• We highlight increasing downside risks to USD-JPY in the near term; expect a pick-up in JPY volatility
• The Bank of Japan appears comfortably sidelined for now even as domestic data hits a soft patch
• We revise our short-term USD-JPY forecas...
• The BoJ surprised the market by expanding its current loan-support programme
• We do not think the BoJ is likely to roll out any fresh easing in the near term
• Reform implementation remains critical for Japan’s revival...
• We investigate volatility slopes for EUR-USD, GBP-USD, EUR-JPY and USD-JPY
• We find similar statistical profiles and mean-reverting properties across currency pairs
• We find that on average the volatility slopes considered for these pairs mean...
Our SC IMM positioning heatmap suggests AUD may see a major short-term rally
• Leveraged net shorts in the AUD vs. the USD, EUR, GBP and NZD reach sample extremes
• Leveraged funds should buy 1M EUR-AUD, GBP-AUD put spreads...
USD-JPY fundamental risks appear to be two-way, while technicals are turning higher
• We expect USD-JPY to remain volatile and range-bound near-term, but turn higher into 2014
• Real money should stay Neutral on the JPY; leveraged funds should put...
Top 3 data/events
• South Africa – We close our receiver on the 2Y swap
• India – Apr-Jun 2013 GDP growth likely slipped further
• US – Q2 GDP growth expected to be revised slightly up
• Japan’s July data is likely to show a mode...
The surging JPY triggers the stop in our long BRL-JPY position
• While carry offers some cushion, failing to sustain the break above 45.00 points to more downside risks
• We still believe the BRL will perform better in H2 on improving data, portfo...
The ruling LDP coalition wins a majority at the election and gains control of both houses of the Diet
• The government’s top priority of boosting growth now heads the reform agenda
• FX: We expect the USD-JPY and JPY crosses to remain in a range n...
With EM volatility stabilising, we see this as an opportunity to initiate long carry positions
• We see the BRL as oversold, while the JPY could weaken again after Upper House elections
• We recommend buying 3M BRL-JPY ...
Abe’s ‘third arrow’ was a major disappointment, exacerbating significant position liquidation
• We have revised our USD-JPY forecasts lower, still anticipating more JPY weakness into 2014
• Leveraged funds: Sell 1M ATMF USD-JPY straddles or buy 2M...
• Near-term, the market will focus on the sharp rise in UST yields and the risk of the Fed tapering QE3
• The SGD NEER may trade into the weak half of policy band; SGD to underperform G3
• We stand aside for now on the SGD given market volatility...
Today, the BoT said that the THB has appreciated too much and too quickly
• We believe that USD-THB may rebound near-term given this strong warning and positioning
• Fundamentally, we like this trade and will look to re-enter it at better levels...
We expect the ‘new’ BoJ to deliver on aggressive monetary easing in its upcoming policy meetings
• We remain Underweight on the JPY in the short and medium term for real-money funds
• We recommend that leveraged funds buy 3M USD-JPY 97/102 call sp...
We revise our USD-JPY forecasts modestly higher, expecting aggressive easing by Kuroda
• Leveraged funds: Buy 3M 35-delta USD calls/JPY puts to anticipate higher vol and spot
• Real-money funds: Stay Underweight JPY through H1...
Top 3 data/events
• Malaysia – USD-MYR forecasts revised higher
• Malaysia – Steady GDP growth and a benign inflationary environment
• UK – Labour data to shift the focus from the BoE minutes
• Markets may see the lack of mention ...
We revise our 2013 USD-JPY forecasts; the G20 and BoJ governor replacement are near-term risks
• Leveraged funds: Take profit on the 6M 91/95 USD-JPY calls and use proceeds for further opportunities
• Real-money funds: Stay Underweight JPY through...
• The pace of USD-JPY gains has caught many by surprise, including us
• We revise our 2013 USD-JPY forecasts higher, still anticipating trend JPY weakness
• Leveraged funds: Buy 6M 91/95 USD-JPY call spreads; real-money funds: Stay Underweight JPY...
The LDP/Komeito coalition wins a two-thirds super-majority in the lower house election
• We expect the BoJ to expand its Asset Purchase Program
• We are structural JPY bears, looking for 84.00 in mid-2013, 87.00 at year-end...
Short JPY is an increasing consensus, which is at near-term risk from positioning, flows and events
• Leveraged funds: We recommend buying 6W 80.00 USD puts/JPY calls to hedge spot longs
• Real-money funds: We recommend trimming short-term JPY Und...
We are taking profit in the Standard Chartered FX Real Money Portfolio
• Short positions in the JPY and the INR, alongside longs in the KRW and the CNY, have worked well
• The US election brings near-term event risk ahead of likely protracted n...
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The world economy is in transition. Global growth rates are picking up, but transition means elevated risks and volatility.
In terms of global implications, all eyes will be on the US and China, with the US normalising monetary policy and China rebalancing its economy.
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