g10 fx outlook: policy divergence starts to drive fx · estimated diversification demand for eur...

Moscow - June 2014

G10 FX Outlook: Policy Divergence Starts to Drive FX

Steven SaywellGlobal Head of FX Strategy

22

FX Themes

USD: Tapering should support a stronger USD against the other lower-yielding G10 currencies. Long USD

positioning has not fully recovered, which provides scope for upside despite for consensus for USD strength.

EUR: Further ECB policy easing is increasingly likely and we forecast QE during H2 2014. EUR will suffer

from this while support from inflows is also fading. We forecast 1.30 EURUSD by end-2014.

Asia: Growth in the region to remain robust, but Fed tapering expectation to impact USD vs Asia. Asian

currencies may struggle in 2014.

JPY: USDJPY to rise as the BoJ remains committed to very loose policy, in contrast to a Fed that is heading

towards the exit. Domestic investors to continue to be crowded out of the JGB market and allocating funds abroad. We forecast 110 USDJPY by end-2014.

GBP: The recovering in UK economy to continue to underpin the GBP. Market positioning is extremely long

but it remains cheap vs long-term valuation. We forecast 0.76 EURGBP by end-2014.

CHF: EURCHF to rally as global growth recovers, but further ECB easing will provide a headwind. As the

Swiss begin to recycle large current account surplus we forecast a gentle rise to 1.25 EURCHF by end-2014.

AUD, NZD, CAD: Pockets of EM resilience + local growth will be enough to shield commodity currencies

strong as Chinese growth remains robust.. Our ranking for the bloc is Cad, then AUD & NZD.

NOK, SEK: Scandinavian currencies appear oversold currently, in particular the NOK should recover against

the SEK in 2014.

May 2014

Germany has fallen from Grace, UK & US now on top

May 2014 3

Comparison of major countries PMI readings (Manufacturing)

UK and US now outpace the rest, eurozone and China lag

4

US data disappoints, but is not terrible

US data has surprised to the downside, but the strength of the data is in line with its long-run average

May 2014

US Data Surprise Index

The USD continues to diverge from US yields

May 2014 5

The USD continues to takes its lead from yields. USD is now lagging the yield pick-up

DXY (USD Index) vs US 2 yr swap spread - DXY components

66

Largest FX market positions are long GBP & short EUR/CHF

MethodologyBNP Paribas FX Positioning Analysis is a broad gauge of positioning that combines the following factors:

• Client Exposure – Internal sales desks’ estimate of FX investor exposure

• IMM – The Commitment of Traders (CFTC) is a widely used proxy for US-based hedge-fund/CTA activity.

• Risk reversals – Risk reversals indicate the relative price of calls relative to puts, and thus incorporate a option “market sentiment” function.

• Beta – Decomposition of the BTOP managed currency index.

• BNPP Trending Indicator. - A technical measure of the strength of a currencies momentum.

The overall currency score is then calculated as the equally weighted sum of the components

Source : BNP Paribas

May 2014

EUR and CHF shorts are on a par, while GBP remains the largest long positioning

BNP Paribas Estimate of FX Market Positioning

-20

-12

-10

-7

-5

1

6

6

20

29

-50 -40 -30 -20 -10 0 10 20 30 40 50

EUR

SEK

CAD

JPY

CHF

USD

AUD

NZD

NOK

GBP

16-Jun-2014

10-Jun-2014

SHORT LONG

77

FX participants finally shift to a long USD exposure

FX investors generally establish USD shorts during QE. But the more data contingent nature of QE3 has made markets less

comfortable funding in USDs.

BNP Paribas Estimate of FX Market Positioning for USD

Methodology•Client Exposure – Internal sales desks’ estimate of FX investor exposure

•IMM – The Commitment of Traders (CFTC) is a widely used proxy for US-based hedge-fund/CTA activity. •Risk reversals – Risk reversals indicate the relative price of calls relative to puts, and thus incorporate a option “market sentiment” function. •Beta – Decomposition of the BTOP managed currency index.

•BNPP Trending Indicator. - A technical measure of the strength of a currencies momentum.


May 2014

Overall FX positioning is low

May 2014 8

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

-20

-15

-10

-5

0

5

10

15

20

*Seasonal factor is the typical percentage increase or decrease in positioning during the month

% BNP Paribas Positioning AnalysisSeasonal Factors for G10 FX

Positioning *

Total G10 positions Positions typically build in Oct. and Nov.

Seasonal analysis shows that October and November are when FX positioning is usually highest

Source : Ecowin Reuters, BNP Paribas

Dislocation between market views and positioning

May 2014 9

Market consensus is bullish USD, but investors have only started to put on the position

EURUSD Implied Positioning

US TIC capital flow data

May 2014 10

US TIC capital flow data broken down by asset type

Inflows into US Treasuries and Agency debt have returned since Summer

US investors starting to repatriate funds

May 2014 11

There is a reduction in US investor appetite for foreign securities, with 3-month average net flows switching from

outflow to repatriation in March.

US investors’ purchases of foreign securities, USD billions 3m average

EUR strength is starting to wane: EURUSD to fall further

May 2014 1313

EURUSD has now diverged from interest rate spreads

EURUSD vs. 2-yr euro–US swap spread

US fiscal stress has pushed EURUSD way beyond fundamentals

May 2014 1414

EURUSD has been tracking real interest rate spreads

EURUSD vs. 2-yr euro–US 2-year real rates

EUR has tracked real rates so ECB needs to boost inflation expectations to contain currency

May 2014 1515

ECB needed to act to ensure EUR is viewer as an FX funder

Money market rate divergence suggests ECB action will contain EUR gains

EUR 3m Euribor starts to fall Large divergence in inflation expectations

May 2014 1616

Eurozone inflation expectations appear to have based

Large divergence in inflation expectations

EU inflation expectations have fallen but may be exhibiting signs of rising in the wake of ECB action

May 2014 1717

EUR yields fall following ECB action

Comparison of 2yr Swap Rates

EUR has become more JPY-like as an FX funder

Eurozone inflation undershoots sharply

May 2014 18

The sharp undershoot in inflation increases prospects for ECB easing. We forecast a refi rate cut in December

Eurozone Inflation CPI (HICP) y/y % change

1919

Market Positioning is only moderately short EUR

The market was moderately short EUR when dovish ECB action and rhetoric emerged

EUR Market Positioning

Methodology•Client Exposure – Internal sales desks’ estimate of FX investor exposure

•IMM – The Commitment of Traders (CFTC) is a widely used proxy for US-based hedge-fund/CTA activity.

•Risk reversals – Risk reversals indicate the relative price of calls relative to puts, and thus incorporate a option “market sentiment” function.

•Beta – Decomposition of the BTOP managed currency index.

•BNPP Trending Indicator. - A technical measure of the strength of a currencies momentum.00



May 2014

Market long high-yielders, short funders (7 May)

Sep

10

Jan

11

May Sep Jan

12

May Sep Jan

13

May Sep Jan

14

May

-50

-40

-30

-20

-10

0

10

20

30

40

50EUR net positioning

BNP Paribas FX Positioning Analysis

2020

EURUSD trades very close to its fair value

EURUSD FEER is estimated at 1.32, so EURUSD is only slightly overvalued


BNP Paribas FEER for EURUSDBNPP FEER (Fundamental Equilibrium Exchange Rate) is the value of an exchange rate when an economy is operating with an internal

balance (i.e. output in line with potential output, full employment and inflation in line with central bank’s target) and a sustainable current account balance.

May 2014

0.65

0.85

1.05

1.25

1.45

1980 1985 1990 1995 2000 2005 2010

BNP Paribas FEER EURUSD

OECD "Synthetic" EUR prior to 1999

2121

EURUSD CLEER™ Forecasting Model

Our own EURUSD CLEER model signals EURUSD downside


BNP Paribas CLEER™ for EURUSDBNP Paribas CLEER (CycLical Equilibrium Exchange Rate) provide a fair value for a currency based on the relative economic fundamentals

May 2014

0.84

0.94

1.04

1.14

1.24

1.34

1.44

1.54

1.64

1.74

01-Jan-1995 01-Jan-2005 01-Jan-2015

CLEER EURUSD

Model based projections

22

Our STEER™ model signals EURUSD trades below its fair value

May 2014

BNP Paribas STEER™ fair value model EURUSD*BNPP STEERs are regression based short-term fair-values based on relationships between exchange rates, interest rate markets, equity

markets and commodity markets.

EURUSD trades towards the lower end of its +/- 1.5 std. dev. corridor

May 2014 23

QE will cause a re-pricing of assets in the equity space

Under ECB QE, equities can rally and the EUR call fall…just like the Fed experience

Source : Reuters EcoWin, BNP Paribas

The S&P 500 vs the Fed Balance Sheet (under QE)

0 8 0 9 1 0 1 1 1 2 1 3 1 4

6 0 0

7 0 0

8 0 0

9 0 0

1 0 0 0

1 1 0 0

1 2 0 0

1 3 0 0

1 4 0 0

1 5 0 0

1 6 0 0

1 7 0 0

1 8 0 0

1 9 0 0

2 0 0 0th

ou

sa

nd

bill

ions

0 . 5

1 . 0

1 . 5

2 . 0

2 . 5

3 . 0

3 . 5

4 . 0

4 . 5

F e d . B a l a n c e S h e e t ( U S D , t r n )

O p e r a t i o nT w i s t

S & P 5 0 0 ( R H S )

Q E 1Q E 3Q E 2

May 2014 24

EURUSD’s sensitivity* to stocks varies

The EUR is adjusting to life as a funding currency

Source : Reuters EcoWin, BNP Paribas *Derived from the correlation of

EURUSD to the S&P over previous 12-month period captured by BNP

Paribas STEER™

0 0 0 2 0 3 0 4 0 5 0 6 0 7 0 8 0 9 1 0 1 1 1 2 1 3

- 0 . 6

- 0 . 4

- 0 . 2

0 . 0

0 . 2

0 . 4

0 . 6

0 . 8

1 . 0

1 . 2

1 . 4C o e f f i c i e n t , i m p a c t o f g l o b a l e q u i t i e s o n E U R U S D

Coefficient, impact of global equities on EURUSD

May 2014 25

Demand for eurozone assets peaking

EZ current account, broad basic balance and portfolio flows are showing signs of peaking

Eurozone Portfolio Flows (monthly): EUR billions 3MMA

May 2014 26

Other investment drives outflows to recycle current account

Eurozone Portfolio Flows (monthly): EUR billions

The offsetting outflow necessary to equilibrate the balance of payments has stemmed from a combination of ‘other investment’

and FDI.

FX Reserve Diversification

Global FX Reserve Accumulation

May 2014 28

China’s reserve accumulation has continued apace since the start of last year.

Monthly Valuation-adjusted FX Reserve Accumulation


* Comprised of country level data provided by the largest reserve accumulators. COFER percentage allocations used to calculate the

exchange rate valuation impact and estimates for direction of diversification flows

Estimated Diversification Demand for EUR

May 2014 29

Estimated demand for EUR from EM reserve managers has shown signs of topping out at the start of last year

Estimated diversification demand for EUR vs. eurozone portfolio inflows


* Comprised of country level data provided by the largest reserve accumulators. COFER percentage allocations used to calculate the

exchange rate valuation impact and estimates for direction of diversification flows

30

Estimates of China’s Reserve Holdings

Source : BNP Paribas, Peterson Institute for International Economics

Using bilateral portfolio data, China’s estimated holdings of EUR reserves are just under 25% of accounted reserves*.

Chinese Official Foreign Asset Holdings

May 2014

Estimated Shares of Allocated Reserves

* Approximately USD 2.2 trillion OF China’s official foreign assets can be accounted for, out of USD 3.5 trillion, as of 2012. Source: US

Treasury, Bank of Japan, Japan Ministry of Finance, Financial Supervisory Service of Korea, Australian National Statistics, Canada

Statistics, Deutsche Bundesbank, European Central Bank, International Monetary Fund.

Asian demand supporting core EUR liquid paper

� Asian demand for EUR core liquid assets is being fuelled by

rising FX reserves.

� World international asset reserves rose from USD 2300bn in

2003 to USD 11500bn in December 2013, with Asian reserves

(China, Japan, Taiwan, Hong Kong & Korea) accounting fro

53% of the total.

� Asian foreign-exchange reserves rose from USD 1.2trn in 2003

to USD 5.9trn in December 2013.

European Government Bond (EGB) Holdings

Structural demand from Asian CBs due to rising reserves China: Stable USD reserve demand

� There has been a structural Asian buying flow into the

Eurozone (Bunds & OATs mostly).

� The will to diversify from USD assets into EUR assets also

explains the recurring demand fro core EGBs.

� China: Holdings of US Treasuries have been stable since Q2

2011, while total foreign reserves have kept on rising (relativeweight of US Treasuries has fallen by 10% since its August

2010 peak).

0

2000000

4000000

6000000

8000000

10000000

12000000

14000000

Jan-03 Jul-04 Jan-06 Jul-07 Jan-09 Jul-10 Jan-12 Jul-13

World Japan China Main Asia

World: USD 11.5 Tr

Asia: USD 5.9 Tr

China: USD 3.7 Tr

Japan: USD 1.2 Tr

0

500

1000

1500

2000

2500

3000

3500

4000

Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13

25%

30%

35%

40%

45%

50%

Holdings of Treasuries from China Total Int. Res. China Holdings of US Tr. from China %


May 2014 31

USDJPY to be driven higher by “Abenomics.”

3333

The BOJ undertakes a dramatic increase in policy

Japanese monetary base projections (JPY trillions)

Source : BoJ, BNP Paribas

The policy shift under Governor Kuroda is dramatic

0

50

100

150

200

250

300

07 08 09 10 11 12 13 14

JPY 138 tr

Year end 2012

JPY200 tr

(BOJ target)

Year end 2013

JPY270 tr

(BOJ target)

Year end 2014

May 2014

USDJPY is highly correlated to Nikkei 225

34

USDJPY vs. Nikkei 225

The close link between Japanese equities and the JPY is policy driven by “Abenomics”

May 2014

3535

JPY short exposure had fallen to 0…

BNP Paribas FX Positioning Analysis (JPY)

BNP Paribas JPY positioning indicator signals that investors’ short JPY exposure has reversed.

May 2014

3636

Domestic investors are starting to buy foreign assets

Japanese investors’ net purchases of foreign assets


Japanese investors have turned net long JPY over Q1. Most of this is driven by repatriation.

May 2014

Aggregate demand-supply balance for JPY

May 2014 37

Evidence has yet to emerge of large-scale JPY outflows but the net inflows are falling


S o u r c e : R e u t e r s E c o W in

0 3 0 4 0 5 0 6 0 7 0 8 0 9 1 0 1 1 1 2 1 3

tho

usa

nd

bill

ions

- 8

- 7

- 6

- 5

- 4

- 3

- 2

- 1

1

2

3

4

5 I n f l o w F D I + P o r t f o l io in v e s t m e n t + s h o r t - t e r m J P Y lo a n s C u r r e n t a c c o u n t J P Y d e m a n d - s u p p l y b a l a n c e ( S u m o f b o t h s e r ie s )

O u t f l o w

R e c y c l i n g o f C / A s u r p l u sv i a c a p i t a l o u t f l o w s

. . . h a s n o t b e e n t a k i n g p la c e i n 2 0 1 3

3838

USDJPY long-term fair value is now 74


Our estimate of long-term fair value (BNP Paribas FEER) continues to fall and now stands at 74

BNP Paribas FEER for USDJPYBNPP FEER (Fundamental Equilibrium Exchange Rate) is the value of an exchange rate when an economy is operating with an internal


May 2014

50

100

150

200

250

1980 1985 1990 1995 2000 2005 2010

BNP Paribas FEER USDJPY

3939

USDJPY CLEER™ Forecasting Model

USDJPY CLEER™


BNP Paribas CLEER™ for USDJPYBNP Paribas CLEER (CycLical Equilibrium Exchange Rate) provide a fair value for a currency based on the relative economic fundamentals

May 2014

74

84

94

104

114

124

134

144

154

01-Jan-1995 01-Jan-2005 01-Jan-2015

CLEER USDJPY


GBP: Economic recovery to provide ongoing support

May 2014 41

Economic data is finally strong enough for the output gap to start to narrow

Recovery in UK Data is Different This Time

BNP Paribas Positioning Analysis


UK economic dataflow

Jun

10

Oct

11

Feb Jun Oct

12

Feb Jun Oct

13

Feb Jun Oct

14

Feb

-1.00

-0.75

-0.50

-0.25

0.00

0.25

0.50

0.75

1.00

BNPP Data Surprise Index*

BNPP Economic Strength Index**

* zero indicates that the releases are in line with expectations

** zero indicates the releases are in line with their long-term averages

4242

We favour EURGBP downside


We expect the GBP to recover against the EUR, targeting 0.80 EURGBP

May 2014

UK growing much faster than eurozone EURGBP shorts far from extreme level

4343

EURGBP is significantly above long-term fair value estimates


EURGBP overvalued on longer term valuation estimates (0.76) and has plenty of scope to decline

BNP Paribas FEER for EURGBPBNPP FEER (Fundamental Equilibrium Exchange Rate) is the value of an exchange rate when an economy is operating with an internal


May 2014

0.50

0.60

0.70

0.80

0.90

1.00

1980 1985 1990 1995 2000 2005 2010

BNP Paribas FEER EURGBP

4444

GBPUSD CLEER™ Forecasting Model

EURGBP CLEER™


BNP Paribas CLEER™ for EURGBPBNP Paribas CLEER (CycLical Equilibrium Exchange Rate) provide a fair value for a currency based on the relative economic fundamentals

May 2014

1.20

1.40

1.60

1.80

2.00

2.20

01-Jan-1995 01-Jan-2005 01-Jan-2015

CLEER GBPUSD


4545

EURGBP tracking real yield differentials

EURGBP vs. 5 year yield spreads

Real rates maybe a better indicator as central bank policy is now impacting FX through the inflation expectations

channel.

May 2014

4646

EZ-UK rates moving in the GBP’s favour

EURGBP vs. 2-year Eurozone-UK swap differential

May 2014

Nominal yields still working well on EURGBP

4747

BoE Credibility Gap

BoE credibility gap – GBP 2y swap rate versus unemployment rate


Is the BOE at risk of falling behind the curve?

May 2014

0 1 0 2 0 3 0 4 0 5 0 6 0 7 0 8 0 9 1 0 1 1 1 2 1 3 1 4

4 .5

5 .0

5 .5

6 .0

6 .5

7 .0

7 .5

8 .0

8 .50

1

2

3

4

5

6

1 s t s t a g e

I L O J o b le s s r a te ( R H S in v e r s e ) G B P 2 Y in te r e s t r a te s w a p

2 n d s t a g e

F o r w a r d g u id a n c e

Easing of eurozone stress now suggests durable Swiss Franc

reversal

4949

Easing of eurozone stress key for durable Swiss Franc reversal

EURCHF vs. Weighted Peripheral Spreads


Easing eurozone stress now signals EURCHF upside

1 0 1 1 1 2 1 3 1 4

0 . 2 5

1 . 2 5

2 . 2 5

3 . 2 5

4 . 2 5

5 . 2 5

6 . 2 5

7 . 2 50 . 9 0

0 . 9 5

1 . 0 0

1 . 0 5

1 . 1 0

1 . 1 5

1 . 2 0

1 . 2 5

1 . 3 0

1 . 3 5

1 . 4 0

1 . 4 5* A v e r a g e o f 2 , 5 , 1 0 y r s o v e r e i g n s p r e a d s

f o r S p a i n , I t a l y , I r e l a n d a n d P o r t u g a l v s G e r m a n y

E U R C H F

W e i g h t e d P e r i p h e r a l S p r e a d s( % , R H S ) *

May 2014

Swiss investment outflows

50

0 5 0 6 0 7 0 8 0 9 1 0 1 1 1 2 1 3

bill

ions

- 5 0

- 2 5

0

2 5

5 0

7 5

1 0 0 * P o r t f o l i o i n v e s t m e n t , d i r e c t i n v e s t m e n t s a n d l o a n s a n d d e p o s i t s

I n f l o w s

S w i s s I n v e s t m e n t F l o w s ( B n C H F , 4 q u a r t e r a v e r a g e )O u t f l o w s

S w i s s I n v e s t m e n t F l o w s * ( B n C H F , Q u a r t e r l y )


Total net financial inflows peaked in Q2 2012 at the same time eurozone stress peaked. Outflows are now taking

off.

Financial account moves from inflow to outflow

May 2014

5151

Easing of Eurozone stress key for durable Swiss Franc reversal

EURCHF v. 2-year swap spread


CHF appears extremely overvalued vs relative interest rates

0 8 0 9 1 0 1 1 1 2 1 3 1 4

- 1 . 0 0

- 0 . 7 5

- 0 . 5 0

- 0 . 2 5

0 . 0 0

0 . 2 5

0 . 5 0

0 . 7 5

1 . 0 0

1 . 2 5

1 . 5 0

1 . 7 5

2 . 0 0

2 . 2 5

1 . 0 0

1 . 0 5

1 . 1 0

1 . 1 5

1 . 2 0

1 . 2 5

1 . 3 0

1 . 3 5

1 . 4 0

1 . 4 5

1 . 5 0

1 . 5 5

1 . 6 0

1 . 6 5

1 . 7 0

1 . 7 5

1 . 8 0

E U R C H F ( L H S )

2 y r E U R - C H F s w a p s p r e a d ( r h s )

S N B F l o o r a t 1 . 2 0 o n E U R C H F I n t r o d u c e d

May 2014

5252

EURCHF is undervalued relative to its long term fair value


EURCHF trades significantly below its FEER of 1.40

BNP Paribas FEER for EURCHFBNPP FEER (Fundamental Equilibrium Exchange Rate) is the value of an exchange rate when an economy is operating with an internal


May 2014

0.70

1.20

1.70

2.20

2.70

1980 1985 1990 1995 2000 2005 2010

BNP Paribas FEER USDCHF

5353

EURCHF CLEER™ Forecasting Model

EURCHF CLEER™


BNP Paribas CLEER™ for EURCHFBNP Paribas CLEER (CycLical Equilibrium Exchange Rate) provide a fair value for a currency based on the relative economic fundamentals

May 2014

1.09

1.19

1.29

1.39

1.49

1.59

1.69

1.79

01-Jan-1995 01-Jan-2005 01-Jan-2015

CLEER EURCHF


5454

Market has turned short CHF from neutral

Market positioning has turned back to short CHF

May 2014

BNP Paribas Positioning Analysis for CHF

RUB –More weakness ahead

Emerging weak from the 08/09 crisis

� Russia has seen its macroeconomic fundamentals deteriorate sharply since

the 2008/09 financial crisis. These have been further impacted by the geopolitical

situation.

� The fiscal situation has worsened (also

in underlying terms).

� Potential growth rate has declined.

� Current account will soon turn into a deficit.

� Oil prices are not expected to race higher

anymore.

� The main things helping Russia are:

� Relatively high yield

� Low debt to GDP

� Fairly liquid local market.

� However, the outlook is clearly

deteriorating and we do not advise strategic longs.

56

Changes

between 2008

and 2014

Changes

between 2008

and 2014

Deteriorating fundamentals57

Worsening C/A Falling potential growth

� Russia’s fundamentals have weakened since the global financial crisis, with the economy steadily more dependent on the oil and gas sectors and on the price of energy commodities. Their share of

exports has risen above 60% and real output growth has barely exceeded 2-3% in the last few years.

� In light of this and of Russia’s adverse demographic trends, the country’s potential growth rate has

fallen below 3%. Investment-to-GDP ratio is falling again and the labour force is ageing and shrinking. Medium term prospects are soft, at best.

� Russia’s low public and external debt means we are less worried about the near-term outlook but the

country’s deteriorating fundamentals point to growing risks down the line.

CBR to cut?58

GDP prospects are soft, labour market is weak Rate expectations being revised

� A stabilisation in the situation in Ukraine, coupled with moderating inflation, could

see the CBR reverse the 200bp hikes implemented at the start of 2014, later on in

the year.

CNY –Curb your enthusiasm

USDCNH is range bound – not trending60

Chart 1: USDCNH spot, fixing and onshore trading band NDF yields are now lower than onshore

� With NDF yields now falling below onshore forwards, sentiment is starting to look a

little stretched

5.9

6.0

6.1

6.2

6.3

6.4

6.5

Jan-12 Jul-12 Jan-13 Jul-13 Jan-14

CNH Curncy

CNY Fixing

Upper band

Lower Band

-2

0

2

4

6

8

Jun-12 Dec-12 Jun-13 Dec-13 Jun-14

%

3m onshore DF yield

3m NDF yield

Investors were too bearish on the RMB when it was weak; now they are too bullish when it's strong. This is actually a range

market, not trend of appreciation.

6161

Forecasts*

May 2014

* End of quarter

USD Bloc Q2 '14 Q3 '14 Q4 '14 Q1 '15 Q2 '15 Q3 '15 Q4 '15

EURUSD 1.35 1.32 1.30 1.28 1.27 1.26 1.26

USDJPY 108 109 110 112 115 120 124

USDCHF 0.92 0.94 0.95 0.98 0.98 0.99 0.99

GBPUSD 1.69 1.69 1.71 1.71 1.72 1.73 1.75

USDCAD 1.09 1.10 1.10 1.10 1.10 1.11 1.12

AUDUSD 0.92 0.92 0.92 0.93 0.93 0.92 0.90

NZDUSD 0.84 0.83 0.83 0.82 0.82 0.81 0.80

USDSEK 6.67 6.78 6.85 6.95 6.93 6.83 6.90

USDNOK 5.93 5.91 6.00 6.02 6.06 6.03 5.95

EUR Bloc Q2 '14 Q3 '14 Q4 '14 Q1 '15 Q2 '15 Q3 '15 Q4 '15

EURJPY 146 144 143 143 146 151 156

EURGBP 0.80 0.78 0.76 0.75 0.74 0.73 0.72

EURCHF 1.24 1.24 1.24 1.25 1.25 1.25 1.25

EURSEK 9.00 8.95 8.90 8.90 8.80 8.60 8.70

EURNOK 8.00 7.80 7.80 7.70 7.70 7.60 7.50

EURDKK 7.46 7.46 7.46 7.46 7.46 7.46 7.46

E. Eur Bloc Q2 '14 Q3 '14 Q4 '14 Q1 '15 Q2 '15 Q3 '15 Q4 '15

EURPLN 4.15 4.07 4.12 4.15 4.00 3.95 4.00

EURCZK 27.00 27.00 27.00 26.50 26.00 25.50 25.00

EURHUF 305 302 312 305 295 295 295

EURRON 4.45 4.37 4.50 4.50 4.45 4.40 4.45

USDZAR 10.30 10.00 10.95 10.50 11.00 11.20 11.50

USDRUB 34.56 35.84 37.00 37.30 37.00 38.94 37.15

USDTRY 2.07 2.11 2.15 2.17 2.20 2.22 2.22

Asia Bloc Q2 '14 Q3 '14 Q4 '14 Q1 '15 Q2 '15 Q3 '15 Q4 '15

USDSGD 1.24 1.26 1.28 1.30 1.35 1.35 1.40

USDMYR 3.20 3.35 3.40 3.40 3.42 3.45 3.50

USDIDR 11800 12000 12000 12000 12250 12500 12800

USDTHB 32.00 32.40 33.00 33.00 33.00 33.30 33.50

USDPHP 43.60 44.40 44.80 45.00 45.00 45.50 46.00

USDHKD 7.80 7.80 7.80 7.80 7.80 7.80 7.80

USDRMB 6.19 6.25 6.20 6.17 6.25 6.21 6.15

USDTWD 30.00 29.80 29.80 29.70 29.70 29.60 29.50

USDKRW 1020 1010 1000 1000 980 980 950

USDINR 58.00 58.00 60.00 61.00 62.00 63.00 63.00

USDVND 21100 21300 21300 21300 21300 21600 21600

Latam Bloc Q2 '14 Q3 '14 Q4 '14 Q1 '15 Q2 '15 Q3 '15 Q4 '15

USDARS 8.28 9.00 10.95 12.65 12.75 13.95 15.00

USDBRL 2.28 2.38 2.45 2.45 2.48 2.50 2.55

USDCLP 538.00 543.00 555.00 555.00 550.00 550.00 545.00

USDMXN 13.00 12.90 12.85 12.80 12.80 12.75 12.75

USDCOP 1925.00 1940.00 1950.00 1967.00 1985.00 1980.00 2000.00

USDVEF 6.30 13.80 13.80 13.80 25.60 25.60 25.60

6262

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