FX Flows

From the FXWW Chatroom: UsdJpy weakened to 117.405 – the talk of bids under 117.50 were easily filled. Next layer of bids rumoured to be at 117.30 from Japanese investors and also at 117.00. BOJ tomorrow, market predicts no change but keep a close watch on the 10-year JGB yields.

Euro advanced against Usd and Gbp – in slow and orderly manner. General talk of selling from sovereign names on the way up in EurUsd and note that there are several 1.0500 option strikes maturing in coming days (Tues, Wed and Thurs NY cuts).

Cable higher as well but slowed by EurGbp interest. CBI annual employment survey released today has been positive, saying that UK job market is to defy Brexit gloom next year. GbpUsd rose to 1.2501 where offers surfaced. Notable option worth mentioning is the 1.2600 strike for about Gbp2.8bn worth rolling off Dec 23 NY cut.

Amid Usd weakness, Australian dollar traded on firm side. Following release of Australia MYEFO, Moody’s said Australia’s credit metrics consistent with its AAA rating. AudUsd advanced to 0.7313 cleared bunch of offers at 0.7310. Dalian iron ore May 2017 futures contract kicked off weak, down more than 4%, putting resistance on the AudUsd. I heard there are more offers lined up near 0.7350.

UsdCad has not been exciting – price action dictated by Usd. Oil futures are stable, thus UsdCad capped. Do note there is a 1.3300 option expiry tomorrow for $900mio.

Emerging Market
PBOC surprised market with USDCNY fixing at 6.9312 as most traders were looking at number on 6.95-handle. Offshore USDCNH fell instantly from 6.9595 to 6.9490. Our EM trader Gary said that in the USDCNY NDF, market is pricing 4.5% weakening of the CNY which is in line with the remark from researcher Jin Baisong.

CNH DF continued to be paid higher – short dates T/N traded at +19 per day, 1s paid 545 and 1-year firmly at 3200.

UsdMyr is back to 1998 AFC level – Bloomberg cited weak Ringgit on continued investors outflow. NDF IRS continued to firm across the curve.

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