FX Hedging Strategy Series

FxWirePro: Long-tenured low vols carry in USD/INR and USD/IDR

Mar 02, 2017 12:59 pm UTC| Central Banks Commentary

USDINR and USDIDR long-dated FX vols offer exceptionally low vol to carry. The dramatic sell-off in 2Y USD rates since the election of Trump registers as the sharpest since the ill-fated recovery sell-off of H1 2008....

Eurozone inflation hits 2 pct in Feb, likely to intensify debate surrounding ECB's QE exit

Mar 02, 2017 12:48 pm UTC| Insights & Views Economy Central Banks

Eurozone inflation has risen above the European Central Banks (ECB) target rate for the first time in four years, data from statistical agency Eurostat showed on Thursday. Inflation in the 19-nation bloc hit 2 percent in...

USD Libor reaches 8-year high on hawkish FOMC

Mar 02, 2017 11:35 am UTC| Commentary Central Banks

The cost of funding in US dollar reached the highest level since April 2009 as the interest rate reached just below 1.1 percent yesterday. The cost for banks to borrow in US dollar jumped by the most yesterday since...

FxWirePro: Driving forces of CHF’s bullish and bearish scenarios

Mar 02, 2017 11:26 am UTC| Central Banks Insights & Views

EURCHF is so far tracking our forecast which assumes a softening in the SNBs intervention regime and a resultant orderly decline of around one cent per quarter in the cross to 1.03 by year-end. The SNB is certainly not...

FX Hedging Strategy Series

FxWirePro: Swiss Q4 GDP disappoints, retail sales to improve - Swiss franc’s optionality and spot trades

Mar 02, 2017 11:06 am UTC| Research & Analysis Central Banks

OTC Updates: Please be informed that the implied volatilities of EURCHF ATM contracts of all expiries have been the least among G10 currency segment. While, the 25-delta risk of reversal of EURCHF has also not been...

FxWirePro: SNB loosen the leash on Swiss franc

Mar 02, 2017 10:05 am UTC| Central Banks Insights & Views

Various factors are responsible for the shift in the SNBs FX stance, we believe: 1) Economic performance is satisfactory and inflation continues to normalize (the rate of CPI inflation has increased by 1.5% from 2015...

FxWirePro: AUD/USD bearish forecasts in sync with OTC bids, both RBA and Fed likely to boost projections

Mar 02, 2017 07:49 am UTC| Research & Analysis Insights & Views Central Banks

We expect AUDUSD to decline through 2017 on skinnier rate differentials and a pull-back in commodity prices. The Dec-17 target is 0.68, 10% below forwards. The combination of a more high conviction Fed cycle in 2017 and...