Yen it to win

Global FX weekly Yen it to win it

G10 FX. We exit short EUR/USD post-Fed but hawkish risks remain due to long-end FX Research reaction and resilient data. Maintain long JPY exposure – too much at stake for MoF. Global

EM FX. We remain cautious EM FX despite dovish Fed. Selective longs in BRL, COP, Table of Contents CNY vs. EUR. Korean Won remains tied to KOSPI swings. Key views, forecasts and latest trades 2 G10 Themes Week ahead 3 JPY. Dovish Fed, NKY correction, & bearish yen sentiment could make intervention The view 4 more effective than before. Key level is 155 G10 Themes 7 Japan intervention: implications for BoJ and JPY 7 AUD/NZD. Diverging policy outlooks and positioning favour shorts. Sell AUD/NZD 9 USD. European USD hedge ratio adjustments this year appear modest. USD hedge ratio series #15 – (H)edging away 10 July FOMC review: Doved and confused 11 USD. Need to re-establish Fed credibility increases the probability of a Sep hike. July FX rebalancing – GBP outflows 12 FX rebalancing. Broad outperformance in UK assets points to GBP selling. CHF: Dissecting the large FX Reserve build in June 13 EM FX: Bargain Hunting gets Harder 14 CHF: Dissecting the large FX Reserve build in June. ASEAN FX: Fending off capital flight 16

EM FX: Bargain Hunting gets Harder CNH: Sep Xi-Trump summit preview 17 SGD: Is small still beautiful in a fragmented world? 18 EMFX. Bargain Hunting is Getting Harder HKD: HIBOR spike tail risk 19 ASEAN. ASEAN Strategy: Defending FX against capital flight Quant & Vol Insights 20 Technical Strategy 21 CNY. Tug of (Trade) War: Stability to take the center stage at the Sep Xi-Trump summit Trade Recommendations G10 22 SGD. Is small still beautiful in a fragmented world? Trade Recommendations EM 25 World At A Glance Projections 27 HKD. The tail risk of a HIBOR spike amid a potential Fed hiking cycle Research Analysts 32

Quant & Vol Insights Momentum building for new USD highs. Option flow, skew and momentum point to G10 FX Strategy further USD strength. Trend signals strongest vs low yielders, hawkish FOMC may send MLI (UK) USD to new YTD highs. Carry remains king + bearish EUR trend signals = EURAUD lower. Adarsh Sinha FX and Rates Strategist Technical Strategy MLI (UK) August seasonal trends favor a stronger USD vs GBP, AUD, MXN, COP and ZAR. Dollar strength tended to broaden in US Pres. Cycle Y2 and in 2018 (Y2 Trump term 1). Claudio Piron Emerging Asia FI/FX Strategist Merrill Lynch (Singapore) Alex Cohen, CFA FX Strategist BofAS Janice Xue Emerging Asia FI/FX Strategist Merrill Lynch (Hong Kong) Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial See Team Page for List of Analysts resources to absorb any losses arising from applying these ideas or strategies. BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Refer to important disclosures on page 29 to 31. Analyst Certification on page 28.

Key views, forecasts and latest trades Michalis Rousakis Claudio Piron MLI (UK) Merrill Lynch (Singapore)

Exhibit 1: Our medium-term views G10 and EM FX medium-term views G10 Following the July FOMC, we closed our short EURUSD trade recommendation. In the wake of the June FOMC, we had expected the Fed to maintain a broadly hawkish tone. The July FOMC press conference injected uncertainty around the Fed's inflation-fighting commitment and reaction function. However, US data and risks surrounding the Middle East conflict could provide support to the USD through the summer and until the Euro area growth recovery gathers steam. We retain a constructive medium- term EUR bias. We are no longer bearish JPY as structural outflows moderate and hedging trends begin to shift. Meanwhile, ongoing yen weakness is increasing pressure on authorities to defend the currency, making a more hawkish BoJ an increasingly…