19 January 2024 | 9:05PM GMT

Global FX Trader

Dollar Sound Check

Kamakshya Trivedi
+44(20)7051-4005 |
[email protected]
Goldman Sachs International

Michael Cahill
+44(20)7552-8314 |
[email protected]
Goldman Sachs International

Danny Suwanapruti
Our thoughts on USD, EM FX, EUR, JPY, CHF, CEE, and QT & USD +65-6889-1987 |
[email protected]
n USD: From Vibecession to Vibe Sesh. The DXY is now around 2.5% stronger Goldman Sachs (Singapore) Pte

since the late-December lows—a relatively large move compared to the shift in Isabella Rosenberg
+1(212)357-7628 |
US real rates, equities and even Fed pricing for this year. Digging into this, we [email protected]
Goldman Sachs & Co. LLC
believe that broader macro forces have indeed cut against the Dollar since the
Teresa Alves
reversal in yields earlier in Q4 as markets became more confident in a weaker +44(20)7051-7566 |
[email protected]
inflation outlook but more solid growth. However, G9 currencies started to Goldman Sachs International

“outrun” market fundamentals, instead following the “vibes” of the December Victor Engel
+44(20)7051-3862 | [email protected]
FOMC decision (Exhibit 1). Since late December, as the move in other asset Goldman Sachs International

classes began to stall and reverse a bit, currencies had more ground to cover. Lexi Kanter
+1(212)855-9701 |
After the move higher in the Dollar over the last three weeks, cyclical FX [email protected]
Goldman Sachs & Co. LLC
valuations are now more broadly aligned. That does not preclude some
overshoot from here, but we think investors should be cognizant that the “easy”
part of recalibrating from the December FOMC now appears behind us, and it
will probably take a more decisive move in macro variables—like a repricing of
Fed expectations—to drive the Dollar back towards its recent highs. While this
has been a fairly broad pattern, looking at how individual crosses have performed
relative to their typical macro betas over these two periods reveal some
interesting observations and opportunities (Exhibit 2). First, the Scandis have
experienced a relatively large deviation from cyclical valuations over the last
month or so. This can likely be partially attributed to some domestic factors (such
as commodity prices in Norway and monetary policy expectations in Sweden),
but suggests some near-term downside risk for NOK/SEK. Second, EUR has
been somewhat more resilient over the last few weeks, which supports our view
that risks are skewed to the downside over the near term (see EUR bullet). Third,
JPY’s recent underperformance has been much more pronounced than
cross-asset performance (especially rates) would suggest (see JPY bullet).
Finally, INR’s stability stands out in this exercise and is consistent with our view
that the Rupee adds important resilience to any EM FX carry strategy. We like to

Investors should consider this report as only a single factor in making their investment decision. For Reg AC
certification and other important disclosures, see the Disclosure Appendix, or go to
www.gs.com/research/hedge.html.
Goldman Sachs Global FX Trader

express this through short EUR/INR.

Exhibit 1: The recent underperformance of G9 FX relative to other Exhibit 2: The currencies that have underperformed the most YTD
market variables reflects a reversal of the outperformance in the are the ones that had outperformed the most following the last
second half of December FOMC meeting
Cumulative G9 FX % appreciation vs USD relative to October 27th, 2023.

% G9 FX returns % 1
US equities
8.0 US rates Dec 27th 8.0 INR

Actual - Predicted returns since 27th Dec

Oil prices Dec 13th GBP
FOMC meeting Local trough
7.0 Copper prices in the Dollar 7.0 0
Unexplained PHP CNH
Actual returns IDR
6.0 Predicted returns 6.0 MXN PEN
-1 BRL
COP
EUR
5.0 5.0 SGD HUF
MYR ZAR CAD
CHF

(%)
4.0 4.0 -2 CZK TWD
KRW NZD
3.0 3.0 AUD THB
-3 PLN NOK
2.0 2.0 ILS R² = 0.40
JPY

1.0 1.0 -4
SEK
0.0 0.0
-5
-1.0 -1.0 -1 0 1 2 3 4 5 6
Oct-27 Nov-10 Nov-24 Dec-08 Dec-22 Jan-05 Actual - Predicted returns between 12th and 27th of Dec (%)

Predicted returns based on FX sensitivities to each factor estimated between 2021 and 2023 Predicted returns based on FX sensitivities to each factor estimated between 2021 and 2023 (the
S&P index, US 10y real yields, oil and copper prices).
Source: Bloomberg, Goldman Sachs Global Investment Research
Source: Bloomberg, Goldman Sachs Global Investment Research

n EM FX: From a favourable to an unfavourable mix. For EM currencies, the

outperformance relative to other market factors began before the last FOMC
meeting as financial conditions eased from late October. At the time, we found that
the better balance of global factors – improved China sentiment (together with a
stronger CNY), lower US yields and higher equities – helped explain most of the EM
FX performance. Still, EM currencies ran ahead of these factors and appreciated by
more than their historical sensitivities to other market variables would imply (as
Exhibit 3 shows, ‘actual’ returns are higher than ‘predicted’ returns). Therefore, as
with G9 FX, the recent underperformance largely represents a reset of the prior
outperformance and leaves EM FX cumulative returns since last October roughly in
line with other market variables. Beyond the broad Dollar move, we think that the
recent re-rating of Chinese growth expectations has been an important driver of EM
currency performance (and contrasts with the better China sentiment through
November). In particular, while Chinese activity data has been broadly in line with
expectations, Chinese equities have sold-off sharply to start the year and
China-linked commodity prices have declined YTD. As a result, we find that the
difference in FX sensitivities to Chinese growth expectations can explain a large
share of the performance across currencies (Exhibit 4), with CLP, ZAR and KRW
among the worst performers. Looking ahead, EM FX returns are likely to remain
choppy as long as expectations on the degree of Fed easing remain data dependent
and if Chinese growth sentiment does not pick up. For this reason, our current trade
recommendations feature RV opportunities (long PLN/CZK) or more risk-neutral
longs (short EUR/INR). Still, with currency performance now more in line with other
market factors, this provides an opportunity to re-engage at better levels in the more
cyclical currencies that would benefit the most under our baseline scenario of
equity-led financial conditions easing.

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Goldman Sachs Global FX Trader

Exhibit 3: EM currencies began outperforming their sensitivities to Exhibit 4: The difference in FX sensitivities to market-based
global market variables earlier than G9 currencies Chinese growth expectations can explain a large share of the
Cumulative G9 FX % appreciation vs USD relative to October 27th, 2023. performance across EM currencies

% EM FX returns %
6.0 US equities 6.0
US rates Dec 27th INR
Oil prices Dec 13th 0
FOMC meeting Local trough
5.0 Copper prices in the Dollar 5.0
Unexplained Larger actual PHP
Actual returns selloff since CNH
4.0 Predicted returns 4.0 -1 Dec 27th PEN
IDR
MXN HUF

3.0 3.0
-2 TWD MYR CZK BRL
SGD
2.0 2.0
-3
THB
1.0 1.0 COP ZAR
KRW
-4 PLN R² = 0.41
0.0 0.0
ILS Higher beta to Chinese growth CLP
expectations
-1.0 -1.0 -5
Oct-27 Nov-10 Nov-24 Dec-08 Dec-22 Jan-05 -2 0 2 4 6 8 10

Predicted returns based on FX sensitivities to each factor estimated between 2021 and 2023 Source: Goldman Sachs Global Investment Research, Bloomberg
Source: Bloomberg, Goldman Sachs Global Investment Research

n EUR: It started out with a miss, how did it end up like this? As we outlined in
more detail last week, we think the Euro faces a number of stiff headwinds. On the
bright side, we think it remains an attractive funding option—our favorite pick is
short EUR/INR, with a target of 0.88. But recent ECB speak has clearly pushed in a
hawkish direction, arguing that cuts should be off the table until the summer as they
wait for more information on wage settings, and that the market pricing of rate cuts
could undermine their policy goals. We do not think this hawkish push is at odds
with our near-term bearish outlook. Fundamentally, our economists think that the
hawkish ECB rhetoric is a function of the December inflation projections, which look
too high to us. After completely missing the surge in inflation the last few years, the
ECB’s inflation projections also underestimated the speed of the turn lower (Exhibit
5). Essentially, it looks like the ECB’s rhetoric is trained on inflation forecasts that are
outdated, and likely influenced by the overly-optimistic disinflation forecasts over the
last couple years. But we think the switch in the direction of the projection misses is
important, and there should be more to come, which would allow for a faster move
towards rate cuts than the current guidance suggests. And, from an FX perspective,
the exact timing of rate cuts is less important—policymakers are not demonstrating
a more hawkish reaction function, just a difference on the data outlook, so this is not
a strong Euro policy. Tactically, we expect the Euro headwinds to be on display over
the next few weeks, and arguably under this framework the PMI and inflation
reports should be more important than the likely steadfast message from the ECB
next week. And it is worth noting in this context that a similarly strong message
from the FOMC in two weeks will carry a bit more weight since the data have been
more mixed from a policy perspective, and this would likely also weigh on EUR/USD
and EUR/INR.

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Goldman Sachs Global FX Trader

Exhibit 5: The ECB’s inflation projections have underestimated the speed of both the surge and decline in
inflation

YoY % Change
YoY % Change ECB HICP Forecasts
12 12

10 10
Realized Headline HICP

8 8

6 6
ECB December Projection
4 4

2 2

GS Forecast
0 0

-2 -2
Mar-17 Jan-18 Nov-18 Sep-19 Jul-20 May-21 Mar-22 Jan-23 Nov-23 Sep-24 Jul-25 May-26

Source: Goldman Sachs Global Investment Research, ECB, Haver Analytics

n JPY: This seems familiar. After a bout of strength to end 2023, the Yen is back in
familiar territory—weakening against a backdrop of resilient US growth, a wider rate
differential, and muted expectations for the BoJ next week. And the expected
downward revision to the FY2025 inflation forecast, with the focus likely to shift out
a year to the FY2026 inflation projection in April, has a very familiar feel for the BoJ,
and could prompt fresh market doubts about whether Japan will finally be able to
exit negative rates in 2024. While the extent of the recent depreciation has
exceeded our model expectations, our overall view on JPY is unchanged. We still
think the prospect for more pronounced Yen strength is relatively limited. Even if the
BoJ surprises with a more hawkish shift—for example, by changing the forward
guidance—we do not think this will significantly alter the portfolio flow picture.
Rising recession risk would clearly benefit JPY, but that remains a relatively remote
scenario in our view. As a result, even though USD/JPY is now above our 3m
forecast, we still think the Yen is an attractive funding option for more procyclical
trades because it offers protection against the risk of a more hawkish Fed response
to cooler inflation but firmer activity.
n CHF: Meet me in the middle. Comments from SNB President Jordan at Davos this
week prompted questions about the policy path and the possibility of cuts in the
near future; Jordan noted in an interview that recent CHF strength has materially
impacted their inflation outlook. We think this means the SNB will take CHF strength
into account in their inflation projections going forward, as always. However, we
read the statement as a signal of the definitive end to hikes rather than the start of
cuts - it is likely this will keep the SNB’s inflation forecast close to the target, but not
at risk of falling too low. As we argued last week, we think at least some of recent
CHF strength is positioning related, driven by a significant unwind in CHF shorts at

19 January 2024 4
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the end of December. More broadly, we are skeptical that the SNB needs to move
to cuts quickly. The SNB policy rate is currently not far above their neutral rate
estimate - at 1.75% it is currently below our economists’ terminal rate forecast for
the ECB. While we do think the SNB’s intervention preference has shifted, as they
are no longer explicitly targeting a stronger CHF, it is not obvious that the SNB’s
change should lead to depreciation either. And, as we have been arguing, if the SNB
wants to keep shrinking its balance sheet alongside its central bank peers, this
constitutes de facto intervention given that they primarily hold foreign assets. So,
while the SNB may no longer have a strong currency policy, their current outlook
does not seem like a particularly weak one either.

n CEE: Sticking with the Zloty but rotating out of HUF. Last week, we tightened
the stop on our recommendation to be long PLN and HUF vs CZK to protect gains.
While we think investors should “Stick with the Zloty”, we have turned less
constructive on HUF as the backdrop for the Forint’s performance has become more
mixed: while a potentially friendlier risk backdrop in 2024 should be a tailwind,
valuations are now less compelling and a more dovish monetary policy mix will
weigh on carry relative to 2023. On the latter point, this week, MNB Deputy
Governor Virag signalled that the MNB was likely to accelerate its pace of easing to
100bp at the next meeting, contrasting with prior guidance that a pace of 75bp
would be kept at least until February. Even though inflation is falling sharply, with
this accelerated pace of rate cuts, real rates will decline meaningfully in Hungary
through the year (Exhibit 6). Thus, the carry return, which was key for HUF’s
performance in 2023, will no longer be as attractive and rate receivers are now our
preferred trade. As a result, we close our recommendation to be long PLN and HUF
vs CZK for a potential total return of around 1.8% and rotate to a long PLN/CZK
recommendation (with a target of 5.90 and a stop of 5.55). On the short side, we
expect easier monetary policy in the Czech Republic to continue to be a drag on the
overvalued Czech Koruna given that most of the 2021-22 CZK strength was driven by
central bank policy. Our positive Zloty view is driven by an improving external
balance picture, supported by the disbursement of EU funds and other inflows
driven by the prospect of improved Poland-EU relations. While increased political
noise has weighed on sentiment, we think that as long as the NBP is focused on
returning inflation to target (even if this is more hawkish than warranted by the data)
then the Zloty should stay supported through the real rates channel. While entry
levels look more compelling for EUR/PLN, CZK funding neutralises the risk beta of
the trade at a time when FX price action has been choppy. We think the main risk to
a constructive PLN view is a US election outcome that disrupts the West’s current
aligned policy on Ukraine and revives concerns of a US exit from NATO that leads to
an increase in geopolitical concerns in the CEE region.

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Exhibit 6: We expect that real rates in Hungary will decline meaningfully through the year

% Ex-ante real policy rates %

9 9

8 8

7 7
6 2023Q4
6
2024Q4
5
5
4
4
3
3
2
2
1

0 1

-1 0

-2 -1
BRL HUF COP MXN CLP ZAR CZK PEN PHP IDR RON ILS INR KRW PLN TWD THB MYR

We proxy inflation expectations with the one-year-ahead GS inflation forecast

Source: Goldman Sachs Global Investment Research

n QT & USD: Limited impact on the Dollar. The Dollar tends to be sensitive to
changes in US monetary policy. As a result, the Fed’s shift to easing this year has
renewed focus on the Dollar’s performance around policy changes, including the
Fed’s balance sheet policy. With the Fed poised to slow balance sheet runoff, we
find that the implications for the trade-weighted Dollar should be limited. In general,
Fed balance sheet policy has little meaningful impact on the broad Dollar, though it is
not necessarily a “free lunch.” The economic literature finds that this type of policy
primarily works through Treasury term premiums, rather than expected short rates,
especially when the Fed downplays the “signaling” channel of its balance sheet
changes. When we break down the impact of the effects of changes in short rates
versus term premiums on the trade-weighted Dollar, we find that it is far less
sensitive to changes in term premiums, and by extension the Fed’s balance sheet
policy (Exhibit 7). This is similar for the Dollar against the Euro. While JPY and EM
high-yielders could be somewhat sensitive to shifts in term premium, this is still
secondary to rate expectations, and we think there are good reasons to expect the
impact to be more limited in the current context. As a result, we expect changes to
the Fed’s balance sheet to have a modest impact on the trade-weighted Dollar,
particularly as the “signaling” channel from QT is less likely to play an important role
this year. Instead, we expect to see the Dollar’s high valuation erode—slowly—as
easier policy rate settings and solid growth gradually weigh on the Dollar’s
performance.

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Exhibit 7: The Dollar is less sensitive to changes in term premiums, and by extension the Fed’s balance sheet policy
Change in Broad USD TWI and Expected Short Rates on FOMC Days Change in Broad USD TWI and Term Premiums on FOMC Days
4 4

3 3

2 2
Change in USD TWI (%)

Change in USD TWI (%)

1 1

0 0
Beta = -0.1
-1 -1
Beta = 2.7***
-2 -2

-3 -3

-4 -4
-0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 -0.5 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3
Change in Expected Short Rates (pp) Change in Term Premium (pp)

Source: Bloomberg, Federal Reserve Bank of New York, Goldman Sachs Global Investment Research

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Global FX Forecasts
3-Month Horizon 6-Month Horizon 12-Month Horizon Longer-term Forecasts (eop)
Current
Spot
Forward Forecast Forward Forecast Forward Forecast 2025 2026 2027

G10
EUR/$ 1.09 1.09 1.08 1.10 1.10 1.10 1.12 1.15 1.15 1.15
£/$ 1.27 1.27 1.28 1.27 1.30 1.27 1.35 1.35 1.35 1.35
AUD/$ 0.66 0.66 0.68 0.66 0.70 0.66 0.72 0.75 0.80 0.85
NZD/$ 0.61 0.61 0.63 0.61 0.65 0.61 0.67 0.67 0.67 0.67
$/CAD 1.35 1.35 1.34 1.35 1.32 1.35 1.30 1.30 1.25 1.20
$/CHF 0.87 0.86 0.88 0.85 0.86 0.84 0.85 0.84 0.86 0.87
$/NOK 10.53 10.51 10.56 10.49 10.27 10.47 10.00 9.22 8.70 8.26
$/SEK 10.49 10.45 10.28 10.42 10.00 10.35 9.64 9.13 8.70 8.26
$/JPY 148 146 145 144 142 141 140 130 125 120
EMEA
$/CZK 22.8 22.8 22.8 22.8 22.5 22.7 22.3 22.0 22.2 22.6
$/HUF 352 354 347 355 341 356 339 330 335 339
$/PLN 4.03 4.04 3.89 4.04 3.86 4.07 3.84 3.78 3.83 3.87
$/RON 4.58 4.58 4.58 4.59 4.50 4.60 4.46 4.39 4.43 4.43
$/RUB 92.84 92.84 98.0 96.64 105.0 103.85 110.0 110.0 110.0 110.0
$/UAH 37.7 39.7 36.0 42.3 40.0 48.2 42.0 42.0 44.0 45.0
$/TRY 30.13 33.10 29.0 36.33 31.0 43.11 34.0 40.00 44.00 48.00
$/ILS 3.76 3.75 3.70 3.73 3.60 3.69 3.55 3.50 3.45 3.40
$/ZAR 18.94 19.09 18.00 19.25 17.50 19.60 17.25 17.00 16.00 15.00
$/NGN 888 1135 850 1265 900 1405 1000 800 900 1000
Americas
$/ARS 819 1046 850 1429 900 936 1000 1100 1600 2100
$/BRL 4.93 4.98 4.80 5.03 4.70 5.12 4.60 4.55 4.50 4.45
$/MXN 17.16 17.42 17.00 17.69 17.00 18.21 17.25 17.50 17.75 18.00
$/CLP 918 924 860 926 840 927 830 825 800 775
$/PEN 3.75 3.75 3.75 3.76 3.70 3.78 3.65 3.65 3.60 3.55
$/COP 3918 3989 3850 4056 3800 4172 3750 3700 3700 3650
Asia
$/CNY 7.20 7.12 7.15 7.09 7.10 7.03 7.05 7.00 6.90 6.80
$/HKD 7.82 7.81 7.80 7.79 7.80 7.77 7.80 7.80 7.80 7.80
$/INR 83.12 83.47 83.00 83.83 82.00 84.73 81.00 81.00 80.50 80.00
$/KRW 1339 1332 1280 1326 1240 1314 1200 1200 1200 1200
$/MYR 4.72 4.69 4.60 4.67 4.55 4.65 4.50 4.40 4.30 4.20
$/SGD 1.34 1.34 1.30 1.33 1.28 1.33 1.27 1.27 1.25 1.23
$/TWD 31.6 31.2 31.0 30.8 30.5 30.2 30.0 30.0 30.0 29.0
$/THB 35.60 35.40 34.50 35.15 34.00 34.71 33.00 33.00 32.00 32.00
$/IDR 15620 15635 15200 15667 15000 15779 14800 14800 14500 14000
$/PHP 55.84 55.87 55.00 55.91 54.50 55.99 54.00 55.00 55.00 55.00
Euro Crosses
EUR/GBP 0.86 0.86 0.84 0.86 0.85 0.87 0.83 0.85 0.85 0.85
EUR/CHF 0.94 0.94 0.95 0.93 0.95 0.93 0.95 0.97 0.99 1.00
EUR/NOK 11.45 11.47 11.40 11.49 11.30 11.56 11.20 10.60 10.00 9.50
EUR/SEK 11.40 11.41 11.10 11.41 11.00 11.43 10.80 10.50 10.00 9.50
EUR/CZK 24.79 24.92 24.60 25.02 24.80 25.11 25.00 25.25 25.50 26.00
EUR/HUF 382 387 375 389 375 393 380 380 385 390
EUR/PLN 4.39 4.41 4.20 4.43 4.25 4.49 4.30 4.35 4.40 4.45
EUR/RON 4.98 5.00 4.95 5.02 4.95 5.08 5.00 5.05 5.10 5.10
EUR/RUB 101.0 101.3 105.8 105.9 115.5 114.7 123.2 123.2 126.5 126.5
Note: Spot values are as of Thursday's close.

See dynamic table here (or click image above):

Source: Goldman Sachs Global Investment Research

19 January 2024 8
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Return Forecasts & Valuations

GSDEER GSFEER
Forecast: 12-Month Return (%) Misalignment Misalignment
Current Trade- Trade- Average
Spot Carry Total NEER Estimate Bilateral Estimate Bilateral PPP*
Spot Weighted Weighted Estimate
G10
EUR/$ 1.09 3.0 -1.5 1.4 1.0 1.23 -11% 3% 1.19 -9% 1% 1.21 1.42
GBP/$ 1.27 6.2 0.0 6.2 4.2 1.27 0% 17% 1.30 -2% 7% 1.28 1.45
AUD/$ 0.66 9.5 -0.5 9.0 5.6 0.85 -22% -5% 0.76 -13% -2% 0.81 0.69
NZD/$ 0.61 9.5 0.3 9.8 5.2 0.65 -6% 12% 0.69 -12% -1% 0.67 0.70
$/CAD 1.35 3.7 -0.3 3.5 2.7 1.23 -9% -4% 1.30 -4% 1% 1.26 1.20
$/CHF 0.87 2.3 -3.5 -1.2 -0.1 0.89 2% 16% 0.83 -4% 6% 0.86 1.02
$/NOK 10.53 5.3 -0.6 4.7 1.9 7.02 -33% -22% 6.96 -34% -30% 6.99 12.59
$/SEK 10.49 8.7 -1.3 7.3 5.7 7.34 -30% -19% 9.06 -14% 1% 8.03 8.98
$/JPY 148.16 5.8 -5.0 0.5 2.7 94 -37% -27% 120 -19% -8% 104 91
EMEA
$/CZK 22.79 2.1 -0.2 1.9 -0.5 25.4 11% 28% 21.7 -5% 4% 23.9 18.1
$/HUF 351.55 3.6 1.2 4.9 1.1 326 -7% 7% 343 -2% 7% 333 240
$/PLN 4.03 5.0 0.9 6.0 3.0 3.79 -6% 9% 3.9 -2% 9% 3.85 2.83
$/RON 4.58 2.5 0.5 3.0 -- -- -- -- -- -- -- -- --
$/RUB 92.84 -15.6 11.9 -5.6 -17.8 71.38 -23% -5% 78.06 -16% -3% 74.05 49.67
$/UAH 37.71 -10.2 27.8 17.6 -- -- -- -- -- -- -- -- --
$/TRY 30.13 -11.4 43.1 26.8 -12.7 17.51 -42% -35% 23.59 -22% -11% 19.94 14.73
$/ILS 3.76 6.0 -1.8 4.1 4.1 3.42 -9% 4% 2.96 -21% -12% 3.24 4.37
$/ZAR 18.94 9.8 3.5 13.6 6.5 12.92 -32% -23% 15.8 -17% -4% 14.06 16.55
$/NGN 888 -11 58 47 -- -- -- -- -- -- -- -- --
Americas
$/ARS 819.25 -18.1 14.3 -3.8 -21.0 -- -- -- -- -- -- -- --
$/BRL 4.93 7.2 3.9 11.4 6.0 4.21 -15% 0% 5.19 5% 15% 4.60 5.46
$/MXN 17.16 -0.5 6.1 5.6 -1.8 18.95 10% 18% 19.10 11% 15% 19.01 18.50
$/CLP 918 10.6 1.0 11.7 8.5 712 -22% -9% 931 1% 12% 799 795
$/PEN 3.75 2.6 0.8 3.4 0.5 3.23 -14% -2% 3.83 2% 9% 3.47 4.27
$/COP 3918 4.5 6.5 11.3 2.9 3392 -13% -2% 4452 14% 20% 3816 3393
Asia
$/CNY 7.20 2.1 -2.3 -0.3 -1.9 5.35 -26% -13% 6.41 -11% -1% 5.77 7.10
$/HKD 7.82 0.3 -0.6 -0.4 -2.8 7.22 -8% 14% 7.37 -6% 3% 7.28 5.80
$/INR 83.12 2.6 1.9 4.6 0.1 76.73 -8% 4% 73.65 -11% -2% 75.50 70.65
$/KRW 1339 11.6 -1.9 9.5 9.0 1155 -14% 5% 1259 -6% 6% 1196 911
$/MYR 4.72 4.9 -1.6 3.2 0.4 3.43 -27% -13% 4.41 -7% 3% 3.82 2.33
$/SGD 1.34 5.8 -1.4 4.3 1.9 1.38 2% 21% 1.43 6% 17% 1.40 0.69
$/TWD 31.6 5.3 -4.5 0.5 1.6 26.8 -15% 5% 26.6 -16% -7% 26.7 14.4
$/THB 35.60 7.9 -2.5 5.2 4.1 32.15 -10% 10% 33.95 -5% 8% 32.87 21.27
$/IDR 15620 5.5 1.0 6.6 1.6 14077 -10% 9% 14311 -8% 0% 14171 11137
$/PHP 55.84 3.4 0.3 3.7 -0.5 57.54 3% 25% 57.96 4% 12% 57.71 51.83
Euro Crosses
EUR/GBP 0.86 3.2 1.5 4.7 4.2 0.97 13% 17% 0.92 7% 7% 0.95 0.99
EUR/CHF 0.94 -0.6 -2.0 -2.6 -0.1 1.09 15% 16% 0.99 5% 6% 1.05 1.45
EUR/NOK 11.45 2.3 0.9 3.2 1.9 8.60 -25% -22% 8.30 -28% -30% 8.48 17.94
EUR/SEK 11.40 5.6 0.2 5.8 5.7 9.00 -21% -19% 10.80 -5% 1% 9.72 12.79
EUR/CZK 24.79 -0.9 1.3 0.4 -0.5 31.09 25% 28% 25.88 4% 4% 29.01 25.79
EUR/HUF 382 0.6 2.7 3.3 1.1 399 4% 7% 409 7% 7% 403 342
EUR/PLN 4.39 2.0 2.4 4.4 3.0 4.64 6% 9% 4.7 7% 9% 4.66 4.03
EUR/RON 4.98 -0.5 2.0 1.5 -- -- -- -- -- -- -- -- --
EUR/RUB 101.0 -18.0 13.4 -4.7 -17.8 87.5 -13% -5% 93.1 -8% -3% 89.7 --
Addendum
USD -- -4.1 -1.7 -5.5 -3.3 -- -- 16% -- -- 5% -- --
Note: USD returns average of all other currencies (except ARS, NGN and UAH) with opposite sign; *EM estimates adjusted for per capita income. Spot values as of Thursday.

See dynamic table here (or click image above):

Source: Goldman Sachs Global Investment Research

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Goldman Sachs Global FX Trader

FX Positioning
*2289D AA2 66 6 4
$2 AA2 2 45
(2 6 2
( .
A 2 0D $ 2 06.9 2 . .42 2B2 .421 A 1 12C
.2 *228
(
/ 3% 54 / / 3% 54 / / 3% 54 /

)
$-

)
)(

9621 ) 2
)
)
)

$ .96E21 6 6 6 4 (0 2 - 0 2 $ .96E21 )( 6 6 6 4 (0 2 - 0 2
A 2 0D AA2 6 8 2B2 .9 B2 .42 2 . .17A 21 6 8 2B2 .9
)( $ 0 2 06.9 66 6 4
2B2 .421 A 1 66 6 4
)

)
$-

J J

$% J J

( J J

J J

- 0 2 $ .96E21 ) 6 6 6 4 (0 2 - 0 2 - 0 2 $ .96E21 6 6 6 4 (0 2 - 0 2

2 . .17A 21 6 8 2B2 .9
$ 0 2 06.9 66 6 4
2B2 .421 A 1 66 6 4

J J J J

J J J J
2 . .17A 21 6 8 2B2 .9
J J J $ 0 2 06.9 66 6 4 J
2B2 .421 A 1 66 6 4
J J J J

*Our Sentiment Index scales non-commercial net speculative positioning relative to the rolling three-year minimum and maximum of net positioning. ** Beta-adjusted risk reversals.

Source: Bloomberg, Haver Analytics, Goldman Sachs Global Investment Research

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Goldman Sachs Global FX Trader

Disclosure Appendix
Reg AC
We, Kamakshya Trivedi, Michael Cahill, Danny Suwanapruti, Isabella Rosenberg, Teresa Alves, Victor Engel and Lexi Kanter, hereby certify that all of the
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European Union and United Kingdom: Disclosure information in relation to Article 6 (2) of the European Commission Delegated Regulation (EU)

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Goldman Sachs Global FX Trader

(2016/958) supplementing Regulation (EU) No 596/2014 of the European Parliament and of the Council (including as that Delegated Regulation is
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Goldman Sachs Global FX Trader

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