Bnp Fx Weekly

8/22/2019 Bnp Fx Weekly

1/22

Thursday, 24 May 2012 Bloomberg BPFR

FX Weekly http://www.GlobalMarkets.bnpparibas.com

Foreign Exchange 24 May 2012

FX Weekly: EURUSD - A Balancing Act

FX Weekly Outlook 2

G10 Themes 3

FX Technical Analysis 9

FX Recommendations 10

Market Sentiment &Positioning

11

Weekly Currency Summary 14

Economic Calendar 19

Forecasts 21

Contacts 22

Currency Performance vs.USD 1 Week

-5 -4 -3 -2 -1 0 1 2 3

AUD

NZD

GBP

JP Y

EUR

SEK

CHF

NOK

CA D

Currency Performance vs.

USD 1 Month

-10 -5 0 5

SEK

CHF

NOK

CA D

JP Y

GBP

AUD

NZD

EUR

G10 Weekly FX Outlook EURUSD to Pause EyeingUS NFP

G10 Themes

Short AUDNZD Set to Retest the Lows

AUDNZD appears very stretched relative to swap spreads while thetechnical outlook is turning negative.

The AUD has lost is status as the king of the commodity currencybloc.

We initiate a short AUDNZD recommendation via options at

1.2975, targeting 1.2400. We buy an AUDNZD 3-month put spread1.3000/1.2400.

Chinas EUR Incentive

Resilience of EURUSD for much of Q1 and into Q2 could beattributed to several factors

One key factor is Chinas preference to keep the EUR strong tolimit the appreciation of the CNY REER

Given the EUR weight in the CNY REER basket, a 10% move inEUR would lead to a 2% move in the REER

FX Volatility Focus FX vol markets are displaying significant Vol-of-Vol, with last

weeks rally subsiding in the early part of this week, only to gapsharply higher on Wednesday.

FX ATM vols have rallied approx 30% since the beginning of May. Whereas ATM vols have adjusted, butterflies are still underpriced

relative to ATM vols. The front end of the volatility surface is at extreme levels of

steepness. The back end is very flat in comparison.

FX Recommendations Buy an AUDNZD 3-month put spread 1.3000/1.2400 Short NZDCAD at 0.8100, targeting 0.7500, stop loss 0.7775 Short GBPSEK at 11.40, targeting 11.00, stop loss 11.55 Short NOKSEK at 1.2045, targeting 1.1650 stop loss 1.2220 Pay AUD OIS, buy AUDUSD 10 week Put Buy 6m GBPJPY vol vs. Sell 12M EURJPY vol

Market Sentiment & Positioning Combined long USD positions at a record high EUR gross short positioning has increased to record levels amid

ongoing uncertainty in the eurozone IMM long GBP positions remain at elevated levels but FX client

survey suggests clients are now reducing exposure

Currency Views

Current 1 Month 3 Month

EURUSD 1.2590 1.26 1.28

USDJPY 79.40 82.00 85.00

EURCHF 1.2030 1.20 1.25

GBPUSD 1.5700 1.60 1.58AUDUSD 0.9770 1.00 1.02

USDCAD 1.0260 0.99 0.98


2/22

This publication is classified as non-objective research

Thursday, 24 May 2012 2 Bloomberg BPFR FX Weekly http://www.GlobalMarkets.bnpparibas.com

G10 FX Outlook: EURUSD May Pause Eyeing US NFP

Kiran Kowshik

+44 20 7595 1495Steven Saywell

+44 20 7595 8487

EURUSD could stabilise next week as EZUS driversintermingle in a US NFP week

But USD out performance intact multi-week as eurozonepolitical brinkmanship begets more uncertainty

Look for good levels to initiate bearish EUR cross trades;market grossly under priced for a June ECB rate cut

Chinese policy activism could stabilise the commodity FX.Pecking order favours Short AUDNZD

Over the past fortnight, FX markets have been driven almost exclusively by

eurozone stress. While we believe this will continue as a multi-week theme to

the June 17 Greek elections, next week could see more two way. We are

content having booked 4.4% profit on our EURUSD short and moving to the

sidelines this week. With the EU meeting behind us, a quiet eurozone debt

auction calendar but heavy US data calendar next week (including non-farm

payrolls), FX drivers could become more two-way. The consensus is for

stronger US data, thus softer outcomes could see EURUSD stabilise with key

technical support levels reached and with short EUR-positioning extreme.

However, over the next few weeks the USD may receive further support if

continued eurozone stress on political brinkmanship sees a continued rush to

safe-havens. Ex-Greek PM Papademos apocalyptic comments on the costs of

a Greek exit should be seen in a similar context of putting pressure on the

Greek populace into re-assessing their support for anti-austerity SYRIZA ahead

of the June 17 elections. Greek poll-watching should continue as a game of

chicken between the ECB/Germans on the one hand, and Greece, Italy and

Spain on the other. The stellar US Treasury and German bund auctions this

week (even at very low yields) support this view.

The softer flash eurozone PMIs and grim underlying details this week have

tipped our economists to forecast a 25bps June rate cut as a central scenario,

with another 25bps rate cut penned in by Q3. Given that the rates market is still

under pricing this outcome by a large margin (only 12.5bps cuts priced to year-

end), this means that the EUR may come under pressure on its declining yield

advantage in the weeks ahead. However, we would need weaker activity data

to prompt such a move, and the early week focus on inflation/money supply

data next week could provide better levels to sell.

Fears of a harder landing in China along with eurozone stress have seen

commodity currencies under perform of late. Next weeks official May China

PMI will be key. But, we would be on guard for a potential recovery (or at least

stabilisation) in commodity currencies given strong signals from Chinese policy

makers of a more aggressive Chinese fiscal/monetary policy response.

However, within the block there remains a pecking order with CAD the top pick

(given its link to an outperforming US) over the AUD or NZD (link to Asia and

Europe). We therefore maintain our short NZDCAD as it nears its extended

0.7500 target, but also add a short AUDNZD trade via options with swap

spreads and technicals providing a sell signal (See page 3).

but multi-week USDstrength intact as market

seeks safety over value

EURUSD could consolidateas FX focuses more evenly

on US data vis--vis EZstress next week

Look for better levels to sellEUR crosses next week;

ECB easing scenario underpriced

but we respect the peckingorder; add short AUDNZD in

addition to short NZDCAD

Chinese policy activismcould stabilize the rout in

commodity FX


3/22



Short AUDNZD Set to Retest the Lows

Steven Saywell

+44 (0)20 7595 8487

AUDNZD appears very stretched relative to swap spreadswhile the technical outlook is turning negative.

The AUD has lost is status as the king of the commoditycurrency bloc.

We initiate a short AUDNZD recommendation via options at1.2975, targeting 1.2400. We buy an AUDNZD 3-month putspread 1.3000/1.2400.

AUDNZD is one of our most actively traded currency pairs, for which we have

made two successful sell recommendations over the past six months. We

believe that market conditions again represent an excellent opportunity to

establish a short exposure. We issue a short recommendation at 1.2975

targeting a move back to the lows at 1.24.

AUDNZD has again diverged sharply from the Australian-New Zealand 2-year

swap spread (Chart 1). Such large disparities tend to reverse as markets

reassess the different views of the rates and FX markets. Part of the shift down

in swap spreads has been driven by markets pricing in aggressive rate cuts

from the RBA (our economists forecast a further 50bp of easing). Still, with both

the RBA and the RBNZ expected to ease policy over coming months, a sharp

reversal in the rates market is unlikely over coming months, especially given the

ongoing stresses in the eurozone.

AUDUSD has clearly been under pressure during the markets recent bout of

risk-off trading a clear response to stresses in the eurozone and especially

heightened expectations of an imminent Greek exit from the euro. Still, suchrisk reduction usually affects the commodity bloc generally with little

discrimination between the AUD, NZD and CAD. Differences between

performances of the members of the commodity bloc tend to be driven by each

countrys fundamentals. What has become clear over coming months is the

changing pecking order of these three currencies. In our opinion, the CAD has

become the new favourite and will probably remain the strongest a position

previously occupied by the AUD.

Excellent risk-reward forshort AUDNZD

AUDNZD has again divergedsharply from 2-year swap

spread

AUD has lost its status asthe expected outperformer

of the commodity currencybloc

Chart 1: AUDNZD Diverged from Swap Spreads Chart 2: The Technical Structure is Negative

Source: Reuters EcoWin Pro, Bloomberg, BNP Paribas Source: Reuters EcoWin Pro, Bloomberg, BNP Paribas


4/22



Indeed, our most recent FX Quant Insight publication (22 May 2012) showed

the NZD was the most undervalued of all the major currency pairs (Chart 3).

Looking specifically at the updated NZDUSD BNP Paribas STEER fair value,

NZDUSD has actually dropped below the +/- 1.5 standard deviation corridor,

suggesting there are expectations for a rebound (Chart 4). In contrast,AUDUSD is in line with its STEER fair value estimate.

The technical outlook for AUDNZD provides considerable support for a

significant retracement back to the recent lows of 1.2321. The recent rebound

to 1.2990 represents a 61.8% retracement from the December peak at 1.3233.

Stalling momentum around these levels would target a move back to the lows at

1.2321. Moreover, a spot failure around this level would establish a double-top

pattern on AUDNZD that would further cement expectations for a fall (Chart 2).

We would be content to implement a short AUDNZD recommendation via the

spot FX market at 1.2975 targeting a move to 1.24. We would probably use a

stop above 1.3233 a 2.0% risk. However, the current low level of FX option

volatility suggests that playing the trade via options may be advantageous. First,

AUDNZD 3-month volatility has fallen sharply from its recent peak in Q3 2011

above 10% to just 6.6% currently. Second, the structure we have chosen costs

less than the 2% we would be risking on the spot trade.

Accordingly, we initiate a short AUDNZD recommendation via the options

market. We buy an AUDNZD 3-month put spread 1.3000/1.2400 cost:

180 pips (1.38% AUD) from a spot reference of 1.30 (max payout 600 pips =

3.3x).

Bearish technical outlook forAUDNZD targets a return to

the lows at 1.2321

The BNP Paribas STEERmodel signals near-term

NZD outperformancepotential

Short AUDNZD spot isattractive but options appear

more attractive

Accordingly, we initiate a3-month AUDNZD put spread

1.30/1.24 costing 180 pips

Chart 3: NZDUSD the Most Undervalued Chart 4: NZDUSD Falls Below STEER Corridor

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.02.5

N

ZDUS

D

E

URGBP

E

URUS

D

E

URNO

K

U

SDCAD

EURC

HF

G

BPUS

D

AUD

USD

U

SDMXN

USDJPY

EURS

EK

15-May-2012 22-May-2012

0.74

0.76

0.78

0.80

0.82

0.84

0.86

27-Feb-2012 27-Mar-2012 27-Apr-2012

Fair Value NZDUSD

Source: Reuters Ecowin, BIS, BNP Paribas Source: Reuters Ecowin, BIS, BNP Paribas


5/22



Chinas EUR Incentive

Mary Nicola

+1 212 841 2492

Resilience of EURUSD for much of Q1 and into Q2 could beattributed to several factors

One key factor is Chinas preference to keep the EUR strongto limit the appreciation of the CNY REER

Given the EUR weight in the CNY REER basket, a 10% movein EUR would lead to a 2% move in the REER

The most discussed anomaly in the FX space in Q1 and into Q2 was how

EURUSD remained range bound despite eurozone woes. Only recent stress

from the Greek election pushed EURUSD below 1.2600. The factors explaining

the euros resilience range from reserve diversification i.e., central bank buying

and bank/corporate repatriation. In fact, the eurozone financial account showed

a surge in capital inflows in February, but the trend reversed in March. The

financial account aside, reserve diversification may be a pivotal part of EURresilience given the continued rise in FX reserves, albeit at a slower pace,

globally. But, there is an important factor to consider which is Chinas

preference for a strong euro as the eurozone remains Chinas largest trading

partner and amid a shrinking current account surplus, which declined to 3% in

2011 from 10% of GDP in 2007.

The CNY real effective exchange rate (REER) rose 8% from July 2011 to April

2012 (Chart 1), implying that China lost competitiveness against its key trading

partners. This time period also corresponds with the steady decline in Chinese

CPI which peaked in July 2011. Meanwhile, eurozone CPI held steady around

2.5-3.0%. According to some academic studies, the exchange rate pass-through

is a 1% appreciation of the nominal effective exchange rate (NEER) results in a

0.132% decline in CPI and 0.495% PPI over the long run. With the inflation

differential a crucial factor in the deterioration of Chinas competitiveness, a

stronger euro becomes ever more important.

According to the BIS REER (as shown in Chart 2), the EUR comprises 19.4% of

the total basket, followed by the USD with 19%, the JPY at 15.9%, the KRW with

7.9%, the TWD at 5.8%, and the GBP with 2.8%. Given the strength of the

correlation between GBPUSD and EURUSD which is greater than 70%, the EUR

Keeping the EUR strong iskey for China

CNY REER showing Chinalosing competitiveness

against key trading partners

Chart 1: CNY Real Effective Exchange Rate Chart 2: CNY REER FX Weights

0.0

5.0

10.0

15.0

20.0

EUR USD JPY KRW TWD GBP SGD CAD MXN THB

0.0

5.0

10.0

15.0

20.0

EUR USD JPY KRW TWD GBP SGD CAD MXN THB Source: Reuters Ecowin, BIS, BNP Paribas Source: Reuters Ecowin, BIS, BNP Paribas


6/22



weight is as much as 22%, holding inflation constant. The weights of the REER

would suggest that for every 1% move in EURUSD and GBPUSD, the CNY

REER moves as much as 0.22%.

Given the relationship between FX spot levels and the REER (holding inflation

constant), the recent near 7% drop in EURUSD to the recent low of 1.2584 from

1.35, therefore, would imply a 1.4% increase in the CNY REER. The

corresponding decline in GBPUSD would mean that the total increase in the

CNY REER would be as much as 1.5%.

The impact of the FX moves may seem marginal, but with Chinas trade

balance declining, net exports could potentially be an even larger drag on the

Chinese economy. The abysmal February trade deficit of USD31.5, the largest

since 1989, raised concern that China may see only a small trade surplus or

even a trade deficit for 2012. But, the cumulative trade balance for China up

until April is USD19.59bn; this is still larger than the cumulative sum of the

previous two years for Q1 plus April. Concerns about an even deeper negative

impact on net exports provide China an even greater incentive to keep its

REER stable.

Chinas previous response to ensuring the strength of its export sector was to

repeg the CNY to the USD. From July 2008 when the global financial crisis

began to unfold and the CNY was repegged to the USD to February 2009 the

peak of the CNY REER in 2009, the CNY REER rose 15%, corresponding to

the significant drop in EURUSD (Chart 3) rather than the plunge in Chinese

inflation (Chart 4). The REER rose significantly as the CNY remained stable

while the other trade partner currencies weakened vs. the USD. The

relationship between EURUSD and the CNY REER suggests that the value ofthe EUR remains more important than the USD for Chinese officials.

Chinas preference to keep the EUR well supported remains an important factor.

For some time, the pain trade was EURUSD higher and arguably still is. While

repatriation and FX reserve diversification remains key to the EUR holding up,

the fact is that Chinas motivation to keep the EUR supported in light of its

slowing economy could likely be a dominating factor. This may remain the case

as long as the EUR crisis avoids going over the edge of a cliff.

Weight of EUR in CNY REERsuggests a 1% move in EUR

leads to a 19.4% of 1percentage pt move

Slowdown in net exportsaugmenting incentive to

keep CNY weak

Repeg does not necessarilyprevent CNY REER

appreciation

Worsening of EUR crisismakes China support

irrelevant

Chart 3: EURUSD vs. CNY REER Chart 4: CNY REER vs. China CPI % y/y

Source: Reuters Ecowin, Bloomberg, BNP Paribas Source: Reuters Ecowin, Bloomberg, BNP Paribas


7/22



The Current State of the FX Volatility Market

Vasilis Koutsaftis

+1 212 471 7973

FX vol markets are displaying significant Vol-of-Vol, withlast weeks rally subsiding in the early part of this week,only to gap sharply higher on Wednesday.

FX ATM vols have rallied approx 30% since the beginning ofMay.

Whereas ATM vols have adjusted, butterflies are stillunderpriced relative to ATM vols.

The front end of the volatility surface is at extreme levels ofsteepness. The back end is very flat in comparison. Thiscreates an opportunity to enter positive vol slide positions.Selling 1x 6m in 6m EURUSD FVA @ 14.50 vs buying 1x 6min 12m EURUSD FVA @ 14.60 captures 28bps of vol slide in6 months, while being flat vega.

In this piece we survey the state of the FX volatility market as we approach the

end of the 2nd quarter. Over the last several months we have been pointing to

the cheapness of FX vols relative to (i) the amount of systemic risk, (ii) historical

levels of FX vols and (iii) the level of FX vols relative to equity vols or credit

spreads.

Over the last week we saw vols rallying higher, pausing at the beginning of this

week, only to gap higher on Wednesday. Whereas it is hard to argue that ATM

vols are far from fair levels given market positioning, we reiterate that

butterflies remain underpriced relative to ATM vols (Chart 1) and are therefore

attractive vehicles to position for further de-leveraging. Furthermore, as Chart 2

demonstrates, EURUSD and GBPJPY appear particularly attractive as theycombine (i) attractive butterfly/ATM vol ratios and (ii) very reactive FX spot

relative to S&P (as a measure of broader risk aversion).

In G10 gamma space, NZD crosses and USDSEK are good candidates for

holding long gamma positions as they combine (i) gamma that performs almost

in line with implieds, (ii) risk premia that are at their lowest levels over the last 2

Chart 1: G10 3m 25d butterflies/3m ATM vols Chart 2: G10 Butterfly/ATM Vols vs Correlationbetween FX and S&P


FX ATM vols have rallied30% since early May.

butterflies on the otherhand have not yet

repriced..

In front end vol space, wefavour pairs with performing

gamma and flat volsurfaces


8/22



years, (iii) very flat vol surfaces (Chart 3).

Similarly in EM, EURPLN, USDPLN, EURBRL appear attractive gamma longs

to position for a severe unwind of EM longs, as they also combine the trio of

favourable characteristics (i) gamma that performs almost in line with implieds,

(ii) risk premia that are at their lowest levels over the last 2 years, (iii) very flat

vol surfaces.

A trade that we have discussed in the recent past, exploits the steepness of the

front end of the volatility surface vs the relative flatness of the back end of the

volatility surface, with the 1 year tenor being the pivot point (Chart 4).

Initially we constructed the trade in the form of a forward starting vol surface

steepener (sell 6m in 6m FVA/buy 1y in 6m FVA), that allowed for mild positive

vol slide, while maintaining a long vega position. Given the rally in FX vols, we

modify the form of the trade in a way that makes it flat vega, but with significant

positive vol slide. Specifically selling EURUSD 6m in 6m FVA @ 14.50 vsbuying 6m in 12m EURUSD FVA @ 14.60, for zero cost, captures 28 bps of

positive vol slide, while being net flat vega.

The trade is long 26 bps of 6m vega, short 109 bps of 12m vega and 83bps of

18m vega. The trade looses money if the 12 month vols outperform 6m and 18

month vols to an extend that exceeds the rolldown effect.

To be more precise, either the 1y-6m spread has to move higher (difficult in our

view because we start from already very steep levels), or the 18m-1y spread

has to move lower, which is rather difficult to happen as well. On the other

hand, a flattening of the front end of the curve would benefit the trade.

For a more detailed discussion of these and other trades, please see BNPP FX

Vol Focus (22 May 2012).

Chart 3: G10 3m Risk Premia vs Vol Slide Chart 4: 18m-12m and 12m-6m Implied VolSpreads


While we also proposeexploiting the steepness ofthe front end relative to theflatness of the back end to

collect the positive vol

slide.

For a more detaileddiscussion


9/22



FX Technical Analysis

Christian Sn

+33 (0)1 43 16 97 17

NOKSEK in a ST consolidative mood after it stalled at key1.2025/32/44 resistance

NZDCAD could develop a ST bottoming/rising bias from key0.7566-78/0.7719 area

NOKSEK Stalled at key 1.2025/44 level, risk of developing a corrective falling 4th wave

The rebound from 1.1654 (ST

61.8% level) rekindled the

possibility of a MT rising scenario

of a main rising wave C of ABC

to develop. However, it failed to

overcome critical resistance at

1.2025/32/44 (wave A top,

March top and MT 61.8% level).

A break above 1.2025/32/44 was

needed to strengthen this rising

wave C scenario towards 1.2368

(LT 61.8% level). However, the

failure to do so could now trigger a

ST consolidative move towards

1.1876 (ST 38.2% level) within a

falling 4th

wave scenario. This

scenario is strengthened by the

overbought RSI.Source Bloomberg

NZD/CAD Weak break below key 0.7719 support opens up 0.7566/78 downside target

The move below 0.7719 (MT

double top neckline) within the

falling 3rd wave is weak. This

break raises the potential for MT

bearish pressure to the critical

0.7566/78 level (weekly LT rising

wedge support & MT 61.8% level)

However, we now have rising

divergences on the oversold dailyRSI which warns us of a ST

technical rebound to come. A

move back above the key 0.7719

level & a break above falling

channel resistance at 0.7773 is at

least needed to develop this ST

technical correction, potentially

towards 0.7882.

Source Bloomberg


10/22



FX Recommendations

New Trades Portfolio

We initiate a short AUDNZD recommendation via

options at 1.2975, targeting 1.24. We buy an

AUDNZD 3-month put spread 1.3000/1.2400.For amore detailed discussion on this see the article

Short AUDNZD Set to Retest the Lows on page 3

Closed Trades

Our short EURUSD trade recommendation reached

its extended target at 1.2625. We choose to lock in

profit of 4.4% and go to the sidelines on the pair.

We took profit on our short EURJPY 99/107 DNT at34% having entered at 12%.

The latest BNP Paribas STEER models (published

22 May 2012) are still highlighting GBPSEK could

move lower over the coming month. GBPSEK fair

value currently stands at 11.04.

Open Positions (Spot)Returns (%)

Entry Date Position Entry Rate Target Rate Stop Loss Weeks Held Spot Carry Total

19-Apr-12 Short NZDCAD 0.8100 0.7500 0.7775* 5 4.62 -0.15 4.47

17-May-12 Short NOKSEK 1.2045 1.1650 1.2220 1 0.92 0.00 0.92

Open Positions Quant Recommandations

Returns (%)

Entry Date Position Entry Rate Target Rate Stop Loss Weeks Held Spot Carry Total

17-May-12 Short GBPSEK 11.40 11.00 11.55 1 1.59 0.02 1.61

Open Positions (Options)

Return (% Premiums)

Entry Date Strategy Current MTM% Return on

Premium

05-Jan-12 Buy 6M GBPJPY vol vs Sell 12M EURJPY vol in equal vega amounts +1.25 vol

26-Apr-12Pay August AUD OIS at 3.48% in 10k PV01, Buy 5 July 1.0150 Put 15mn for 1.18% AUD (Spot ref: 1.0375)

-104K

24-May-12Buy an AUDNZD 3-month put spread 1.3000/1.2400 cost: 180 pips(1.38% AUD) from a spot reference of 1.30 (max payout 600 pips =3.3x).

- -

* Upper end of downtrend channel (currently 0.7775).


11/22



Market Sentiment and Positioning

James Hellawell

+44 (0)20 7595 8485

Steven Saywell

+44 (0)20 7595 8487

Combined long USD positions at a record high EUR gross short positioning has increased to record levels

amid ongoing uncertainty in the eurozone IMM long GBP positions remain at elevated levels but FX

client survey suggests clients are now reducing exposure

The latest CFTC positioning survey, capturing positioning on 15 May, shows

that risk aversion remains the dominant theme as speculative and CTA-type

investors continue to buy USD against all G10 currencies, with the exception of

JPY. Overall net combined long USD positions increased significantly by 85K

contracts last week to 105K this week the highest since 1999. Long USD

positioning is currently close to two standard deviations away from its long-term

average (Chart 4), suggesting that positioning is now extreme

The tension about the fate of the eurozone continues. The latest data from the

CFTC also showed that non-commercial investors continued to express

negative views on the eurozone by further shorting the EUR. Negative EUR

sentiment has now surpassed levels that were seen back in January when

Greece faced a possible default. Non commercial investors holding long EUR

positions have also reduced exposure, suggesting a uniformly bearish outlook.

The net short EUR contracts now stand at a record 173K (41% of open interest)

an increase of 29K contracts from the previous week and cumulatively an

increase of 3K contract seen back in January 2011. This exposure may limit

the scope for speculative investors to continue to extend short EUR

positioning.

For the sixth week running, the CTFC report has shown a continued bias

towards a weaker CHF with non-commercial investors having increased CHF

bearish positions. Net short CHF positioning increased to 27k from 16k. This is

Chart 1 : BNP Overbought / Oversold Indicator* Chart 2 : BNP Momentum Indicator

-10

-8

-6

-4

-2

0

2

4

6

8

10

JPY SEK NOK CHF CAD USD AUD GBP EUR

+8 equals s trongest reading/-8 equals weakest reading

Previous weeks readings shown in grey

BNP Paribas 2012 - All Rights Reserved

-15-12

-9-6-3

03

69

12

1518

SEK NOK CHF AUD JPY CAD EUR USD GBP

+16 equals s trongest reading/-16 equals weakes t reading

BNP Paribas 2012 - All Rights Reserved

Source: BNP Paribas Source: BNP Paribas

*BNP Paribas FX BNP Overbought / Oversold Indicator are derived from our system of technical trading models and are designed toprovide an indication of the overall strength of individual currencies. Readings at extreme bullish or bearish levels have historically provedto be good leading indicators of corrections or turning points in the underlying spot rate.

Net short EUR positioningapproaching previous

extremes

Net short EUR positioningsurpassed its peak in

January


12/22



the largest CHF net short position since July 2007 when CHF was a dominant

funding currency. The CHFs extreme bearish positioning is likely in part driven

by the extreme bearish EURUSD view and the SNBs peg limiting scope for

CHF to strengthen.

We are seeing limited changes overall in our FX sales desks client survey over

the past week However, the notable exception has been with GBP, where we

have seen a substantial reduction in GBP longs over the week. In contrast, we

note that the CFTC report continues to show non-commercial investors still

sizeably net long GBP positioning was steady at 25k, thereby remaining at the

largest net long position since May 2011. The decline in cable from 1.60 to 1.58

since the IMM reporting period and our FX Client survey suggests that

positioning may have lightened more recently.

While our system of medium term models was cautious on the currency last

week, GBP has since suffered a rapid reversal of fortunes. With the AUD now

developing strong negative momentum, we expect the GBP to continue to

remain under pressure.

It is a similar story for SEK; last week it ranked as the weakest currencies within

our proprietary sentiment indicator but with the outlook looking increasingly

bullish. Since then, the SEK has undergone the sharpest reversal over the past

week as the currency has now climbed to the top of the rankings. SEK is

exhibiting strong positive momentum.

Sterling susceptible to longcovering rally given push

from real money flow

ditto for the SEK

Our model signal on GBPmoves from cautious to

outright bearish


13/22



Chart 3: Positions as a percent of Open Interest Chart 4 : Net USD positioning

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

CAD

NZD

GBP

AUD

JP Y

EUR

CHF 24-May-12

Last Week

-400000

-300000

-200000

-100000

0

100000

200000

13-May-11 13-Aug-11 13-Nov-11 13-Feb-12 13-May-12

68.00

70.00

72.00

74.00

76.00

78.00

80.00

82.00

84.00

USD positions (net) Dollar Index

+2 std. dev

-2 std. dev

Chart 5 : EUR Net Positioning Chart 6 : EURUSD 3m Risk Reversal

-200000

-150000

-100000

-50000

0

50000

100000

150000


1.26

1.31

1.36

1.41

1.46

1.51

EUR positions (net) EURUSD

+2 std. dev

-2 std. dev

-5.0

-4.5

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

EURUSD Risk Reversal

+2 std. dev

-2 std. dev

Chart 7 : GBP Net Positioning Chart 8 : GBPUSD 3m Risk Reversal

-100000

-80000

-60000

-40000

-20000

0

20000

40000

60000


1.52

1.54

1.56

1.58

1.60

1.62

1.64

1.66

1.68

GBP positions (net) GBPUSD

+2 std. dev

-2 std. dev

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

GBPUSD Risk Reversal

+2 std. dev

-2 std. dev

Chart 9 : CHF Net Positioning Chart 10 : USDCHF 3m Risk Reversal

-30000

-20000

-10000

0

10000

20000

30000


0.70

0.75

0.80

0.85

0.90

0.95

1.00

CHF positions (net) USDCHF

+2 std. dev

-2 std. dev

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

USDCHF Risk Reversal

+2 std. dev

-2 std. dev

Source: Reuters Ecowin, CFTC


14/22



Chart 11 : JPY Net Positioning Chart 12 : USDJPY 3m Risk Reversal

-80000

-60000

-40000

-20000

0

20000

40000

60000

80000

100000


75

76

77

78

79

80

81

82

83

84

85

JPY positions (net) USDJPY

+2 std. dev

-2 std. dev

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

USDJPY Risk Reversal

+2 std. dev

-2 std. dev

Chart 13 : AUD Net Positioning Chart 14 : AUDUSD 3m Risk Reversal

-20000

0

20000

40000

60000

80000

100000


0.90

0.95

1.00

1.05

1.10

AUD positions (net) AUDUSD

+2 std. dev

-2 std. dev

-9.0

-8.0

-7.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

AUDUSD Risk Reversal

+2 std. dev

-2 std. dev

Chart 15 : CAD Net Positioning Chart 16 : USDCAD 3m Risk Reversal

-40000

-20000

0

20000

40000

60000

80000


0.93

0.95

0.97

0.99

1.01

1.03

1.05

CAD positions (net) USDCAD

+2 std. dev

-2 std. dev

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

USDCAD Risk Reversal

+2 std. dev

-2 std. dev

Chart 17 : NZD Net Positioning Chart 18 : NZDUSD 3m Risk Reversal

-10000

-5000

0

5000

10000

15000

20000

25000

30000


0.70

0.75

0.80

0.85

0.90

NZD positions (net) NZDUSD

+2 std. dev

-2 std. dev

-8.0

-7.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

23-May-11 23-Aug-11 23-Nov-11 23-Feb-12

NZDUSD Risk Reversal

+2 std. dev

-2 std. dev

Source: Reuters Ecowin, CFTC, BNP Paribas


15/22



Weekly Currency Summary

G10

USD

The USD should remain supported by safe haven flows as eurozone induced uncertaintypersists. Recent US surveys have pointed towards a softening in US growth and next weeksUS data is likely to see this trend continue. But, the deterioration is unlikely to be severeenough to trigger further easing by the Fed at the end of June once Operation Twist end. Fornow, this provides limited scope for the USD to weaken.

EUR

EURUSD has fallen to our target of 1.2625, but the market is likely to remain comfortablewith maintaining its short EUR positions ahead of the June 17 Greek elections unless pollsstart to indicate a clearer election result. The market remains aggressively short EUR, andtechnically EURUSD is at a pivotal support level, reducing the attractiveness of continuing tohold a short EUR position at this time.

CHF

EURCHF remains close to its 1.20 floor although a dramatic fall in risk-reversals (indicating

that the premium of put options have increased) suggest that the market is placing a higherprobability of the floor being broken. We expect the SNB to defend the floor, but Eurozonerisks will keep EURCHF close to 1.20. Meanwhile diversification of interventions by the SNBwill be supportive for USD and GBP.

GBP

Soft UK data in recent weeks and higher expectations for further QE have not weighed onGBP. Rather, GBP continues to benefit from its safe-have status relative to the rest ofEurope. As eurozone risks remain elevated, GBP is likely to outperform the EUR butunderperform against the USD.

JPY

Next weeks US NFPs will be the key release for USDJPY. With our economist expecting thepace of job creation in May to remain similar to April US Treasury yields are likely to remainunderpressue, which will also weigh on USDJPY. The market remains short JPY, meaningthat disappointing US data and a break below 79 in USDJPY could trigger short covering.

CAD

USDCAD is likely to remain driven by general risk sentiment stemming from Europe.Meanwhile, we expect CAD to remain the outperformer against AUD and NZD due to morefavourable exposure to the US vs. exposure to Asia. We are targeting a fall in NZDCAD to0.75.

AUD

AUD has struggled over the past week as risk sentiment worsened. With no real conclusionin sight on the Eurozone situation, AUD will likely remain under pressure. Recent China datasuggests that Chinas policy response will have to be aggressive which could help stabilisethe AUD.

NZD

Our short NZDCAD position targeting 0.75 has worked in our favour and should continue todo so. The current risk environment coupled with the concerns surrounding China growth will

continue to hurt NZD especially given the relative market liquidity in NZD. NZD remainsdependent on events out of the eurozone.

NOK

While a stellar GDP report this week highlights Norways economic outperformance, theresilience of the NOK recently suggests that it is likely to underperform the SEK goingforward and we target NOKSEK falling to 1.1650.

SEK

SEK has recovered this week as risk stabilised and after having been significantly oversoldlast week (according to STEER fair-value). We continue to favour long SEK vs GBP andNOK. Next weeks retails sales, confidence surveys and GDP could trigger the market tounwind its rate cut expectations and further support SEK.


16/22



Converging Europe, Russia, Africa and Israel

PLN

Macroeconomic indicators such as IP, PPI and core inflation are coming in line withexpectations and EURPLN remains driven by global risk sentiment. Retail sales andunemployment on Friday are expected to soften, which could increase the pressure on the

zloty as domestic demand was the main factor supporting growth and driving expectations ofhigher rates. Q1 GDP data next Thursday and the possibility of more concentrated EURsales by the Finance Ministry should help the zloty to outperform regional peers.

CZK

We still expect CNB to cut 25bp at the end of June as the deeper than anticipated Q1 GDPcontraction is very likely to have swayed the majority of the MPC members to support furthereasing. However, the mixed comments from MPC members recently put into question thesize of the upcoming monetary easing. In any case the declining consumer and businessconfidence will keep CZK under pressure.

HUF

The risk off environment turned the HUF into one of the biggest underperformers over thepast week. From an economics point of view that might be justified because of the everdeclining domestic demand. However, the government is still set to vote the revised CB lawduring the first week of June, which will allow them to start IMF negotiations as soon as 23

June. EURHUF above 300 looks like an attractive short for the short term.

RON

The markets concerns related to Greece exiting the eurozone have very serious implicationsfor RON assets because of the heavy presence of Greek banks in Romania. The increase ofEURRON to 4.46 does not seem inappropriate in this way, although the central bankappears confident in its abilities to manage the situation in case of an escalation of theproblems with the Greek banks. EURRON is likely to continue its upward drift towards 4.50.

RUB

RUB continues to depreciate as it had to catch up with the decline in oil prices. Long RUBpositions should be largely squared now as the market is already pricing a tightening of theRUB liquidity in the near future. This becomes evident when looking at the RUB basis beingpaid at the front end and the Finance Ministry cancelling the planned OFZ bond auction. Weexpect CBR to start aggressive interventions if RUB continues with the abrupt depreciation

so we keep short RUB with tight stop and target at 35.70 against the basket.

TRY

The exception days policy introduced this week does not seem to help the TRY tooutperform anymore as the broad-based risk aversion prompted the reduction of long TRYpositions. CBRT will probably keep the wide interest rate corridor after its meeting on 29May, but might consider allowing banks to hold more of their reserve requirements in hardcurrency. This could ease the liquidity conditions, but is unlikely to help the lira to outperformregional peers. In the meantime USDTRY is a buy on dips.

ILS

BoI is widely expected to hold fire on Monday, although the FRA strip is pricing a cut beforethe end of year. Considering BoIs activist approach to monetary policy, the pricing of the cutmight shift forward soon. When that happens the ILS will probably come under pressure as ithas been largely isolated from the depreciation of the EUR and the CEE currencies. Weremain short ILS against a basket and would consider adding to it should BoI be more dovish

on Monday.

ZAR

The SARBs repo rate decision and cautious stance is likely to coincide with the period whenmarket volatility declines. However, the macro uncertainties related to the eurozone remainunresolved and the risk rallies should still be used as opportunities to sell. The Q1 GDP,private sector credit, PPI and trade balance data next week are unlikely help the ZAR torecover much of the losses registered over the past week, but at the current levels we areless bearish toward the ZAR.


17/22



Latam

BRL

Following the sharp BRL sell-off, the BCB decided to halt the currency depreciation byselling USD via derivatives auctions more aggressively and anticipating the amount that wascoming due and becoming net short USD on derivatives. It is clear that they are not

comfortable with USDBRL at current levels and they would like to see a slightly strongerBRL. The currency should outperform its peers in the upcoming sessions.

CLP

The CLP depreciated sharply over the past couple of weeks, realigning its dynamics to itspeers and moving in tandem with copper prices. In this regard, the fragile outlook oncommodities is likely to keep the copper prices at current levels, which is not supportive ofthe CLP.

MXN

The volatility is so acute on the MXN that the Banxico was forced to auction the USD 400mnin the spot market after the USDMXN moved higher above Tuesday's fixing (FIX); theyended up selling USD 258mn. The uncertainty coming from EU woes will continue to affectMXN's price action and any core positions on the currency should be made via options.

COP

We opened a long USDCOP recommendation as the COP was lagging the deterioration

seen on Latam currencies as a whole. Despite the recent catch-up, the COP is still the bestperformer in 2012 and we believe there is more pressure in the short term.

PEN

The deterioration on the PEN continued through the week, which led the BCRP to intervenein the FX market selling the equivalent to USD 223mn of 2-m CDRs (certificate of depositslinked to USD) while it also provided USD via repo operations. We believe the monetaryauthority will continue to intervene to somewhat ease the depreciation on the currency.

VEF

The government was authorized by the National Assembly's finance committee to sell aroundUSD 16bn in debt this year without parliament's approval on conditions. The issuance ofsovereign bonds abroad by the government to feed the markets with USD should continue atleast until after the presidential elections in October 2012. PDVSA proposed an issuance ofUSD 3bn bonds due 2035.

ARS

Implied yield on the short end of NDF curve surged over the past couple of weeks and thecurve inverted, with the 1m NDF implying more than 50% depreciation of the ARS, while the1y implies around 35%. Nevertheless, the government does not want a sharp depreciation ofthe currency and so it imposed several restrictions to the purchase of USD since Q411.


18/22



Asia

SGD

A strong April CPI reading failed to stall the SGDs decline. Core CPI eased to 2.7% y/y from2.9%y/y in March shaping expectations that the MAS may ease monetary policy if theeurozone heads to a full blown crisis. Industrial production due 25 May as well monetary

activity on 31 May will provide insight on the Singaporean economy. USDSGD 1.2875 is akey level it needs to stay below to prevent a test of 1.3000.

MYR

The break above 3.1500 meets trendline resistance at 3.1635, a break there opens the wayto 3.18. Malaysias strong external surplus argues for a strong MYR. Foreign fund inflows forthe targeted end-June IPO of Felda Global Venture - worth USD 3bn - with book buildingstarting 31 May means relative MYR out performance. Clearly, the MYR is able to hold itsown against Europes growing crisis: we remain short EURMYR.

IDR

Spot USDIDR continued its slow grind higher, testing 9,400. The near-term trend remainsdependent on Eurozone events. May CPI, consumer confidence and April trade data are outon 1 June. Resistance is seen at 9,440 and then 9,540. Trading volumes remain thin.

THB

USDTHB rallied as the risk-off bias took hold despite the fact that growth rose 11%q/q in Q1and the BoT upped its 2012 growth forecast to 6%. Until more clarity from Europe is see, the

risk towards 32.00 remains.

PHP

Spot USDPHP shot up, hurtling towards 44.00. News and events on the domestic frontremain thin, and the PHP continues to track broader developments. Q1 GDP reading onFriday offers a glimpse on economic activity. A strong print favours the relativeoutperformance of the PHP and for spot to face resistance near 44.50.

HKD

Failure to trade above a technical hurdle at 7.7720 (200-day MA) prompted profit taking.Chinese players were aggressive sellers of USDHKD. April retail sales, monthly budget andmoney supply prints are due on May 31. We expect USDHKD to trade between 7.7600 and7.7700 in the week ahead.

CNY

USDCNY fixing remains dictated by broader USD moves. With concerns over Chinasgrowth, CNY NDFs continue to price in CNY depreciation. The internationalisation of theRMB continues, with deeper cooperation between Hong Kong and London. Note, too the

HKMA scrapped the 20% RMB NOP limit applicable to AIs, allowing them to set their owninternal limit in consultation with the HKMA. This had a limited impact; there has been waninginterest in CNH deposits as investors re-assess opportunities in China. We stay with our long3X6M CNY DF position with a positive carry of 50 bp/month, entered at 200 pips, with atarget at 300 pips, stop at 150 pips.

TWD

April exports orders and industrial production contracted more than expected, leaving theTWD exposed to more weakness. Outflows from equities weighed on TWD. We continue torun a short 12Mx24M USDTWD NDF entered at -0.250 with a stop at -0.170 and a target of -0.490. On the technical side, we run short USDTWD tech trade entered at 29.51, with a stopat 29.80 and target at 29.10. We expect the 200-day MA resistance to hold in on the back ofexporter selling and CBC defense to curb any excess volatility.

KRW

USDKRW broke above 1180 on poor risk sentiment. Equity outflows further weighed on the

KRW. The FSS said that European funds accounted for 72.5% of all the money that leftKorea. FSS revealed that the foreign currency funding of domestic banks as measured bythe 3M foreign currency liquidity ratio and the 7-day and 1-month maturity mismatch ratios --far exceeded their recommended levels.

INR

USDINR traded to an all-time-high of 56.41 as risk deteriorated. RBI regulatory efforts failedto arrest the INR weakness. The RBI imposed limits on INR trading. The RBI also advisedbanks dealing in foreign currency to bring down their trading limits by end of June. However,these measures only address the symptoms, not the causes, for the rupee's fall. The rootcause of the INR's weakness remains its twin-deficit problem. Unless this is addressed, whichseems unlikely, the INR will continue to remain the weakest link amongst Asiancurrencies.Q1 GDP is due on 31 May and April trade prints are due on 1 June.

VND

With inflation falling to single digits, Viet assets continue to out perform holding the VND

steady. The macro improvement has already turned the fortunes around for the VND.


19/22



Economic Calendar: 25 May 1 JuneGMT Local Previous Forecast Consensus

Fri 25/05 23:30 08:30 Japan CPI National y/y : Apr 0.5% 0.4% 0.4%

23:30 08:30 Core CPI National y/y : Apr 0.2% 0.1% 0.1%23:30 08:30 CPI Tokyo y/y : May -0.3% -0.2% -0.3%

23:30(24/05)

08:30 Core CPI Tokyo y/y : May -0.6% 0.0% -0.5%

06:00 08:00 Germany GfK Consumer Confidence : Jun 5.6 5.5 5.606:45 08:45 France Consumer Confidence : May 88 89 8807:00 09:00 Eurozone ECB's Praet Speaks at International Capital Market Association in Milan08:30 10:30 Eurocoin : May -0.0807:00 09:00 Spain PPI y/y : Apr 3.3% 2.7% 2.7%08:00 10:00 Italy Retail Sales m/m : Mar 0.6%09:00 11:00 Wages m/m : Apr 0.0%09:30 11:30 US Philadelphia Fed's Plosser Speaks at Bundesbank Monetary Policy Conf. in Eltville, Germany13:55 09:55 Michigan Sentiment (Final) : May 77.8 (p) 76.0 77.8

Mon 28/05 Holiday Germany, France, Netherlands, Belgium, Norway, Switzerland, US

Japan BoJ Minutes07:30 09:30 Sweden Retail Sales (sa) m/m : Apr 0.2% -0.2% n/a08:00 10:00 Italy ISAE Business Confidence : May 89.5 88.7 89.110:15 11:15 Eurozone ECB's Knot Speaks in Lisbon

Tue 29/05 23:30 08:30 Japan Household Consumption y/y : Apr 3.4% 2.4% 2.4%23:30 08:30 Unemployment Rate (sa) : Apr 4.5% 4.4% 4.4%

23:50(28/05)

08:50 Retail Sales y/y : Apr 10.3% 5.7% 6.0%

07:00 09:00 Spain Retail Sales y/y : Apr -3.9% -6.2% n/a07:15 09:15 Sweden Consumer Confidence (sa) : May 4.7 2.0 n/a07:30 09:30 PPI (nsa) y/y : Apr 0.2% 0.0% n/a08:00 10:00 Norway Unemployment Rate AKU (sa) : Mar 3.2% 3.2% 3.2%10:00 11:00 UK CBI Reported Sales : May -612:00 14:00 Germany CPI (Prel) m/m : May 0.2% -0.1% 0.0%12:00 14:00 CPI (Prel) y/y : May 2.1% 1.9% 2.1%

12:00 14:00 HICP (Prel) m/m : May 0.1% -0.1% 0.0%12:00 14:00 HICP (Prel) y/y : May 2.2% 2.2% 2.2%13:00 09:00 US S&P/Case-Shiller Home Price Index : Mar 134.214:00 10:00 Consumer Confidence : May 69.2 68.5 70.0

Wed 30/05 01:30 11:30 Australia Retail Sales m/m : Apr 0.9% 0.0% n/a06:45 08:45 France Housing Starts (3-mths) y/y : Apr -11.0% -18.0% n/a16:00 18:00 Jobseekers (ILO def) m/m : Apr 0.6% 1.0% n/a07:00 09:00 Spain HICP Flash y/y : May 2.0% 2.0% n/a07:30 09:30 Sweden GDP (Final, sa) q/q : Q1 -1.1% 0.5% n/a08:00 10:00 Eurozone Economic Sentiment : May 92.8 92.0 92.508:00 10:00 Consumer Sentiment (Final) : May -19.3 (p) -19.3 -19.308:00 10:00 Industrial Sentiment : May -9.0 -9.5 -10.008:00 10:00 Services Sentiment : May -2.4 -2.7 n/a08:00 10:00 M3 y/y : Apr 3.2% 3.4% 3.5%

08:00 10:00 M3 3m y/y : Apr 2.8% 3.1% 3.2%10:00 12:00 EU Issues Economic-Policy Recommendations to All States15:30 17:30 ECB's Draghi Speaks at Brussels Think Tank08:00 10:00 Italy PPI m/m : Apr 0.3% 0.1% n/a08:00 10:00 PPI y/y : Apr 2.7% 2.2% n/a08:30 09:30 UK Net Consumer Credit : Apr GBP0.4bn09:30 10:30 Mortgage Approvals : Apr 49.9k09:00 10:00 Portugal Consumer Confidence : May -53.3 -52.3 n/a09:00 10:00 Economic Climate Indicator : May -4.7 -4.4 n/a10:00 11:00 Retail Sales y/y : Apr -4.8% -8.0% n/a


20/22



Economic Calendar: 25 May 1 JuneGMT Local Previous Forecast Consensus

Wed 30/05 09:15 11:15 Belgium CPI m/m : May 0.1% 0.0% n/a

(cont) 09:15 11:15 CPI y/y : May 3.2% 2.8% n/a09:30 11:30 Switzerland KoF Leading Indicator : May 0.40 0.30 0.4014:00 10:00 US Pending Home Sales m/m : Apr 4.1% -1.5% -0.1%17:20 12:20 Dallas Fed's Fisher Speaks on Economy in San Antonio, Texas17:30 13:30 New York Fed's Dudley Speaks on Regional Economy in New York20:30 16:30 Boston Fed's Rosengren Speaks in Worcester, Massachusetts

Thu 31/05 23:01(30/05)

00:01 UK Gfk Consumer Confidence : May -31

23:50(30/05)

08:50 Japan Industrial Production (Prel, sa) m/m : Apr 1.3% 0.4% 0.8%

05:00 14:00 Housing Starts y/y : Apr 5.0% 6.2% 6.2%05:45 07:45 Switzerland GDP (sa) q/q : Q1 0.1% 0.3% 0.1%05:45 07:45 GDP y/y : Q1 1.3% 1.1% 0.8%06:45 08:45 France PPI m/m : Apr 0.5% 0.2% 0.2%

06:45 08:45 PPI y/y : Apr 3.7% 2.9% n/a06:45 08:45 Retail Sales m/m : Apr -2.9% -0.7% 0.4%06:45 08:45 Retail Sales y/y : Apr -2.0% -0.8% n/a07:00 09:00 Germany Retail Sales (Real, sa) m/m : Apr 1.6% 0.5% 0.0%07:00 09:00 Retail Sales (Real, sa) y/y : Apr 2.3%07:55 09:55 Unemployment (Chg, sa) : May 19k 5k -10k07:55 09:55 Unemployment Rate : May 6.8% 6.8% 6.8%08:00 10:00 Norway Retail Sales (nsa) y/y : Apr 9.6% 5.9% n/a08:00 10:00 Unemployment Rate (nsa) : May 2.6% 2.4% n/a09:00 11:00 Eurozone HICP (Flash) y/y : May 2.6% 2.5% 2.6%09:00 11:00 Italy CPI (NIC, Prel) m/m : May 0.5% 0.0% 0.1%09:00 11:00 CPI (NIC, Prel) y/y : May 3.3% 3.2% 3.3%09:00 11:00 HICP (Prel) m/m : May 0.9% -0.1% 0.1%09:00 11:00 HICP (Prel) y/y : May 3.7% 3.4% 3.6%11:30 07:30 US Challenger Layoffs : May 11.2%12:00 08:00 Cleveland Fed's Pianalto Speaks on Monetary Policy in Cleveland, Ohio

12:15 08:15 ADP Labour Change : May 119k 125k 131k12:30 08:30 GDP (Prel, saar) q/q : Q1 2.2% 2.0% 1.8%12:30 08:30 Initial Claims 370k 370k n/a13:45 09:45 Chicago PMI : May 56.2 56.8 57.5

Fri 01/06 07:30 09:30 Switzerland PMI Manufacturing : May 46.908:00 10:00 Eurozone PMI Manufacturing (Final) : May 45.0 (p) 45.0 n/a09:00 11:00 Unemployment Rate : Apr 10.9% 10.9% 11.0%08:00 10:00 Italy Unemployment Rate q/q : Q1 8.8% 9.3% n/a08:30 09:30 UK CIPS Manufacturing : May 50.5 49.8 50.012:30 08:30 Canada GDP q/q : Q1 1.8% 1.8% n/a12:30 08:30 GDP (monthly) m/m : Mar -0.2% 0.5% n/a12:30 08:30 US Personal Income m/m : Apr 0.4% 0.2% 0.3%12:30 08:30 Personal Spending m/m : Apr 0.3% 0.2% 0.3%12:30 08:30 Non-farm Payrolls (Chg) : May 115k 125k 150k

12:30 08:30 Unemployment Rate : May 8.1% 8.1% 8.1%12:30 08:30 Average Hourly Earnings m/m : May 0.2% 0.1% 0.0%14:00 10:00 Construction Spending m/m : Apr 0.1% 0.5% 0.3%14:00 10:00 ISM Manufacturing : May 54.8 54.0 54.014:00 10:00 ISM Prices Paid : May 61.0 55.0 58.521:00 17:00 Total Vehicle Sales : May 14.38mn

During 28-31/05 UK Nationwide House Prices Index y/y : May -0.9%Week 29-30/05 Germany Import Prices y/y : Apr 3.1% 2.7% 2.7%

Release dates and forecasts as at c.o.b. prior to the date of publication: See Daily Economic Spotlight for any revision Source: BNP Paribas


21/22



FX Forecasts*

USD Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

EUR/USD 1.28 1.35 1.40 1.35 1.35 1.30 1.30 1.30 1.30 1.29 1.29

USD/JPY 85 80 78 78 75 75 80 80 85 85 85

USD/CHF 0.98 0.95 0.93 0.96 0.96 1.00 1.04 1.04 1.04 1.05 1.05

GBP/USD 1.58 1.69 1.75 1.73 1.73 1.71 1.71 1.76 1.76 1.77 1.77

USD/CAD 0.98 0.97 0.95 0.95 0.96 0.97 0.97 0.97 0.96 0.96 0.96

AUD/USD 1.02 1.06 1.12 1.10 1.08 1.06 1.05 1.05 1.00 1.00 1.00

NZD/USD 0.81 0.88 0.90 0.88 0.87 0.88 0.84 0.84 0.80 0.80 0.80

USD/SEK 7.11 6.76 6.43 6.67 6.67 7.02 7.02 7.02 7.02 7.07 7.07

USD/NOK 5.98 5.63 5.36 5.56 5.56 5.85 5.85 5.85 5.85 5.89 5.89

EUR Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

EUR/JPY 109 108 109 105 101 98 104 104 111 110 110

EUR/GBP 0.81 0.80 0.80 0.78 0.78 0.76 0.76 0.74 0.74 0.73 0.73

EUR/CHF 1.25 1.28 1.30 1.30 1.30 1.30 1.35 1.35 1.35 1.35 1.35

EUR/SEK 9.10 9.12 9.00 9.00 9.00 9.12 9.12 9.12 9.12 9.12 9.12EUR/NOK 7.65 7.60 7.50 7.50 7.50 7.60 7.60 7.60 7.60 7.60 7.60

EUR/DKK 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46 7.46

Central Europe Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

USD/PLN 3.20 3.26 3.00 3.19 3.22 3.31 3.15 3.00 2.96 3.06 2.95

EUR/CZK 24.6 24.8 24.1 24.5 24.0 23.5 23.3 23.1 23.0 22.8 23.0

EUR/HUF 282 290 285 285 283 287 282 285 280 275 270

USD/ZAR 7.20 7.65 8.00 7.65 7.50 7.40 7.20 7.81 7.68 7.74 7.74

USD/TRY 1.80 1.76 1.75 1.79 1.80 1.84 1.84 1.84 1.85 1.87 1.88

EUR/RON 4.32 4.33 4.29 4.33 4.35 4.35 4.37 4.35 4.33 4.25 4.25

USD/RUB 29.31 30.28 28.55 29.30 29.67 29.52 30.04 29.60 29.25 30.08 30.96

EUR/PLN 4.10 4.40 4.20 4.30 4.35 4.30 4.10 3.90 3.85 3.95 3.80

USD/UAH 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0 8.0EUR/RSD 104 100 95 98 100 100 102 100 99 95 90

Asia Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

USD/SGD 1.24 1.22 1.20 1.18 1.17 1.16 1.15 1.20 1.20 1.20 1.20

USD/MYR 3.00 2.97 2.93 2.90 2.87 2.85 2.80 2.80 2.80 2.80 2.80

USD/IDR 8800 8700 8600 8500 8500 8500 8500 8500 8500 8500 8500

USD/THB 30.40 30.00 29.50 29.20 29.00 28.70 28.40 28.40 28.40 28.40 28.40

USD/PHP 42.00 41.00 40.00 39.50 39.00 38.50 38.00 38.00 38.00 38.00 38.00

USD/HKD 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80 7.80

USD/RMB 6.30 6.26 6.21 6.16 6.14 6.12 6.11 ----- ----- ----- -----

USD/TWD 29.00 28.70 28.50 28.30 28.00 27.80 27.50 27.50 27.50 27.50 27.50

USD/KRW 1100 1090 1080 1050 1050 1050 1050 1050 1050 1050 1050

USD/INR 53.00 52.50 52.00 51.50 51.00 50.50 50.00 45.00 45.00 45.00 45.00USD/VND 21000 21000 21000 21000 21000 21000 21000 21000 21000 21000 21000

LATAM Bloc Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

USD/ARS 4.56 4.68 4.85 5.00 5.15 5.35 5.55 5.70 5.85 6.05 6.25

USD/BRL 1.95 1.90 1.85 1.85 1.90 2.00 2.05 2.07 2.09 2.12 2.15

USD/CLP 490 480 470 477 482 487 494 497 500 502 505

USD/MXN 13.00 12.40 11.90 11.80 11.90 12.10 12.20 12.28 12.35 12.43 12.50

USD/COP 1740 1730 1750 1765 1780 1790 1800 1831 1838 1844 1850

USD/VEF 4.30 4.30 4.30 7.00 7.00 7.00 7.00 7.00 7.00 7.00 7.00

USD/PEN 2.65 2.63 2.62 2.62 2.63 2.64 2.64 2.65 2.66 2.67 2.67

Others Q2 '12 Q3 '12 Q4 '12 Q1 '13 Q2 '13 Q3 '13 Q4 '13 Q1 '14 Q2 '14 Q3 '14 Q4 '14

USD Index 81.62 77.58 75.02 76.93 76.60 78.74 79.54 79.29 79.87 80.22 80.22

*End Quarter


22/22


Th d 24 M 2012 22 Bl b BPFR GO

FX Global Strategy Contacts

G10 Foreign Exchange

Steven Saywell Head of FX Strategy Europe London 44 20 7595 8487 [email protected] Hellawell Quantitative Strategist London 44 20 7595 8485 [email protected]

Kiran Kowshik FX Strategist London 44 20 7595 1495 [email protected] Nicola FX Strategist New York 1 212 841 2492 [email protected] Koutsaftis FX Options Strategist New York 1 212 471 7973 vasilis.koutsaftis@ americas.bnpparibas.comMichael Sneyd FX Strategist London 44 20 7595 1307 [email protected]

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