Forex Flash: Asia Carry and spread Z-score - Nomura

Nomura FX Strategists Wee Choon Teo and Craig Chan note that the meeting of G20 finance ministers and central bankers concluded over the weekend with a pledge to refrain from competitive devaluation but avoided a specific mention of the recent JPY depreciation.

They comment that Prime Minister Abe remained steadfast in his push for aggressive BOJ easing with his latest comment suggesting that foreign bond buying and measures to directly affect the stock market could be among the future courses of action for the BOJ. They write, “We re-positioned our Asia FX portfolio to capture the more idiosyncratic strengths and weaknesses within the region, and avoided those currencies which appear more exposed to JPY depreciation. The Asia FX forwards markets have also seen corresponding shifts in the appreciation / depreciation priced into their curves. The highlights that see across Asia FX are USD/PHP, USD/MYR & USD/TRW.