Foreign Exchange

London 08:00

FX Daily Strategist: Europe

EURUSD vs. 1-Yr X-Currency Basis Swap
1.500 1.475 1.450 1.425
E UR /US D

-10 -15 -20 -25

B a sis P o ints

T.Bill yield rise and evidence of Money Market Fund cash hoarding raises risk of liquidity squeeze as US debt ceiling impasses persist. Risk that CHFJPY could finally start falling US Q1 GDP, EZ July HICP, head a busy data calendar.

1.400 1.375 1.350 1.325 1.300 1.275 1.250 Jul Sep Nov 10 Jan Mar May 11 Jul

-30 -35 -40 -45 -50 -55 -60

Source : Reuters Ecowin Pro : There has been no strong evidence of dollar funding pressures emerging as the US debt ceiling impasse continues, but if the back up in August-maturity T.Bill yield yesterday were to translate through to the likes of X-Currency basis swaps on fears the US could default, EURUSD would quickly be subject to additional downward pressure.
GMT 07:30 07:30 08:00 08:00 Country SE (Q2) SE (Q2) IT (Jun) IT (Jun) 07:00 ES (Jul) Release Mkt HICP Flash % 3.0 (y/y) GDP Prel % (y/y) GDP Prel % (q/q) 0.6 PPI % (m/m) PPI % (y/y) Net Consumer Cr 0.25 bn GBP Mortgage Approv 46200 HICP (Flash) % 2.7 (y/y) HICP (Prel) % 2.8 (y/y) HICP (Prel) % -1.0 (m/m) CPI (NIC, Prel) % 0.2 (m/m) CPI (NIC, Prel) % 2.6 (y/y) GDP (Adv) % 1.7 (saar q/q) Employment Cost % (y/y) Employment Cost 0.5 % (q/q) GDP Deflator (A 2.0 Last 3.0 1.2 -0.1 4.5 0.2 45900 2.7 3.0 0.1 0.1 2.7 1.8 2.0 0.6 1.9

Another day passes with no sign of progress towards resolving the US debt ceiling impasse. Expectations were so low heading into Thursday that markets werent roiled as much as was the case on Wednesday, though the FT picked up on the news that the yield on T.Bills maturing on August 4 jumped to 20bp versus 7bp on recently issued 3-month bills. This is a clear sign of fear that the US Treasury may fail to meet redemptions on time in the coming week. This therefore ignored speculation that the President might invoke the 14th Amendment to issue an executive order to increase the debt ceiling regardless of a deal in the House or the Senate. The news fits with evidence that some Money Market funds have started hoarding liquidity since Monday, provisioning against redemption demand in the event of a US default (moving beyond precaution to deal just with a singleagency ratings downgrade and which we now think is close to being priced in). There were no parallel signs of stress in the likes of EUR crosscurrency basis swaps, but it does have us speculating whether liquidity hoarding will be a key feature of Fridays market on the premise that we may well come in to work on Monday (August 1) to find a deal has not yet been struck to lift the debt ceiling. We therefore flag risks that the USD could draw support from the beginnings of a liquidity squeeze. While we have no doubt that central bank swap lines quietly renewed among the worlds major central banks last month would be mobilised in the event of severe liquidity stress, this would almost certainly not be until after market stresses had started boosting the dollar (forced buying of what had become too expensive to borrow). Also with an eye on weekend/Monday morning event risk, and after Brazils move this week to impose punitive taxes on BRL FX inflows, we are on guard for a more meaningful correction in CHFJPY. We remain sceptical of BoJ intervention anytime soon other than in the context of another very disorderly move lower such as we saw in March, while evidence that the Swiss economy is now creaking under the weight of exceptional CHF strength may means the Swiss authorities are not a million miles away from announcing some form of capital control. The extent of short USDCHF exposure also means that a dollar liquidity squeeze could also see USDCHF jump higher. There is plenty of top drawer data to while away the time until the next act of the US debt ceiling drama plays out, uppermost being US Q2 GDP and where we are below market looking at 1.0% vs. the 1.8% consensus. If growth proves not to have even recorded a 1% handle the dollar should suffer, Chicago PMI (expected to show a small fall) and the final University of Michigan CSI (seem rising slightly) will also be of interest. Eurozone data is thick on the ground and where the first July CPI estimate is probably the highlight. After German CPI surprised to the upside this week, risk is that the EZ one does likewise vs. the 2.7% (unchanged) consensus. EUR should derive some support via ECB expectations were this to be the case.
NY: +1 212 841 2408 Sing.: +65 6210 3263/3347

08:30 GB (Jun) 08:30 GB (Jun) 09:00 EU (Jul) 09:00 IT (Jul) 09:00 IT (Jul) 09:00 IT (Jul) 09:00 IT (Jul) 12:30 US 12:30 US 12:30 US 12:30 US

This is not classified as objective research. Please refer to important information at the end of the report.
http://www.globalmarkets.bnpparibas.com London: +44(0)20 7595 8086

NEWS Europe: The IMFs board held an informal board meeting to brief directors on Europe's new Greek financing deal, according to a person familiar with the matter. No decisions were taken at the meeting. Rather, directors were able to press management on exactly what was agreed to last week and what details are still left to be hashed out. (Reuters) France is calling for speedy implementation of the latest Eurozone bail-out plan for Greece, to bolster flagging confidence in the deal and stymie market speculators betting against its success. The 17 members of the eurozone must shorten the timetable to ensure there is no room for speculators. They have to realise there is no future in that. That is what France is doing, said Franois Baroin, French finance minister. (FT) ECBs Mersch: Risk of larger impact of imported inflation; Euro zone monetary policy still accommodative; Continued euro zone economic recovery, albeit slower pace; Talk of end of euro unfounded. (Reuters) ECB survey shows sharp slowdown in lending confidence; Tightening of lending rules expected to continue; Will add to ECB's fears of slowing economy. (Reuters) Greek FinMin Evangelos Venizelos said Europe's problem is wider than 3 bailout countries. Italy's Agriculture Minister Saverio Romano dismissed rumours on Thursday that Economy Minister Giulio Tremonti was preparing to resign, saying the talk seemed to be without any foundation. The rise in Italy's borrowing costs may put in doubt its participation in the next tranche of the Greek bailout in September, euro zone officials said. In a conference call of euro zone finance officials on Thursday, during which the next tranche of emergency loans for Greece was discussed, Italy said it might have to use the "step-out" option in September if its own financing costs rise higher the those on the Greek loans. (Reuters) United States US Initial Jobless Claims beat expectations, coming in at 398k vs. consensus of 415k. The previous weeks number was revised higher from 418k to 422k. US pending home sales rose 2.4%m/m and 17.3%y/y in June. The Boehner Budget Plan is set for vote in Congress, but Senator Harry Reid says that house debt plan will be defeated in the Senate.

The U.S. Federal Reserve on Thursday set criteria for banks and savings associations to be counterparties eligible to participate in reverse repurchase transactions. (Reuters) S&Ps Chambers says USD will remain as key reserve currency under any scenario for a long time. (Reuters) Feds Lacker says more Fed stimulus could life inflation not growth and pace of the recovery has been disappointing. Lacker also says that unemployment will remain high. (Reuters) Feds Williams says US default must be avoided even as nation comes to terms with fiscal problems. He mentions that the US recovery is stuck in second gear and pace of jobs growth has slowed to a crawl. He also says that the Feds policies may not have been enough to usher in robust recovery, but did prevent deflation. (Reuters) Non-executive Chairman of Morgan Stanley, Stephen Roach says that Senior Chinese officials are appalled by the impasse among US politicians on raising the nations debt ceiling to avoid a default. (Bloomberg) Australia/ New Zealand/Canada New Zealand Building consents unexpectedly pulled backed by 1.4% over June after a revised upwards 2.4% rebound in May and contrary to forecasts centered on a 3.0% bounce. Excluding the volatile apartments component, issuances fell by an even larger 4.5% pace versus a mere 0.9% rise prior. On the year consents were down 22.5%. (IGM) Australias Private sector credit growth unexpectedly contracted by 0.1% over June, contrary to mkt forecasts on a 0.4% gain and after a 0.3% rise in May. On the yr, credit growth rose by 2.7% vs 3.1% prior. Business credit contributed to the month on weakness, to decline by a steep 0.7% after May's flat reading. Otherwise housing sector credit rose by milder 0.3% vs 0.5% prior whilst credit growth for other personal fell by 0.4% after dipping 0.1% prior. (IGM)

Japan Japanese prelim industrial production gained by a weaker than expected 3.9% pace over June, disappointing less than forecasts on a 4.5% rise and after an impressive 6.2% gain in May (most in a near 60yrs). However predictions on manufacturers output, the core component of production came in better than expected; with July's forecast revised up 2.2% to vs a prelim 0.5% increase. (IGM) Japanese overall household spending continued to disappoint over June, rising by a mere 0.8% pace over the mth versus forecasts on a 2.0% rise and after a 0.3% decline prior. On the year; spending remained negative, and fell by a deeper 4.2% pace compared to

Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com

expectations on a 2.3% fall, and versus a 1.9% decline in May. (IGM) Core nationwide inflation in Japan rose positively for the 3rd month running, albeit at a more modest pace; with June's nationwide core inflation index rising by 0.4% y/y versus a 0.6% gain in May and Apr and slightly lower than forecasts on a 0.5% rise. Ex fuel and food, prices inched up by a further 0.1% y/y to post their 2nd straight annual rise in over 2yrs. However Tokyo core Jul prices as a more up to date precursor rose by a firmer 0.4% pace (f/c 0.2%) vs 0.1% prior. (IGM) Japan's unemployment rate nudged back up to 4.6% in June from 4.5% prior, contrary to market forecasts on a steady 4.5% reading; but in a positive sign, the jobs-to-applicants ratio rose to 0.63 (f/c 0.61) from 0.61 prior, meaning there were now a higher 63 jobs avail per 100 workers. (IGM) Japan Inc. Feels Push to Work Overseas In an admission that the yen's relentless surge could ultimately force more outsourcing from Japan, some of the country's leading technology companies warned Thursday that keeping current levels of production in the country could become nearly impossible. (WSJ) Japan escalates warning on yen to protect recovery Japan escalated on Friday its warning to markets against testing the yen's upside further, with the finance ministry signalling that Tokyo may not wait for too long with action if the currency keeps climbing. (Reuters) Japan Noda: mulling how long Tokyo can ignore yen rise Japanese Finance Minister Yoshihiko Noda said on Friday he will carefully examine how long Tokyo can leave current exchange-rate moves without acting, issuing a strong warning against persistent rises in the yen. (Reuters) China China Slams U.S. Over Debt: With Beijing's Choices Limited, U.S. Sees Little Change in Its Treasury Purchases As China criticized U.S. leaders over their debt wrangling, a U.S. official said the U.S. doesn't see any significant change in the pattern of Chinese bond purchases, reflecting the limited choices Beijing has in managing its money. (WSJ) ADB warns on China slowdown China's growth faces downward risk in the coming months amid global economic uncertainties and fast-rising domestic inflation, the Asian Development Bank (ADB) said on Thursday. (China Daily) Chinas railway ministry plans to withdraw from regional rail investments partly because of heavy debt, the 21st Century Business Herald reported today, citing three unidentified people. The ministry had a debtto-equity ratio of 58.24 percent as of the first quarter of the year, compared with 46 percent in 2008, according to the Guangzhou-based newspaper. Tight credit and the removal of preferrential interest rate loans may also Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com

cause the ministry to pull out of investments, according to the newspaper. (Bloomberg) Chinese Premier Wen Jiabao has tried to quell rising public anger by visiting the scene of last weekends high-speed rail crash and vowing to severely punish those responsible for the accident that killed 39 people and has fuelled concerns about the safety of the countrys bullet train system. In an apparent attempt to narrow the focus of the blame, a railway official pointed the finger at a small research institute in Beijing for designing a signal system with a severe defect, and the institute in turn said it would shoulder the responsibility. (FT) The Hong Kong Monetary Authority on Thursday relaxed some restrictions on local banks' yuan trading, a change bankers say could boost liquidity in the offshore yuan forwards market and aid development of related derivatives products. Yuan deposits in Hong Kong have been growing rapidly since mid-2010, fueled by Beijing's efforts to boost the use and circulation of its currency offshore. Those deposits came to 550 billion yuan ($85.4 billion) at the end of June, six times the year-earlier total. (WSJ) Hong Kongs yuan deposits climbed at the slowest pace in 21 months in June as payments to mainland China for cross-border trade outstripped those flowing into the city, according to the head of the citys de facto central bank. Deposits were 550 billion yuan at the end of June. That compares with 548.8 billion yuan in May. (Bloomberg) SAFE: China does not pursue large-scale reserve holdings, reserve build-up not direct cause of inflation, pledges to diversify reserve assets, no mention of U.S. debt, pledges to widen channels for capital outflows. (Reuters) People's Bank of China fixed the yuan's mid-point at 6.4442 against the dollar on Friday, slightly weaker than Thursday's 6.4438. (Reuters) Other Asia: South Korea's industrial output rose 6.4% y/y in June, slowing from revised 8.1% y/y (initial 8.3%) May. The figure was below market f/c of 7.0% and marked the slowest pace in 9 mths amid slowing exports of semiconductor chips and consumer electronics. Exfactory shipments +5.6% y/y in June; retail sales +5.6% y/y in June. Indus production rose 0.7% m/m in June vs 1.6% m/m May. (IGM) Leading index rose 1.7% yoy in June, up from 1.3% in May. The better reading keeps hopes alive for a BoK rate hike on August 11th. Taiwan President Ma Ying-jeou said Thursday that debt problems in the U.S. and Europe could slow global economic growth in the second half of this year and may impact Taiwan's export-reliant economy. (WSJ)

AUDs Future is Rosy Asian FX Appreciation & Sovereign Demand are Key
The robustness of AUD despite the diminishing of its yield advantage suggests the real drivers lie elsewhere The key drivers appear to be robust sovereign demand, its role as a proxy for Asian FX appreciation and the terms of trade improvement. We believe that AUDUSD will appreciate further towards 1.15 The outperformance of AUDUSD relative to expected interest rate differentials is not likely to be the catalyst for a sustained pullback on AUD. There has been much market discussion on the breakdown of this traditional relationship (chart 1). We suggest that interest rate markets are not pricing in sufficient tightening from the RBA. Our economists are calling for a 25 bp hike in Q4 assuming that global downside risks do not crystallise. Further tightening is also likely in 2012 if the same conditions hold in contrast to almost flat market expectations. This weeks upside surprise to Q2 CPI revealed an acceleration in underlying inflation to 2.7% y/y and is likely to nudge higher over the balance of the year. In contrast, recent weak data in the US suggest little potential for a near-term increase in market expectations for Fed tightening. Accordingly, we believe there are prospects for the benchmark 2-year yield spread to move in favour of AUD over coming weeks. Still, the robustness of AUD despite the diminishing of its yield advantage suggests the real drivers lie elsewhere. The strong trend higher in Australias terms of trade appears consistent with the appreciation of AUD (chart 2). The commodities boom continues to support the rise in prices of exports relative to imports while ongoing strong demand from Australias major trading partners, including China, should see this trend persist. This data series is only released quarterly but more recent CRB data is consistent with the terms of trade remaining at elevated levels. It is interesting to note that the moderation in Chinas growth indicators since the second half of 2010, especially the PMI, has not produced a pullback in AUD. Such a divergence suggests that the improvement in Australias terms of trade is more broadly based that merely being a reflection of Chinese growth prospects. AUD may have become an FX proxy for general Asian currency appreciation. AUDUSD appears very closely linked to USDCNY 12-months NDFs and does not appear to have outpaced CNY appreciation (chart 3). This link seems reasonable given Australias geographic location and its exposure to emerging Asian economies. Specifically, as official intervention remains a significant risk from many of the regions central banks there has been very little verbal opposition from Australian officials. The RBA has been capitalising on recent AUD strength to build official reserve assets but the rise has been moderate in recent months standing at AUD 41.1 billion as at the end of June. In our opinion, the strongest rationale behind AUD appreciation remains demand form sovereign funds and central banks. In a world where both EUR and USD have faced debt market issues, alternatives such as AUD, CAD, GBP, JPY and SEK continue to benefit. Data on Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com

Chart 1: AU-US 2y yields spread

Source: BNP Paribas

Chart 3: AUDUSD vs. CNY 12m NDFS

Source: BNP Paribas

specific AUD demand is scarce. The official IMF COFER data for Q1 (IMF COFER Q1 Update EUR Conundrum) reveals the largest rise by category among countries that do report reserve breakdown by currency was among the non-specific other group of currencies at 12.6% q/q. This category relates to non-USD, EUR, JPY, CHF and GBP G10 holdings. We assume this group pertains mainly to AUD and CAD but a breakdown is unavailable and also excludes holdings from the largest foreign exchange reserve holder China. Separately, monthly data from the RBA reports a sharp increase in total foreign ownership of Commonwealth Securities (chart 4). The total has surged from AUD 57.8 billion at the end of 2008 to AUD 191.3 billion as at June 2011. This data series likely underreports total foreign held securities as purchases through local subsidiaries in Australia are likely excluded from the foreign total. Accordingly, the trend of rising holdings of AUD assets by foreign reserve managers appears clear.

In summary, we do not believe the divergence between AUDUSD and relative near-term interest rate expectations will be a catalyst for a sustained AUD pullback. Indeed, the robustness of AUD despite the pullback in its yield advantage suggests the real drivers lie elsewhere. In contrast, the ongoing rise in Australias terms of trade supports the currencys appreciation while the likely role of AUD as a proxy for Asian appreciation present strong prospects for further appreciation. Finally, reserve manager demand is rising and should continue to remain strong. Strategically, we believe that AUDUSD will continue to appreciate beyond new multi-decade highs above 1.10 towards 1.15.

Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com

Daily Currency Summary

G3
While in recent days the US has dominated, price action has turned a tad more nuanced with the EUR under pressure. Weaker data has shifted the focus following last weeks EU Summit to fiscal sustainability longer term explaining the sharp up tick in Spain Sovereign CDS yesterday. Moodys placing Spains credit rating on review for a possible downgrade today didnt help, and this in itself at the very least, suggests a neutral EURUSD profile in the near term in the 1.4200-1.4400 range. The key data focus today will be Q2 GDP, where our economists look for a weaker reading of 1.0% (consensus at 1.8%). We also have the July Eurozone CPI estimate where an upside surprise to the 2.7% consensus (following German CPI Wednesday) is likely, though today may unlikely be the day to play ECB tightening expectations via the EUR. EURUSD did manage to recover from 1.4254 lows Thursday and close back above the 1.4320/30 layer of support, (50,100-day MAs). These levels will be scrutinised today ahead of a hoped for vote on the US debt ceiling this weekend. Despite a somewhat firmer USD backdrop with risk off, USDJPY looks likely to grind lower, having marked a fresh post earthquake low of 77.46 today. Viewed strictly from an economic point of view, intervention seems likely when you have leading growth indicators (PMIs) gaining strongly and even CPI inflation moving higher above 0. However, Economics Minister Yosanos comment (as per Jiji news) Thursday that intervention in the FX market before August 2nd is unlikely draws implicit recognition that the JPY strength being seen is down to a weaker USD on account of the debt impasse. Moreover, the comment that a JPY 1-2trn intervention (recall 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. EURJPY has come under immense pressure since yesterday following German FinMin Schaeuble comments and the pair has broken 111.50 support and back down to 110.60. 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. A sustained move below 110.70 (near July 18 low) could see further declines, though clearly the more vulnerable crosses could be Scandies/JPY today.

EURUSD

USDJPY

JPY Crosses

EUR Bloc
EURGBP is facing some near term pressure with financials under pressure in Europe and has already closed below the 100dma (now 0.8818) and a break below 0.8745 retracement support from July 18-26 rally) could see the pair come under further pressure near term. The 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. BOEs Miles reiterated his dovish view saying he saw a risk of the UK falling back into a recession. Looking ahead, manufacturing and services PMIs (due first week of August) will be important. 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) and USDCHF has continued to remain under pressure though the past three sessions has seen the 0.7990 level hold very well. While evidence that the Swiss economy is now creaking under the weight of exceptional CHF strength (e.g. June KOF) may means the Swiss authorities are not a million miles away from announcing some form of capital control. The extent of short USDCHF exposure also means that a dollar liquidity squeeze could also see USDCHF at least retrace higher within a 0.8000-0.8150 range near term). Chart wise, 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. Moreover, crude oil has been holding up rather well, in part explaining the stickiness in USDNOK of late. July jobs data on tap Friday. SEK managed to make a comeback against both the EUR and USD on Thursday. The focus for Sweden will be on the Q2 GDP later to which is likely to ease further. A disappointment will lead to further SEK downside. But, with gridlock over the US debt ceiling, the concern is tighter USD liquidity. SEK is particularly vulnerable given the Swedish banking sector is heavily reliant on short term USD funding. Assuming a default is averted, we still think the SEK will strengthen on its good characteristics. 6.40 will be key for USDSEK on the topside.

EURGBP

EURCHF

EURNO K

EURSEK

USD Bloc
USDCAD climber above 0.9500 on Thursday. USDCAD could gain should a broader risk-off (hence USD positive) move intensify further. The 0.9525/35 highs from last week are important short term resistance. Locally, May GDP figures on Friday will be eyed, where an unchanged 2.8% reading is expected. AUDUSD was unable to sustain its previous gains on Thursday falling below 1.100. A broader risk off move can leave AUD vulnerable. 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; the market has interpreted this as the RBNZ will likely take back the emergency 50bp cut at the next meeting and then remain on hold after that. Thus, we see NZDUSD as a buy on dips.

USDCAD

AUDUSD

NZDUSD

Foreign Exchange Strategy Friday, 29 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

Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com

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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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BNP Paribas (2011). All rights reserved.

Foreign Exchange Strategy Friday, 29 July 2011 http://www.GlobalMarkets.bnpparibas.com