onshore FX swap and forwards would be the next
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although reasons vary depending on the index: 1) lack of full accessibility:
the following key obstacles for index inclusion
% (Volatile markets and USD/CNY at 8.00)
the efficacy of this is questionable. The experience
making this FX regime choice no longer tenable for China.
which was derived from the annual rate since 2015.
FX & EM 2017 Year Ahead | 16 November 2016
USDbn USD/CNY 1Y rolling standard deviation
is to raise the influence of market forces over the exchange rate.
the risk to the trade is a further rise in 3m30y US
USD is also likely to strengthen. The positive
a further rally in the USD may catch investors under positioned
bp of yield -4.1 -4.9 -6.9 -7.4 -5.1 -5.4 -5.9 -5.4 -5.0 -5.0 -4.3 -4.2 -4.4 -4.3 -3.3 -2.8 -3.5 -3.2 -2.6 -2.2
bp of yield 4.1 4.9 6.9 7.4 6.5 7.5 9.6 10.0 10.4 11.5 13.4 14.1 17.0 18.5 19.2 19.6 23.8 24.2 23.8 23.8
% 1.14 1.34 1.77 2.13 1.24 1.43 1.83 2.17 1.44 1.62 1.96 2.25 1.81 1.92 2.17 2.38 2.04 2.12 2.32 2.47
% 1.31 1.54 2.05 2.44 1.49 1.73 2.23 2.60 1.84 2.08 2.51 2.84 2.50 2.65 2.95 3.21 2.98 3.08 3.28 3.47
under the selloff scenario where forwards converge to the levels implied by the median Fed dots(*)
which we recommend as an alternative for
the payer skew appears just fair in 2y1y