 Resistance 2 EUR/USD Neutral Breach needed of critical support for further downside 1.046 1.054 1.056 1.068 1.085 USD/JPY Bearish Fed statement could temper US rates, support JPY 110.00 112.50 115.41 116.00 118.00 AUD/USD Bullish Potential to extend upwards if 0.731 support remains intact 0.714 0.731 0.746 0.755 0.777 USD/SGD Neutral Consolidation takes hold, breach of 1.415 or 1.437 needed 1.400 1.415 1.431 1.437 1.444 GBP/USD Bullish Support line (1.25) now key to maintaining upside bias 1.230 1.250 1.259 1.280 1.300 XAU/USD Neutral Slowing momentum indicators ahead of Fed policy review 1123 1143 1158 1200 1250 NZD/USD Bullish Rebound above key support suggests potential to extend 0.695 0.706 0.715 0.720 0.740 EUR/GBP Neutral Consolidation expected around key support (0.83) 0.812 0.830 0.839 0.850 0.863 USD/CNH Neutral Sideways consolidation continues to develop, USD outlook key 6.820 6.855 6.930 6.965 7.000 USD/CHF Neutral Break of 1.02 needed to signal further uptrend 0.985 1.000 1.018 1.020 1.033 USD/CAD Bearish CAD continues to rally on the back of oil prices 1.280 1.310 1.312 1.324 1.359 AUD/NZD Neutral Consolidation remains intact above 1.035 1.023 1.035 1.043 1.055 1.077
Darker shade indicates more important technical levels
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 2
Contents Focus on Fed’s forward guidance 1 12 month outlook 3 2-4 week outlook 3 FX trade ideas 3 Week in Review 4 EUR/USD 5 USD/JPY 6 AUD/USD 7 USD/SGD 8 GBP/USD 9 XAU/USD 10 NZD/USD 11 Interest Rate Differentials 15 FX Implied Volatility 16 Consensus forecasts 17 Disclosure Appendix 19
Steve Brice Chief Investment Strategist Rajat Bhattacharya Investment Strategist
Clive McDonnell Head, Equity Investment Strategy Victor Teo, CFA Investment Strategist
Manpreet Gill Head, FICC Investment Strategy Tariq Ali, CFA Investment Strategist
Adi Monappa, CFA Head, Asset Allocation & Portfolio Solutions Abhilash Narayan Investment Strategist
Audrey Goh, CFA Director, Asset Allocation & Portfolio Solutions Tu-Vi Nguyen Investment Strategist
Arun Kelshiker, CFA Executive Director, Asset Allocation & Portfolio Solutions
Trang Nguyen Analyst, Asset Allocation & Portfolio Solutions
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 3
12 month outlook 2-4 week outlook
Pairs Outlook (2-4 wk) EUR/USD Neutral USD/JPY Bearish AUD/USD Bullish USD/SGD Neutral GBP/USD Bullish XAU/USD Neutral NZD/USD Bullish EUR/GBP Neutral USD/CNH Neutral USD/CHF Neutral USD/CAD Bearish AUD/NZD Neutral
FX trade ideas
Initiation date Pairs Position Entry price
Current price Target Stop
26/8/2016 AUD/NZD Long 1.035 1.043 1.120 1.035 Please see the corresponding FX trade note for more details on each trade idea
Currency 12 month
EUR
JPY
GBP
AUD
NZD
CAD
CHF
CNY
TWD
KRW
SGD
MYR
IDR
INR
THB
PHP
Bullish Neutral Bearish
Please see the latest Global Market Outlook for more details Source: Bloomberg, Standard Chartered
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 4
Week in Review
Weekly performance of core pairs 2 Dec 2016 to 9 Dec 2016
Weekly performance of supplementary pairs 2 Dec 2016 to 9 Dec 2016
Source: Bloomberg, Standard Chartered
Pairs Week in Review
EUR/USD EUR/USD was down (-0.97%). The EUR fell after the ECB extended its bond buying program by 9 months, albeit at a reduced monthly pace. Weaker German data also likely weakened sentiment.
USD/JPY USD/JPY ended up (1.59%). The pair breached a new high last week, rising past the key 115 level. A string of US economic reports likely raised confidence in the strength of the US economy and lifted prospects of a Fed rate lift-off.
AUD/USD AUD/USD ended down (-0.11%). Last week, a largely neutral policy outlook by the RBA may have restricted downside in the AUD. However, weak GDP and trade data likely kept AUD sentiment weak.
USD/SGD USD/SGD was up (0.80%). Last week, losses in the EUR and the CNY, Singapore’s key trade partner currencies, likely weighed on the SGD
GBP/USD GBP/USD was down (-1.23%). Last week, disappointing manufacturing figures and remarks by the EU’s chief negotiator on the UK’s deadline to negotiate ‘Brexit’ likely weighed on the GBP.
XAU/USD XAU/USD was down (-1.49%). Last week, a rally in the USD and a risk-on mood in global equity markets likely dragged on the USD-denominated safe haven.
NZD/USD NZD/USD was down (-0.07%). Last week, concerns over New Zealand PM John Key’s unexpected resignation and caution ahead of an impending Fed meeting likely dragged on the NZD.
-0.07%
-1.49%
-1.23%
0.80%
-0.11%
1.59%
-0.97%
-2.00% -1.00% 0.00% 1.00% 2.00%
NZD/USD
XAU/USD
GBP/USD
USD/SGD
AUD/USD
USD/JPY
EUR/USD
%
-0.03%
-0.85%
0.59%
0.84%
-0.02%
-1.00% -0.50% 0.00% 0.50% 1.00%
AUD/NZD
USD/CAD
USD/CHF
USD/CNH
EUR/GBP
%
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 5
EUR/USD We remain neutral ahead of a key technical support region and slowing momentum indicators
Neutral Key technical indicators*
Technical Indicator Action
RSI (14) Neutral
Oscillator (5,10) Sell
MACD (12,26,9) Neutral
ADX (14) Sell
Momentum (14) Sell Key Levels Level Importance
Resistance 2 1.085 Medium Resistance 1 1.068 Medium Spot 1.056 – Support 1 1.054 High Support 2 1.046 High
Key Signposts
Fed rate decision Dec-14 PMI composite (services, manufacturing) – flash
Dec-15
Euro area trade balance Dec-16
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview The EUR has been under pressure for two reasons: 1) a sharp rise in US yields has widened
rate differentials in favour of the US; 2) uneasiness regarding European politics and the rise of Eurosceptic parties. The ECB’s decision last week to extend asset purchases, albeit at a more modest pace, has been seen as a fairly dovish outcome and has put downward pressure on short-term Euro area yields, which is negative for the EUR.
Technical Analysis Failure to sustain above the 1.068 resistance region (upward sloping trend-line from the 2015
low) suggests downside is likely to prevail for the pair. However, we remain cautious given a critical support region (Jan and Dec 2015 low) is nearby, which has held for a considerable period. Also, slowing momentum indicators suggest limited selling appetite at these levels.
Breach needed of critical support for further downside
Source: Bloomberg, Standard Chartered
1.054
1.068
1.00
1.03
1.06
1.09
1.12
1.15
1.18
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
EUR
/USD
EUR/USD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 6
USD/JPY We remain bearish, despite bullish technicals, amid expectations of USD consolidation
Bearish Key technical indicators*
Technical Indicator Action
RSI (14) Neutral
Oscillator (5,10) Neutral
MACD (12,26,9) Neutral
ADX (14) Buy
Momentum (14) Neutral Key Levels Level Importance
Resistance 2 118.00 Low Resistance 1 116.00 Medium Spot 115.41 – Support 1 112.50 Medium Support 2 110.00 Medium
Key Signposts
Tankan large mfg index and outlook
Dec-13
Fed rate decision Dec-14
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview The JPY has been falling against the backdrop of surging US treasury yields while those in
Japan remained capped. We believe a short-term consolidation in US 10-year yields is likely given that markets may look for validation for some of the excessive optimism on inflation expectations and policy rate normalisation. The Fed policy announcement this week is key and guidance may temper some of the optimism on US rates which would be JPY supportive.
Technical Analysis The recent breach of the critical 115 level has reinvigorated the rally with significant potential
for extension higher. A deeper rally is now likely to focus on the 120 region with 116 and 118 as intermediate resistance levels. Having said that, we are wary of slowing momentum indicators, which continue to highlight risks of a short-term consolidation.
Fed statement could temper US rates, support JPY
Source: Bloomberg, Standard Chartered
112.50
116.00
9598
101104107110113116119122125
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
USD
/JPY
USD/JPY 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 7
AUD/USD We remain bullish amid a stabilising USD and improving outlook for commodities
Bullish Key technical indicators*
Technical Indicator Action
RSI (14) Neutral
Oscillator (5,10) Buy
MACD (12,26,9) Buy
ADX (14) Neutral
Momentum (14) Neutral Key Levels Level Importance
Resistance 2 0.777 Medium Resistance 1 0.755 High Spot 0.746 Support 1 0.731 Medium Support 2 0.714 Medium
Key Signposts
China industrial production
Dec-13
Australia unemployment rate and jobs change
Dec-15
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview The AUD has remained resilient to USD strength recently amid improved sentiment on
commodities. Recent comments made by Saudi authorities regarding commitment to implement cuts and non-OPEC member’s willingness to cooperate are further supportive for commodities outlook. Last week’s RBA policy statement confirms a neutral policy stance.
Technical Analysis The potential for upside remains intact as long as the pair remains above the 0.731 support
level. The breach of the 0.757 resistance (key moving averages remains critical) to affirm a positive bias. However, weak momentum indicators suggest possible sideways consolidation.
Potential to extend upwards if 0.731 support remains intact
Source: Bloomberg, Standard Chartered
0.731
0.755
0.68
0.71
0.74
0.77
0.80
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
AUD
/USD
AUD/USD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 8
USD/SGD We remain neutral, looking for a breach of key technicals to signal a directional trend
Neutral Key technical indicators*
Technical Indicator Action
RSI (14) Buy
Oscillator (5,10) Neutral
MACD (12,26,9) Neutral
ADX (14) Buy
Momentum (14) Buy Key Levels Level Importance
Resistance 2 1.444 High Resistance 1 1.437 High Spot 1.431 – Support 1 1.415 Medium Support 2 1.400 Medium
Key Signposts Fed rate decision Dec-14 Singapore retail sales Dec-15
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview Sentiment towards Asian currencies has remained weak following the US election results, the
surge in US Treasury yields and capital outflows from the region. More recently, we are beginning to see signs of stability following the strong run in the USD and Treasury yields. The Fed’s assessment this week is likely to be critical and any dovish tilt would be supportive for Asia-ex-Japan, including the SGD.
Technical Analysis The impulsive rebound late last week appears to suggest the corrective phase of the rally
may be coming to end. The break above 1.437 thus remains critical to determine if a deeper rally can ensue. In the short-term the sideways consolidation can continue to develop.
Consolidation takes hold, breach of 1.415 or 1.437 needed
Source: Bloomberg, Standard Chartered
1.415
1.437
1.32
1.34
1.36
1.38
1.40
1.42
1.44
1.46
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
USD
/SG
D
USD/SGD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 9
GBP/USD We remain bullish, expecting it to rebound from a key support amid a likely USD pullback
Bullish Key technical indicators*
Technical Indicator Action
RSI (14) Neutral
Oscillator (5,10) Neutral
MACD (12,26,9) Neutral
ADX (14) Neutral
Momentum (14) Buy Key Levels Level Importance
Resistance 2 1.300 Medium Resistance 1 1.280 High Spot 1.259 – Support 1 1.250 High Support 2 1.230 Low
Key Signposts
UK CPI (core CPI) Dec-13 UK unemployment rate and earnings
Dec-14
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview Recent speculation of softening of respective UK-EU stances on post Brexit negotiations, a
pause in the USD rally and unwinding of excessive short-speculator positioning could be supportive for the GBP in the short-term. However, we believe even a ‘soft’ Brexit does not mitigate medium-term risks to the economy including weak balance of payment fundamentals.
Technical Analysis Failure to breach the 100DMA at 1.250 suggests possibility for a pause in the GBP/USD rally.
Still, the upward trending support-line from the Oct low is likely to provide support and determine if the short-term rally can extend further. On the upside, we would need to see a breach of 1.280 as an indication of a deeper rally.
Support line (1.25) now key to maintaining upside bias
Source: Bloomberg, Standard Chartered
1.250
1.280
1.151.201.251.301.351.401.451.501.551.60
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
GB
P/U
SD
GBP/USD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 10
XAU/USD We remain neutral ahead of the Fed policy review and possible USD pullback
Neutral Key technical indicators and forecast*
Technical Indicator Action
RSI (14) Neutral
Oscillator (5,10) Neutral
MACD (12,26,9) Neutral
ADX (14) Neutral
Momentum (14) Sell Key Levels Level Importance
Resistance 2 1250 Medium Resistance 1 1200 High Spot 1158 – Support 1 1143 Medium Support 2 1123 Medium
Key Signposts
Fed rate decision Dec-14
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview Gold came under pressure following the US election amid a sharp rise in US Treasury yields
which exceeded the pick-up in inflation expectations (US net-of-inflation yields, measured by TIPS bond yields, rose). However, for Treasury yields gains to accelerate, we would need to see the Fed turn much more aggressive, which we do not expect in this policy review.
Technical Analysis Gold’s continued downtrend and breach below intermediate support levels suggests potential
for further downside. The next support level is at 1143 (Mar 2015 low), followed by 1123 (23.6% retracement). However, momentum indicators have turned neutral suggesting potential for a sideways consolidation near-term.
Slowing momentum indicators ahead of Fed policy review
Source: Bloomberg, Standard Chartered
1,143
1,200
1,000
1,050
1,100
1,150
1,200
1,250
1,300
1,350
1,400
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
XAU
/USD
XAU/USD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 11
NZD/USD We remain bullish as NZD remains above key technical support
Bullish Key technical indicators and forecast*
Technical Indicator Action
RSI (14) Buy
Oscillator (5,10) Neutral
MACD (12,26,9) Buy
ADX (14) Neutral
Momentum (14) Buy Key Levels Level Importance
Resistance 2 0.740 High Resistance 1 0.720 High Spot 0.715 – Support 1 0.706 Medium Support 2 0.695 High
Key Signposts
Fed rate decision Dec-14
* Please see Appendix for explanation on technical Source: Bloomberg, Standard Chartered
Fundamental Overview With an improved outlook for commodities, we need to see a significant shift in the Fed’s
policy stance of modest rate hikes to justify a firmly negative outlook for the NZD. Conversely, a rebound in sentiment towards Asian currencies following stabilisation in the USD and Treasuries would be NZD positive.
Technical Analysis The retracement higher is showing potential for further extension; however, the 0.72 (key
moving averages and last week’s high) resistance is critical. A breach here would open room towards 0.740. Conversely, the pair needs to remain above 0.706 (200DMA) to sustain a bullish bias.
Rebound above key support suggests potential to extend
Source: Bloomberg, Standard Chartered
0.706
0.720
0.60
0.65
0.70
0.75
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
NZD
/USD
NZD/USD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 12
SUPPLEMENTARY PAIRS
Consolidation expected around key support (0.83) View
Neutral
We remain neutral ahead of a key support region (200DMA)
Recent negatives impacting the EUR may have priced-in. EUR and GBP risks both appear balanced at current levels.
Sideways consolidation continues to develop, USD outlook key View
Neutral
We remain neutral as the USD could consolidate near term.
We expect modest CNY weakness to continue over the medium term amid a continued monetary easing bias by China authorities.
Source: Bloomberg, Standard Chartered
0.830
0.850
0.68
0.73
0.78
0.83
0.88
0.93
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
EUR
/GB
P
EUR/GBP 50DMA 100DMA 200DMA
6.855
6.965
6.3
6.4
6.5
6.6
6.7
6.8
6.9
7.0
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
USD
/CN
H
USD/CNH 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 13
SUPPLEMENTARY PAIRS (cont’d)
Break above 1.000 suggests bullish bias, but technicals stretched View
Neutral
The convincing break above 1.000 suggests a new medium-term trend
However, in the short term, the USD rally may be stretched and a consolidation is likely.
CAD continues to rally on the back of oil prices View
Bearish
We remain bearish as the rally in oil appears to pick-up momentum which is CAD supportive
Technically, the break below 50DMA is significant, while a breach of the 200DMA could signal further downtrend.
Source: Bloomberg, Standard Chartered
1.000
1.020
0.93
0.96
0.99
1.02
1.05
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
USD
/CH
F
USD/CHF 50DMA 100DMA 200DMA
1.310
1.324
1.22
1.27
1.32
1.37
1.42
1.47
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
USD
/CAD
USD/CAD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 14
SUPPLEMENTARY PAIRS (cont’d)
Consolidation remains intact above 1.035 View
Neutral
We remain neutral; potential for a recovery remains intact above 1.035.
A break of 1.077 is still needed to signal a deeper bull-rally. A break below could open room towards1.023 (2016 low).
Source: Bloomberg, Standard Chartered
1.035
1.055
1.00
1.05
1.10
1.15
Dec-15 Jan-16 Mar-16 Apr-16 Jun-16 Jul-16 Sep-16 Oct-16 Dec-16
AUD
/NZD
AUD/NZD 50DMA 100DMA 200DMA
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 15
Interest Rate Differentials
EUR/USD USD/JPY AUD/USD
GBP/USD NZD/USD USD/CAD
Source: Bloomberg, Standard Chartered
1.0
1.1
1.2
1.3
1.4
-1.75-1.55-1.35-1.15-0.95-0.75-0.55-0.35-0.15
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16EU
R/U
SD
%
EUR-USD 2 year interest rate differentialEUR/USD (RHS)
95
105
115
125
0.100.250.400.550.700.851.001.151.301.45
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
USD
/JPY
%
USD-JPY 2 year interest rate differntial (RHS)USD/JPY
0.6
0.7
0.8
0.9
1.0
0.0
1.0
2.0
3.0
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
AU
D/U
SD
%
AUD-USD 2 year interest rate differntial (RHS)AUD/USD (RHS)
1.20
1.30
1.40
1.50
1.60
1.70
-1.0
-0.5
0.0
0.5
1.0
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
GB
P/U
SD
%
GBP-USD 2 year interest rate differntial (RHS)GBP/USD (RHS)
0.62
0.72
0.82
0.92
0.5
1.5
2.5
3.5
4.5
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
NZD
/USD
%
NZD-USD 2 year interest rate differntial (RHS)NZD/USD (RHS)
0.9
1.1
1.3
1.5
-1.2
-0.7
-0.2
0.3
0.8
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
USD
/CA
D
%
USD-CAD 2 year interest rate differntial (RHS)USD/CAD (RHS)
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 16
FX Implied Volatility
EUR/USD USD/JPY AUD/USD
GBP/USD NZD/USD USD/CAD
Source: Bloomberg, Standard Chartered
3.5
5.5
7.5
9.5
11.5
13.5
15.5
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
%
EUR 1M implied vol
3
5
7
9
11
13
15
17
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
%
JPY 1M implied vol
4
6
8
10
12
14
16
18
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
%
AUD 1M implied vol
3
8
13
18
23
28
33
Dec-13 Dec-14 Dec-15 Dec-16
%
GBP 1M implied vol
4
6
8
10
12
14
16
18
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
%
NZD 1M implied vol
3
5
7
9
11
13
15
Dec-13 Sep-14 Jun-15 Mar-16 Dec-16
%
CAD 1M implied vol
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 17
Consensus forecasts
Consensus Forecasts Spot Q4 2016 Q1 2017 Q2 2017 Q3 2017
EUR/USD 1.06 1.07 1.05 1.04 1.05
USD/JPY 115.41 107.00 112.00 111.00 112.00
AUD/USD 0.75 0.75 0.73 0.73 0.72
NZD/USD 0.71 0.70 0.70 0.69 0.68
USD/SGD 1.43 1.43 1.44 1.45 1.46
GBP/USD 1.26 1.23 1.22 1.21 1.23
USD/CAD 1.31 1.35 1.35 1.37 1.37
USD/CHF 1.02 1.01 1.02 1.03 1.04
Source: Bloomberg, Standard Chartered
12 December 2016 | fx strategy
This commentary reflects the views of the Wealth Management Group of Standard Chartered Bank. 18
TECHNICAL INDICATORS – EXPLANATORY APPENDIX
RSI (Relative Strength Index) – The RSI indicators can be used to describe the speed at which prices move over a given time period. An RSI above 70 can indicate a currency pair is overbought while an RSI below 30 can indicate the pair is oversold.
Stochastic Oscillator – The Stochastic Oscillator compares where a security's price closed relative to its trading range over a given time period. The security or index is generally considered oversold when the Oscillator falls to 20%, while a reading of 80% is considered overbought.
MACD (The Moving Average Convergence/Divergence) – This indicator shows the relationship between two moving averages of prices. A bearish signal is provided when the main moving average line drops below the second moving average line, and vice versa.
ADX (Average Directional Index) – This indicator quantifies a trend's strength regardless of whether it is up or down. An index rising above zero provides a bullish signal while an index falling below zero provides a bearish signal.
Momentum Indicator – The momentum of a security is the ratio of today's price compared to the price at a given point in the past. If the security's price is higher today, the momentum indicator will be considered strong. If the security's price is lower today, the momentum Indicator will be weak.
12 December 2016 | fx strategy
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Disclosure Appendix This document is not research material and it has not been prepared in accordance with legal requirements designed to promote the independence of investment research and is not subject to any prohibition on dealing ahead of the dissemination of investment research. This document does not necessarily represent the views of every function within Standard Chartered Bank, (“SCB”) particularly those of the Global Research function. Standard Chartered Bank is incorporated in England with limited liability by Royal Charter 1853 Reference Number ZC18. The Principal Office of the Company is situated in England at 1 Basinghall Avenue, London, EC2V 5DD Standard Chartered Bank is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and Prudential Regulation Authority. United Kingdom: Standard Chartered Bank (trading as Standard Chartered Private Bank) is an authorised financial services provider (licence number 45747) in terms of the South African Financial Advisory and Intermediary Services Act, 2002 In Dubai International Financial Centre (“DIFC”), the attached material is circulated by Standard Chartered Bank DIFC on behalf of the product and/or Issuer. Standard Chartered Bank DIFC is regulated by the Dubai Financial Services Authority (DFSA) and is authorised to provide financial products and services to persons who meet the qualifying criteria of a Professional Client under the DFSA rules. The protection and compensation rights that may generally be available to retail customers in the DIFC or other jurisdictions will not be afforded to Professional Clients in the DIFC. Banking activities may be carried out internationally by different Standard Chartered Bank branches, subsidiaries and affiliates (collectively “SCB”) according to local regulatory requirements. With respect to any jurisdiction in which there is a SCB entity, this document is distributed in such jurisdiction by, and is attributable to, such local SCB entity. Recipients in any jurisdiction should contact the local SCB entity in relation to any matters arising from, or in connection with, this document. Not all products and services are provided by all SCB entities. This document is being distributed for general information only and it does not constitute an offer, recommendation or solicitation to enter into any transaction or adopt any hedging, trading or investment strategy, in relation to any securities or other financial instruments. This document is for general evaluation only, it does not take into account the specific investment objectives, financial situation or particular needs of any particular person or class of persons and it has not been prepared for any particular person or class of persons. Opinions, projections and estimates are solely those of SCB at the date of this document and subject to change without notice. Past performance is not indicative of future results and no representation or warranty is made regarding future performance. Any forecast contained herein as to likely future movements in rates or prices or likely future events or occurrences constitutes an opinion only and is not indicative of actual future movements in rates or prices or actual future events or occurrences (as the case may be). This document has not and will not be registered as a prospectus in any jurisdiction and it is not authorised by any regulatory authority under any regulations.
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