Foreign Exchange

London 08:00

FX Daily Strategist: Europe

AUDNZD vs. AU-NZ relative rate expectations
1.375 1.350 1.325 1.300 1.275 1.250 1.225 1.200 AUDNZD (lhs) 1.175 Dec 08 -0.75 Jun Sep Dec Mar Jun Sep Dec Mar Jun 09 10 11 AU-NZ relative rate expectations 1.25 1.00 0.75 0.50 0.25 0.00 -0.25 -0.50

Classic risk off/ dollar up price action, even though Washington is the source of risk aversion. RBNZ leaves rates on hold though market pricing of rate hikes moves higher on the statement

Source: Reuters Ecowin Pro. The RBNZ warned about the negative economic impact of the very high NZD in its post meeting statement Wednesday but still made the case for removing the 50bp of emergency monetary accommodation enacted in March. The likelihood of rates being 50bp higher than now by the October or at latest December meetings is apt to keep NZD very well supported.
GMT 07:00 07:00 07:30 07:30 07:30 Country SE (Jul) ES (Jun) SE (Jun) SE (Jun) SE (Jun) Release Mkt Last Consumer Confid (sa) 16.7 Retail Sales % (y/y) -6.6 Unemployment Ra % (nsa) 7.9 Retail Sales % (sa m/m) -2.3 Retail Sales % (nsa y/y) -1.1 Unemployment -10 -8 (C K (sa) Unemployment 7.0 7.0 Ra % ECBs Bank Lending Survey Wages % (m/m) 0.0 Wages % (y/y) 1.8 Italy to sell 2014, 2018, 2021 bonds Business Climat 0.92 Industrial Sent 2.0 3.2 Consumer Sentim -11 -9.8 Economic Sentim 104.0 105.1 CPI % (y/y) 3.7 CPI % (m/m) 0.3 CBI Distributiv -2 Initial Claims K 415 418 Treasury Auctions 7-Year Notes Gfk Consumer Co -27 -25 CPI Tokyo % 0.0 -0.2 (y/y)

07:55 DE (Jul) 07:55 DE (Jul) 08:00 08:00 08:00 09:00 09:00 09:00 09:00 09:00 09:15 09:15 10:00 12:30 17:00 23:01 EU IT (Jun) IT (Jun) IT EU (Jul) EU (Jul) EU (Jul) EU (Jul) BE (Jul) BE (Jul) GB (Jul) US US GB (Jul)

The markets in North America overnight and in Asia this morning displayed all the hallmarks of classic risk averse behaviour. While must-do month end demand may have played a role in supporting the dollar (Wednesday was last day for regular settlement for month-end) the bigger theme was equities leaking lower through the US session and the dollar moving higher as a result. Only the mighty AUD, the beneficiary earlier in the day from the upside CPI surprise, was spared a down day versus the USD though the 1.1000 has held with the pair attempting a rebound in the Asian time zone. However, generally speaking the USD could be due for a snap back as as even if the source of risk aversion is US-centric (continued lack of progress on bipartisan/Presidential talks on the deficit reduction/debt ceiling) risk appetite and the dollar remain negatively correlated. The RBNZ left rates unchanged as was widely expected and the initial market take on the statement was that it was not hawkish in so far as the RBNZ explicitly cited the very high value of the NZD as acting as a drag on the economy. The RBNZ prefaced this remark by saying that they see little need for the March 2011 insurance cut to remain in place much longer, but concluded by saying that, If this (NZD strength) persists, it is likely to reduce the need for further OCR increases in the short term. (our emphasis). However, a Reuters poll following the decision is that the consensus expects rates to be lifted by 50bps at the next meeting on September 15th to remove emergency settings post the February earthquake. Thereafter, the OCR is seen rising to 3.25% by March and 3.50% by June 2012 . Aside the September 15 th meeting, we do have two more meetings on October 27 or December 8 so much can change. Our feeling is that following the reversion to 3.00% rates, the appreciating NZD may be seen as doing the RBNZs heavy lifting. In any event, RBNZ market pricing has moved higher, with close to 110bps now being priced in (as opposed to 90-95bps last week) which should ultimately benefit the NZD provided we have a risk friendly backdrop. On AUDUSD, while we still view the pair more susceptible to a more extreme bout of risk aversion than we witnessed on Wednesday, the break above the previous all time high adds to our confidence that AUDUSD can run to at least 1.13 and possibly 1.15 in the months ahead. We like AUDNZD lower longer term though reckon the pair could consolidate higher up to 1.2800 near term. Looking ahead, if we see no progress on the deficit/debt talks Thursday, the potential for a deeper sell off in risk assets is obvious. While other asset classes were sanguine about the state of play, the dollar was a much easier sell than it is now. As per above, if equities now take the lead in expressing their disgust at shenanigans inside the Beltway, the dollar is at greater risk of going up than down. Data and events of particular note Thursday include the various EC sentiment indicators and where further signs of weakness will act as a further check on EUR upside; US initial claims and where anything much above 420k will not help the risk cause; and Swedish consumer confidence, unemployment and retail sales. With SEK currently the highest beta risk play in G10 FX, data that challenges current Riksbank tightening expectations risks doing further damage.

23:30 JP

This is not classified as objective research. Please refer to important information at the end of the report.
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Market: Quiet range bound session in short. EUR tried the downside in earlier half of the session, triggering stops through o/n low to 1.4330 when EURJPY broke below 111.80. Consolidation for the balance of the session. 1.4300/30 should be a pretty decent support region with 50-day and 100-day moving averages coming in at 1.4321 and 1.4328. 1.4300 is also the breakout level from last Fridays rally. Asian bourses all traded in the red (SHCOMP down 1.03% and Nikkei down 1.72%). NEWS New Zealand RBNZ keeps rates unchanged. RBNZ says Provided current global financial risks recede and the economy continues to recover, the Bank sees little need for the March 2011 insurance cut to remain in place much longer. The current very high value of the New Zealand dollar is acting as a drag on the New Zealand economy. If this persists, it is likely to reduce the need for further OCR increases in the short term. Post-RBNZ, a Reuters Poll expects NZ rates to be lifted by 50bps to 3.00% at RBNZ's next Sept 15 meeting as the CB decisively moves to remove the emergency 50bps cut which was brought about by the Feb earthquake. After this, gradual rises are expected, with the OCR expected to be at 3% by yrs end, 3.25% by March 2012 and 3.5% by June 2012. Though Sept bill futures fell by as much as 17 ticks on this mornings review, market pricing is a tad less hawkish and sees a 96% chance of a 25bps hike in Sept's meet but a similar 100bps of tightening in a yr's time. (IGM) United States US Durable goods orders decline 2.1% in June vs. expectations of an 0.3% increase. Durables ex transportation disappointed rising only 0.1% in June. Boehner rushed to revise his two-step proposal after a CBO analysis found it would cut spending by $350 billion less than the $1.2 trillion over 10 years he had claimed. Obama opposes it because it would extend borrowing authority only until early next year, risking a rerun of the debt impasse during the 2012 election campaign when the president is seeking a second term. (Reuters) Senate Majority Leader Harry Reid also faced a setback on Wednesday when the non-partisan Congressional Budget Office said the proposal would cut $2.2 trillion from deficits, about $500 billion less than Democrats had claimed. (Reuters) The White House said from Midnight on August 2nd onward the US is running on fumes to pay its bills unless debt limit is raised. Debt limit deadline is hard and fast, once borrowing authority lost, the US is at risk of default. (Reuters)

The Fed Beige Book noted that growth has moderated in many areas. Labour market stayed weak. Wage pressures were subdued and price pressures eased. China China says to press ahead with FX reserves diversification: China will press ahead with diversification of its $3.2 trillion foreign exchange reserves, and does not pursue large-scale currency holdings, the State Administration of Foreign Exchange said on Thursday. (Reuters) The ongoing impasse over the US debt ceiling has continued to stir up concerns in heavy weight investor China, with a state researcher Zhang Monan, recommending the Government to reduce its dollardenominated assets as soon as possible to safeguard its foreign exchange reserves. (IGM) China Regulator Targets Nonbank Entities: China's banking regulator warned that it intends to tighten its control over nonbank financial institutions, an effort to shore up tight monetary policy even as companies and savers embrace alternative financial services in an effort to boost returns. In a statement Wednesday, the China Banking Regulatory Commission said it would "prevent various loans from improperly flowing into the property market" and crack down on illegal practices in the wealthmanagement field, including banks purchasing each other's wealth-management products or investing client funds in other banks' wealth-management products. (WSJ) Chinese Media Defy Censors to Attack Government on Crash: Chinese censors are struggling to contain public and media reaction to the high-speed train crash that claimed at least 39 lives in Wenzhou last weekend and wrecked the image of Chinas high-speed rail network. On Wednesday the Beijing News posed three direct questions across an entire page challenging the governments handling of the tragedy, disregarding a blunt official directive that their reporting of the tragedy should not question, elaborate or associate. (FT) Japan Japan Fund Managers Cut Euro-Zone Bond Weighting To Record Low, Raise Japan Bond Weighting To Record High Reuters Japan's Yosano: FX action as big as 1-2 trln yen difficult: Japanese Economics Minister Kaoru Yosano said currency intervention as big as 1 to 2 trillion yen ($13-26 billion) would be quite difficult, Jiji news agency said on Thursday. (Reuters) JBIC signs MOU with BNI: Japan Bank for International Cooperation yesterday signed a memorandum of understanding with Bank Negara Indonesia to support business expansion into Indonesia by Japanese small and medium enterprises (SMEs) and mid-tier companies, JBIC said in a statement today. (Reuters)

Foreign Exchange Strategy Thursday, 28 July 2011 http://www.GlobalMarkets.bnpparibas.com

Japans Industry Set for Rebound: Less than five months after the devastating March earthquake, many Japanese industrial companies now say they are looking toward posting solid profits later this year. Many companies say they are using the yen's strength as a springboard to ramp up investments in emerging markets, even as they make public commitments to maintain their Japan manufacturing base. (WSJ) BOJ Kamezaki Concerned About Yen Rise; Sees No Immediate Need To Ease Further; concerned about the yen's rise but doesn't see a need for further credit easing; intervention could have an impact if conducted at a time of rapid movement; expresses concerns about shifting of production overseas due to strong yen, high taxes, slow pace of free-trade deals; warns on US debt impasse. (Reuters) Japan Weekly Portfolio Flows showed foreign investors reversing to buy a modest net Y2.3 bln of Japanese stocks in the week to July 23 but continuing to sell an ongoing net Y146.0 bln of Japanese bonds as well as turning to sell a net Y697.3 bln of Japanese bills. On the other side of the fence, Japanese investors bought an ongoing net Y61.7 bln of foreign stocks as well as a net Y37.6 bln of foreign bills, but reversed to sell a net Y224.0 bln of foreign bonds. In sum, there was a net invt outflow of Y716.3 bln in the week to Jul 23 compared to a revised net inflow of Y1,375.3 bln in the week to Jul 16. Japanese retail sales continued to recover by a solid pace into June on reduced worries over the March tsunami and quake disasters, with month on sales rising for the 3rd straight mth by 2.9% after a 2.4% gain in the mth prior. On the year, sales surprised on the upside by rising for the 1st time in 4mths by 1.1% y/y, outpacing mkt forecasts on a 0.5% decline and after a 1.3% decrease in May and record 8.5% fall in Mar. The worst appears over for consumption, which is seen returning to pre-quake levels as supply constraints continue to ease and hot weather encourages spending. (IGM) Europe: German Fin Min SCHAEUBLE said today that there is broad agreement in German's ruling party on the Greek rescue, and also support in the opposition. Schaeuble adds that the Euro zone has taken an important step on Greece, though Greece itself will need a decade to regain competitiveness. At the same time, Schaeuble said that the US has a responsibility to the market and must find a long term solution for solid fiscal policy and econ growth. However like many, he is confident that a US debt agreement will be reached possibility at the last stage. (IGM) Greeces credit rating was downgraded yet again by Standard & Poors (S&P), this time to CC from CCC. S&P stated that it views the EUs debt restructuring proposal as a distressed debt exchange, and amounts to a selective default. The ratings agency went on to say that the debt exchange and rollover options are unfavorable to investors and a recovery rate of 30-50% is expected from bondholders. S&P also issued a negative Foreign Exchange Strategy Thursday, 28 July 2011 http://www.GlobalMarkets.bnpparibas.com

outlook, indicating an increased likelihood of a further downgrade to Greece. (Reuters) Representatives of leading emerging market countries at the International Monetary Fund have warned the funds management against pouring more large sums of money into another Greek bailout with uncertain prospects. The officials said that several days after a new financing plan from the eurozone authorities its details were unclear and a proposed reduction in private sector holdings of Greek debt appeared to be inadequate. (FT) IMF Seeks to Limit Greece Exposure: The IMF, concerned about its enormous long-term exposure to the euro zone, is likely to contribute a smaller share of official financing in the new Greek aid package than it did for the Portuguese and Irish rescue programs, according to people familiar with the situation. The IMF has pledged to lend 78.5 billion ($113.91 billion) to Greece, Ireland and Portugal through 2014. That amount is many times the IMF shareholding of these three countries, a growing source of worry to fund officials. (WSJ) ECBs Trichet: New Greece plan appears to meet ECB message, EU needs tremendous steps in governance, EU has fewer problems than US or Japan, has ensured price stability; must address boom and bust pro-cyclicality. (Reuters) Greek Central Bank Governor, George Provopoulos, said Greece must step up its efforts to cut its budget deficit. He said that the second bailout package should be used to not only to put the program back on track but to go beyond the targets of the program. (Reuters) ECBs Gonzalez-Paramo said Wednesday it is too early to know whether it will accept Greek debt as collateral for lending to banks under a new bailout the country will receive; Irish FinMin: Ireland could use contingency EU/IMF funds even if it were knocked back out of debt markets after market return. (Reuters) UK BOE Miles: Risk UK could fall back into recession; domestically generation inflation likely to stay low, so far inflation not feeding through to wages, UK inflation to remain significantly above target through 2011 and much of 2012, economic recovery seems to have slowed recently; capital raising not main reason for weak lending, Basel III Doesn't Go Far Enough, banks should have higher capital buffers than those agreed under the Basel III accords. (Reuters)

Little Justification for BoJ intervention

Strength of JPY driven more by concerns over US debt ceiling deadlock than internal factors Odds of BoJ intervention are low unless USDJPY moves become disorderly Focus on the US debt ceiling has kept safe haven currencies like the JPY and CHF very well bid against the USD. USDCHF has reached an all time low while USDJPY is well below 80, the once perceived line in the sand for Japanese officials. As USDJPY continues to trade below 80.00, speculation of intervention from the BoJ is rising. But in our view, the likelihood of intervention is very slim; barring any disorderly moves in USDJPY. While the motive for intervention is there for Japan as it continues to recover from the devastating earthquakes earlier this year, the reasoning is rather weak. For one, the intervention in March was the result of internal factors, the Japan earthquake. With JPY flows flooding back home, JPY made significant gains against the majors: USDJPY fell from a high of 79.75 to 76.25 while EURJPY dropped to 106.61 from 111.27 on March 17. The G7 countries acted in solidarity via a coordinated intervention to mitigate the strength of the currency and help allay one of Japans key concerns. This time around, JPY strength has been mostly against the USD on the back of the stalemate on the US debt ceiling. With the US deep in its fiscal mess and the Eurozone mending its own fiscal issues, a coordinated intervention would be a hard sell. In addition, FX intervention would likely prove to be unsuccessful as it would have to be accompanied by complementary BoJ policy (further monetary easing). The last intervention had a very limited impact on the JPY because while the BoJ initially expanded its balance sheet (to new record highs) it shrank it back down once the new fiscal year began in April. This undermined efforts to weaken the JPY. With the BoJ showing little inclination to embark on fresh balance sheet expansion (let along JGB monetisation) unilateral intervention could quickly turn into an expensive policy mistake. Second, while the JPY may look expensive in comparison to USD in nominal terms, the picture is quite different in real terms and against an average of its trading partners. The JPY remains undervalued versus its trading partners on a REER basis, being well below its long term average. Since the start of 2011, the currencies of some of Japans key trading partners including EUR, KRW, and SGD have outperformed the JPY. Although the MYR has underperformed the JPY in recent months it has since made a comeback. The USD has been the only big and consistent underperformer against JPY (China, Japans largest trading partner, has also underperformed but to a much lesser extent given the 5% drop in USDCNY in the past year.) In general Japan maintains its competitiveness against its key trading partners on a REER basis and on a NEER basis against both Europe and some of its key Asian export competitors. The key positive spin on the strength of the currency against the USD is that raw materials and other commodities priced in USD have become markedly Foreign Exchange Strategy Thursday, 28 July 2011 http://www.GlobalMarkets.bnpparibas.com
160 150 140 130 120 110 100 90 80 70 JPY REER 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 JPY REER Long Term Avg

Chart 1: JPY REER v. JPY REER LT avg.

Source: BNP Paribas

Chart 2: USDJPY v. 10yr yield differential

95.0 92.5 USD/JPY 90.0 87.5 85.0 82.5 80.0 77.5 Nov Jan 09 10y UST v. JGB (RHS) Mar May Jul 10 Sep Nov Jan Mar May 11 Jul 2.6 2.5 2.4 2.3 2.2 2.1 2.0 1.9 1.8 1.7 1.6 1.5 1.4

Source: BNP Paribas cheaper at a time when Japan begins its reconstruction efforts, something that Japanese officials have acknowledged as beneficial. Based on the JPY REER, the BoJ should not be too alarmed by the moves in USDJPY unless it begins to freefall. USDJPY will remain hostage to the progress (or lack of) on the US debt negotiation. Our base case scenario is that the US comes to a two stage deal at the 11th hour which may not please S&P resulting in a downgrade. The knee jerk reaction will likely be a sell-off in the back end of the UST curve but potentially a rally in the front end of the curve as the markets start pricing in further US economic weakness from the implied 2012 fiscal drag. Thus, the net impact on USDJPY may be limited given USDJPY is more highly correlated with yield spreads at the front end of the respective curves than at the longer end.

Daily Currency Summary

G3
EURUSD fell from above 1.45 to below 1.4350; the drop was not precipitated any particular news but rather it was likely driven by short covering and month end flows. The move came before S&Ps downgrade of Greece to CC from CCC. EURUSD continues to remain supported with price action continuing to be almost fully driven by the lack of progress on the US debt ceiling promoting a view that while a default could be somehow averted, a ratings downgrade may not. There appears to be some frictions within parties making things all the more complicated, with the Republican controlled House of Representatives opting to delay voting on Boehners plan to Thursday. In Germany, July CPI accelerated with HICP rising to 2.6%y/y in July from 2.4% the month before. This should maintain pressure on the ECB to keep its relatively hawkish stance. This remains a strong support for the EUR. We have had continued verbal intervention from Japanese policy makers with members of the MoF and BoJ weighing in, but Economics Minister Yosanos comment (as per Jiji news) that intervention in the FX market before August 2nd is telling. By referring to the US debt ceiling deadline, he draws the implicit recognition that the JPY strength being seen is down to a weaker dollar on account of the debt impasse. Moreover, the comment that a JPY 1-2trn intervention (the solo intervention back in September was near JPY 2 trn) would be hard also underlines the realisation that anything other than a coordinated action will have no lasting impact, and see no reason for the US or Europe to be willing at this juncture. As such, USDJPY remains biased lower with only semi-official bids likely to slow the move. EURJPY has come under immense pressure since yesterday following German FinMin Schaeuble comments and the pair has broken below the 112-113.50 range seen of late, with the 111.50 level now threatened. Comments from Economics Minister Yosano that a JPY 1-2 trn intervention would be difficult, and any intervention would be unlikely before Aug 2 suggest that authorities realise that using unilateral intervention to stop/reverse a USD induced decline in USDJPY remains hard. On EURJPY, 111.46 (July 18 low) forms next chart support

EURUSD

USDJPY

JPY Crosses

EUR Bloc
Yesterdays July CBI orders were much weaker, and showed price pressures falling; the index of selling prices fell to levels last seen in mid-2010, hence playing to a dovish BoE view. The dovish BoE view was reiterated by member Miles who said he saw a risk of the UK falling back into a recession. However, EURGBP is facing some near term pressure with financials under pressure in Europe and has already closed below the 100-dma (now 0.8818). Looking ahead, from the UK the forward looking manufacturing and services PMIs (due first week of August) will be important. We continue to like GBP lower versus commodity FX and Scandies on a multi-week basis and would favour looking at any corrections in these currencies to i Weaker than expected Swiss KoF index in July; at 2.04 (2.11 expected) down from 2.23 in June. Index at the lowest since Feb 2010, and well off the highs of 2.31 back in April, but still at very strong levels. Looking ahead, markets outside the USD axis appear to be pricing in sovereign default risk (note the sharp break higher in US SOV CDS to fresh highs) USDCHF continues to mark fresh lows (0.7989 today) Down channel support kicks in around 0.7820. NOK had been under the cosh of late given its relatively less-liquid nature and with the markets now beginning to price the risk of a potential US default with the continued debt impasse in the US. Assuming a default is averted, we still like the NOK longer term on its good fiscal/ current account characteristics. July jobs data on tap Friday. Over the past two sessions, the SEK has been the significant under performer, with USDSEK up some 1.66% as UScentric factors result in a broader risk-off environment. Near term, with the continued debt impasse in the US, the concern is this affects USD liquidity to which the SEK is particularly vulnerable given the Swedish banking sector is heavily reliant on short term market funding in the USD. Assuming a default is averted, we still think the SEK will strengthen on its good characteristics.

EURGBP

EURCHF

EURNOK

EURSEK

USD Bloc
USDCAD has stalled near the 0.9407/11 region, and suggests now that the greater risk is for the 0.9525/35 highs from last week to be taken out on this broader risk-off (hence USD positive) move. Locally, May GDP figures on Friday will be eyed, with the pace of growth expected to be unchanged at 2.8% y/y. AUDUSD was spared a down day versus the USD given the broader risk-off dynamic seen, though the 1.1000 has held with the pair attempting a rebound in the Asian time zone. We maintain our medium term bullish view, further helped by the stronger Q2 core CPI release as we feel there is much scope for rate cut pricing in Australia to be wiped out. Beyond 1.1000, the next major medium term resistance is not until the 1.1500 level, but we have the 1.1300/1.1320 region (23.6% fibo-projection from March-May) to contend with first. RBNZ left rates unchanged on Thursday. The RBNZ noted that the strong NZD reduces the need for more rate rises in the short term and there was little need to keep the current rate much longer. The key word here is more rate rises; this may imply that the RBNZ takes back the emergency 50bp cut before too long and then remain on hold after that. This is still more aggressive than what is priced in to the NZ OIS curve. Thus, we see NZD as a buy on dips.

USDCAD

AUDUSD

NZDUSD

Foreign Exchange Strategy Thursday, 28 July 2011 http://www.GlobalMarkets.bnpparibas.com

FX Forecasts*
USD Bloc EUR/USD USD/JPY USD/CHF GBP/USD USD/CAD AUD/USD NZD/USD USD/SEK USD/NOK EUR Bloc EUR/JPY EUR/GBP EUR/CHF EUR/SEK EUR/NOK EUR/DKK Central Europe USD/PLN EUR/CZK EUR/HUF USD/ZAR USD/TRY EUR/RON USD/RUB EUR/PLN USD/UAH EUR/RSD Asia Bloc USD/SGD USD/MYR USD/IDR USD/THB USD/PHP USD/HKD USD/RMB USD/TWD USD/KRW USD/INR USD/VND LATAM Bloc USD/ARS USD/BRL USD/CLP USD/MXN USD/COP USD/VEF USD/PEN Others USD Index *End Quarter Q3 '11 1.50 78 0.83 1.65 0.98 1.09 0.82 5.93 4.98 Q3 '11 117 0.91 1.25 8.90 7.47 7.46 Q3 '11 2.60 24.3 275 6.80 1.52 4.20 27.51 3.90 7.8 100 Q3 '11 1.20 2.95 8400 29.50 42.00 7.80 6.40 28.00 1040 44.00 20500 Q3 '11 4.18 1.58 450 11.40 1730 4.29 2.70 Q3 '11 72.30 Q4 '11 1.55 83 0.83 1.68 0.93 1.13 0.84 5.48 4.77 Q4 '11 129 0.92 1.28 8.50 7.40 7.46 Q4 '11 2.48 24.5 275 6.60 1.50 4.15 27.25 3.85 7.8 100 Q4 '11 1.19 2.90 8300 29.30 41.50 7.80 6.31 27.50 1030 43.50 20000 Q4 '11 4.25 1.55 435 11.10 1690 4.29 2.65 Q4 '11 70.76 Q1 '12 1.45 85 0.90 1.59 0.95 1.07 0.81 5.93 5.07 Q1 '12 123 0.91 1.30 8.60 7.35 7.46 Q1 '12 2.69 24.1 269 6.55 1.56 4.20 27.86 3.90 7.5 98 Q1 '12 1.18 2.87 8200 29.00 41.00 7.80 6.25 27.00 1020 43.00 20000 Q1 '12 4.34 1.53 425 11.00 1690 4.29 2.63 Q1 '12 74.87 Q2 '12 1.40 90 0.93 1.56 0.97 1.04 0.80 6.21 5.26 Q2 '12 126 0.90 1.30 8.70 7.37 7.46 Q2 '12 2.75 23.9 265 6.60 1.59 4.25 27.97 3.85 7.5 97 Q2 '12 1.17 2.85 8100 28.70 40.50 7.80 6.21 26.70 1010 42.50 20000 Q2 '12 4.43 1.55 430 10.90 1700 4.29 2.63 Q2 '12 77.62 Q3 '12 1.35 95 1.00 1.53 1.01 0.99 0.76 6.67 5.56 Q3 '12 128 0.88 1.35 9.00 7.50 7.46 Q3 '12 2.81 23.8 265 6.50 1.63 4.15 28.08 3.80 7.5 96 Q3 '12 1.16 2.83 8000 28.50 40.00 7.80 6.17 26.50 1000 42.00 20000 Q3 '12 4.51 1.56 435 11.00 1710 4.29 2.64 Q3 '12 80.72 Q4 '12 1.35 95 1.00 1.53 1.01 0.99 0.76 6.67 5.56 Q4 '12 128 0.88 1.35 9.00 7.50 7.46 Q4 '12 2.78 23.5 260 6.50 1.65 4.10 27.65 3.75 7.5 95 Q4 '12 1.15 2.80 7900 28.30 39.50 7.80 6.13 26.00 990 41.50 20000 Q4 '12 4.60 1.58 440 11.10 1720 4.29 2.66 Q4 '12 80.72 Q1 '13 1.30 95 1.04 1.53 1.04 0.96 0.74 6.92 5.77 Q1 '13 124 0.85 1.35 9.00 7.50 7.46 Q1 '13 2.85 23.7 260 7.20 1.65 4.20 28.19 3.70 7.5 93 Q1 '13 1.14 2.77 7800 28.00 39.00 7.80 6.23 26.00 980 41.00 20000 Q1 '13 4.69 1.59 442 11.10 1725 8.80 2.67 Q1 '13 82.99 Q2 '13 1.30 95 1.04 1.53 1.04 0.96 0.74 6.92 5.77 Q2 '13 124 0.85 1.35 9.00 7.50 7.46 Q2 '13 2.77 24.0 255 7.10 1.67 4.20 27.75 3.60 7.5 92 Q2 '13 1.13 2.75 7700 27.70 38.50 7.80 6.20 26.00 970 41.00 20000 Q2 '13 4.78 1.60 445 11.17 1730 8.80 2.68 Q2 '13 82.99 Q3 '13 1.30 95 1.04 1.53 1.04 0.96 0.74 6.92 5.77 Q3 '13 124 0.85 1.35 9.00 7.50 7.46 Q3 '13 2.85 23.5 260 7.00 1.69 4.10 29.07 3.70 7.5 91 Q3 '13 1.13 2.73 7600 27.50 38.00 7.80 6.17 26.00 960 41.00 20000 Q3 '13 4.86 1.61 447 11.25 1740 8.80 2.69 Q3 '13 82.99 Q4 '13 1.30 95 1.04 1.53 1.04 0.96 0.74 6.92 5.77 Q4 '13 124 0.85 1.35 9.00 7.50 7.46 Q4 '13 2.85 23.3 260 6.90 1.69 3.95 27.75 3.70 7.3 90 Q4 '13 1.13 2.70 7500 27.50 38.00 7.80 6.15 26.00 950 41.00 20000 Q4 '13 4.95 1.62 450 11.30 1750 8.80 2.70 Q4 '13 82.99 Q1 '14 1.34 92 0.97 1.70 1.00 0.95 0.76 6.94 5.07 Q1 '14 123 0.79 1.30 9.30 6.80 7.46 Q1 '14 2.65 23.1 250 6.69 1.54 3.90 27.75 3.55 7.4 85 Q1 '14 --------------------------------------------Q1 '14 ----------------------------Q1 '14 79.73

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Foreign Exchange
Ray Attrill Steven Saywell James Hellawell Kiran Kowshik Mary Nicola Drew Brick Chin Loo Thio Robert Ryan Jasmine Poh Gao Qi Bartosz Pawlowski Dina Ahmad Erkin Isik Diego Donadio Head of FX Strategy America Head of FX Strategy Europe Quantitative Strategist Currency Strategist Currency Strategist Head of FX & IR Strategy Asia FX & IR Asia Strategist FX & IR Asia Strategist FX & IR Asia Strategist FX & IR Asia Strategist Head of FX & IR Strategy CEEMEA FX & IR Asia Strategist FX & IR Asia Strategist FX & IR Latin America Strategist New York London London London New York Singapore Singapore Singapore Singapore Shanghai London London Istanbul So Paulo 1 212 841 2492 44 20 7595 8487 44 20 7595 8485 44 20 7595 1495 1 212 841 2492 65 6210 3262 65 6210 3263 65 6210 3314 65 6210 3418 86 21 2896 2876 44 20 7595 8195 44 20 7595 8620 90 216 635 29 87 55 11 3841 3421 raymond.attrill@americas.bnpparibas.com steven.saywell@uk.bnpparibas.com james.hellawell@uk.bnpparibas.com kiran.kowshik@bnpparibas.com mary.nicola@americas.bnpparibas.com drew.brick@asia.bnpparibas.com chin.thio@asia.bnpparibas.com robert.ryan@asia.bnpparibas.com jasmine.j.poh@asia.bnpparibas.com gao.qi@asia.bnpparibas.com bartosz.pawlowski@uk.bnpparibas.com dina.ahmad@uk.bnpparibas.com Erkin.isik@teb.com.tr diego.donadio@@br.bnpparibas.com

Emerging Markets FX & IR Strategy

Production and Distribution, please contact : Roshan Kholil, Foreign Exchange, London. Tel: 44 20 7595 8486, Email: roshan.kholil@uk.bnpparibas.com

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Foreign Exchange Strategy Thursday, 28 July 2011 http://www.GlobalMarkets.bnpparibas.com