Economics & Strategy Research
Macro Insights Weekly
US treasury supply and demand
Economics/Strategy/Rates/FX/Credit
Group Research
30
Taimur Baig Ma Tieying
Chief Economist Senior Economist
taimurbaig@dbs.com matieying@dbs.com
Please direct distribution queries to
Violet Lee +65 68785281 violetleeyh@dbs.com
• US bond market has been remarkably
volatile lately. In the last five weeks,
yields have risen and fallen by nearly
50bps in each direction. Signs of
unrest in the world’s largest debt
market?
• The demand/supply dynamic appears
precarious.
• The Fed is cutting its treasuries
holding, while the treasury is boosting
issuances.
• But both US and international private
sectors are eager buyers of US
government debt.
• Both the nominal and real yields
offered by short- and long-term US
debt are attractive.
• Volatility notwithstanding, the US
public sector debt remains well-bid.
November 14, 2023
Key data release and events this week:
• Anticipated slowdown in 3Q GDP for
Japan and Malaysia
• Expected narrowing of Singapore’s NODX
decline in October
• The central banks in China and the
Philippines are expected to maintain their
current policies this week
Chart of the Week: Holding of US treasuries
China and Japan have reduced their holdings of
US treasuries lately, just as the US Federal
reserve has shrunk its balance sheet. The trend
is not all negative, with the holdings of UK and
Belgium rising. But the key support for US
treasuries is coming from the private sector.
Both US and non-US private sectors’ holding of
progressively higher yielding US treasuries have
gone up considerably over the past year. There
may be a lot of treasuries in the supply pipeline,
but demand is not anaemic either.
Top 5 foreign holders of US treasuries
billions
$1,400
Japan
$1,200
China
$1,000
$800
$600 UK
$400 Luxemburg
$200 Belgium
$0
2022 2023
Source: Fred database, DBS
Refer to important disclosures at the end of this report.
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Commentary: US treasury supply and demand In fact, the key support for US treasuries is
coming from the private sector. Both US and
US 10-year bond yield has risen by 230bps since
non-US private sectors’ holding of progressively
the beginning of last year, a sizeable increase by
higher yielding US treasuries have gone up
historical standards. Lately, the increase has
considerably over the past year.
also been accompanied by considerable
volatility. Just in the last five weeks, yields have
risen and fallen by nearly 50bps in each
direction. Signs of worrisome unrest in the
world’s largest debt market?

The first and second reason for rates volatility

are inter-related. US Federal Reserve’s policy
rate hikes and quantitative tightening programs
have, over the past year and a half, caused
monetary conditions to tighten, pushing up the
entire yield curve. As the policy cycle matures
and markets begin to price in, first an end of
rate hikes, and then eventual rate cuts, some
volatility in rates should be expected.
Why is the private sector so keen? The answer
There is also the matter of bond is simple—attractive nominal and real yields. At
supply/demand. US Fed is cutting its holding of 5.5% at the short-end and 4.5%+ at the long-
treasuries, while the treasury’s issuances are end, US treasuries and the USD are attractive
ballooning to finance a 15% jump in worldwide. Easing inflation has also boosted
government debt/GDP ratio since 2020. the real yield from the treasuries. The US public
billions Fed treasury holdings debt has no shortage of takers.
$5,500 Long term real interest rates
$5,400
End-22
$5,300 0.7
$5,200 Latest-23
$5,100
$5,000 -2.3
-1.9
$4,900
$4,800 -2.1
Japan
$4,700
$4,600 -4.1
US
$4,500
-5.4
EU
Source: DBS, CEIC. Long term rates calculated by
Source: Fred, DBS
taking the difference between 10-yr bond yield and
But even as the Fed has been reducing its average inflation for the year
holdings, the demand side has not faced any
meaningful shortfall. Taimur Baig
Page 2
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Tactical trade ideas

Trade Entry Exit Rationale Returns

Running
FX
Lifted USD/INR forecast to a higher 83-85 range vs.
1) Long USD/INR 83.0 (22 Sep) 0.40%
81-83 over the past year
ECB's first pause followed by surprises at US GDP
2) Short EUR/USD 1.0560 (25 Oct) -1.12%
and PCE deflators ahead of FOMC meeting.
Rates
Bet on JPY rates playing catch up to global
2) Pay 5Y JPY OIS 0.68% (1 Nov) -4bps
tightening
Shift receive from back end to front end as a
3) Long 2Y SGS 3.50% (7 Nov) +5bps
recession hedge
Note: Performance for Rates ideas are expressed in running basis points and percentage terms.

Key forecasts for the week regional central banks will continue to monitor
Event DBS Previous
the US dollar and UST yield movements to
Nov 14 (Tue)
US: CPI (Oct) 3.4% y/y 3.7% y/y gauge the impact on the domestic financial
Nov 15 (Wed)
markets. While the urgency for the BSP to hike
Japan: GDP (3Q P) 0% q/q saar 4.8% q/q saar
2.50% 2.50%
this month is low, we maintain our call for
China: 1Y MLF Rate
China: industrial production (Oct)
- retail sales
4.0% y/y
7.0% y/y
4.5% y/y
5.5% y/y
additional monetary tightening this quarter,
- fixed asset investment 3.1% y/y ytd 3.1% y/y ytd subject to global developments.
Indonesia: exports (Oct) -15.1% y/y -16.2% y/y
- imports -6% y/y -12.5% y/y
- trade balance USD3.0bn USD3.42bn
People’s Bank of China (Nov 15): The PBOC is
Nov 16 (Thu)
Japan: exports (Oct) 0.7% y/y 4.3% y/y expected to maintain the 1Y MLF rate at 2.50%
- imports -16.3% y/y -16.4% y/y
- trade balance -JPY288.7bn JPY72.1bn this week, as the economy has shown some
BSP overnight borrowing rate 6.50% 6.50%
US: industrial production (Oct) 0.2% m/m sa 0.3% m/m sa signs of stabilization. Although industrial
Nov 17 (Fri) production is projected to ease from 4.5% YoY
Singapore: non-oil domestic exports (Oct) -7.5% y/y -13.2% y/y
Malaysia: GDP (3Q) 3.0% y/y 3.3% y/y in September to 4.0% in October due to
weakening external demand, the performance
Central bank policy meetings
of other sectors is improving. Retail sales are
expected to have accelerated further from 5.5%
Philippines’ BSP (Nov 16): The evolving
YoY in September to 7.0% in October.
inflation-growth-currency dynamics lower the
Consumption sentiment was largely favorable
need for a follow-up rate hike at the scheduled
during the Golden Week Holiday, with domestic
policy review this week. Since the BSP’s
tourist traffic and tourism revenue increasing
intermeeting hike in late-Oct23, the incoming
by 4% and 2%, respectively, compared to 2019
inflation outcome surprised on the downside,
levels. One of the e-commerce giants also
whilst 3Q GDP growth beat consensus to rise
reported record-high "Single-Day Gala" sales
5.9% yoy from 2Q’s 4.3%. The US Fed’s pause
volumes. Meanwhile, property sales also
this month has also provided a breather to the
showed relative stabilization in tier 1 cities,
Asian counterparts, though we reckon that the
translating into a positive wealth effect. Fixed

Page 3
Macro Insights Weekly: US treasury supply and demand November 14, 2023

asset investment is expected to remain at 3.1%
YoY YTD, with investments in strategic sectors
such as infrastructure, EVs, and renewables
offsetting the shortfall in property investment.
That said, the PBOC is now waiting for the
impact of recent stimulus to unfold before
considering another round of rate cuts.
Forthcoming data releases
Japan: The preliminary estimate for 3Q GDP is
scheduled for release this week. We expect a
technical payback, bringing GDP growth to
nearly 0% after the robust 4.8% QoQ saar
expansion experienced in 2Q. Notably,
consumption growth seems to have
accelerated in 3Q, attributed to a buoyant stock
market and a modest uptick in wage growth.
The recovery trajectory of goods and services
exports is evident, facilitated by a weakened
yen, reinforced trade competitiveness, and an
increase in tourist inflows. However, data
signals a significant ongoing decline in
investment, driven by subnormal capacity
utilization and continued restraint on new
capital expenditures. Our full-year GDP growth
forecast stands at 2.0%, with an expectation of
a slower growth rate of 1.0% in 2024.
remained a bright spot, boosted by multi-year
infrastructure projects.
Singapore: Singapore’s non-oil domestic
exports (NODX) year-on-year (YoY) fall likely
narrowed for the second straight month to
7.5% in Oct vs Sep’s fall of 13.2% YoY, in our
view, even though the decline extended for the
13th consecutive month. Base effects became
more favourable at the start of 4Q23. The
improvement in new export orders of the
manufacturing purchasing managers index
(PMI) also signalled better days for overseas
shipments, notwithstanding the still uncertain
global economic climate. Sep’s narrower
contraction in electronics and non-electronics
exports could have both extended into Oct,
albeit at varying pace.
Economics Team

Malaysia: We expect Malaysia’s 3Q23 final real

GDP growth to come in at 3.0% YoY, lower than
the advance estimate of 3.3%, and steady vs
2Q23’s 2.9%. The export-oriented
manufacturing sector remained in the
doldrums, amid global external headwinds and
an uncertain environment. The services sector,
which accounts for ~60% of the economy,
performed softer than advance estimates, even
though growth remained resilient in 3Q23,
supported by sturdy household spending and
improving inbound tourism. Construction

Page 4
Macro Insights Weekly: US treasury supply and demand November 14, 2023

India: Inflation eases to a five-month low have shown that vegetables driven shocks
prove to be short-lived, as supplies arrive in a
India’s October inflation rose by a slower 4.9%
couple of months. Stabilising global oil prices
yoy vs 5% month before, helped by base
lowers one source of uncertainty for the time
effects and stabilising food prices.
being.
Food price inflation was steady at 6.6% yoy,
The central bank will draw comfort from the
with vegetable prices up 3.4% MoM after two
persistent moderation in core pressures. Yet,
months of decline. Retail high frequency data
policymakers will prefer to stay cautious on
had seen onion prices firm up in recent weeks,
the outlook, expressing clear guidance that the
with its impact filtering through the food
committee sees 4% as the inflation target and
component, besides cereals, pulses, protein
will not be comforted by levels north of the
sources (eggs) and sugar. Weather disturbances
target. Being mindful of the higher-for-longer
resulted in a delay in harvest arrivals, stoking
narrative from the US Fed, the central bank’s
onion/ vegetable prices. The government has
interventionist bent has led the USDINR
been swift in its response to rising onion prices,
volatility to tumble in recent months, with the
imposing export duties, setting minimum
recent 1M implied INR vols only a shade above
export prices, and offloading buffer stocks. The
the pegged USDHKD in the region, as cited by
urgency is underscored by the fast-approaching
press. Market participants will be wary of
festive period, as well as a busy election
breakout risks. On rates, tracking global yields,
calendar.
IN 10Y bond yield (generic) pulled back from
highs this week, albeit lingering uncertainty
Fuel inflation declined -0.4% YoY due to a high
over the timing of the RBI’s OMO marked a
base last year when commodity prices were
floor, limiting recent moves to 7.25-7.35%.
elevated, notwithstanding higher kerosene
Despite an absence of outright OMOs, official
prices. Approaching elections and a correction
data showed that the central bank was active in
in global oil prices lower the likelihood of an
bond sales in the secondary market till last
upward adjustment in retail pump prices. Core
week.
CPI inflation (ex-food and fuel) eased sharply to
4.2% yoy vs 4.5% month before.
State elections are underway in five states, with
results due on 3-Dec. This includes the key
The path ahead is likely to be dictated by food
heartland states of Madhya Pradesh,
price trends influenced by weather conditions.
Chhattisgarh, and Rajasthan, besides Mizoram
Policymakers will nonetheless be comforted by
in the north-east and Telangana in south. The
subdued core readings, which reflects limited
past outcome of the state polls has had modest
passthrough of the supply-side shocks. With
bearing on the results of the general elections
onion prices quickening in early November and
(next scheduled for Apr-May24). Yet, market
other vegetables bottoming out in midst of
participants will focus on the Dec23 results to
festive demand and supply shortages in few
get colour on the popularity of the incumbent
segments, the trend suggests inflation will
as well as the new opposition coalition.
return to 5% + level in November. Past cycles
Radhika Rao

Page 5
Macro Insights Weekly: US treasury supply and demand November 14, 2023

FX: Navigating a complex terrain economy is unlikely to repeat its exceptional

performance in 3Q23, the UK economy is
The US dollar’s sell-off on this month’s lower
bordering on recession. UK’s GDP growth may
US nonfarm payrolls could be another head
have avoided negative growth in the third
fake, like the episode in early July. DXY
quarter, but domestic demand did not. The
recovered from 105 to 106 last week, near the
unemployment rate increased steadily to 4.3%
level from which it fell. Back then, the Index DXY
in July from 3.7% in January. Hence, it was not a
plunged to the year’s low of 99.6 on 14 July,
surprise that the Bank of England kept the bank
only to end at the year’s high of 107.3 on 3
rate unchanged at 5.25% for a second time on 2
October. The Fed pushed back against the
November. We doubt that GBP/USD can keep
market’s rate cut bets with a “higher for longer
diverging with the negative 10Y UK-US bond
rates” narrative backed by a hike in July that
differential.
propelled the US 10Y bond yield to 5%. The
greenback also looked past Fitch’s decision to
Negative yield differential limits GBP's upside
remove the US’ triple-A debt rating on 1 August
80 1.32
over the federal debt ceiling crisis. The rating UK-US 10Y bond
downgrade was eclipsed by a significant 60 differential 1.30
(bps, LHS)
improvement in the US economic outlook, in 40 1.28
contrast to the stagnation in the Eurozone and
20 GBP/USD 1.26
the UK economies. (RHS)
0 1.24
No panic USD selling like in July
-20 1.22
108
DXY Index
107 -40 1.20
Fed
106 -60 1.18
pause
105 Jan-23 Apr-23 Jul-23 Oct-23
104 Sources: DBS Research, Bloomberg data
103
Softer NFP
102 More importantly, Fed Chair Jerome Powell
101 Fed and his colleagues emphasized last week that
Softer CPI hike
100 inflation was too high above the 2% target to
99 consider rate cuts. They also kept the door
98 open for another hike on 13 December despite
Jan-23 Apr-23 Jul-23 Oct-23
holding rates unchanged for two straight
Sources: DBS Research, Bloomberg data
meetings. This point became evident and
relevant after the Reserve Bank of Australia
Hence, any USD depreciation from today’s US
hiked by 25 bps to 4.35% on 7 November
CPI inflation softening to 3.3% YoY (consensus)
following four pauses. The European Central
in October vs. 3.7% in September could be
Bank also sees inflation staying firm in the
reversed by tomorrow’s accelerated decline in
coming months and has been pushing back
UK CPI inflation to 4.7% (consensus) from 6.7%
against rate cut expectations. Finally, USD/JPY
for the comparable periods. Although the US

Page 6
Macro Insights Weekly: US treasury supply and demand
is taking the Fed’s hawkish stance seriously by
staying near the year’s high of 151.70.
Neither will markets read too much into
Moody’s lowering the outlook for the US’
triple AAA debt rating to negative from stable
last Friday. First, the US government will not
default on its debt obligations because of the
bipartisan agreement in early June to suspend
the federal debt ceiling to January 2025.
Second, Moody’s decision could become a
blessing in disguise if it motivates Republican
and Democrat lawmakers towards some form
of continuing resolution to avert a government
shutdown by the 17 November deadline. In the
event they don’t, the greenback should stay
offered as they did during the past three
shutdowns. DXY also recovered after
government offices reopened.
USD/CNY sideways with a downside bias
7.35
7.30
7.25
7.20
7.15
1-Aug 1-Sep 1-Oct 1-Nov
Sources: DBS Research, Bloomberg data
The Biden-Xi meeting at the APEC Summit on
15 November is looming large this week. Many
countries hope the meeting will pave the way to
continue and enhance the high-level dialogues
initiated this summer aimed at stabilizing the
increasingly strained relations between the
world’s two largest economies. But will it be
November 14, 2023
enough for USD/CNY to break below the 7.26-
7.32 range established on 8 September?
Realistically, the complex relationship between
the US and China has become too deeply
entrenched in mutual distrust for both nations
to deviate from their adversarial path of
scepticism and rivalry. Xi will also meet US
business leaders to reassure foreign investors
to stay in China. Earlier this month, foreign
direct investments in China turned negative for
the first time since 1998 in 3Q23.
On a positive note, Chinese equities bottomed
last month after Beijing allowed the budget
deficit to widen to more than its stipulated 3%
of GDP. However, it remains to be seen if China
can reassure investors that the stimulus would
be enough to shore up its economy. Last week,
for October, the larger-than-expected decline in
China’s exports paled against South Korea’s first
export growth since September 2022. China’s
CPI inflation also turned negative for the second
time this year in October.
In conclusion, currency markets continue to
navigate a challenging and complex terrain.
Apart from the divergent paths for interest
rates promoted by the central banks and
markets, monetary policies appear too aligned
between central banks to repeat the USD sell-
off from November 2022 to January 2023.
Although the US economy will unlikely repeat
its exceptional performance in 3Q23, other
countries are not rushing to prove themselves
stronger. Fluctuating data and geopolitical
fragmentation have added to the volatility but
not the momentum to push exchange rates out
of their recent ranges.
Philip Wee
Page 7
Macro Insights Weekly: US treasury supply and demand November 14, 2023

USD Rates: Mulling the cross currents much, loosening financial conditions in the
process. Ditto, if long-end ends rise by too
The USD rates space has been struggling to find
much, too fast, prompting more cautious Fed
direction over the past two weeks. Moves have
speak a few weeks ago. Lastly, we note that the
been volatile but might not mean much amidst
UST curve has taken on a more pessimistic
shifting takes on the Fed, resurfacing of
tone (flattening with hues of stagflation
stagflation worries and politics. This week, all
worries) as compared to the stock market
eyes will be on US CPI data due on 14
where the S&P 500 has rebounded by over 7%
November. Consensus is expecting a downshift
since the low in late October.
of MoM and YoY CPI to 0.1% and 3.3%
respectively. However, core CPI is expected to
be sticky at 0.3% MoM and 4.1% YoY. CPI data
will be followed by retail sales data on 15 Eugene Leow & Duncan Tan
November. In the rates space, the curve has
been flattening amidst fears that the Fed will
keep rates high even as growth momentum
slows. Notably, 2Y yield have pushed back
above 5%, with the market once again pricing
in about 30% chance of a hike in January.
Meanwhile, longer-term USTs had a wake-up
call after the 30Y auction tailed by 5bps,
indicating that the sizable rally in the early part
of last week may be misguided.

Beyond macroeconomic data, investors have

to navigate a potential government shutdown
on 17 November (if a continuing resolution is
not passed), the Biden-XI summit on 15
November and Moody’s putting the US on
negative outlook last week.

Our broader strategy on rates has not changed.

We still think that rates across all tenors may
have peaked for this cycle and prefer to
receive when yields look stretched to the
upside. A pop higher in 2Y yields on the back of
inflation fears may tilt the risk-to-reward
towards receive. We hold a similar view on
longer-term UST but caution that levels are
important with 10Y yields still in the 4.45% to
5% range. Moreover, Fed officials may not be
comfortable if long-end yields drop by too

Page 8
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Credit: A respite for China property?

China Real Estate USD Credit: DACS Index Last week’s reports
% ann Real Estate & REITS Macro Insights Livestream November
9.00
8.00 Indonesia: Domestic drivers outweigh trade in
7.00 3Q GDP
6.00
FX: DEER recommendations (November 2023)
5.00
4.00 Taiwan: Economic trends around elections
Sluggish sales
3.00 and default
by mega
2.00 developer

1.00
Jun 22 Sep 22 Dec 22 Mar 23 Jun 23 Sep 23
Source: Bloomberg, DBS

Chinese real estate USD credit spreads have

widened out substantially since July, as the
industry grapples with a slowdown in sales,
limited financing avenues, and rising default
risks. Since early November however, there has
been a small compression in spreads on news
related to state support.

First, an SOE majority shareholder has liaised

with the State-owned Assets Supervision and
Administration Commission on possibly
providing support to a distressed mega
developer, which could include project co-
operation and subscription of bonds. On the
margin, this should support homebuyer
confidence, and may open the possibility of
more active stabilization actions by local
governments. Second, another mega developer
has refiled its IPO application for its property
management business. If approved by
regulators, this will directly address short-term
liquidity worries. There could thus be a
temporary respite in China property credit,
given prospects of some state support.

Chang Wei Liang

Page 9
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Growth, Inflation, Policy Rates & FX forecasts

GDP growth, % YoY CPI inflation, % YoY, ave
2021 2022 2023f 2024f 2021 2022 2023f 2024f
China 8.1 3.0 5.0 4.5 0.9 2.2 1.0 1.8
Hong Kong SAR 6.3 -3.5 3.5 2.0 1.6 1.9 2.0 2.0
India 8.9 6.7 5.8 6.0 5.1 6.7 5.8 4.3
India (FY basis)* 9.1 7.2 6.0 5.8 5.5 6.7 5.5 4.5
Indonesia 3.7 5.3 5.0 5.0 1.6 4.2 3.7 3.0
Malaysia 3.1 8.7 4.0 4.8 2.5 3.4 2.7 2.5
Philippines 5.7 7.6 5.8 5.3 3.9 5.8 6.0 3.2
Singapore 7.6 3.6 0.9 2.2 2.3 6.1 4.7 3.5
South Korea 4.1 2.6 1.5 2.4 2.5 5.1 3.6 2.4
Taiwan 6.5 2.4 1.1 3.5 2.0 2.9 2.3 1.7
Thailand 1.5 2.6 2.8 3.8 1.2 6.1 1.7 2.0
Vietnam 2.6 8.0 4.6 6.0 1.8 3.2 3.0 3.5

Eurozone 5.3 3.5 0.6 0.3 2.6 8.4 5.6 2.5

Japan 2.2 1.0 2.0 1.0 -0.2 2.5 3.2 2.0
United States 5.9 2.1 2.4 1.2 4.7 8.0 4.2 3.0
*2020 represents Fiscal 21; ending Mar 21
Policy interest rates, eop
4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24
China* 3.65 3.65 3.55 3.45 3.45 3.45 3.45 3.45 3.45
India 6.25 6.50 6.50 6.50 6.50 6.50 6.50 6.00 5.50
Indonesia 5.50 5.75 5.75 5.75 6.25 6.25 6.25 5.75 5.25
Malaysia 2.75 2.75 3.00 3.00 3.00 3.00 3.00 3.00 3.00
Philippines 5.50 6.25 6.25 6.25 6.75 6.75 6.75 6.25 5.75
Singapore** 3.28 3.53 3.62 3.75 3.75 3.75 3.62 3.35 3.08
South Korea 3.25 3.50 3.50 3.50 3.50 3.50 3.25 3.00 2.75
Taiwan 1.75 1.88 1.88 1.88 1.88 1.88 1.88 1.88 1.88
Thailand 1.25 1.75 2.00 2.50 2.50 2.50 2.50 2.50 2.50
Vietnam*** 6.00 6.00 4.50 4.50 4.50 4.50 4.50 4.50 4.50
Eurozone^ 2.50 3.50 4.00 4.50 4.50 4.50 4.50 4.00 3.50
Japan -0.10 -0.10 -0.10 -0.10 -0.10 -0.10 0.00 0.00 0.00
United States 4.50 5.00 5.25 5.50 5.50 5.50 5.50 5.00 4.50
* 1-yr Loan Prime Rate; ** 3M SORA OIS ; *** refinancing rate; ^ main refinance rate

Exchange rates, eop

Ccy pair 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24
USD/CNY 6.90 6.87 7.12 7.29 7.38 7.26 7.14 7.02 6.90
USD/HKD 7.80 7.85 7.84 7.83 7.84 7.83 7.81 7.80 7.79
USD/INR 82.7 82.2 82.2 83.2 84.0 83.8 83.6 83.4 83.2
USD/IDR 15573 14996 14930 15380 15500 15350 15200 15050 14900
USD/MYR 4.40 4.42 4.60 4.70 4.75 4.70 4.65 4.60 4.55
USD/PHP 55.7 54.4 56.4 56.9 58.0 57.4 56.9 56.3 55.8
USD/SGD 1.34 1.33 1.35 1.37 1.38 1.37 1.36 1.35 1.34
USD/KRW 1260 1302 1310 1330 1360 1340 1310 1290 1260
USD/THB 34.6 34.1 34.9 35.9 36.5 35.9 35.3 34.6 34.0
USD/VND 23633 23471 23500 24210 24310 24140 23980 23810 23640
AUD/USD 0.68 0.67 0.66 0.64 0.62 0.64 0.65 0.67 0.69
EUR/USD 1.07 1.08 1.07 1.06 1.05 1.07 1.09 1.11 1.12
USD/JPY 131 133 140 148 152 148 144 140 136
GBP/USD 1.21 1.23 1.24 1.24 1.21 1.23 1.25 1.27 1.29

Page 10
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Interest rate forecasts

2023 2024
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
US 3M SOFR OIS 4.91 5.26 5.39 5.38 5.38 5.25 4.75 4.38
2Y 4.03 4.90 5.04 5.00 4.85 4.70 4.50 4.30
10Y 3.47 3.84 4.57 5.00 4.90 4.80 4.65 4.50
10Y-2Y -56 -106 -47 0 5 10 15 20
Japan 3M TIBOR 0.07 0.07 0.07 0.07 0.12 0.20 0.20 0.20
2Y -0.06 -0.07 0.05 0.10 0.15 0.20 0.25 0.30
10Y 0.35 0.40 0.77 1.10 1.20 1.20 1.20 1.20
10Y-2Y 41 47 72 100 105 100 95 90
Eurozone 3M EURIBOR 3.05 3.58 3.95 4.00 4.00 3.85 3.35 2.90
2Y 2.68 3.20 3.20 3.40 3.40 3.15 2.95 2.70
10Y 2.29 2.39 2.84 2.80 2.80 2.65 2.55 2.50
10Y-2Y -39 -80 -36 -60 -60 -50 -40 -20
Indonesia 3M JIBOR 6.76 6.74 6.74 7.20 7.20 7.20 6.60 6.00
2Y 6.29 5.87 6.43 7.00 7.00 6.90 6.20 5.50
10Y 6.79 6.26 6.91 7.10 7.00 6.80 6.55 6.45
10Y-2Y 50 39 48 10 0 -10 35 95
Malaysia 3M KLIBOR 3.62 3.45 3.57 3.40 3.40 3.40 3.40 3.40
3Y 3.35 3.48 3.56 3.45 3.45 3.40 3.35 3.30
10Y 3.91 3.84 3.97 3.90 3.85 3.85 3.80 3.80
10Y-3Y 53 36 41 45 40 45 45 50
Philippines 3M PHP ref rate 6.09 6.41 6.41 6.10 5.60 5.10 5.10 5.10
2Y 5.86 6.31 6.20 6.10 5.60 5.25 5.25 5.25
10Y 6.23 6.29 6.45 6.75 6.25 6.00 6.00 6.10
10Y-2Y 45 -2 26 65 65 75 75 85
Singapore 3M SORA OIS 3.53 3.79 3.72 3.75 3.75 3.62 3.35 3.08
2Y 3.11 3.59 3.70 3.55 3.40 3.35 3.25 3.15
10Y 2.94 3.07 3.40 3.48 3.40 3.30 3.15 3.15
10Y-2Y -17 -52 -30 -7 0 -5 -10 0
Thailand 3M BIBOR 1.89 2.21 2.62 2.40 2.40 2.40 2.40 2.40
2Y 1.79 2.14 2.53 2.35 2.30 2.25 2.25 2.25
10Y 2.43 2.56 3.14 2.75 2.70 2.65 2.65 2.65
10Y-2Y 64 42 62 40 40 40 40 40
China 1Y LPR 3.65 3.55 3.45 3.45 3.45 3.45 3.55 3.65
2Y 2.38 2.12 2.38 2.10 2.00 2.00 1.95 1.95
10Y 2.86 2.64 2.68 2.60 2.50 2.50 2.55 2.60
10Y-2Y 48 52 30 50 50 50 60 65
Hong Kong, SAR 3M HIBOR 3.71 4.97 5.27 5.28 5.28 5.20 4.75 4.38
2Y* 3.78 4.56 4.79 4.80 4.65 4.50 4.30 4.20
10Y* 3.53 3.86 4.41 4.90 4.80 4.70 4.55 4.40
10Y-2Y -25 -70 -39 10 15 20 25 20
Korea 3M CD 3.59 3.75 3.83 3.65 3.40 3.15 2.90 2.90
3Y 3.29 3.66 3.88 3.65 3.35 3.05 3.05 3.05
10Y 3.36 3.66 4.01 3.90 3.75 3.50 3.50 3.50
10Y-3Y 7 0 14 25 40 45 45 45
India 3M MIBOR 7.44 7.19 7.19 7.20 7.15 6.60 6.35 6.10
2Y 7.05 7.02 7.21 6.90 6.85 6.20 5.90 5.65
10Y 7.31 7.12 7.22 7.30 7.15 7.05 7.00 6.95
10Y-2Y 27 10 1 40 30 85 110 130
%, eop, govt bond yield for 2Y and 10Y, spread bps, *HKD swaps

Page 11
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Group Research
Economics & Strategy

Taimur BAIG, Ph.D.

Chief Economist
Global
taimurbaig@dbs.com

Wei Liang CHANG Eugene LEOW Daisy SHARMA

FX & Credit Strategist Senior Rates Strategist Analyst
Global G3 & Asia Data Analytics
weiliangchang@dbs.com eugeneleow@dbs.com daisy@dbs.com

Nathan CHOW Teng Chong LIM Joel SIEW

Senior Economist Credit Analyst Credit Analyst
China/HK SAR SGD Credit SGD Credit
nathanchow@dbs.com tengchonglim@dbs.com joelsiew@dbs.com

Han Teng CHUA, CFA Tieying MA, CFA Duncan TAN

Economist Senior Economist Rates Strategist
Asean Japan, South Korea, Taiwan Asia
hantengchua@dbs.com matieying@dbs.com duncantan@dbs.com

Mo JI, Ph.D. Radhika RAO Mervyn TEO

Chief Economist & Equity Strategist Senior Economist Credit Strategist
China/HK SAR Eurozone, India, Indonesia USD Credit
mojim@dbs.com radhikarao@dbs.com mervynteo@dbs.com

Violet LEE Amanda SEAH Samuel TSE

Associate Credit Analyst Economist
Publications SGD Credit China/HK SAR
violetleeyh@dbs.com amandaseah@dbs.com samueltse@dbs.com

Philip WEE
Senior FX Strategist
Global
philipwee@dbs.com

Page 12
Macro Insights Weekly: US treasury supply and demand November 14, 2023

Sources: Data for all charts and tables are from CEIC, Bloomberg and DBS Group Research (forecasts
and transformations)

GENERAL DISCLOSURE/ DISCLAIMER (For Macroeconomics, Currencies, Interest Rates)

GENERAL DISCLOSURE/ DISCLAIMER (For Macroeconomics, Currencies, Interest Rates)

The information herein is published by DBS Bank Ltd and/or DBS Bank (Hong Kong) Limited (each and/or collectively, the
“Company”). This report is intended for “Accredited Investors” and “Institutional Investors” (defined under the Financial
Advisers Act and Securities and Futures Act of Singapore, and their subsidiary legislation), as well as “Professional
Investors” (defined under the Securities and Futures Ordinance of Hong Kong) only. It is based on information obtained
from sources believed to be reliable, but the Company does not make any representation or warranty, express or implied,
as to its accuracy, completeness, timeliness or correctness for any particular purpose. Opinions expressed are subject to
change without notice. This research is prepared for general circulation. Any recommendation contained herein does
not have regard to the specific investment objectives, financial situation and the particular needs of any specific
addressee. The information herein is published for the information of addressees only and is not to be taken in
substitution for the exercise of judgement by addressees, who should obtain separate legal or financial advice. The
Company, or any of its related companies or any individuals connected with the group accepts no liability for any direct,
special, indirect, consequential, incidental damages or any other loss or damages of any kind arising from any use of the
information herein (including any error, omission or misstatement herein, negligent or otherwise) or further
communication thereof, even if the Company or any other person has been advised of the possibility thereof. The
information herein is not to be construed as an offer or a solicitation of an offer to buy or sell any securities, futures,
options or other financial instruments or to provide any investment advice or services. The Company and its associates,
their directors, officers and/or employees may have positions or other interests in, and may effect transactions in
securities mentioned herein and may also perform or seek to perform broking, investment banking and other banking or
financial services for these companies. The information herein is not directed to, or intended for distribution to or use
by, any person or entity that is a citizen or resident of or located in any locality, state, country, or other jurisdiction
(including but not limited to citizens or residents of the United States of America) where such distribution, publication,
availability or use would be contrary to law or regulation. The information is not an offer to sell or the solicitation of an
offer to buy any security in any jurisdiction (including but not limited to the United States of America) where such an
offer or solicitation would be contrary to law or regulation.

This report is distributed in Singapore by DBS Bank Ltd (Company Regn. No. 196800306E) which is Exempt Financial
Advisers as defined in the Financial Advisers Act and regulated by the Monetary Authority of Singapore. DBS Bank Ltd
may distribute reports produced by its respective foreign entities, affiliates or other foreign research houses pursuant to
an arrangement under Regulation 32C of the Financial Advisers Regulations. Singapore recipients should contact DBS
Bank Ltd at 65-6878-8888 for matters arising from, or in connection with the report.

DBS Bank Ltd., 12 Marina Boulevard, Marina Bay Financial Centre Tower 3, Singapore 018982. Tel: 65-6878-8888.
Company Registration No. 196800306E.

DBS Bank Ltd., Hong Kong Branch, a company incorporated in Singapore with limited liability. 18th Floor, The Center, 99
Queen’s Road Central, Central, Hong Kong SAR.

DBS Bank (Hong Kong) Limited, a company incorporated in Hong Kong with limited liability. 13th Floor One Island East,
18 Westlands Road, Quarry Bay, Hong Kong SAR

Virtual currencies are highly speculative digital "virtual commodities", and are not currencies. It is not a financial product
approved by the Taiwan Financial Supervisory Commission, and the safeguards of the existing investor protection regime
does not apply. The prices of virtual currencies may fluctuate greatly, and the investment risk is high. Before engaging in
such transactions, the investor should carefully assess the risks, and seek its own independent advice.

Page 13