大行報告

縱橫匯海

Sovereign wealth funds (SWFs) have xoxoe back to the forefront in 2010, as official xoxomentary from various SWFs has spooked currency markets.
In a UBS Foreign Exchange Note entitled "The Return Of Sovereign Wealth Funds," dated 12 Jan 2010, Mansoor Mohi-Uddin discusses that while SWFs
are set to return to prominence, the direction of the dollar ultimaTELy falls on the shoulders of US asset managers. Sovereign wealth funds lost influence during the financial crisis as lower oil and collapsing trade hit their sources of assets while plunging markets hurt their portfolios. But with financial markets recovering strongly since March 2009, oil bouncing around $80 a barrel and Asian trade expanding again year-on-year, sovereign wealth funds are back in the spotlight. SWFs are focused on longer-term returns and can generally hold a wider range of currencies and assets, which translates to more diversification versus central bank reserve managers. Recent data shows SWFs favor equities among asset classes and increased allocations to emerging markets, which could lead to further diversification away from the dollar.

But there are two reasons why the headlines from SWFs and the potential for diversification will not be as large a driving force as some investors may think. Even though SWFs can diversify away from dollars, they still hold a fair amount of assets in USDs and the problems in the Eurozone are reducing the attractiveness of the EUR as a USD alternative. They could diversify into GBP and JPY, for example, but those currencies carry their own issues. But more importantly, the portfolios of both sovereign wealth funds and central bank reserve managers globally remain dwarfed by those of US asset managers. According to our estimates sovereign wealth funds and central banks are together responsible for over $10trn of assets. US asset managers, however, are the largest holders of dollar-based portfolios, currently managing $37trn of assets according to data from the Federal Reserve, and thus will be the larger driving force behind the dollar's future direction.

USD: Dollar gains into holiday weekend
The dollar rallied amid further concern on Eurozone sovereign risks and a pull-back in risk-seeking. Treasury yields dropped along the curve, with the 2y down to 0.87% at the time of writing. The first major bank reported better earnings but its cautious outlook for consumer lending dampened sentiment. US equities closed down 1%. EURUSD traded 1.4337-1.4513 and USDJPY 90.60-91.33 during the US session. CPI increased less than expected while industrial production and capacity utilization were close to consensus, though capacity utilization is still almost 9 percentage points below its average for the period from 1972 to 2008. Total CPI rose 0.1% in Dec (UBSe 0.1%, cons 0.2%) after 0.4% in Nov. On a y/y basis, prices accelerated to 2.7% from 1.8% in Nov, and 0.1% y/y in Dec 2008. The core CPI was also up just 0.1% m/m in Dec (cons and UBSe: 0.1% m/m after 0.1% in Nov), pushing the y/y change to 1.8% from 1.7% in Nov. The pickup reflected base effects and slack in the overall economy will likely limit inflationary pressures. Capacity utilization edged up to 72.0% (cons: 71.8%, UBSe: 71.7%)and industrial production rose 0.6% in Dec (cons
0.6%, UBSe 0.4%), after a downward-revised +0.6% in Nov (was 0.8%). The University of Michigan consumer sentiment index edged up to 72.8 in Jan
(cons: 74.0, UBSe: 75.0) from 72.5 in Dec.

There are no releases or scheduled speeches due to the US holiday. We maintain our 1m EURUSD forecast of 1.40.

EUR: Trichet turns screws
ECB President Jean-Claude Trichet continued to apply pressure on Greece and warned all the Eurozone nations that it is up to the currency union's constituent countries to preserve the EUR and the 'no-bailout' policy is still in place, at least officially. Trichet also affirmed a strong dollar view. German Chancellor Merkel noted that the EUR is facing a 'difficult situation' over the next few years, but she was not worried about the solidity of Germany's finances. There were also rumours stating that she
had resigned, which further pressed the EUR, but these were swiftly dismissed by the government.

Eurozone CPI was in line with expectations at 0.3%, but core CPI was higher at 1.1%y/y. The trade balance deteriorated to EUR4.8bln (cons. 7.0bln), EUR3.9bln (cons. 5.0) on a seasonally-adjusted basis. We remain short EURUSD from 1.4405 as a trade rexoxomendation.

JPY: Final IP due
Final industrial production is due for November and a good print support continued growth. The recent recovery in IP has been led by steadier exports. BoJ Governor Shirakawa is also scheduled to speak at a quarterly meeting of the bank's branch managers in Tokyo. US 2y yields continue to concede the yield difference versus JGBs that supported the pair in December. We maintain our 3m forecast of 95 on USDJPY.

AUD: Tweaking our interest rate view
Our economists note that overall December was a strong month for labour data and as such a February hike is almost assured given recent data. We look for a 25bp hike in February to 4.0%. However we expect a pause after this hike, before the RBA returning in H2 (rather than Q4). Our year-end target for the cash rate remains at 4.75%. We still favour downside AUDNZD as we expect the RBNZ has more catch-up to do in terms of policy rates.

FX Technicals

EURJPY breaks below 130.60

EURUSD BULLISH Violation of 1.4409 opens 1.4258 but the pair remains constructive above the 1.4218 key low. Resistance is at 1.4579 ahead of 1.4681 (50% retrace) high.

USDJPY NEUTRAL Move below 90.73 puts focus on 90.16 ahead of 88.97 low next. Near-term resistance lies at 92.05 ahead of 92.66 high.

GBPUSD BULLISH Focus is on 1.6250 but remains constructive above 1.6063 low. While the latter holds, expect a bounce towards 1.6411 ahead of
1.6516 high next.

USDCHF BEARISH Remains heavy below 1.0422 with broader focus still downwards at 1.0131 ahead of 1.0058 (76.4% retrace) low. Near-term resistance is at 1.0385.

AUDUSD BULLISH Focus is on 0.9171 near-term support but only a break below 0.9093 would move focus away from 0.9328 high ahead of the 0.9406 trend high.

USDCAD BEARISH While resistance at 1.0422 high holds, expect a decline to the 1.0207 key low. Near-term resistance lies at 1.0322 high.

EURCHF BEARISH Broader focus remains on the 1.4724 key low, a breach of this level would open 1.4705 low next. Resistance lies at 1.4810 ahead
of 1.4840 high.

EURGBP BEARISH Sharp decline that broke below the 0.8834 key support, puts focus on 0.8772 next ahead of 0.8724 low. Near-term resistance is at 0.8936.

EURJPY NEUTRAL Abrupt decline breaks 130.60 low; focus is now on 130.15(61.8% retrace of 127.54-134.38) ahead of 129.97 low next. Resistance lies at 133.64 high.

小肥肥

小妹才疏学浅，英文不灵光，睇唔明。激气！

BC1410