Rates & FX Market Update

Fixed Income & Currency Research

,
19 May 2017

BI Committed to Maintain Economic and Financial Stability

Global Markets: Chart 1: Global 10y Bond Range
1y Bond Range Current 1y Average
Yesterdays risk-off flows proved temporary, with the DXY retracing 0.31%
stronger while the front part of the UST curve ticked 1-2bps higher overnight.
UST
Yields on 30y USTs however fell c.2bps, with 2s30s trending to the lowest GILT
level since October 2016. Both weekly initial and continuing claims data due Bund
fell w-o-w, as US labour market continues to exhibit strength; eye 10y UST OAT
yields to average 2.40% over 4Q17 on robust safe haven flows.
SPGB
Australian labour data came in strong for the month of April, with employment BTP
ticking higher by 37.4k (consensus: 5k) amid a surge in part-time employment,
PGB
while unemployment rate ticked lower to 5.7% (consensus and Mar: 5.9%).
JGB
While the AUDUSD pair jumped on the better-than-expected data, gains were
subsequently retraced as the dollar recovered ground; remain neutral AUD. ACGB

AxJ Markets: -1 1 3 5
Source: Bloomberg, RHBFIC
The MYR fell marginally against the USD overnight as risk-off flows impacted Chart 2: Asia-ex Japan 10y Bond Range
regional currencies, although the Ringgit declined the least among peers.
USDMYR remains largely within a tight range of 4.31-4.35, with the pairs SGS
volatility staying subdued still; stay neutral MYR over the medium term, HKGB
although the currency has the potential for further gains over the short run.
KTB
Over in Indonesia, BI maintained its 7D RRR at 4.75%, in line with consensus
CGB
and our expectation, amid lingering external and domestic risks balanced by
the need to maintain the current growth momentum. The Bank noted that MGS
inflows arising from the improving sovereign rating outlook have supported the
ThaiGB
IDR, despite the escalation in geopolitical and political risks globally. BI also
reaffirmed its commitment to a stable IDR; stay neutral IDR. IndoGB

Daily FX Write-up: GBPUSD (ST Support: 1.27; ST Resistance: 1.30) GolSec

GBPUSD fell 0.28% overnight, although the pair briefly broke the 1.30 % 0 2 4 6 8 10
resistance level intraday after April retail sales beat consensus estimates Source: Bloomberg, RHBFIC

(4.0% y-o-y; consensus: 2.1%; Mar: 2.0%, including auto fuels). The pair flash- Chart 3: GBPUSD
crashed during the US session, after the dollar retracement likely triggered
selling/stop-loss orders near the 1.2980 region; we reiterate our neutral GBP
stance ahead of the UK snap election.

Table 1: Key Events Today Table 2: Bond Auctions Today

EU CA Balance There are no auctions scheduled today
EU Consumer Confidence
GE PPI
TH Foreign Reserves
MY GDP
MY CA Balance Source: Bloomberg, RHBFIC

Rates & FX Team

+65 6704 0421/0422 | +603 9280 5820
fixed.income.research@rhbgroup.com

See important disclosures at the end of this report

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 Fixed Income & Currency Research
19 May 2017

Rates & FX Trade Ideas

Levels
Yield Change Since
Rates Trade Ideas Date Initiated Target / Status
Entry Current Initiation (bps)
Stop Loss
20/40y JGB Steepener 7 May 15 27 42 70 / 10 +15 Hold
Long 3y CGB* 3 July 15 2.820% 3.416% 1.800% / 3.200% +60 Hold
Short 7/20/40y JGB Fly 28 Sep 15 61 16 12 / 75 -45 Hold
3/10y CGB Steepener 29 Sep 15 37 15 97 / 10 -22 Hold
Source: RHBFIC, Bloomberg
Note: Only outstanding positions and positions expired or closed over a rolling one week are reflected in the table; all positions unhedged
*Figures denoted in bps unless otherwise stated.

Levels Performance
FX Trade Ideas Date Initiated Target / Since Status
Entry Current
Stop Loss Initiation (%)
Short EURINR 13 Jan 15 72.235 72.214 67.500 / 77.000 +0.03% Hold
Short JPYKRW 26 Feb 16 10.952 10.098 9.8000 / 12.000 +7.79% Hold
Source: RHBFIC, Bloomberg
Note: Only outstanding positions and positions expired or closed over a rolling one week are reflected in the table; all positions unhedged.

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 Fixed Income & Currency Research
19 May 2017

Currency Support and Resistance Levels

Support 2 Support 1 Resistance 1 Resistance 2

GBPUSD 1.2576 1.2741 1.2996 1.3110

EURUSD 1.0495 1.0800 1.1340 1.1540

USDJPY 104.00 106.50 114.60 119.50

AUDUSD 0.7176 0.7307 0.7468 0.7599

USDSGD 1.3734 1.3864 1.4045 1.4137

USDKRW 1102.2 1111.1 1139.2 1150.0

USDCNY 6.8424 6.8640 6.9217 6.9378

USDCNH 6.7380 6.7697 6.9245 6.9641

USDMYR 4.2715 4.3147 4.3845 4.4277

USDTHB 33.850 34.044 35.080 35.350

USDIDR 12,998 13,187 13,419 13,661

Source: RHBFIC, Bloomberg
Note: Blue font highlights that currency is nearing support or resistance level; underlined figure denotes a change in support or resistance level.

Daily Sovereign Rates and FX Changes

2y 10y FX Rate (per USD)

Current 2/10y
Yield Yield Currency Last Daily
Country Closing Yield 3m Avg Closing 3m Avg vs Spread
Change Change ** Traded Change
(%) Yield (%) Yield (%) Yield (%) 3m Avg (bps)
(bps) (bps) Price (%)
(bps)
DXY 97.879 0.31
US 1.268 2.2 1.267 2.229 0.5 2.383 -15.3 96.1
ADXY 105.540 -0.25

UK 0.096 -2.0 0.103 1.055 -1.2 1.139 -8.4 95.9 GBP 1.2940 -0.28

Germany -0.703 -1.2 -0.794 0.342 -3.4 0.325 1.7 104.5

France -0.461 -2.3 -0.432 0.798 -3.4 0.943 -14.5 125.9

Spain -0.303 2.2 -0.214 1.553 0.3 1.680 -12.7 185.6 EUR 1.1102 -0.56

Italy -0.266 -0.7 -0.060 2.140 -0.6 2.243 -10.3 240.6

Portugal 0.268 1.1 0.293 3.187 -0.3 3.828 -64.1 291.9

Japan -0.152 0.2 -0.228 0.047 0.1 0.053 -0.6 19.9 JPY 111.59 0.79

Australia 1.625 1.3 1.743 2.500 -2.9 2.690 -19.0 87.5 AUD 0.7418 -0.26

Singapore 1.175 0.8 1.239 2.055 -2.7 2.235 -18.0 88.0 SGD 1.3930 0.23

South Korea* 1.687 0.4 1.671 2.246 -0.2 2.204 4.2 55.9 KRW 1,124.5 0.58

China 2.701 0.0 2.701 3.595 -3.1 3.384 21.1 89.4 CNY 6.8892 0.16
China
4.137 -1.8 4.209 4.502 -0.7 4.450 5.1 36.4 CNH 6.8860 0.21
(Offshore)*
MYR 4.3280 0.10
Malaysia* 3.299 1.0 3.378 3.882 1.3 4.075 -19.3 58.3
SGD/MYR 3.1104 0.34

Thailand 1.482 -1.3 1.604 2.671 -2.7 2.709 -3.8 118.9 THB 34.510 0.13

Indonesia* 6.707 3.0 6.720 7.045 4.0 7.184 -13.9 33.8 IDR 13,356 0.24
Source: RHBFIC, Bloomberg
*3y
**Against USD unless otherwise mentioned; daily change (%) reflects overnight changes in the pair denoted in market convention.

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 Fixed Income & Currency Research
19 May 2017

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