Forex Weekly 8-28

8/11/2019 Forex Weekly 8-28

http://slidepdf.com/reader/full/forex-weekly-8-28 1/20

FOREXFOREXFOREXFOREX

ForexForexForexForex Weekly,rapping up the summer

Risk assets have been resilient, but the dollar uptrend has started as frontRisk assets have been resilient, but the dollar uptrend has started as frontRisk assets have been resilient, but the dollar uptrend has started as frontRisk assets have been resilient, but the dollar uptrend has started as front----end rateend rateend rateend rate

expectations continue to move in its favour. Theexpectations continue to move in its favour. Theexpectations continue to move in its favour. Theexpectations continue to move in its favour. The dollar’s rise is likel to be !radualdollar’s rise is likel to be !radualdollar’s rise is likel to be !radualdollar’s rise is likel to be !radual

ho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. Theho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. Theho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. Theho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. The

shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speakssss of a !lobalof a !lobalof a !lobalof a !lobal

macro environment movin! a"a from the trann ofmacro environment movin! a"a from the trann ofmacro environment movin! a"a from the trann ofmacro environment movin! a"a from the trann of %risk %risk %risk %risk----on, risk on, risk on, risk on, risk----off& to a !reateroff& to a !reateroff& to a !reateroff& to a !reater

focus on relative economic and polic considerations.focus on relative economic and polic considerations.focus on relative economic and polic considerations.focus on relative economic and polic considerations.

Spot and options positioning: chicken or egg? "espite the lac# of volatilit&( -T-

positions show that the . mar#et is getting e/cited again$ volumes have surged the

most since summer 2012( with shorts reaching e/treme levels$ This is in sharp contrast with

the resilience of ris# reversals( %ustified b& the stead& fall in the euro$ The option mar#et

seemingl& missed the opportunit& to embrace directional bearish positions( and puts continue

to discount a not so volatile decline$

,e tested econometricall& for si/ currencies whether changes in the options positioning lead

similar changes in spot positioning( and vice versa:

− and 3P spot positioning has led options positions since 2011( but since the beginning

of the current low volatilit& regime last &ear( this is no longer the case for the 5

−

!n contrast *6P and A" options positions are a step ahead of spot mar#ets5− )pot and options mar#ets in -A" and 7" have no mutual influence$

Technicals. 79;) is encountering significant technical resistance at 1$12<0( and a

pullbac# towards 1$11 is li#el&$ A";)" upside is meanwhile capped at 0$<44=;>=( and a

brea# below 0$<244 will signal a deeper correction$

Quant$ 6iggest longs of the aggregate )* . nhanced is# Premia portfolio continue to

be )"( A"( 79 and 7"( with the most si?eable shorts being ( )( 3P and *6P$

'iver!in! short-term rate expectations liftin! dollar Recent snchronised ascent in dollar and carr

$ource( $) *ross +sset ResearchForex $ource( $) *ross +sset ResearchForex

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Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14

EUR Sw ap 1YX1Y

USD Swap 1YX1Y

113

114

115

116

117

118

75.5

76.0

76.5

77.0

77.5

78.0

78.5

Apr-14 May -14 Jun-14 Jul-14 Aug-14

Trade-Weight Dollar - Majors

G10 Carry Spot Index (Right)

Forex $trate!Forex $trate!Forex $trate!Forex $trate!

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ore/ ,ee#l&

Editorial

8rappin! up the summer

Risk assets have been resilient, but the dollar uptrendRisk assets have been resilient, but the dollar uptrendRisk assets have been resilient, but the dollar uptrendRisk assets have been resilient, but the dollar uptrend has started as fronthas started as fronthas started as fronthas started as front----end rateend rateend rateend rate

expectations continue to move in its favour. /o"ever, the dollar’s rise is likel to beexpectations continue to move in its favour. /o"ever, the dollar’s rise is likel to beexpectations continue to move in its favour. /o"ever, the dollar’s rise is likel to beexpectations continue to move in its favour. /o"ever, the dollar’s rise is likel to be

!radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The!radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The!radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The!radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The

shiftin! relationship bet"een the dollar and !lobalshiftin! relationship bet"een the dollar and !lobalshiftin! relationship bet"een the dollar and !lobalshiftin! relationship bet"een the dollar and !lobal risk sentiment speaks of a !lobal macrorisk sentiment speaks of a !lobal macrorisk sentiment speaks of a !lobal macrorisk sentiment speaks of a !lobal macro

environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk----on, risk on, risk on, risk on, risk----off& to a !reater focus onoff& to a !reater focus onoff& to a !reater focus onoff& to a !reater focus on

relative economic and polic considerationsrelative economic and polic considerationsrelative economic and polic considerationsrelative economic and polic considerations....

Recommendations

)topped out of long ;-' at a loss of G1$CH

September kicks off with the !" meeting in the wake of #r $raghi%s impro&isation at

Jackson 'ole( swiftl) followed b) the monthl) ritual of the *S emplo)ment report$ !n

3apan( base effects that have buo&ed inflation will be graduall& unwinding and the 693Is

response will be interesting$ *loball&( we will remain in thrall to the dovish bias from the 9M-

but that wonIt stop the edIs bondGbu&ing coming to an end in 9ctober$ And as that date

approaches( a broaderGbased dollar rall& is possible if ) data confirm that the summer saw

economic growth continue at a respectable pace$

The stor) of the summer +the northern hemisphere%s summer that is, has been of the

resilience in risk assets and the hunt for )ield trumping all other market emotions$ At the

end of 3ul&( it seemed the height of foolishness to Ibu& the dipI in ris# assets with the frontG

end of the ) interest rate mar#et pricing in the ed hi#ing c&cle at last( the #raine and !ra+i

crises providing plent& of geopolitical ris#s to chew over( and the 6anco spirito )anto woes

reminding us of the potential for the -6Is AB to uncover s#eletons in assorted cupboards$

And &et( within wee#s( the )JP =00 inde/ made a new high above 2(000( peripheral uropean

bond spreads relative to 6unds plumbed new lows( and overall &ields did li#ewise$ The dovish

bias at the ed was reinforced b& a focus on the labour mar#et5 wage growth slowed further in

the and e/pectations of a 2014 rate hi#e from the 69 have faded5 and Mr "raghiIs

speech last wee# heightened e/pectations that the -6 will do more soon$

The outloo# for the euro seems a good place to start$ #r $raghi%s Jackson 'ole speech

de&iated from his prepared remarks in an echo of his -whate&er it takes- speech in Jul)

/0$ 'e stressed the fall in =&.=& inflation uro swaps as an indicator of falling mediumGterm

inflation e/pectations and ac#nowledged that the factors #eeping inflation low( which are

usuall& referred to as being mostl& temporar&( could become entrenched$ !n itself( this offG

script comment does not point to a dramatic polic& move( but it does represent a change in

rhetoric$

or . mar#et participants( itIs the conte/t that matters most of all( perhaps for the -6 too$

The Kwhatever it ta#esK speech in 2012 caused a temporar& tumble in the euro( but that was

washed awa& as renewed confidence in the uropean monetar& s&stemIs survival saw capital

outflows reverse and investors bu& peripheral uropean debt$ Through 201C( there was also

strong foreign bu&ing of uropean e+uities$ And throughout the 2012G2014 period( uroG)

shortGterm interest rate differentials traded in a narrow range because both the ed and -6

#ept the ver& front end of their respective &ield curves close to ?ero$



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)raph 9( 'iver!in! short-term rate expectations )raph :( Rate differentials trendin! lo"er finall


The situation now is different$ Although mediumGtoGlonger term ) rates have actuall& fallen

over the summer( the same isnIt true at the front end$ ) 2G&ear rates are still low at @2bp( but

thatIs almost C0bp higher than the& were at the start of the &ear and is in sharp contrast with

uro 2G&ear rates that have fallen over 20bp over the same period$ The uro1*S rate spread

has basicall) shifted decidedl) lower in recent months$ !apital flows ha&e also stopped

being strongl) supporti&e for the euro( though the initial selling reported as the 6) affair

and the #raine conflict first hit the headlines ma& have been reversed in August$ ,hat is

certainl& true though is that the I%uiceI from attractive &ield levels in 6onos and 6TPs is far less

compelling now$ So( as we march towards the end of 2ed Q( the ps)chological impact

of heightened e3pectations that the !" has more to do is much greater now D*raphs 1

and 2E$

In /0( #r $raghi succeeded in decisi&el) buo)ing sentiment in uropean bond

markets( and the upshot was a stronger euro. This time( he could well succeed in

engineering a weaker currenc) instead$ A rule of thumb we use is that if over the ne/t &ear

the euroG) rate differential were to fall b& 1H Di$e$ ) 2G&ear rates rise b& 1H relative to euro

onesE( while peripheral spreads sta& at current levels and the !. did nothing( the best guess

of what that would mean for a fair value measure of the ;)" e/change rate would be to

lower it b& 12 big figures$ -urrentl&( fair value is a bit above the spot rate( which has fallen

faster than %ustified b& recent moves in relative rates( peripheral spreads and the !.( but even

so( #r $raghi now has a far better chance of encouraging the market to take *45*S$

into a 0.610.7/ range in the ne3t si3 months and a 0./10.6 range in ' /08 than he didbefore$ A 1H rise in ) 2G&ear rates seems entirel& plausible as long as the 9M- does

indeed get around to edging the fed funds rate higher from midG201= onwards D*raph CE$

The bad news for urope is that while a 0/9 fall in the euro%s &alue might be helpful at

the margin( it would not do enough to boost competiti&eness and to substanti&el)

change the underl)ing economic realit) $ /cess public sector debt( scarred borrowers and

a timid ban#ing s&stem will be with us for man& more &ears( with stagnation being the

conse+uence$ The 2=GC0H devaluations in sterling after 7orthern oc# and the &en in the

earl& stages of Abenomics would have an impact if repeated in the euro area( but getting

;)" close to parit& is going to ta#e a while$

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Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14

EUR Swap 1YX1Y

USD Sw ap 1YX1Y

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2.5

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0

1

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Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14

Spain-German 3Y bondspread

EUR-USD 2YX2Y ratedifferential (Right)



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The Fed, the dollar and patience

Monetar& polic& divergence between the ed and -6 will drive the euro slowl& lower$ 6ut the

dollar is not going to become a %strong% currenc) more broadl) as long as *S ratee3pectations are this well anchored$ The #e& in the ) reall& does lie in the economic data(

which continues to be mi/ed$ The ) housing mar#et is the epitome of the Knew normalK(

def&ing optimistic e/pectations at almost ever& turn as recover& remains ver& modest$ 6ut as

long as emplo&ment growth is in a 1$=G2$0H &;& range( the fuel will be there for real *"P

growth in a 2GCH range$ The emplo&ment data will need to evince a pic#Gup in wage growth

to alarm the 9M-( but the current pace means enough real income growth to #eep

consumer spending growing and drive the unemplo&ment rate steadil& lower$ The August

pa&rolls reading will furthermore provide a picture of how things loo# at the start of the new

academic &ear( when new teachers arrive at their posts and new graduate trainees turn up at

offices$ Ma&be in a world where the Iannual pa& roundI is all but e/tinct( it is the pa& of new

entrants into the labour ma#er that tells us most about wage trends D*raph 4E$

)raph ;( $hort-term undershoot but E#R#$' trend is do"n )raph <( #$ "a!e !ro"th remains subdued


If we do get broadl) positi&e *S economic data in the ne3t two weeks( that should help

build the foundation for a further( more broad1based dollar rall) $ That is to sa&( one which

sees dollar gains against 3P( A"( 7"( *6P and -A" rather than %ust against the euro and

its satellites$ The 2G&ear rate differentials are mostl& dollarGsupportive and the pa&rolls report

ma& well help this trend along$ !n particular( we see scope for a fall from 0$<4 to below 0$<0 in

A";)" starting in )eptember( while *6P;)" is mar#ing time before the ne/t downGleg

and )";) should rise a lot further$ )";3P too( having spi#ed up to 104( has stalled( but

another rise in shorterGdated ) &ields( particularl& one that didnIt ta#e the air out of the

e+uit& mar#etIs wings( could see a brea# above 10= in prett& short order( prompting a push

up to a new trading range$

$hiftin! paradi!m

,e have previousl& discussed the shifting correlations between . and global mar#ets( as we

transition out of the dominant Lris#Gon( ris#Goff regime of 2008G2011$ or the past few &ears(

the rule of thumb had been that the dollar would strengthen in times of ris#Goff and would

wea#en during ris#Gon periods$ The correlation between the dollar and global ris# conditions

has diminished so significantl& that the rule of thumb is no longer reliable$

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Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14

EUR/USD spot

Baby model (using rate differential,peripheral spread & V IX)

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Jan-08 Dec-08 Nov -09 Oct-10 Sep-11 Aug-12 Jul-13 Jun-14

US private sector average hourlyearnings (% YoY)



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or e/ample( the hitherto consistentl& negative correlation between the dollar and the *10

carr& total return inde/ ended in late 2012 D*raph =E$ More recentl&( the dollar and the carr&

spot inde/ Di$e$ e/cluding net carr& returnsE have been rising in tandem in August D*raph >E$

These shifting correlations speak of a market that has e&ol&ed awa) from the t)rann) of

s)stemic risk fears towards ha&ing more of a focus on relati&e economic and polic)

considerations$ Such an en&ironment should remain dollar1friendl) as the *S economic

reco&er) gathers pace$

)raph =( $hiftin! correlations bet"een dollar and carr )raph >( Recent snchronised ascent in dollar and carr


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Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14

40-day rolling correlation between

G10 Carry Index !"#

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Apr-14 May -14 Jun-14 Jul-14 Aug-14

Trade-Weight Dollar - Majors

G10 Carry Spot Index (Right)





ore/ ,ee#l&

Technicals

79;) is testing the multiG&ear trend line resistance at 1$12<0( and also the >1$8H

retracement of the correction from "ecember 2012 highs$ ,ee#l& indicator is testing a graphical

ceiling indicating limited upside$ The pair appears to be within the fifth wave of a five wave DlliotE

up move since ebruar& lows and has achieved initial targets at 1$12<0$ "ail& stochastic is also

at a resistance( indicating immediate upside to be capped$ A pullbac# towards 1$12 and

especiall& 1$11 is more li#el&$

A";)" is approaching the upper limit of a descending channel drawn from August 201C at

0$<44=;>=$ This also happens to be a twoGmonth resistance line and could be the right shoulder

within a head and shoulder$ ,ee#l& and dail& indicators are closing in on important graphical

resistance( indicating upside to be capped at 0$<44=;>=$ A brea# below 0$<244 will confirm a

rounding top formation and signal a deeper correction$

BO1$E1, "eekl and dail chart.79;) too# support at the

multi&ear channel and has

evolved within an upward

channel$ )ince 200< it has been

testing a trend line at 1$12<0$

,ee#l& )! is under a threeG&ear

graphical ceiling indicating

limited upside$ A retracement

towards 1$12 and 1$11 is not

ruled out$ A brea# below will

mean a deeper correction$

1 to 3 months

1$1=1$12<0

1$111$0<8=

$ource( $) *ross +sset ResearchTechnicals

+#'#$', "eekl and dail chart.

A";)" tested a Dnearl&E

hori?ontal channel and is

approaching a twoGmonth trend

line at 0$<44=;>=$ The pair could

be forming a probable head and

shoulder pattern and a move

towards 0$<44=;>= will

complete the right shoulder$

,ith indicators at resistance(

further upside should be

capped$ A brea# below 0$<244

will signal a deeper correction$

1 to 3 months

0$<=C=

0$<4>=0$<1800$<0<0

$ource( $) *ross +sset ResearchTechnicals

(ll )echnical analysis reports

*n the charts

+hart (lert ,-/

+hart (lert ,/5

What the charts say , )hir#

6uarter 2014



ore/ ,ee#l&

Volatility

$pot and options positionin!( chicken or e!!D

'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited

a!ain. E#R volumes have sur!ed thea!ain. E#R volumes have sur!ed thea!ain. E#R volumes have sur!ed thea!ain. E#R volumes have sur!ed the most since summer :9:, "ith shorts reachin!most since summer :9:, "ith shorts reachin!most since summer :9:, "ith shorts reachin!most since summer :9:, "ith shorts reachin!

extreme levels. This is in sharp contrast "ith the resilience of risk reversals, ustified b theextreme levels. This is in sharp contrast "ith the resilience of risk reversals, ustified b theextreme levels. This is in sharp contrast "ith the resilience of risk reversals, ustified b theextreme levels. This is in sharp contrast "ith the resilience of risk reversals, ustified b the

stead fall in the euro. The option market seemin!l missed the opportunit to embracestead fall in the euro. The option market seemin!l missed the opportunit to embracestead fall in the euro. The option market seemin!l missed the opportunit to embracestead fall in the euro. The option market seemin!l missed the opportunit to embrace

directional bearish positidirectional bearish positidirectional bearish positidirectional bearish positions, and puts continue to discount a not so volatile decline.ons, and puts continue to discount a not so volatile decline.ons, and puts continue to discount a not so volatile decline.ons, and puts continue to discount a not so volatile decline.

8e tested econometricall for six currencies "hether chan!es in the options positionin!8e tested econometricall for six currencies "hether chan!es in the options positionin!8e tested econometricall for six currencies "hether chan!es in the options positionin!8e tested econometricall for six currencies "hether chan!es in the options positionin!

lead similar chan!es in spot positionin!, and vice versa(lead similar chan!es in spot positionin!, and vice versa(lead similar chan!es in spot positionin!, and vice versa(lead similar chan!es in spot positionin!, and vice versa(

− E#R and 4CG spot positionin! has led options posE#R and 4CG spot positionin! has led options posE#R and 4CG spot positionin! has led options posE#R and 4CG spot positionin! has led options positions since :99, but since theitions since :99, but since theitions since :99, but since theitions since :99, but since the

be!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for thebe!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for thebe!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for thebe!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for the

E#RE#RE#RE#RHHHH

− 7n contrast )5C and +#' options posit ions are a step ahead of spot marketsH7n contrast )5C and +#' options posit ions are a step ahead of spot marketsH7n contrast )5C and +#' options posit ions are a step ahead of spot marketsH7n contrast )5C and +#' options positions are a step ahead of spot marketsH

− $pot and options markets in *+' and BI' have no m$pot and options markets in *+' and BI' have no m$pot and options markets in *+' and BI' have no m$pot and options markets in *+' and BI' have no mutual influence.utual influence.utual influence.utual influence.

$ur!e in euro positions does not reach options

uro positioning as per -T- contracts is now reaching e/treme shorts( which is not a

surprising observation as the ;)" lost 8 figures since Ma&$ !t represents a fall of 1>$=H

in annualised terms$ More impressivel&( the &olumes in futures contracts brutall) surged in

Jul) D-hart 1E$

*lobal futures positioning is obtained in summing long and shorts future positions$ This total

open interest shows a stead& trend that we interpret as the natural growth rate of the mar#et

si?e$ This trend has e/hibited a structural growth in volumes of CC$CH since the start of 2011(

which is ver& consistent with the C4$>H growth of the . 9T- mar#et between 2010 and 201C

reported b& the 6!)$ !n ad%usting total volumes b& this structural mar#et growth( we estimate

the e/tra positioning to have %umped to >=# contracts after a fairl& stable period since the

summer 2012$ $espite the lack of &olatilit)( the market is reall) getting e3cited again.

*hart 9. Cositions in euro future contracts sur!e *hart :. Options missed the boat - do"nside remains cheap

$ource( 5loomber!*FT*, $) *ross +sset ResearchForex $ource( 5loomber!*FT*, $) *ross +sset ResearchForex

This is sharpl) contrasting with the resilience of options risk re&ersals DsE( which are

proving indifferent to the rapid fall of the euro D-hart 2E$ !n the past( large changes in -T-

positioning and s tended to mirror each other$ 'owever( this huge discrepanc& is perfectl&

-100,000

-50,000

0

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100,000

150,000

Jan-11 Jan-12 Jan-13 Jan-14

Total Euro C FTC open interest , adjusted f rom market size growth

-4.5

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

-250,000

-200,000

-150,000

-100,000

-50,000

0

50,000

100,000

Jan-11 Jan-12 Jan-13 Jan-14

EUR CFTC net pos it ioning EUR/USD 3M risk reversal



ore/ ,ee#l&

reasonable from the volatilit& mar#et point of view$ 9ver the past three months during which

the euro tumbled( the mar#etNs realised volatilit& averaged below 4( more than one vol point

below the implied volatilit&$ The spot fall has been e/tremel& ordered and stead&$ Although it

loo#s li#e an at&pical pattern Dno turbulenceE( the volatilit& of puts could not mechanicall&

increase in this conte/t$ As the s remained consistent with the absence of downside

volatilit&( it reveals that the options market missed the opportunit) to embrace directional

bearish euro positions. s a conse;uence( puts continue to discount a not &olatile

decline.

$pot and options markets( "ho makes the first moveD

-urrenc& moves naturall& result from changes in the mar#et positioning( and trends gain

momentum when the imbalance between bu&ers and sellers gets wider$ The perspective of

this positioning will not be the same depending on the instrument under consideration$ The .

spot mar#et is the biggest financial mar#et in terms of si?e and li+uidit&( and investors areli#el& to initiate a spot position at the time when the& e/pect the currenc& to move$ The .

options mar#et is significantl& smaller and less li+uid( but the forwardGloo#ing nature of

options implies that positioning changes could be more meaningful$ nli#e spot( investors can

logicall& trade an option right now despite their current uncertaint& about the proper mar#et

timing$ Presumabl&( we might suspect that the mar#et e/pectations that one can read from

the options prices have a more valuable content$ Than#s to investors QtransmittingN their views

into volatilit& levels( sometimes before the& reall& e/pect the mar#et to move( the option

mar#et should be a step ahead$

The premise is that it would be then possible to anticipate some spot mo&es onl) in

obser&ing what is happening in the options market. To establish this assumption( wetest econometricall) whether changes in the options positioning lead the changes in the

spot positioning( and &ice &ersa.

Batural proxies for the positionin! of OT* markets

There are not man& public data sources for . positioning$ The more comprehensive stud& is

certainl& run b& the 6!)( but a triennial surve& can hardl& support a d&namic mar#et anal&sis$

'igher fre+uenc& data can be obtained from the .-M retail platform and from the -T-(

which reports tradersN commitment on future mar#ets$ Although the . mar#et is largel& 9T-

and for lac# of a better pro/&( we use !2T! non1commercial net positions in 2< futures asa representati&e sample for spot positions.

The e+uivalent source for . options volumes would be the trades reported to the "T--$ 6ut

this integrates onl& the transactions in the )$ s we are not interested in global options

positioning but onl) in directional positioning( we rel) on risk re&ersal le&els as the&

reflect the relative appetite for 9TM puts and calls( and result from directionall& oriented

suppl& and demand on the options mar#et$



ore/ ,ee#l&

*hicken or e!!D

,e perform *ranger causalit& tests between spot and options positioning on the si/

currencies for which there are public -T- data$ 9ur results are reported on -hart C$ Thismethodolog& is used to determine if a positioning change in one of these mar#ets leads to a

similar change in the other the following wee#$ ,hen needed( the -T- net positioning is

inverted to match the convention of the option mar#et in terms of base currenc&$ Also( -T-

reports are released ever& rida& but reflect Tuesda&Ns positions( so we s&nchroni?ed the

wee#l& time series accordingl& to avoid time shifts$

The tests are performed separatel& over two time samples: since the start of 2011 and since

August 201C$ The longer dataset is supposed to cover post financial crisis conditions( while

the shorter one Dwhich is included in the firstE is intended to verif& that the current low volatilit&

regime1 did not distort the results obtained from the big picture$

*hart ;. #nlike in #$'4CG, E#R#$' spot positionin! no lon!er leads options positionin!. 7ncontrast, )5C#$' and +#'#$' options consistentl forecast chan!es in spot positions.

$ource( $) *ross +sset ResearchForex

Main results

There is a strong time consistenc) o&er the two datasets for five of the si/ currencies(

with the the noticeable e/ception$ *4 futures positioning led options positions since

/00( but this has not been the case since mid /07. )ince one &ear( the two mar#ets no

longer influence each other$ This is validating the discrepanc& shown in -hart 2$

The changes in *S$5J=> spot positioning lead the change in options market

positioning over both periods$ The &en is the onl& currenc& where the spot has a better

predictive power$

"=5*S$ and *$5*S$ options markets are a step ahead of spot markets$ ,e verified

our assumption above onl& for these two pairs$ ,e also note that the A" spot mar#ets have

significantl& influenced the options mar#ets since 201C( but the pGvalues suggest that options

have a stronger lead an&wa&$

Spot and options markets in !$ and N@$ ha&e no mutual influence $ !ncidentall&( the&

are the smallest mar#ets among the si/ currencies$

1 !n an article published in our . '2 9utloo#( we use a Mar#ovG)witching model which points that the beginning of the

low volatilit& regime too# place in August 201C$ This regime still prevails$

Since start 2011

EUR JPY GBP CAD AUD NZD

Spot leads Options Yes Yes No No No No

Granger test p-value 0.0077 0.0027 0.5464 0.2019 0.6372 0.4430

Options lead Spot No No Yes No Yes No


Since August 2013

EUR JPY GBP CAD AUD NZD

Spot leads Options No Yes No No No No


Options lead Spot No No Yes No Yes No






ore/ ,ee#l&

)9 Trade summar

Open Trade Recommendat ionsOpen Trade Recommendat ionsOpen Trade Recommendat ionsOpen Trade Recommendat ions

Cos i t ionCos i t ionCos i t ionC osi t io n TpeTpeTpeTpe 'e scri pt ion'escr ipt ion'escr ipt ion'e scri pt io n 'at e O pe n ed'ate Opene d'ate Opene d'ate Ope ne d Ent rEntrEntrEn tr T ar!e tar!etTar!etar! et $ top$top$top$ t op C JK L0CJK L0CJK L0CJK L0Long USD/JP Y Structural 31-Jul 102.80 105.00 101.70 1.0%

Long AUD/NZD Relative Value 24-Jul 1.0970 1.1500 1.0750 1.7%

Buy USD/SEK 6M call spread 1x1.7, strikes 6.60/7.00 (co st : 1.05%) Structural Option 02-May 2.3%

Long NOK/ SEK (initial ST: 1.0760) Relative Value 27-M ar 1.1000 1.1400 1.1050 5.2%

Long USD, NOK, GBP / Short J PY, CHF, EUR Structural 2014 G10 basket 12-Dec 3.0% -1.5% 2.5%

*losed Trade Recommendations last s ix months rol l in!0*losed Trade Recommendations last s ix months rol l in!0*losed Trade Recommendations last s ix months rol l in!0*losed Trade Recommendations last s ix months rol l in!0

Cos i t ionCos i t ionCos i t ionC osi t io n 'ate O pe n e d'ate Opene d'ate Opene d'ate Ope ne d Ent rEntrEntrEn tr T ar!e tar!etTar!etar! et $ top$top$top$ t op C JK L0CJK L0CJK L0CJK L0Long EUR/CHF (stopped 25 August) Tact ical 12-Dec 1.2228 1.2400 1.2100 -1.3%

Short USD/CA D 3M one-t ouch 1.02 (take profit o n 21August , premium fully pocketed) Tact ical Option 26-Jun 3.3%

Short EUR/NZD (take prof it 24 July) Tact ical 14-Apr 1.5950 1.5300 1.5900 2.7%

Short EUR/GBP (take profit 24 July) Structural 15-May 0.8165 0.7800 0.8100 3.0%

Long USD/CA D (sto pped 18 June) Tact ical 07-Feb 1.0990 1.1700 1.0850 -1.9%

Long AUD/NZD (take profit 21April) Relative Value 14-Mar 1.0560 1.0900 1.0450 3.1%

Buy EUR/SEK 3M put seagull st rikes 8.50(x1.5)/8.70/9.20 (expired OTM) Structural 06-Feb -0.1%

Buy GBP /USD 3M risk reversal st rikes 1.60/1.70 (expired OTM) Structural 15-Jan -0.3%

Short AUD/USD (closed 6 March) Structural

20-Feb 0.8975 0.8500 0.9100 3.1%Short NZD/USD (stopped 6 February) Tact ical 30-Jan 0.8150 0.7900 0.8250 -1.5%

Short AUD/USD (stopped 6 February) Structural 16-Jan 0.8810 0.8300 0.8950 -1.8%

Buy EUR/USD 3M put st rike 1.32 with KI USD/JP Y 101(expired worthless ) Structural Exotic option 06-Nov -0.5%

Long USD/JPY (stopped on higher stop on 24 January) Structural 21-Nov 101.00 108.00 103.00 2.2%

Long GBP/CHF (take profit 23 January) Tact ical 06-Sep 1.4705 1.5200 1.4650 1.9%

Long GBP /AUD (take profit 16 January) Structural 06-Jan 1.8260 1.9000 1.8000 1.6%

Long NOK/ SEK (sto pped 16 January) Tact ical 29-Aug 1.08 1.14 1.05 -2.9%

Long NZD/ JPY (take profit 16 January) Structural 25-Oct 80.60 89.00 85.00 8.8%

Short A UD/CAD (sto pped 10 January) Relative Value 21-Nov 0.9710 0.9200 0.9700 -0.1%

Long NOK and GBP v s EUR (clos ed 12 December) Relative Value 27-Jun 3.5% -1.5% -1.3%

Buy USD/CA D 2M put strik e 1.02 / Sell EUR/CA D 2M call st rike 1.44 (expired) Relative Value Option 26-Sep 1.0320/1.3930 -0.2%

Long CAD/JP Y (take profit 21november) Structural 24-Oct 93.35 97.00 92.00 3.0%

Short USD/JP Y (stopped 10 October) Tact ical 03-Oct 97.15 96.00 98.00 -1.0%

Short EUR/SEK (st opped 10 October) Tact ical 20-Sep 8.5720 8.4000 8.7900 -2.5%

Buy USD/JP Y 6M seagull 95/100/107 (cos t: 0.3%) (expired OTM) Structural Option 11-Apr 99.30 -0.3%

Lonc CA D and NOK vs AUD (stopped 7 October) Structural Commodity basket 29-Aug 6.0% -3.5% -3.5%

Short EUR/USD (closed 1October) Structural 20-Jun 1.3230 125.0% 136.5% -2.8%

Short CHF vs EUR and USD (stopped 1October) Structural 03-Jul 6.0% -2.0% -2.0%

Long CAD /JPY (stopped 30 September) Relative Value 05-Sep 95.03 98.50 95.50 0.5%Long EUR/PLN (closed 26 September) Structural DM -EM divergence 21-Aug 4.2400 6.0% -3.5% -0.6%

Long USD/ZAR (closed 26 September) Structural DM -EM divergence 21-Aug 10.2300 6.0% -3.5% -3.0%

Short THB /JPY (stopped 26 September) Structural DM -EM divergence 21-Aug 3.0640 6.0% -3.5% -3.5%

Long USD/CHF 6M A TM Tact ical Option 25-Jul 8.91 10.50 7.70 100 bps

Long AUD, CAD, USD / Short JP Y, CHF, EUR Structural Currency war basket 08-M ar 6.5% -3.0% -3.1%

Long NZD/JPY Tact ical 18-Jul 79.35 81.85 77.90 -2.1%

Long AUD/NZD Relative Value 05-Jul 1.1770 1.2130 1.1570 -1.8%

Not es: Paper tr ades only. Perfor mance includes costs of carr y; P&L in for spot t rades, vol poi nts for vol t rades and %change in not ional for op tio n trades (opti on trades italised).





ore/ ,ee#l&

EN FX forecasts

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ore/ ,ee#l&

*alendar

'urin! the 8eek'urin! the 8eek'urin! the 8eek'urin! the 8eekGM T Per io d Previo us G Forecasts CNS/Act ual

Australia CBA/HIA House Affo rdability 2Q 77.2

Brazil Vehicle Sales Fenabrave Aug 294787

Commodity Price Index (% M oM) Aug -1.85

Commodity Price Index (% YoY) Aug 2.35

China Leading Index Jul 100.06

Chile Vehicle Sales Total Aug 27561

Euro area NATO Leaders Hold Summit in United Kingdom

Hungary Budget Balance YtD (bln) Aug -851.4

Indonesia Danareksa Consumer Confidence Aug 98.2

Consumer Confidence Index Aug 119.8

M oney Supply M 1(% YoY) Jul 10.2

M oney Supply M 2 (% YoY) Jul 13.1

Foreign Reserves (bln, USD) Aug 110.5

Net Foreign Assets (tln, IDR) Aug 1242.2T

India Eight Infrastructure Industries Jul 7.3

Ireland Live Register Level SA (000's) Aug 382.8

Live Register M onthly Change ('000s) Aug -3.4

Unemployment Rate (%) Aug 11.5

Consumer Confidence Index Aug 89.4

Industrial Production (% M oM ) Jul -16.5

Industrial Production (% YoY) Jul 3.5

New Vehicle Licences Aug 16736

Japan Official Reserve Assets (bln, USD) Aug 1276

Norway Credit Indicator Growth (% YoY) Jul 5.4

Po land Monetary Po licy Counc il Rate Meet ing

August Car Production

Russia CPI (% M oM ) Aug 0.5

CPI (% YoY) Aug 7.5

CPI YtD Aug 5.3

CPI Core (% M oM ) Aug 0.6

CPI Core (% YoY) Aug 7.8South Korea Foreign Reserves (bln, USD) Aug 368.03

Sweden Budget Balance (bln) Aug -3.8

Switzerland Industrial Output w.d.a. (% YoY) 2Q 0.5

UK Halifax House Prices (% M oM ) Aug 1.4

Halifax House Price 3M ths/Year Aug 0

BoE/GfK Inflation Next 12 M ths (%) Aug 2.6

US Househo ld Change in Net Worth (bln, USD) 2Q 1490



ore/ ,ee#l&

Nonda 9 $ep :9<Nonda 9 $ep :9<Nonda 9 $ep :9<Nonda 9 $ep :9<GM T Per io d Previous G Forecasts CNS/Act ual

Chile Cent ral B ank M eeting M inut es

Central Bank Meeting MinutesCzech Republ Budget Balance (bln) Aug 4.5

Indonesia Trade Balance (mln, USD) Jul -305

Imports (% YoY) Jul 0.54

Italy Budget Balance (bln, EUR) Aug -1.6

New Car Registrations (% YoY) Aug 5.02

Russia Wellbeing Fund (bln, USD) Aug 86.5

Reserve Fund (bln, USD) Aug 86.6

Australia AiG Perf of M fg Index 00:30 Aug 50.7

Japan Capital Spending (% YoY) 00:50 2Q 7.4

Capital Spending Ex Software (% YoY) 00:50 2Q 8.3

Company Profits (%) 00:50 2Q 20.2

Company Sales (%) 00:50 2Q 5.6

Australia RPData/Rismark House Px (% M oM ) 01:00 Aug 1.6

South Korea Exports (% YoY) 01:00 Aug 5.4 0

Imports (% YoY) 01:00 Aug 5.8 1

Trade Balance (mln, USD) 01:00 Aug 2399 4300

HSBC South Korea M anufacturing PM I 01:00 Aug 49.3

Australia TD Securities Inflation (% M oM ) 01:30 Aug 0.2

TD Securities Inflation (% YoY) 01:30 Aug 2.6

China M anufacturing PM I 02:00 Aug 51.7 51.2

Australia Company Operating Pro fit (% QoQ) 02:30 2Q 3.1

Inventories s.a. (% QoQ) 02:30 2Q -1.7

Japan M arkit/JM M A Japan M anufacturing PM I 02:35 Aug F 52.4

China HSBC China M anufacturing PM I 02:45 Aug F 50.3

Taiwan HSBC Taiwan M anufacturing PM I 03:00 Aug 55.8

Indonesia HSBC Indonesia M anufacturing PM I 04:00 Aug 52.7

Exports (% YoY) 05:00 Jul 4.45

CPI (% YoY) 05:00 Aug 4.53

CPI n.s.a. (% M oM ) 05:00 Aug 0.93

CPI Core (% YoY) 05:00 Aug 4.64

India HSBC India M anufacturing PM I 06:00 Aug 53

Ireland Investec M anufacturing PM I Ireland 06:00 Aug 55.4

Japan Vehicle Sales (% YoY) 06:00 Aug 0.6Russia HSBC Russia M anufacturing PM I 06:00 Aug 51

Germany GDP s.a. (% QoQ) 07:00 2Q F -0.2 -0.2

GDP w.d.a. (% YoY) 07:00 2Q F 1.2 1.2

GDP n.s.a. (% YoY) 07:00 2Q F 0.8 0.8

Private Consumption (% QoQ) 07:00 2Q 0.7 -0.3

Government Spending (% QoQ) 07:00 2Q 0.4 0.3

Capital Investment (% QoQ) 07:00 2Q 3.2 -2.7

Construction Investment (% QoQ) 07:00 2Q 3.6 -4

Domestic Demand (% QoQ) 07:00 2Q 1.9 -1.3

Exports (% QoQ) 07:00 2Q 0.2 0.1

Imports (% QoQ) 07:00 2Q 2.2 -2.1

Australia Commodity Index (% YoY) 07:30 Aug -12.1

Commodity Index AUD 07:30 Aug 92.1

Sweden M anufacturing PM I 07:30 Aug 55.2

Hungary M anufacturing PM I 08:00 Aug 56.7

Norway M anufacturing PM I 08:00 Aug 50.6

Poland HSBC Poland M anufacturing PM I 08:00 Aug 49.4 48.9

Spain M arkit Spain M anufacturing PM I 08:15 Aug 53.9 52

Czech Republ HSBC Czech Republic M anufacturing PM I 08:30 Aug 56.5

Switzerland M anufacturing PM I 08:30 Aug 54.3

Italy M arkit/ADACI Italy M anufacturing PM I 08:45 Aug 51.9 50.2

France M arkit France M anufacturing PM I 08:50 Aug F 46.5 46.8

Germany M arkit/BM E Germany M anufacturing PM I 08:55 Aug F 52 52

Euro area M arkit Eurozone M anufacturing PM I 09:00 Aug F 50.8 50.9

Greece M arkit Greece M anufacturing PM I 09:00 Aug 48.7

UK Net Consumer Credit (bln, GBP) 09:30 Jul 0.4 0.5

Net Lending Sec. on Dwellings (bln, GBP) 09:30 Jul 2.1

M ortgage Approvals ('000s) 09:30 Jul 67.2 66.6

M oney Supply M 4 (% MoM ) 09:30 Jul 0.1

M 4 M oney Supply (% YoY) 09:30 Jul -0.6

M 4 Ex IOFCs 3M Annualised (%) 09:30 Jul 4.6

M arkit UK M anufacturing PM I s.a. 09:30 Aug 55.4

Greece GDP n.s.a. (% YoY) 10:00 2Q F -0.2Brazil FGV CPI IPC-S (%) 12:00 31Aug 0.06

Central Bank Weekly Economists Survey 12:30

HSBC Brazil M anufacturing PM I 14:00 Aug 49.1



ore/ ,ee#l&

continued0 Nonda 9 $ep :9<continue d0 Nonda 9 $ep :9<continued0 Nonda 9 $ep :9<continue d0 Nonda 9 $ep :9<M exico Remittances Total (mln) 15:00 Jul 2037.8

US Fed's Plosser Speaks on the Economy in Amel ia Is land, 15:15

M exico HSBC M exico M anufacturing PM I 15:30 Aug 51.5IM EF M anufacturing Index s.a. 18:00 Aug 49.1

IM EF Non-M anufacturing Index s.a. 18:00 Aug 50.1

Brazil Trade Balance M onthly (mln, USD) 19:00 Aug 1575

Exports Total (mln, USD) 19:00 Aug 23025

Imports Total (mln, USD) 19:00 Aug 21450

Trade Balance Weekly (mln, USD) 19:00 31Aug -214

Tuesda E: $ep :E9<Tuesda E: $ep :E9<Tuesda E: $ep :E9<Tuesda E: $ep :E9<GM T Period Previo us G Forecasts CNS/Actual

South Korea CPI (% M oM ) 00:00 Aug 0.1 0.2

CPI (% YoY) 00:00 Aug 1.6 1.5

CPI Core (% YoY) 00:00 Aug 2.2 2.4

A ustralia ANZ Roy M organ Weekly Co nsumer Co nfidence Index 00:30 31A ug 113.5

Japan M onetary Base (% YoY) 00:50 Aug 42.7

M onetary Base End of period (tln, JPY) 00:50 Aug 243.2T

Australia BoP Current Account Balance (bln, AUD) 02:30 2Q -5.7 -13

Net Exports of GDP 02:30 2Q 1.4 -0.5

Building Approvals (% M oM ) 02:30 Jul -5 3

Building Approvals (% YoY) 02:30 Jul 16 8.8

Japan Labor Cash Earnings (% YoY) 02:30 Jul 0.4

Australia RBA Cash Rate Target (%) 05:30 2.5 2.5

Switzerland GDP (% QoQ) 06:45 2Q 0.5 0.2

GDP (% YoY) 06:45 2Q 2 1.4

Hungary Trade Balance (mln) 08:00 Jun F 609.7

Spain Unemployment (% M oM ) Net ('000s) 08:00 Aug -29.8

Sweden Current Account Balance (bln) 08:30 2Q 61.4

UK M arkit/CIPS UK Construction PMI 09:30 Aug 62.4 62

Euro area PPI (% M oM ) 10:00 Jul 0.1

PPI (% YoY) 10:00 Jul -0.8

Brazil Industrial Production (% M oM ) 13:00 Jul -1.4

Industrial Production (% YoY) 13:00 Jul -6.9 -1.8

US M arkit US M anufacturing PM I 14:45 Aug F 58 57.8

Mexico Central Bank Economist Survey 15:00

International Reserves Weekly 15:00 29 Aug --

US ISM M anufacturing 15:00 Aug 57.1 58

ISM Prices Paid 15:00 Aug 59.5 57

Construction Spending (% M oM ) 15:00 Jul -1.8 2

IBD/TIPP Economic Optimism 15:00 Sep 44.5 45



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8ednesda ; $ep :9<8ednesda ; $ep :9<8ednesda ; $ep :9<8ednesda ; $ep :9<GM T Per iod Previo us G Forecasts CN S/Actual

Brazil Selic Rate (%) 11 11

CNI Capacity Utilization s.a. (%) Jul 80.1Poland Poland Base Rate Announcement (%) 2.5 2.5

US Domestic Vehicle Sales (mln) Aug 12.95 13.3

Total Vehicle Sales (mln) Aug 16.4 16.85

UK BRC Shop Price Index (% YoY) 00:01 Aug -1.9

Australia AiG Perf of Services Index 00:30 Aug 49.3

China Non-manufacturing PM I 02:00 Aug 54.2

Australia GDP s.a. (% QoQ) 02:30 2Q 1.1 0.4

GDP (% YoY) 02:30 2Q 3.5 3

Japan M arkit Japan Services PM I 02:35 Aug 50.4

M arkit/JM M A Japan Composite PM I 02:35 Aug 50.2

China HSBC China Services PM I 02:45 Aug 50

HSBC China Composite PM I 02:45 Aug 51.6

India HSBC India Services PM I 06:00 Aug 52.2

HSBC India Composite PM I 06:00 Aug 53

Ireland Investec Services PM I Ireland 06:00 Aug 61.3

Investec Composite PM I Ireland 06:00 Aug 60.2

Russia HSBC Russia Services PM I 06:00 Aug 49.7

HSBC Russia Composite PMI 06:00 Aug 51.3

Sweden PM I Services 07:30 Aug --

Hungary Retail Sales (% YoY) 08:00 Jul 3.8

GDP s.a. (% QoQ) 08:00 2Q F 0.8

GDP n.s.a. (% YoY) 08:00 2Q F 3.9

Spain M arkit Spain Services PM I 08:15 Aug 56.2 54

M arkit Spain Composite PM I 08:15 Aug 55.7

Italy M arkit/ADACI Italy Composite PM I 08:45 Aug 53.1

M arkit/ADACI Italy Services PMI 08:45 Aug 52.8 50.9

France M arkit France Composite PM I 08:50 Aug F 50

M arkit France Services PM I 08:50 Aug F 51.1 51.3

Germany M arkit Germany Services PM I 08:55 Aug F 56.4 56.3

M arkit/BM E Germany Composite PM I 08:55 Aug F 54.9 54.8

Euro area M arkit Eurozone Services PM I 09:00 Aug F 53.5 53.6

M arkit Eurozone Composite PM I 09:00 Aug F 52.8 52.9

UK Official Reserves Changes 09:30 Aug -616M arkit/CIPS UK Composite PM I 09:30 Aug 58.8

M arkit/CIPS UK Services PM I 09:30 Aug 59.1 58.5

Euro area Retail Sales (% MoM ) 10:00 Jul 0.4

Retail Sales (% YoY) 10:00 Jul 2.4

GDP s.a. (% QoQ) 10:00 2Q P 0 0

GDP s.a. (% YoY) 10:00 2Q P 0.7 0.7

Gross Fix Cap (% QoQ) 10:00 2Q 0.3 -0.9

Govt Expend (% QoQ) 10:00 2Q 0.3 0.2

Household Cons (% QoQ) 10:00 2Q 0.1 0.3

US M BA M ortgage Applications 12:00 29 Aug --

Russia CPI WoW 13:00 01Sep --

CPI Weekly YTD 13:00 01Sep --

Brazil HSBC Brazil Composite PM I 14:00 Aug 49.3

HSBC Brazil Services PM I 14:00 Aug 50.2

US ISM New York 14:45 Aug 68.1

Factory Orders (%) 15:00 Jul 1.1 11.2

Brazil Currency Flows Weekly 16:30US U.S. Federal Reserve Releases Beige Book 19:00



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Thursda < $ep :9<Thursda < $ep :9<Thursda < $ep :9<Thursda < $ep :9<GM T Per iod Previo us G Forecasts CN S/Actual

B razil Seras a A ug. Ret ail Act ivit y

Japan BOJ 2014 M onetary Base Target (tln, JPY) 270T 270South Korea GDP (% YoY) 00:00 2Q F 3.6

GDP s.a. (% QoQ) 00:00 2Q F 0.6

Australia Trade Balance (mln) 02:30 Jul -1683 -1800

Retail Sales (% M oM ) 02:30 Jul 0.6 0

US Fed's Powell Speaks in New York 05:00

France ILO Unemployment Rate (%) 06:30 2Q 10.1 10.2

ILO M ainland Unemployment Rate (%) 06:30 2Q 9.7 9.8

M ainland Unemp. Change ('000s) 06:30 2Q 23 28.8

Germany Factory Orders (% M oM ) 07:00 Jul -3.2 0.9

Factory Orders w.d.a. (% YoY) 07:00 Jul -2.4 0.8

Czech Republ Retail Sales (% YoY) 08:00 Jul 8.2

Germany M arkit Germany Construction PMI 08:30 Aug 48.2

Sweden Riksbank Interest Rate (%) 08:30 0.25

Riksbank publishes repo rate decision 08:30

Brazil FIPE CPI - M onthly (%) 09:00 Aug 0.16

UK New Car Registrations (% YoY) 09:00 Aug 6.6

Euro area M arkit Eurozone Retail PM I 09:10 Aug 47.6

France M arkit France Retail PM I 09:10 Aug 45.6

Germany M arkit Germany Retail PM I 09:10 Aug 52.1

Italy M arkit Italy Retail PM I 09:10 Aug 43.4

Russia Gold and Forex Reserve 12:00 29 Aug --

UK Bank of England Bank Rate (%) 12:00 0.5 0.5

BOE Asset Purchase Target (bln, GBP) 12:00 Sep 375 375

US Challenger Job Cuts (% YoY) 12:30 Aug 24.4

RBC Consumer Outlook Index 12:30 Sep 51.5

Euro area ECB M ain Refinancing Rate (%) 12:45 0.15 0.15

ECB M arginal Lending Facility (%) 12:45 0.4 0.4

ECB Deposit Facility Rate (%) 12:45 -0.1 -0.1

US ADP Employment Change ('000s) 13:15 Aug 218 240

Euro area ECB'S Draghi Holds Press Conference After Rate Decis 13:30

US Trade Balance (bln, USD) 13:30 Jul -41.5

Initial Jobless Claims ('000s) 13:30 30 Aug --

Nonfarm Productivity (%) 13:30 2Q F 2.5Continuing Claims ('000s) 13:30 23 Aug --

Unit Labor Costs (%) 13:30 2Q F 0.6

Brazil Vehicle Production Anfavea 14:30 Aug 252635

Vehicle Sales Anfavea 14:30 Aug 294768

Vehicle Exports Anfavea 14:30 Aug 34233

US M arkit US Services PM I 14:45 Aug F 58.5 58.3

M arkit US Composite PM I 14:45 Aug F 58.8 58.6

ISM Non-Manf. Composite 15:00 Aug 58.7 59.5

Fed's Mester Speaks on Monetary Policy in Pittsburgh 17:30



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Frida = $ep :9<Frida = $ep :9<Frida = $ep :9<Frida = $ep :9<GM T Per iod Previo us G Forecasts CN S/Actual

Euro area ESM Sovereign Debt Rating Published by Fitch

ECB's N ouy Speaks on Panel on Banking in BrusselsMexico B anamex Survey of Economis ts

Russia M oney Supply Narrow Def 29 Aug --

Australia AiG Perf of Construction Index 00:30 Aug 52.6

Taiwan CPI (% YoY) 01:30 Aug 1.75

WPI (% YoY) 01:30 Aug 0.81

US Fed's Kocherlakota Speaks in Helena, M ontana 02:00

Japan Leading Index CI 06:00 Jul P 105.9

Coincident Index 06:00 Jul P 109.7

Germany Industrial Production s.a. (% MoM ) 07:00 Jul 0.3 0.4

Industrial Production w.d.a. (% YoY) 07:00 Jul -0.5 0.9

Australia Foreign Reserves (bln, AUD) 07:30 Aug 62.7B

France Consumer Confidence 07:45 Aug 86 86

Czech Republ Average Real M onthly Wage (% YoY) 08:00 2Q 3.1

Hungary Industrial Production s.a. (% MoM ) 08:00 Jul P 1.8

Industrial Production w.d.a. (% YoY) 08:00 Jul P 11.3

Switzerland Foreign Currency Reserves (bln) 08:00 Aug 453.4

Sweden Service Production (% M oM ) s.a. 08:30 Jul 0.1

Service Production (% YoY) w.d.a. 08:30 Jul 2.6

Industrial Production (% M oM ) 08:30 Jul 1

Industrial Production n.s.a. (% YoY) 08:30 Jul -1.1

Industrial Orders (% M oM ) 08:30 Jul 2.2

Industrial Orders n.s.a. (% YoY) 08:30 Jul -0.5

Norway Industrial Production (% M oM ) 09:00 Jul 5.7

Industrial Production w.d.a. (% YoY) 09:00 Jul 3.2

Ind Prod M anufacturing (% M oM ) 09:00 Jul 1.7

Ind Prod M anufacturing w.d.a. (% YoY) 09:00 Jul 3.1

UK BoE/Gfk NOP Inflation Attitudes Survey, next 12 mths 09:30 Aug 2.6

Taiwan Foreign Reserves (bln, USD) 09:20 Aug 423.66

Euro area ECB Announces 3-Year LTRO Repayment 11:00

Brazil FGV Inflation IGP-DI (% M oM ) 12:00 Aug -0.55

IBGE Inflation IPCA (% M oM ) 13:00 Aug 0.01 0.19

IBGE Inflation IPCA (% YoY) 13:00 Aug 6.5 6.45

Poland Official Reserves 13:00 Aug 103480Chile Economic Activity (% YoY) 13:30 Jul 0.8

Economic Activity (% M oM ) 13:30 Jul -0.8

US Change in Nonfarm Payro lls ('000s) 13:30 Aug 209 245

Two-M onth Payroll Net Revision ('000s) 13:30 Aug -- 73

Change in Private Payrolls ('000s) 13:30 Aug 198 230

Change in M anufact. Payro lls ('000s) 13:30 Aug 28

Unemployment Rate (%) 13:30 Aug 6.2 6.1

Underemployment Rate (%) 13:30 Aug 12.2

Average Hourly Earnings (% M oM ) 13:30 Aug 0 0.3

Average Hourly Earnings (% YoY) 13:30 Aug 2 2.1

Average Weekly Hours All Employees 13:30 Aug 34.5 34.6

Change in Household Employment 13:30 Aug 131 200

Labor Force Participation Rate (%) 13:30 Aug 62.9 62.9

Chile Real Wage (% M oM ) 14:00 Jul 0

Real Wage (% YoY) 14:00 Jul 1.8

M exico Consumer Confidence Index 14:00 Aug 90.5 92

Leading Indicators ((% M oM )) 14:00 Jul 0.13

Overnight Rate (%) 15:00 3 3

US Fed's Rosengren Speaks in Boston 20:45

Documents

Forex Weekly 8-28