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,rapping up the summer

Risk assets have been resilient, but the dollar uptrend has started as front Risk assets have been resilient, but the dollar uptrend has started as front Risk assets have been resilient, but the dollar uptrend has started as front Risk assets have been resilient, but the dollar uptrend has started as front- -- -end rate end rate end rate end rate
expectations continue to move in its favour. The expectations continue to move in its favour. The expectations continue to move in its favour. The expectations continue to move in its favour. The dollars rise is likel to be !radual dollars rise is likel to be !radual dollars rise is likel to be !radual dollars rise is likel to be !radual
ho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. The ho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. The ho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. The ho"ever so lon! as the #$ economic recover remains mired at a ne" normal pace. The
shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speak shiftin! relationship bet"een the dollar and !lobal risk sentiment speaks ss s of a !lobal of a !lobal of a !lobal of a !lobal
macro environment movin! a"a from the trann of macro environment movin! a"a from the trann of macro environment movin! a"a from the trann of macro environment movin! a"a from the trann of %risk %risk %risk %risk- -- -on, risk on, risk on, risk on, risk- -- -off& to a !reater off& to a !reater off& to a !reater off& to a !reater
focus on relative economic and polic considerations. focus on relative economic and polic considerations. focus on relative economic and polic considerations. focus on relative economic and polic considerations.
Spot and options positioning: chicken or egg? "espite the lac# of volatilit&( -T-
positions show that the . mar#et is getting e/cited again$ 012 volumes have surged the
most since summer 2012( with shorts reaching e/treme levels$ This is in sharp contrast with
the resilience of ris# reversals( %ustified b& the stead& fall in the euro$ The option mar#et
seemingl& missed the opportunit& to embrace directional bearish positions( and puts continue
to discount a not so volatile decline$
,e tested econometricall& for si/ currencies whether changes in the options positioning lead
similar changes in spot positioning( and vice versa:
012 and 3P4 spot positioning has led options positions since 2011( but since the beginning
of the current low volatilit& regime last &ear( this is no longer the case for the 0125
!n contrast *6P and A1" options positions are a step ahead of spot mar#ets5
)pot and options mar#ets in -A" and 78" have no mutual influence$
Technicals. 79:;)0: is encountering significant technical resistance at 1$12<0( and a
pullbac# towards 1$11 is li#el&$ A1";1)" upside is meanwhile capped at 0$<44=;>=( and a
brea# below 0$<244 will signal a deeper correction$
Quant$ 6iggest longs of the aggregate )* . 0nhanced 2is# Premia portfolio continue to
be 1)"( A1"( 79: and 78"( with the most si?eable shorts being 012( )0:( 3P4 and *6P$


'iver!in! short-term rate expectations liftin! dollar Recent snchronised ascent in dollar and carr



$ource( $) *ross +sset Research,Forex $ource( $) *ross +sset Research,Forex
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0.7
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1
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Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14
EUR Swap 1YX1Y
USD Swap 1YX1Y
113
114
115
116
117
118
75.5
76.0
76.5
77.0
77.5
78.0
78.5
Apr-14 May -14 Jun-14 Jul-14 Aug-14
Trade-Weight Dollar - Majors
G10 Carry Spot Index (Right)

Forex $trate! Forex $trate! Forex $trate! Forex $trate!


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ore/ ,ee#l&



Editorial
8rappin! up the summer
Risk assets have been resilient, but the dollar uptrend Risk assets have been resilient, but the dollar uptrend Risk assets have been resilient, but the dollar uptrend Risk assets have been resilient, but the dollar uptrend has started as front has started as front has started as front has started as front- -- -end rate end rate end rate end rate
expectations continue to move in its favour. /o"ever, the dollars rise is likel to be expectations continue to move in its favour. /o"ever, the dollars rise is likel to be expectations continue to move in its favour. /o"ever, the dollars rise is likel to be expectations continue to move in its favour. /o"ever, the dollars rise is likel to be
!radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The !radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The !radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The !radual as lon! as the #$ economic recover remains mired at its ne" normal pace. The
shiftin! relationship bet"een the dollar and !lobal shiftin! relationship bet"een the dollar and !lobal shiftin! relationship bet"een the dollar and !lobal shiftin! relationship bet"een the dollar and !lobal risk sentiment speaks of a !lobal macro risk sentiment speaks of a !lobal macro risk sentiment speaks of a !lobal macro risk sentiment speaks of a !lobal macro
environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk environment movin! a"a from the trann of %risk- -- -on, risk on, risk on, risk on, risk- -- -off& to a !reater focus on off& to a !reater focus on off& to a !reater focus on off& to a !reater focus on
relative economic and polic considerations relative economic and polic considerations relative economic and polic considerations relative economic and polic considerations. .. .

Recommendations
)topped out of long 012;-' at a loss of G1$CH
September kicks off with the !" meeting in the wake of #r $raghi%s impro&isation at
Jackson 'ole( swiftl) followed b) the monthl) ritual of the *S emplo)ment report$ !n
3apan( base effects that have buo&ed inflation will be graduall& unwinding and the 693Is
response will be interesting$ *loball&( we will remain in thrall to the dovish bias from the 9M-
but that wonIt stop the edIs bondGbu&ing coming to an end in 9ctober$ And as that date
approaches( a broaderGbased dollar rall& is possible if 1) data confirm that the summer saw
economic growth continue at a respectable pace$
The stor) of the summer +the northern hemisphere%s summer that is, has been of the
resilience in risk assets and the hunt for )ield trumping all other market emotions$ At the
end of 3ul&( it seemed the height of foolishness to Ibu& the dipI in ris# assets with the frontG
end of the 1) interest rate mar#et pricing in the ed hi#ing c&cle at last( the 1#raine and !ra+i
crises providing plent& of geopolitical ris#s to chew over( and the 6anco 0spirito )anto woes
reminding us of the potential for the 0-6Is AB2 to uncover s#eletons in assorted cupboards$
And &et( within wee#s( the )JP =00 inde/ made a new high above 2(000( peripheral 0uropean
bond spreads relative to 6unds plumbed new lows( and overall &ields did li#ewise$ The dovish
bias at the ed was reinforced b& a focus on the labour mar#et5 wage growth slowed further in
the 1: and e/pectations of a 2014 rate hi#e from the 690 have faded5 and Mr "raghiIs
speech last wee# heightened e/pectations that the 0-6 will do more soon$
The outloo# for the euro seems a good place to start$ #r $raghi%s Jackson 'ole speech
de&iated from his prepared remarks in an echo of his -whate&er it takes- speech in Jul)
./0.$ 'e stressed the fall in =&.=& inflation 0uro swaps as an indicator of falling mediumGterm
inflation e/pectations and ac#nowledged that the factors #eeping inflation low( which are
usuall& referred to as being mostl& temporar&( could become entrenched$ !n itself( this offG
script comment does not point to a dramatic polic& move( but it does represent a change in
rhetoric$
or . mar#et participants( itIs the conte/t that matters most of all( perhaps for the 0-6 too$
The Kwhatever it ta#esK speech in 2012 caused a temporar& tumble in the euro( but that was
washed awa& as renewed confidence in the 0uropean monetar& s&stemIs survival saw capital
outflows reverse and investors bu& peripheral 0uropean debt$ Through 201C( there was also
strong foreign bu&ing of 0uropean e+uities$ And throughout the 2012G2014 period( 0uroG1)
shortGterm interest rate differentials traded in a narrow range because both the ed and 0-6
#ept the ver& front end of their respective &ield curves close to ?ero$

ore/ ,ee#l&



)raph 9( 'iver!in! short-term rate expectations )raph :( Rate differentials trendin! lo"er finall



$ource( $) *ross +sset Research,Forex $ource( $) *ross +sset Research,Forex
The situation now is different$ Although mediumGtoGlonger term 1) rates have actuall& fallen
over the summer( the same isnIt true at the front end$ 1) 2G&ear rates are still low at @2bp( but
thatIs almost C0bp higher than the& were at the start of the &ear and is in sharp contrast with
0uro 2G&ear rates that have fallen over 20bp over the same period$ The uro1*S rate spread
has basicall) shifted decidedl) lower in recent months$ !apital flows ha&e also stopped
being strongl) supporti&e for the euro( though the initial selling reported as the 60) affair
and the 1#raine conflict first hit the headlines ma& have been reversed in August$ ,hat is
certainl& true though is that the I%uiceI from attractive &ield levels in 6onos and 6TPs is far less
compelling now$ So( as we march towards the end of 2ed Q( the ps)chological impact
of heightened e3pectations that the !" has more to do is much greater now D*raphs 1
and 2E$
In ./0.( #r $raghi succeeded in decisi&el) buo)ing sentiment in uropean bond
markets( and the upshot was a stronger euro. This time( he could well succeed in
engineering a weaker currenc) instead$ A rule of thumb we use is that if over the ne/t &ear
the euroG1) rate differential were to fall b& 1H Di$e$ 1) 2G&ear rates rise b& 1H relative to euro
onesE( while peripheral spreads sta& at current levels and the A!. did nothing( the best guess
of what that would mean for a fair value measure of the 012;1)" e/change rate would be to
lower it b& 12 big figures$ -urrentl&( fair value is a bit above the spot rate( which has fallen
faster than %ustified b& recent moves in relative rates( peripheral spreads and the A!.( but even
so( #r $raghi now has a far better chance of encouraging the market to take *45*S$
into a 0..610.7/ range in the ne3t si3 months and a 0../10..6 range in '. ./08 than he did
before$ A 1H rise in 1) 2G&ear rates seems entirel& plausible as long as the 9M- does
indeed get around to edging the fed funds rate higher from midG201= onwards D*raph CE$
The bad news for urope is that while a 0/9 fall in the euro%s &alue might be helpful at
the margin( it would not do enough to boost competiti&eness and to substanti&el)
change the underl)ing economic realit)$ 0/cess public sector debt( scarred borrowers and
a timid ban#ing s&stem will be with us for man& more &ears( with stagnation being the
conse+uence$ The 2=GC0H devaluations in sterling after 7orthern 2oc# and the &en in the
earl& stages of Abenomics would have an impact if repeated in the euro area( but getting
012;1)" close to parit& is going to ta#e a while$
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Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14
EUR Swap 1YX1Y
USD Swap 1YX1Y
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1.0
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8
Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14
Spain-German 3Y bond
spread
EUR-USD 2YX2Y rate
dif f erential (Right)
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The Fed, the dollar and patience
Monetar& polic& divergence between the ed and 0-6 will drive the euro slowl& lower$ 6ut the
dollar is not going to become a %strong% currenc) more broadl) as long as *S rate
e3pectations are this well anchored$ The #e& in the 1) reall& does lie in the economic data(
which continues to be mi/ed$ The 1) housing mar#et is the epitome of the Knew normalK(
def&ing optimistic e/pectations at almost ever& turn as recover& remains ver& modest$ 6ut as
long as emplo&ment growth is in a 1$=G2$0H &;& range( the fuel will be there for real *"P
growth in a 2GCH range$ The emplo&ment data will need to evince a pic#Gup in wage growth
to alarm the 9M-( but the current pace means enough real income growth to #eep
consumer spending growing and drive the unemplo&ment rate steadil& lower$ The August
pa&rolls reading will furthermore provide a picture of how things loo# at the start of the new
academic &ear( when new teachers arrive at their posts and new graduate trainees turn up at
offices$ Ma&be in a world where the Iannual pa& roundI is all but e/tinct( it is the pa& of new
entrants into the labour ma#er that tells us most about wage trends D*raph 4E$
)raph ;( $hort-term undershoot but E#R,#$' trend is do"n )raph <( #$ "a!e !ro"th remains subdued



$ource( $) *ross +sset Research,Forex $ource( $) *ross +sset Research,Forex
If we do get broadl) positi&e *S economic data in the ne3t two weeks( that should help
build the foundation for a further( more broad1based dollar rall)$ That is to sa&( one which
sees dollar gains against 3P4( A1"( 78"( *6P and -A" rather than %ust against the euro and
its satellites$ The 2G&ear rate differentials are mostl& dollarGsupportive and the pa&rolls report
ma& well help this trend along$ !n particular( we see scope for a fall from 0$<4 to below 0$<0 in
A1";1)" starting in )eptember( while *6P;1)" is mar#ing time before the ne/t downGleg
and 1)";)0: should rise a lot further$ 1)";3P4 too( having spi#ed up to 104( has stalled( but
another rise in shorterGdated 1) &ields( particularl& one that didnIt ta#e the air out of the
e+uit& mar#etIs wings( could see a brea# above 10= in prett& short order( prompting a push
up to a new trading range$

$hiftin! paradi!m
,e have previousl& discussed the shifting correlations between . and global mar#ets( as we
transition out of the dominant Lris#Gon( ris#GoffM regime of 2008G2011$ or the past few &ears(
the rule of thumb had been that the dollar would strengthen in times of ris#Goff and would
wea#en during ris#Gon periods$ The correlation between the dollar and global ris# conditions
has diminished so significantl& that the rule of thumb is no longer reliable$
1.1
1.2
1.3
1.4
1.5
Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14
EUR/USD spot
Baby model (using rate diff erential,
peripheral spread & VIX)
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Jan-08 Dec-08 Nov -09 Oct-10 Sep-11 Aug-12 Jul-13 Jun-14
US private sector average hourly
earnings (% YoY)
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or e/ample( the hitherto consistentl& negative correlation between the dollar and the *10
carr& total return inde/ ended in late 2012 D*raph =E$ More recentl&( the dollar and the carr&
spot inde/ Di$e$ e/cluding net carr& returnsE have been rising in tandem in August D*raph >E$
These shifting correlations speak of a market that has e&ol&ed awa) from the t)rann) of
s)stemic risk fears towards ha&ing more of a focus on relati&e economic and polic)
considerations$ Such an en&ironment should remain dollar1friendl) as the *S economic
reco&er) gathers pace$
)raph =( $hiftin! correlations bet"een dollar and carr )raph >( Recent snchronised ascent in dollar and carr



$ource( $) *ross +sset Research,Forex $ource( $) *ross +sset Research,Forex

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-0.4
-0.2
0
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Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14
40-day rolling correlation between
G10 Carry Index !"#
113
114
115
116
117
118
75.5
76.0
76.5
77.0
77.5
78.0
78.5
Apr-14 May -14 Jun-14 Jul-14 Aug-14
Trade-Weight Dollar - Majors
G10 Carry Spot Index (Right)
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Recent Forex $trate! /i!hli!hts
5alance of paments and the Euro ? the tide has turned
The latest data releases show foreigners were net investors in both 0uropean e+uities and
debt in the &ear to 3une$ The trend ma& well be reversing however( as wea# economic news
will dampen the mar#etsN fervour$ 012;1)" should head bac# to 1$20( to Mr "raghiNs delight$
https://publication.sgresearch.com//en/3/0/238801/148!.html"si#$!#8%2%e!!ba&b3!c%!#b
c34'c&b4%'

Tradin! "eek( be"are a euro short s@ueeAe
)* economics e/pects the edNs dovish message to predominate at 3ac#son 'ole given the
lac# of upside wage pressures( which should dampen the spirits of dollar bulls$ )uch dovish
tone would buo& euro nearGterm$ Though we remain bearish euro over the mediumGterm( there
might thus be a s+uee?e over the ne/t few wee#s$
https:;;publication$sgresearch$com;;en;C;0;2C8801;14=82C$htmlOsidPecbfe<8cca2b=cb@@aa1
>0ac1bc>e<8C



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Technicals
79:;)0: is testing the multiG&ear trend line resistance at 1$12<0( and also the >1$8H
retracement of the correction from "ecember 2012 highs$ ,ee#l& indicator is testing a graphical
ceiling indicating limited upside$ The pair appears to be within the fifth wave of a five wave D0lliotE
up move since ebruar& lows and has achieved initial targets at 1$12<0$ "ail& stochastic is also
at a resistance( indicating immediate upside to be capped$ A pullbac# towards 1$12 and
especiall& 1$11 is more li#el&$
A1";1)" is approaching the upper limit of a descending channel drawn from August 201C at
0$<44=;>=$ This also happens to be a twoGmonth resistance line and could be the right shoulder
within a head and shoulder$ ,ee#l& and dail& indicators are closing in on important graphical
resistance( indicating upside to be capped at 0$<44=;>=$ A brea# below 0$<244 will confirm a
rounding top formation and signal a deeper correction$
BO1,$E1, "eekl and dail chart.

79:;)0: too# support at the
multi&ear channel and has
evolved within an upward
channel$ )ince 200< it has been
testing a trend line at 1$12<0$
,ee#l& 2)! is under a threeG&ear
graphical ceiling indicating
limited upside$ A retracement
towards 1$12 and 1$11 is not
ruled out$ A brea# below will
mean a deeper correction$


1 to 3 months


1$1=
1$12<0









1$11
1$0<8=
$ource( $) *ross +sset Research,Technicals
+#',#$', "eekl and dail chart.

A1";1)" tested a Dnearl&E
hori?ontal channel and is
approaching a twoGmonth trend
line at 0$<44=;>=$ The pair could
be forming a probable head and
shoulder pattern and a move
towards 0$<44=;>= will
complete the right shoulder$
,ith indicators at resistance(
further upside should be
capped$ A brea# below 0$<244
will signal a deeper correction$

1 to 3 months


0$<=C=
0$<4>=








0$<180
0$<0<0
$ource( $) *ross +sset Research,Technicals



(ll )echnical analysis reports
*n the charts
+hart (lert ,-.//01/
+hart (lert ,203/425
What the charts say , )hir#
6uarter 2014


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Volatility
$pot and options positionin!( chicken or e!!D
'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited 'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited 'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited 'espite the lack of volatilit, *FT* positions sho" that the FX market is !ettin! excited
a!ain. E#R volumes have sur!ed the a!ain. E#R volumes have sur!ed the a!ain. E#R volumes have sur!ed the a!ain. E#R volumes have sur!ed the most since summer :E9:, "ith shorts reachin! most since summer :E9:, "ith shorts reachin! most since summer :E9:, "ith shorts reachin! most since summer :E9:, "ith shorts reachin!
extreme levels. This is in sharp contrast "ith the resilience of risk reversals, Fustified b the extreme levels. This is in sharp contrast "ith the resilience of risk reversals, Fustified b the extreme levels. This is in sharp contrast "ith the resilience of risk reversals, Fustified b the extreme levels. This is in sharp contrast "ith the resilience of risk reversals, Fustified b the
stead fall in the euro. The option market seemin!l missed the opportunit to embrace stead fall in the euro. The option market seemin!l missed the opportunit to embrace stead fall in the euro. The option market seemin!l missed the opportunit to embrace stead fall in the euro. The option market seemin!l missed the opportunit to embrace
directional bearish positi directional bearish positi directional bearish positi directional bearish positions, and puts continue to discount a not so volatile decline. ons, and puts continue to discount a not so volatile decline. ons, and puts continue to discount a not so volatile decline. ons, and puts continue to discount a not so volatile decline.
8e tested econometricall for six currencies "hether chan!es in the options positionin! 8e tested econometricall for six currencies "hether chan!es in the options positionin! 8e tested econometricall for six currencies "hether chan!es in the options positionin! 8e tested econometricall for six currencies "hether chan!es in the options positionin!
lead similar chan!es in spot positionin!, and vice versa( lead similar chan!es in spot positionin!, and vice versa( lead similar chan!es in spot positionin!, and vice versa( lead similar chan!es in spot positionin!, and vice versa(
E#R and 4CG spot positionin! has led options pos E#R and 4CG spot positionin! has led options pos E#R and 4CG spot positionin! has led options pos E#R and 4CG spot positionin! has led options positions since :E99, but since the itions since :E99, but since the itions since :E99, but since the itions since :E99, but since the
be!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for the be!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for the be!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for the be!innin! of the current lo" volatilit re!ime last ear, this is no lon!er the case for the
E#R E#R E#R E#RH HH H
7n contrast )5C and +#' options positions are a step ahead of spot marketsH 7n contrast )5C and +#' options positions are a step ahead of spot marketsH 7n contrast )5C and +#' options positions are a step ahead of spot marketsH 7n contrast )5C and +#' options positions are a step ahead of spot marketsH
$pot and options markets in *+' and BI' have no m $pot and options markets in *+' and BI' have no m $pot and options markets in *+' and BI' have no m $pot and options markets in *+' and BI' have no mutual influence. utual influence. utual influence. utual influence.

$ur!e in euro positions does not reach options
0uro positioning as per -T- contracts is now reaching e/treme shorts( which is not a
surprising observation as the 012;1)" lost 8 figures since Ma&$ !t represents a fall of 1>$=H
in annualised terms$ More impressivel&( the &olumes in futures contracts brutall) surged in
Jul) D-hart 1E$
*lobal futures positioning is obtained in summing long and shorts future positions$ This total
open interest shows a stead& trend that we interpret as the natural growth rate of the mar#et
si?e$ This trend has e/hibited a structural growth in volumes of CC$CH since the start of 2011(
which is ver& consistent with the C4$>H growth of the . 9T- mar#et between 2010 and 201C
reported b& the 6!)$ !n ad%usting total volumes b& this structural mar#et growth( we estimate
the e/tra positioning to have %umped to >=# contracts after a fairl& stable period since the
summer 2012$ $espite the lack of &olatilit)( the market is reall) getting e3cited again.
*hart 9. Cositions in euro future contracts sur!e *hart :. Options missed the boat - do"nside remains cheap

$ource( 5loomber!,*FT*, $) *ross +sset Research,Forex $ource( 5loomber!,*FT*, $) *ross +sset Research,Forex
This is sharpl) contrasting with the resilience of options risk re&ersals D22sE( which are
proving indifferent to the rapid fall of the euro D-hart 2E$ !n the past( large changes in -T-
positioning and 22s tended to mirror each other$ 'owever( this huge discrepanc& is perfectl&
-100,000
-50,000
0
50,000
100,000
150,000
Jan-11 Jan-12 Jan-13 Jan-14
Total Euro CFTC open interest, adjusted f rom market size growth
-4.5
-4.0
-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
-250,000
-200,000
-150,000
-100,000
-50,000
0
50,000
100,000
Jan-11 Jan-12 Jan-13 Jan-14
EUR CFTC net positioning EUR/USD 3M risk rev ersal
ore/ ,ee#l&



reasonable from the volatilit& mar#et point of view$ 9ver the past three months during which
the euro tumbled( the mar#etNs realised volatilit& averaged below 4( more than one vol point
below the implied volatilit&$ The spot fall has been e/tremel& ordered and stead&$ Although it
loo#s li#e an at&pical pattern Dno turbulenceE( the volatilit& of puts could not mechanicall&
increase in this conte/t$ As the 22s remained consistent with the absence of downside
volatilit&( it reveals that the options market missed the opportunit) to embrace directional
bearish euro positions. :s a conse;uence( puts continue to discount a not &olatile
decline.
$pot and options markets( "ho makes the first moveD
-urrenc& moves naturall& result from changes in the mar#et positioning( and trends gain
momentum when the imbalance between bu&ers and sellers gets wider$ The perspective of
this positioning will not be the same depending on the instrument under consideration$ The .
spot mar#et is the biggest financial mar#et in terms of si?e and li+uidit&( and investors are
li#el& to initiate a spot position at the time when the& e/pect the currenc& to move$ The .
options mar#et is significantl& smaller and less li+uid( but the forwardGloo#ing nature of
options implies that positioning changes could be more meaningful$ 1nli#e spot( investors can
logicall& trade an option right now despite their current uncertaint& about the proper mar#et
timing$ Presumabl&( we might suspect that the mar#et e/pectations that one can read from
the options prices have a more valuable content$ Than#s to investors QtransmittingN their views
into volatilit& levels( sometimes before the& reall& e/pect the mar#et to move( the option
mar#et should be a step ahead$
The premise is that it would be then possible to anticipate some spot mo&es onl) in
obser&ing what is happening in the options market. To establish this assumption( we
test econometricall) whether changes in the options positioning lead the changes in the
spot positioning( and &ice &ersa.

Batural proxies for the positionin! of OT* markets
There are not man& public data sources for . positioning$ The more comprehensive stud& is
certainl& run b& the 6!)( but a triennial surve& can hardl& support a d&namic mar#et anal&sis$
'igher fre+uenc& data can be obtained from the .-M retail platform and from the -T-(
which reports tradersN commitment on future mar#ets$ Although the . mar#et is largel& 9T-
and for lac# of a better pro/&( we use !2T! non1commercial net positions in 2< futures as
a representati&e sample for spot positions.
The e+uivalent source for . options volumes would be the trades reported to the "T--$ 6ut
this integrates onl& the transactions in the 1)$ :s we are not interested in global options
positioning but onl) in directional positioning( we rel) on risk re&ersal le&els as the&
reflect the relative appetite for 9TM puts and calls( and result from directionall& oriented
suppl& and demand on the options mar#et$

ore/ ,ee#l&



*hicken or e!!D
,e perform *ranger causalit& tests between spot and options positioning on the si/
currencies for which there are public -T- data$ 9ur results are reported on -hart C$ This
methodolog& is used to determine if a positioning change in one of these mar#ets leads to a
similar change in the other the following wee#$ ,hen needed( the -T- net positioning is
inverted to match the convention of the option mar#et in terms of base currenc&$ Also( -T-
reports are released ever& rida& but reflect Tuesda&Ns positions( so we s&nchroni?ed the
wee#l& time series accordingl& to avoid time shifts$
The tests are performed separatel& over two time samples: since the start of 2011 and since
August 201C$ The longer dataset is supposed to cover post financial crisis conditions( while
the shorter one Dwhich is included in the firstE is intended to verif& that the current low volatilit&
regime
1
did not distort the results obtained from the big picture$
*hart ;. #nlike in #$',4CG, E#R,#$' spot positionin! no lon!er leads options positionin!. 7n
contrast, )5C,#$' and +#',#$' options consistentl forecast chan!es in spot positions.
$ource( $) *ross +sset Research,Forex
Main results
There is a strong time consistenc) o&er the two datasets for five of the si/ currencies(
with the 012 the noticeable e/ception$ *4 futures positioning led options positions since
./00( but this has not been the case since mid ./07. )ince one &ear( the two mar#ets no
longer influence each other$ This is validating the discrepanc& shown in -hart 2$
The changes in *S$5J=> spot positioning lead the change in options market
positioning over both periods$ The &en is the onl& currenc& where the spot has a better
predictive power$
?"=5*S$ and :*$5*S$ options markets are a step ahead of spot markets$ ,e verified
our assumption above onl& for these two pairs$ ,e also note that the A1" spot mar#ets have
significantl& influenced the options mar#ets since 201C( but the pGvalues suggest that options
have a stronger lead an&wa&$
Spot and options markets in !:$ and N@$ ha&e no mutual influence$ !ncidentall&( the&
are the smallest mar#ets among the si/ currencies$


1
!n an article published in our . '2 9utloo#( we use a Mar#ovG)witching model which points that the beginning of the
low volatilit& regime too# place in August 201C$ This regime still prevails$
Since start 2011
EUR JPY GBP CAD AUD NZD
Spot leads Options Yes Yes No No No No
Granger test p-value 0.0077 0.0027 0.5464 0.2019 0.6372 0.4430
Options lead Spot No No Yes No Yes No
Granger test p-value 0.7931 0.4532 0.0000 0.1754 0.0508 0.2118
Since August 2013
EUR JPY GBP CAD AUD NZD
Spot leads Options No Yes No No No No
Granger test p-value 0.3074 0.0181 0.9073 0.4078 0.1073 0.7348
Options lead Spot No No Yes No Yes No
Granger test p-value 0.9631 0.1946 0.0093 0.6721 0.0183 0.9897
ore/ ,ee#l&



Quantitative analysis
*urrenc sstematic strate!ies
The aggregate positions of the 0: F7 1nhance# 4isk ;remia have not changed substantiall&
over the wee#$ The biggest longs continue to be *S$( :*$( NAK and N@$. The most
si?eable shorts are still *4( SK( J=> and ?"=. The long positions in *S$5!'2 and the
short position in *45*S$ are the 1)" crosses with the highest combined momentum and
!2Gdriven . signals among the *10 currencies$
9ver the course of the wee#( the )* )entiment indicator has sta&ed in the ris#Gneutral ?one$
,e remain long ?0/ carr) utilising 100H of the ris# limit( long :sian carr) with @=H of the
ris# limit and long # carr) using 2=H of the ris# limit$
The ris# of the aggregate strateg& is aboveGtarget and stands at around 1=H annualised
volatilit&$ The strateg& is up b& 1$8H this wee# and is flat MT"$ Please refer to the 0: F7
1nhance# 4isk ;remia screener for our latest s&stematic signals$
$) $entiment indicator $) FX 3uant Fund positions based on #$'9EEm of notional capital


$
$ource( $) *ross +sset Research
*ombined momentum and 7R-driven FX si!nals )9E carr basket

$ource( $) *ross +sset Research

0
0.2
0.4
0.6
0.8
1
Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14
S
G

S
e
n
t
i
m
e
n
t

I
n
d
i
c
a
t
o
r
Risk seeking
Risk averse
U
S
D
A
U
D
N
O
K
N
Z
D
C
A
D
T
H
B
I
D
R
T
R
Y
Z
A
R
B
R
L
C
H
F
M
X
N
R
U
B
I
N
R
K
R
W
T
W
D
C
L
P
H
U
F
I
L
S
P
L
N
S
G
D
C
Z
K
P
H
P
G
B
P
J
P
Y
S
E
K
E
U
R
-$200 m
-$150 m
-$100 m
-$50 m
$0 m
$50 m
$100 m
$150 m
Positions in $
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
Signals on G10 currencies versus USD
AUD
NZD
NOK
USD
CAD
SEK
GBP
EUR
JPY
-150% -100% -50% 0% 50% 100% 150% 200%
Alllocation as % of capital invested
ore/ ,ee#l&



)9E Trade summar



Ope n Trade Recomme ndat i ons Ope n Trade Recomme ndat i ons Ope n Trade Recomme ndat i ons Ope n Trade Recomme ndat i ons
Cosi t i on Cosi t i on Cosi t i on Cosi t i on Tpe Tpe Tpe Tpe 'e scri pt i on 'e scri pt i on 'e scri pt i on 'e scri pt i on 'at e Ope ne d 'at e Ope ne d 'at e Ope ne d 'at e Ope ne d Ent r Ent r Ent r Ent r Tar !et Tar !et Tar !et Tar !et $t op $t op $t op $t op CJK . L0 CJK . L0 CJK . L0 CJK . L0
Long USD/JPY St ruct ural 31-Jul 102.80 105.00 101.70 1.0%
Long AUD/NZD Relat ive Value 24-Jul 1.0970 1.1500 1.0750 1.7%
Buy USD/SEK 6M call spread 1x1.7, strikes 6.60/7.00 (cost: 1.05%) St ruct ural Option 02-May 2.3%
Long NOK/SEK (initial ST: 1.0760) Relat ive Value 27-Mar 1.1000 1.1400 1.1050 5.2%
Long USD, NOK, GBP / Short JPY, CHF, EUR St ruct ural 2014 G10 basket 12-Dec 3.0% -1.5% 2.5%
*l ose d Trade Recommendat i ons .l ast si x mont hs r ol l i n!0 *l ose d Trade Recommendat i ons .l ast si x mont hs r ol l i n!0 *l ose d Trade Recommendat i ons .l ast si x mont hs r ol l i n!0 *l ose d Trade Recommendat i ons .l ast si x mont hs r ol l i n!0
Cosi t i on Cosi t i on Cosi t i on Cosi t i on 'at e Ope ne d 'at e Ope ne d 'at e Ope ne d 'at e Ope ne d Ent r Ent r Ent r Ent r Tar !et Tar !et Tar !et Tar !et $t op $t op $t op $t op CJK . L0 CJK . L0 CJK . L0 CJK . L0
Long EUR/CHF (stopped 25 August) Tact ical 12-Dec 1.2228 1.2400 1.2100 -1.3%
Short USD/CAD 3M one-touch 1.02 (take profit on 21August, premium fully pocketed) Tact ical Option 26-Jun 3.3%
Short EUR/NZD (take profit 24 July) Tact ical 14-Apr 1.5950 1.5300 1.5900 2.7%
Short EUR/GBP (take profit 24 July) St ruct ural 15-May 0.8165 0.7800 0.8100 3.0%
Long USD/CAD (stopped 18 June) Tact ical 07-Feb 1.0990 1.1700 1.0850 -1.9%
Long AUD/NZD (take profit 21April) Relat ive Value 14-Mar 1.0560 1.0900 1.0450 3.1%
Buy EUR/SEK 3M put seagull strikes 8.50(x1.5)/8.70/9.20 (expired OTM) St ruct ural 06-Feb -0.1%
Buy GBP/USD 3M risk reversal strikes 1.60/1.70 (expired OTM) St ruct ural 15-Jan -0.3%
Short AUD/USD (closed 6 March) St ruct ural 20-Feb 0.8975 0.8500 0.9100 3.1%
Short NZD/USD (stopped 6 February) Tact ical 30-Jan 0.8150 0.7900 0.8250 -1.5%
Short AUD/USD (stopped 6 February) St ruct ural 16-Jan 0.8810 0.8300 0.8950 -1.8%
Buy EUR/USD 3M put strike 1.32 with KI USD/JPY 101(expired worthless) St ruct ural Exotic option 06-Nov -0.5%
Long USD/JPY (stopped on higher stop on 24 January) St ruct ural 21-Nov 101.00 108.00 103.00 2.2%
Long GBP/CHF (take profit 23 January) Tact ical 06-Sep 1.4705 1.5200 1.4650 1.9%
Long GBP/AUD (take profit 16 January) St ruct ural 06-Jan 1.8260 1.9000 1.8000 1.6%
Long NOK/SEK (stopped 16 January) Tact ical 29-Aug 1.08 1.14 1.05 -2.9%
Long NZD/JPY (take profit 16 January) St ruct ural 25-Oct 80.60 89.00 85.00 8.8%
Short AUD/CAD (stopped 10 January) Relat ive Value 21-Nov 0.9710 0.9200 0.9700 -0.1%
Long NOK and GBP vs EUR (closed 12 December) Relat ive Value 27-Jun 3.5% -1.5% -1.3%
Buy USD/CAD 2M put strike 1.02 / Sell EUR/CAD 2M call strike 1.44 (expired) Relat ive Value Option 26-Sep 1.0320/1.3930 -0.2%
Long CAD/JPY (take profit 21november) St ruct ural 24-Oct 93.35 97.00 92.00 3.0%
Short USD/JPY (stopped 10 October) Tact ical 03-Oct 97.15 96.00 98.00 -1.0%
Short EUR/SEK (stopped 10 October) Tact ical 20-Sep 8.5720 8.4000 8.7900 -2.5%
Buy USD/JPY 6M seagull 95/100/107 (cost: 0.3%) (expired OTM) St ruct ural Option 11-Apr 99.30 -0.3%
Lonc CAD and NOK vs AUD (stopped 7 October) St ruct ural Commodity basket 29-Aug 6.0% -3.5% -3.5%
Short EUR/USD (closed 1October) St ruct ural 20-Jun 1.3230 125.0% 136.5% -2.8%
Short CHF vs EUR and USD (stopped 1October) St ruct ural 03-Jul 6.0% -2.0% -2.0%
Long CAD/JPY (stopped 30 September) Relat ive Value 05-Sep 95.03 98.50 95.50 0.5%
Long EUR/PLN (closed 26 September) St ruct ural DM-EM divergence 21-Aug 4.2400 6.0% -3.5% -0.6%
Long USD/ZAR (closed 26 September) St ruct ural DM-EM divergence 21-Aug 10.2300 6.0% -3.5% -3.0%
Short THB/JPY (stopped 26 September) St ruct ural DM-EM divergence 21-Aug 3.0640 6.0% -3.5% -3.5%
Long USD/CHF 6M ATM Tact ical Option 25-Jul 8.91 10.50 7.70 100 bps
Long AUD, CAD, USD / Short JPY, CHF, EUR St ruct ural Currency war basket 08-Mar 6.5% -3.0% -3.1%
Long NZD/JPY Tact ical 18-Jul 79.35 81.85 77.90 -2.1%
Long AUD/NZD Relat ive Value 05-Jul 1.1770 1.2130 1.1570 -1.8%
Not es: Paper t rades only. Perf ormance includes cost s of carry; P&L in f or spot t rades, vol point s f or vol t rades and %change in not ional f or opt ion t rades (opt ion t rades it alised).
ore/ ,ee#l&



)9E FX forecasts

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E#R,*/F E#R,*/F E#R,*/F E#R,*/F 9. :9 9. :9 9. :9 9. :9 9.:: 9.:; 9.:< 9.:=
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E#R,BI' E#R,BI' E#R,BI' E#R,BI' 9. =P 9. =P 9. =P 9. =P 9.=> 9.== 9.>9 9.>O
E#R,BO1 E#R,BO1 E#R,BO1 E#R,BO1 M. 9> M. 9> M. 9> M. 9> M.EE P.ME P.P= P.PE
E#R,$E1 E#R,$E1 E#R,$E1 E#R,$E1 O. 9> O. 9> O. 9> O. 9> O.EE O.E= O.9E O.:E
'XG 7 nde x 'XG 7 nde x 'XG 7 nde x 'XG 7 nde x M:. ; M:. ; M:. ; M:. ; M9.: M:.= M<.< M=.M
All %orecasts are available
online
ore/ ,ee#l&



EN FX forecasts

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/un!ar /un!ar /un!ar /un!ar :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :. 9E :.9E :.9E :.9E :.9E :. 9E :. 9E :. 9E :. 9E
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Romani a Romani a Romani a Romani a ;. := ;. := ;. := ;. := ;. := ;. := ;. := ;. := ;. EE ;. EE ;. EE ;. EE ;.EE ;.EE ;.EE ;.EE ;. EE ;. EE ;. EE ;. EE
Russi a Russi a Russi a Russi a =. =E =. =E =. =E =. =E M. EE M. EE M. EE M. EE M. =E M. =E M. =E M. =E M.=E M.=E M.=E M.=E M. =E M. =E M. =E M. =E
Turke Turke Turke Turke >. := >. := >. := >. := P. P= P. P= P. P= P. P= P. P= P. P= P. P= P. P= P.P= P.P= P.P= P.P= P. P= P. P= P. P= P. P=
$out h +fr i ca $out h +fr i ca $out h +fr i ca $out h +fr i ca =. P= =. P= =. P= =. P= =. P= =. P= =. P= =. P= >. EE >. EE >. EE >. EE >.EE >.EE >.EE >.EE >. := >. := >. := >. :=
7 sr ae l 7 sr ae l 7 sr ae l 7 sr ae l E. =E E. =E E. =E E. =E E. := E. := E. := E. := E. := E. := E. := E. := E.:= E.:= E.:= E.:= E. := E. := E. := E. :=
5r aAi l 5r aAi l 5r aAi l 5r aAi l 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99. EE 99.=E 99.=E 99.=E 99.=E 99. =E 99. =E 99. =E 99. =E
Ne xi co Ne xi co Ne xi co Ne xi co ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;.EE ;.EE ;.EE ;.EE ;. := ;. := ;. := ;. :=
*hi l e *hi l e *hi l e *hi l e ;. =E ;. =E ;. =E ;. =E ;. =E ;. =E ;. =E ;. =E ;. := ;. := ;. := ;. := ;.:= ;.:= ;.:= ;.:= ;. := ;. := ;. := ;. :=
*hi na *hi na *hi na *hi na >. EE >. EE >. EE >. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;. EE ;.EE ;.EE ;.EE ;.EE ;. EE ;. EE ;. EE ;. EE
$out h 1ore a $out h 1ore a $out h 1ore a $out h 1ore a :. := :. := :. := :. := :. =E :. =E :. =E :. =E :. =E :. =E :. =E :. =E :.P= :.P= :.P= :.P= ;. EE ;. EE ;. EE ;. EE
Tai "an Tai "an Tai "an Tai "an 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM 9. MM :.EE :.EE :.EE :.EE :. 9; :. 9; :. 9; :. 9;
7 ndi a 7 ndi a 7 ndi a 7 ndi a O. EE O. EE O. EE O. EE M. EE M. EE M. EE M. EE M. EE M. EE M. EE M. EE M.EE M.EE M.EE M.EE M. EE M. EE M. EE M. EE
7 ndone si a 7 ndone si a 7 ndone si a 7 ndone si a P. =E P. =E P. =E P. =E P. =E P. =E P. =E P. =E P. =E P. =E P. =E P. =E P.:= P.:= P.:= P.:= P. := P. := P. := P. :=
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*alendar

'urin! the 8eek 'urin! the 8eek 'urin! the 8eek 'urin! the 8eek
GM T Peri od Previous SG Forecast s CNS/ Act ual
Australia CBA/HIA House Affordability 2Q 77.2
Brazil Vehicle Sales Fenabrave Aug 294787
Commodity Price Index (% MoM) Aug -1.85
Commodity Price Index (% YoY) Aug 2.35
China Leading Index Jul 100.06
Chile Vehicle Sales Total Aug 27561
Euro area NATO Leaders Hold Summit in United Kingdom
Hungary Budget Balance YtD (bln) Aug -851.4
Indonesia Danareksa Consumer Confidence Aug 98.2
Consumer Confidence Index Aug 119.8
Money Supply M1(% YoY) Jul 10.2
Money Supply M2 (% YoY) Jul 13.1
Foreign Reserves (bln, USD) Aug 110.5
Net Foreign Assets (tln, IDR) Aug 1242.2T
India Eight Infrastructure Industries Jul 7.3
Ireland Live Register Level SA (000's) Aug 382.8
Live Register Monthly Change ('000s) Aug -3.4
Unemployment Rate (%) Aug 11.5
Consumer Confidence Index Aug 89.4
Industrial Production (% MoM) Jul -16.5
Industrial Production (% YoY) Jul 3.5
New Vehicle Licences Aug 16736
Japan Official Reserve Assets (bln, USD) Aug 1276
Norway Credit Indicator Growth (% YoY) Jul 5.4
Poland Monetary Policy Council Rate Meeting
August Car Production
Russia CPI (% MoM) Aug 0.5
CPI (% YoY) Aug 7.5
CPI YtD Aug 5.3
CPI Core (% MoM) Aug 0.6
CPI Core (% YoY) Aug 7.8
South Korea Foreign Reserves (bln, USD) Aug 368.03
Sweden Budget Balance (bln) Aug -3.8
Switzerland Industrial Output w.d.a. (% YoY) 2Q 0.5
UK Halifax House Prices (% MoM) Aug 1.4
Halifax House Price 3Mths/Year Aug 0
BoE/GfK Inflation Next 12 Mths (%) Aug 2.6
US Household Change in Net Worth (bln, USD) 2Q 1490
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Nonda E9 $ep :E9< Nonda E9 $ep :E9< Nonda E9 $ep :E9< Nonda E9 $ep :E9<
GM T Peri od Previous SG Forecast s CNS/ Act ual
Chile Central Bank Meeting Minutes
Central Bank Meeting Minutes
Czech RepublicBudget Balance (bln) Aug 4.5
Indonesia Trade Balance (mln, USD) Jul -305
Imports (% YoY) Jul 0.54
Italy Budget Balance (bln, EUR) Aug -1.6
New Car Registrations (% YoY) Aug 5.02
Russia Wellbeing Fund (bln, USD) Aug 86.5
Reserve Fund (bln, USD) Aug 86.6
Australia AiG Perf of Mfg Index 00:30 Aug 50.7
Japan Capital Spending (% YoY) 00:50 2Q 7.4
Capital Spending Ex Software (% YoY) 00:50 2Q 8.3
Company Profits (%) 00:50 2Q 20.2
Company Sales (%) 00:50 2Q 5.6
Australia RPData/Rismark House Px (% MoM) 01:00 Aug 1.6
South Korea Exports (% YoY) 01:00 Aug 5.4 0
Imports (% YoY) 01:00 Aug 5.8 1
Trade Balance (mln, USD) 01:00 Aug 2399 4300
HSBC South Korea Manufacturing PMI 01:00 Aug 49.3
Australia TD Securities Inflation (% MoM) 01:30 Aug 0.2
TD Securities Inflation (% YoY) 01:30 Aug 2.6
China Manufacturing PMI 02:00 Aug 51.7 51.2
Australia Company Operating Profit (% QoQ) 02:30 2Q 3.1
Inventories s.a. (% QoQ) 02:30 2Q -1.7
Japan Markit/JMMA Japan Manufacturing PMI 02:35 Aug F 52.4
China HSBC China Manufacturing PMI 02:45 Aug F 50.3
Taiwan HSBC Taiwan Manufacturing PMI 03:00 Aug 55.8
Indonesia HSBC Indonesia Manufacturing PMI 04:00 Aug 52.7
Exports (% YoY) 05:00 Jul 4.45
CPI (% YoY) 05:00 Aug 4.53
CPI n.s.a. (% MoM) 05:00 Aug 0.93
CPI Core (% YoY) 05:00 Aug 4.64
India HSBC India Manufacturing PMI 06:00 Aug 53
Ireland Investec Manufacturing PMI Ireland 06:00 Aug 55.4
Japan Vehicle Sales (% YoY) 06:00 Aug 0.6
Russia HSBC Russia Manufacturing PMI 06:00 Aug 51
Germany GDP s.a. (% QoQ) 07:00 2Q F -0.2 -0.2
GDP w.d.a. (% YoY) 07:00 2Q F 1.2 1.2
GDP n.s.a. (% YoY) 07:00 2Q F 0.8 0.8
Private Consumption (% QoQ) 07:00 2Q 0.7 -0.3
Government Spending (% QoQ) 07:00 2Q 0.4 0.3
Capital Investment (% QoQ) 07:00 2Q 3.2 -2.7
Construction Investment (% QoQ) 07:00 2Q 3.6 -4
Domestic Demand (% QoQ) 07:00 2Q 1.9 -1.3
Exports (% QoQ) 07:00 2Q 0.2 0.1
Imports (% QoQ) 07:00 2Q 2.2 -2.1
Australia Commodity Index (% YoY) 07:30 Aug -12.1
Commodity Index AUD 07:30 Aug 92.1
Sweden Manufacturing PMI 07:30 Aug 55.2
Hungary Manufacturing PMI 08:00 Aug 56.7
Norway Manufacturing PMI 08:00 Aug 50.6
Poland HSBC Poland Manufacturing PMI 08:00 Aug 49.4 48.9
Spain Markit Spain Manufacturing PMI 08:15 Aug 53.9 52
Czech RepublicHSBC Czech Republic Manufacturing PMI 08:30 Aug 56.5
Switzerland Manufacturing PMI 08:30 Aug 54.3
Italy Markit/ADACI Italy Manufacturing PMI 08:45 Aug 51.9 50.2
France Markit France Manufacturing PMI 08:50 Aug F 46.5 46.8
Germany Markit/BME Germany Manufacturing PMI 08:55 Aug F 52 52
Euro area Markit Eurozone Manufacturing PMI 09:00 Aug F 50.8 50.9
Greece Markit Greece Manufacturing PMI 09:00 Aug 48.7
UK Net Consumer Credit (bln, GBP) 09:30 Jul 0.4 0.5
Net Lending Sec. on Dwellings (bln, GBP) 09:30 Jul 2.1
Mortgage Approvals ('000s) 09:30 Jul 67.2 66.6
Money Supply M4 (% MoM) 09:30 Jul 0.1
M4 Money Supply (% YoY) 09:30 Jul -0.6
M4 Ex IOFCs 3M Annualised (%) 09:30 Jul 4.6
Markit UK Manufacturing PMI s.a. 09:30 Aug 55.4
Greece GDP n.s.a. (% YoY) 10:00 2Q F -0.2
Brazil FGV CPI IPC-S (%) 12:00 31Aug 0.06
Central Bank Weekly Economists Survey 12:30
HSBC Brazil Manufacturing PMI 14:00 Aug 49.1
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.continued0 Nonda E9 $ep :E9< .continued0 Nonda E9 $ep :E9< .continued0 Nonda E9 $ep :E9< .continued0 Nonda E9 $ep :E9<
Mexico Remittances Total (mln) 15:00 Jul 2037.8
US Fed's Plosser Speaks on the Economy in Amelia Island, Florida 15:15
Mexico HSBC Mexico Manufacturing PMI 15:30 Aug 51.5
IMEF Manufacturing Index s.a. 18:00 Aug 49.1
IMEF Non-Manufacturing Index s.a. 18:00 Aug 50.1
Brazil Trade Balance Monthly (mln, USD) 19:00 Aug 1575
Exports Total (mln, USD) 19:00 Aug 23025
Imports Total (mln, USD) 19:00 Aug 21450
Trade Balance Weekly (mln, USD) 19:00 31Aug -214
Tuesda E: $ep :E9< Tuesda E: $ep :E9< Tuesda E: $ep :E9< Tuesda E: $ep :E9<
GM T Peri od Previous SG Forecast s CNS/ Act ual
South Korea CPI (% MoM) 00:00 Aug 0.1 0.2
CPI (% YoY) 00:00 Aug 1.6 1.5
CPI Core (% YoY) 00:00 Aug 2.2 2.4
Australia ANZ Roy Morgan Weekly Consumer Confidence Index 00:30 31Aug 113.5
Japan Monetary Base (% YoY) 00:50 Aug 42.7
Monetary Base End of period (tln, JPY) 00:50 Aug 243.2T
Australia BoP Current Account Balance (bln, AUD) 02:30 2Q -5.7 -13
Net Exports of GDP 02:30 2Q 1.4 -0.5
Building Approvals (% MoM) 02:30 Jul -5 3
Building Approvals (% YoY) 02:30 Jul 16 8.8
Japan Labor Cash Earnings (% YoY) 02:30 Jul 0.4
Australia RBA Cash Rate Target (%) 05:30 2.5 2.5
Switzerland GDP (% QoQ) 06:45 2Q 0.5 0.2
GDP (% YoY) 06:45 2Q 2 1.4
Hungary Trade Balance (mln) 08:00 Jun F 609.7
Spain Unemployment (% MoM) Net ('000s) 08:00 Aug -29.8
Sweden Current Account Balance (bln) 08:30 2Q 61.4
UK Markit/CIPS UK Construction PMI 09:30 Aug 62.4 62
Euro area PPI (% MoM) 10:00 Jul 0.1
PPI (% YoY) 10:00 Jul -0.8
Brazil Industrial Production (% MoM) 13:00 Jul -1.4
Industrial Production (% YoY) 13:00 Jul -6.9 -1.8
US Markit US Manufacturing PMI 14:45 Aug F 58 57.8
Mexico Central Bank Economist Survey 15:00
International Reserves Weekly 15:00 29 Aug --
US ISM Manufacturing 15:00 Aug 57.1 58
ISM Prices Paid 15:00 Aug 59.5 57
Construction Spending (% MoM) 15:00 Jul -1.8 2
IBD/TIPP Economic Optimism 15:00 Sep 44.5 45
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8ednesda E; $ep :E9< 8ednesda E; $ep :E9< 8ednesda E; $ep :E9< 8ednesda E; $ep :E9<
GM T Peri od Previous SG Forecast s CNS/ Act ual
Brazil Selic Rate (%) 11 11
CNI Capacity Utilization s.a. (%) Jul 80.1
Poland Poland Base Rate Announcement (%) 2.5 2.5
US Domestic Vehicle Sales (mln) Aug 12.95 13.3
Total Vehicle Sales (mln) Aug 16.4 16.85
UK BRC Shop Price Index (% YoY) 00:01 Aug -1.9
Australia AiG Perf of Services Index 00:30 Aug 49.3
China Non-manufacturing PMI 02:00 Aug 54.2
Australia GDP s.a. (% QoQ) 02:30 2Q 1.1 0.4
GDP (% YoY) 02:30 2Q 3.5 3
Japan Markit Japan Services PMI 02:35 Aug 50.4
Markit/JMMA Japan Composite PMI 02:35 Aug 50.2
China HSBC China Services PMI 02:45 Aug 50
HSBC China Composite PMI 02:45 Aug 51.6
India HSBC India Services PMI 06:00 Aug 52.2
HSBC India Composite PMI 06:00 Aug 53
Ireland Investec Services PMI Ireland 06:00 Aug 61.3
Investec Composite PMI Ireland 06:00 Aug 60.2
Russia HSBC Russia Services PMI 06:00 Aug 49.7
HSBC Russia Composite PMI 06:00 Aug 51.3
Sweden PMI Services 07:30 Aug --
Hungary Retail Sales (% YoY) 08:00 Jul 3.8
GDP s.a. (% QoQ) 08:00 2Q F 0.8
GDP n.s.a. (% YoY) 08:00 2Q F 3.9
Spain Markit Spain Services PMI 08:15 Aug 56.2 54
Markit Spain Composite PMI 08:15 Aug 55.7
Italy Markit/ADACI Italy Composite PMI 08:45 Aug 53.1
Markit/ADACI Italy Services PMI 08:45 Aug 52.8 50.9
France Markit France Composite PMI 08:50 Aug F 50
Markit France Services PMI 08:50 Aug F 51.1 51.3
Germany Markit Germany Services PMI 08:55 Aug F 56.4 56.3
Markit/BME Germany Composite PMI 08:55 Aug F 54.9 54.8
Euro area Markit Eurozone Services PMI 09:00 Aug F 53.5 53.6
Markit Eurozone Composite PMI 09:00 Aug F 52.8 52.9
UK Official Reserves Changes 09:30 Aug -616
Markit/CIPS UK Composite PMI 09:30 Aug 58.8
Markit/CIPS UK Services PMI 09:30 Aug 59.1 58.5
Euro area Retail Sales (% MoM) 10:00 Jul 0.4
Retail Sales (% YoY) 10:00 Jul 2.4
GDP s.a. (% QoQ) 10:00 2Q P 0 0
GDP s.a. (% YoY) 10:00 2Q P 0.7 0.7
Gross Fix Cap (% QoQ) 10:00 2Q 0.3 -0.9
Govt Expend (% QoQ) 10:00 2Q 0.3 0.2
Household Cons (% QoQ) 10:00 2Q 0.1 0.3
US MBA Mortgage Applications 12:00 29 Aug --
Russia CPI WoW 13:00 01Sep --
CPI Weekly YTD 13:00 01Sep --
Brazil HSBC Brazil Composite PMI 14:00 Aug 49.3
HSBC Brazil Services PMI 14:00 Aug 50.2
US ISM New York 14:45 Aug 68.1
Factory Orders (%) 15:00 Jul 1.1 11.2
Brazil Currency Flows Weekly 16:30
US U.S. Federal Reserve Releases Beige Book 19:00
ore/ ,ee#l&




Thursda E< $ep :E9< Thursda E< $ep :E9< Thursda E< $ep :E9< Thursda E< $ep :E9<
GM T Peri od Previous SG Forecast s CNS/ Act ual
Brazil Serasa Aug. Retail Activity
Japan BOJ 2014 Monetary Base Target (tln, JPY) 270T 270
South Korea GDP (% YoY) 00:00 2Q F 3.6
GDP s.a. (% QoQ) 00:00 2Q F 0.6
Australia Trade Balance (mln) 02:30 Jul -1683 -1800
Retail Sales (% MoM) 02:30 Jul 0.6 0
US Fed's Powell Speaks in New York 05:00
France ILO Unemployment Rate (%) 06:30 2Q 10.1 10.2
ILO Mainland Unemployment Rate (%) 06:30 2Q 9.7 9.8
Mainland Unemp. Change ('000s) 06:30 2Q 23 28.8
Germany Factory Orders (% MoM) 07:00 Jul -3.2 0.9
Factory Orders w.d.a. (% YoY) 07:00 Jul -2.4 0.8
Czech Republic Retail Sales (% YoY) 08:00 Jul 8.2
Germany Markit Germany Construction PMI 08:30 Aug 48.2
Sweden Riksbank Interest Rate (%) 08:30 0.25
Riksbank publishes repo rate decision 08:30
Brazil FIPE CPI - Monthly (%) 09:00 Aug 0.16
UK New Car Registrations (% YoY) 09:00 Aug 6.6
Euro area Markit Eurozone Retail PMI 09:10 Aug 47.6
France Markit France Retail PMI 09:10 Aug 45.6
Germany Markit Germany Retail PMI 09:10 Aug 52.1
Italy Markit Italy Retail PMI 09:10 Aug 43.4
Russia Gold and Forex Reserve 12:00 29 Aug --
UK Bank of England Bank Rate (%) 12:00 0.5 0.5
BOE Asset Purchase Target (bln, GBP) 12:00 Sep 375 375
US Challenger Job Cuts (% YoY) 12:30 Aug 24.4
RBC Consumer Outlook Index 12:30 Sep 51.5
Euro area ECB Main Refinancing Rate (%) 12:45 0.15 0.15
ECB Marginal Lending Facility (%) 12:45 0.4 0.4
ECB Deposit Facility Rate (%) 12:45 -0.1 -0.1
US ADP Employment Change ('000s) 13:15 Aug 218 240
Euro area ECB'S Draghi Holds Press Conference After Rate Decision 13:30
US Trade Balance (bln, USD) 13:30 Jul -41.5
Initial Jobless Claims ('000s) 13:30 30 Aug --
Nonfarm Productivity (%) 13:30 2Q F 2.5
Continuing Claims ('000s) 13:30 23 Aug --
Unit Labor Costs (%) 13:30 2Q F 0.6
Brazil Vehicle Production Anfavea 14:30 Aug 252635
Vehicle Sales Anfavea 14:30 Aug 294768
Vehicle Exports Anfavea 14:30 Aug 34233
US Markit US Services PMI 14:45 Aug F 58.5 58.3
Markit US Composite PMI 14:45 Aug F 58.8 58.6
ISM Non-Manf. Composite 15:00 Aug 58.7 59.5
Fed's Mester Speaks on Monetary Policy in Pittsburgh 17:30
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Frida E= $ep :E9< Frida E= $ep :E9< Frida E= $ep :E9< Frida E= $ep :E9<
GM T Peri od Previous SG Forecast s CNS/ Act ual
Euro area ESM Sovereign Debt Rating Published by Fitch
ECB's Nouy Speaks on Panel on Banking in Brussels
Mexico Banamex Survey of Economists
Russia Money Supply Narrow Def 29 Aug --
Australia AiG Perf of Construction Index 00:30 Aug 52.6
Taiwan CPI (% YoY) 01:30 Aug 1.75
WPI (% YoY) 01:30 Aug 0.81
US Fed's Kocherlakota Speaks in Helena, Montana 02:00
Japan Leading Index CI 06:00 Jul P 105.9
Coincident Index 06:00 Jul P 109.7
Germany Industrial Production s.a. (% MoM) 07:00 Jul 0.3 0.4
Industrial Production w.d.a. (% YoY) 07:00 Jul -0.5 0.9
Australia Foreign Reserves (bln, AUD) 07:30 Aug 62.7B
France Consumer Confidence 07:45 Aug 86 86
Czech Republic Average Real Monthly Wage (% YoY) 08:00 2Q 3.1
Hungary Industrial Production s.a. (% MoM) 08:00 Jul P 1.8
Industrial Production w.d.a. (% YoY) 08:00 Jul P 11.3
Switzerland Foreign Currency Reserves (bln) 08:00 Aug 453.4
Sweden Service Production (% MoM) s.a. 08:30 Jul 0.1
Service Production (% YoY) w.d.a. 08:30 Jul 2.6
Industrial Production (% MoM) 08:30 Jul 1
Industrial Production n.s.a. (% YoY) 08:30 Jul -1.1
Industrial Orders (% MoM) 08:30 Jul 2.2
Industrial Orders n.s.a. (% YoY) 08:30 Jul -0.5
Norway Industrial Production (% MoM) 09:00 Jul 5.7
Industrial Production w.d.a. (% YoY) 09:00 Jul 3.2
Ind Prod Manufacturing (% MoM) 09:00 Jul 1.7
Ind Prod Manufacturing w.d.a. (% YoY) 09:00 Jul 3.1
UK BoE/Gfk NOP Inflation Attitudes Survey, next 12 mths 09:30 Aug 2.6
Taiwan Foreign Reserves (bln, USD) 09:20 Aug 423.66
Euro area ECB Announces 3-Year LTRO Repayment 11:00
Brazil FGV Inflation IGP-DI (% MoM) 12:00 Aug -0.55
IBGE Inflation IPCA (% MoM) 13:00 Aug 0.01 0.19
IBGE Inflation IPCA (% YoY) 13:00 Aug 6.5 6.45
Poland Official Reserves 13:00 Aug 103480
Chile Economic Activity (% YoY) 13:30 Jul 0.8
Economic Activity (% MoM) 13:30 Jul -0.8
US Change in Nonfarm Payrolls ('000s) 13:30 Aug 209 245
Two-Month Payroll Net Revision ('000s) 13:30 Aug -- 73
Change in Private Payrolls ('000s) 13:30 Aug 198 230
Change in Manufact. Payrolls ('000s) 13:30 Aug 28
Unemployment Rate (%) 13:30 Aug 6.2 6.1
Underemployment Rate (%) 13:30 Aug 12.2
Average Hourly Earnings (% MoM) 13:30 Aug 0 0.3
Average Hourly Earnings (% YoY) 13:30 Aug 2 2.1
Average Weekly Hours All Employees 13:30 Aug 34.5 34.6
Change in Household Employment 13:30 Aug 131 200
Labor Force Participation Rate (%) 13:30 Aug 62.9 62.9
Chile Real Wage (% MoM) 14:00 Jul 0
Real Wage (% YoY) 14:00 Jul 1.8
Mexico Consumer Confidence Index 14:00 Aug 90.5 92
Leading Indicators ((% MoM)) 14:00 Jul 0.13
Overnight Rate (%) 15:00 3 3
US Fed's Rosengren Speaks in Boston 20:45