FX Forecast Update - Danske Analyse - Danske Bank

FX Forecast Update 17 June 2013 

June: EM sell-off nearing an end 

Arne Lohmann Rasmussen 

Chief Analyst, Head of Rates, FX and Commodities Strategy 

Kasper Kirkegaard Stefan Mellin Stanislava Pravdová-Nielsen 

Senior Analyst Senior Analyst Analyst 

Morten Helt Lars Christensen Christin Tuxen Vladimir Miklashevsky 

Senior Analyst Chief Analyst Senior Analyst Analyst 

www.danskebank.com/research 

Bloomberg: DRFX 

Investment Research 

www.danskebank.com/CI 

Important disclosures and certifications are contained from page 33 of this report.

Main forecast changes 

• We still believe Q1 marked the peak in EUR/USD and that risk is now skewed towards a stronger US 

dollar as Fed tapering is expected to begin in H2 13. The exact timing of the Fed tapering and the 

subsequent pricing of rate hikes is still the key driver for EUR/USD. All in all, we expect the first cyclical 

move lower in EUR/USD (contrary to risk driven) in several years to take place on a six- to 12-month 

horizon. We target 1.26 (previously 1.27) on a 12M horizon. 

• We have seen a very sharp sell-off in the emerging market (EM) currencies over the past month. The selloff 

could continue in the near term, particularly in countries with domestic risks - such as Turkey - but 

fundamentally we are optimistic that the sell-off is nearing an end. First, the outlook for the global 

economy is fairly positive. Second, from a valuation perspective, a number of EM currencies now look 

fundamentally attractive. Third, the sell-off has pushed up EM rates and yields significantly, which means 

that carry is now significantly higher on the EM currencies than prior to the sell-off. We are therefore 

optimistic that the worst is behind us on the EM currencies and it is time to begin to look for 

opportunities in the EM FX universe. 

• We still expect the combination of fiscal tightening and aggressive monetary easing to weigh on the JPY 

and GBP. However, in respect of the GBP, the depreciation might be less pronounced than earlier expected 

as the room to manoeuvre for the incoming Bank of England (BoE) governor Mark Carney might be smaller 

as the UK economy has improved in Q2. We now target EUR/GBP at 0.87 (was 0.88) in six months. In 

respect of USD/JPY, we have revised the 3M forecast slightly lower to 101 (from 103). We keep our 110 

12M target unchanged. We have lowered our 3M forecast for EUR/CHF to 1.24 (was 1.26). 

• We have lowered the level of our AUD/USD forecast markedly following the sell-off over the past month: 

the Australian economy is struggling with an end to the mining boom and a still strong AUD, which 

contrasts with a decent US outlook, and we think the RBA and Fed are likely to respond accordingly. We 

also lower the NZD/USD level slightly but keep the USD/CAD profile unchanged. www.danskebank.com/CI 2

EUR/USD – likely to range trade through 2013 

• Growth. US outperformance is expected to continue 

but is likely to have peaked during Q1. Relative 

economic data surprises have become EUR/USD 

supportive recently. 

• Monetary policy. Relative monetary policy is clearly 

supporting EUR/USD upside but a potential reduction in 

the Fed’s monthly QE purchases could change this 

dynamic in the autumn. 

• Flows. The eurozone current account is improving fast, 

leaving external balances more currency positive than 

in the US. 

• Valuation. EUR/USD is trading at neutral levels 

according to long-term models (PPP estimate is 1.28). 

• Risks. Overall, risks remain skewed to the downside 

even as speculative investors are short EUR/USD. 

Forecast: 1.30 (3M), 1.27 (6M) and 1.26 (12M) 

1.50 

1.40 

1.30 

1.20 

EUR/USD 

1.10 

Jun-12 Sep-12 Jan-13 Apr-13 Jul-13 Oct-13 Feb-14 May-14 

75% conf. int. 50% conf.int. Forward Danske fcst Consensus fcst 

EUR/USD 1M 3M 6M 12M 

Forecast (pct'ile) 1.32 (30%) 1.30 (24%) 1.27 (19%) 1.26 (23%) 

Fwd. / Consensus 1.33 / 1.30 1.34 / 1.28 1.34 / 1.27 1.34 / 1.28 

50% confidence int. 1.31 / 1.36 1.30 / 1.37 1.29 / 1.39 1.27 / 1.42 


Source: Danske Bank Markets 

• Conclusion. As the US recovery matures and a 

reduction in the Fed’s monthly asset purchases moves 

closer, support to the dollar should increase. 

We see strong arguments for continued range-trading 

through the end of 2013 and expect EUR/USD to top 

out below its Q1 1.37 peak. 

Kasper Kirkegaard, Senior Analyst, kaki@danskebank.com, +45 45 13 70 18 


3

EUR/USD – important issues to watch 

• Euro rates expected to peak around current levels 

− As Yogi Berra famously said, it’s like déjà vu all 

over again. In January, the euro money market 

curve steepened sharply in anticipation of LTRO 

repayments and EUR/USD moved up to 1.37. 

Recent weeks have seen a similar steepening as 

excess liquidity approaches low levels and 

EUR/USD has moved higher again. 

− As the upper chart shows pricing is almost as 

stretched as in January. There is no reason to 

expect ECB rate hikes over the coming years and 

we expect upwards pressure on rates to fade, 

which in turn should see some of the support to 

EUR/USD fade. 

• European data surprise index has troughed 

− EUR/USD moved lower in the month following the 

trough in European economic surprises (late April) 

and has since moved higher – just like what 

typically happens. However, this also means that 

most of the potential support from this source has 

been exhausted. 


European money market pricing is stretched 

Source: Reuters EcoWin, Danske Bank Markets 

EUR/USD around a trough in data surprises 

110.0 

108.0 

106.0 

104.0 

102.0 

100.0 

98.0 

96.0 

94.0 

92.0 

90.0 

Median (2006 - ) 

Max-Min range 

Last two episodes (avg.) 

Current 



4

EUR/GBP – risk of less ‘less monetary activism’ 

• Growth. The Q1 GDP number increased 0.3% q/q and a 

'triple dip recession' was avoided. On top of this, the 

May PMIs continued to improve and they are now all 

above 50. It might be too early to declare a sustainable 

recovery but the UK numbers have definitely improved 

this spring. 

• Monetary policy. We expect incoming governor Mark 

Carney to introduce explicit guidance on rates and 

perhaps introduce some sort of threshold like the Fed 

did last year. However, given the stronger UK numbers, 

we should not expect additional monetary easing to 

begin with. We will probably have to wait for the 

publication of the August Inflation Report for specific 

changes. However, all in all we now believe Mark Carney 

will deliver less 'monetary activism' than previously 

expected. 

• Flows. A less dovish Carney could fuel inflow into GBP. 

• Valuation. From a long-term perspective, sterling is still 

clearly undervalued (PPP around 0.77). 

• Risks. The improvement in UK numbers makes it more 

difficult for Carney to change UK monetary policy 

materially. The LTRO-induced move higher in EUR 

money market rates could also push EUR/GBP lower. 

Arne Lohmann Rasmussen, Chief Analyst, arr@danskebank.dk, +45 45 12 85 32 


0.95 

0.90 

0.85 

0.80 

EUR/GBP 

0.75 



EUR/GBP 1M 3M 6M 12M 


Fwd. / Consensus 0.85 / 0.85 0.85 / 0.85 0.85 / 0.85 0.85 / 0.84 




Conclusion. We expect the combination of high inflation, 

fiscal tightening and focus on monetary easing to weigh 

slightly on GBP over the next six months. However, we 

now expect less GBP weakness than previously, as we 

expect Mark Carney to deliver less 'monetary activism' 

than previously expected due to the stronger UK 

numbers. 

On a 12-month horizon, we expect the GBP to strengthen 

slightly in line with our EUR/USD forecast and as UK 

growth stabilises. 


5

EUR/GBP – important issues to watch 

• New remit still gives Carney room to manoeuvre 

− The new BoE remit keeps the primacy of inflation 

targeting. However, Chancellor George Osborne 

certainly gives the Bank of England (BoE) leeway to 

conduct ‘monetary activism’. The BoE can now do as 

the Fed and adopt ‘intermediate thresholds’, i.e. targets 

for growth/employment and inflation – a de facto dual 

mandate. It is also granted the right to use new policy 

instruments including those deployed by other central 

banks in recent years. Hence, open-ended easing and 

forward guidance as seen in the US now look likely. 

• What if UK numbers continue to improve 

− There is a growing probability that a global healing and 

better UK numbers will result in the market losing faith 

in Carney actually being able to change anything. 

Hence, the recent sterling appreciation might have 

further to run, especially if expectations regarding a 

deposit cut in the eurozone gain traction. 

• Relative monetary policy and EUR/GBP 

− If the ECB introduced negative deposit rates, relative 

monetary policy would turn in favour of the GBP. 

Negative deposit rates is not an option in the UK. 

UK numbers have improved, PMIs (diff. Index) 


GBP still remains ‘fundamentally’ undervalued. 

1.00 

1.00 

0.95 

0.95 

0.90 

0.90 

0.85 

0.85 

0.80 

EUR/GBP spot 

PPP estimate 

0.80 

0.75 

0.75 

0.70 

0.70 

0.65 

0.65 

0.60 

0.60 

0.55 

0.55 

0.50 

0.50 

0.45 

0.45 

86 88 90 92 94 96 98 00 02 04 06 08 10 12 




6

USD/JPY – likely to range trade just above 100 

• Macro outlook: Japan’s real economy accelerated 

markedly in Q1 to 4.1% q/q AR from 1.2% q/q AR in 

Q4 12. The data released so far for April and May 

suggests that GDP growth might ease slightly to 

around 3.0% in Q2 but all in all it still looks like a 

relatively strong recovery in Japan. Deflation is easing, 

but inflation remains substantially below the 2% 

inflation target. 

• Monetary policy: Bank of Japan (BoJ) made no 

changes to its policy in connection with the 10-11 

June meeting. It was somewhat of a disappointment 

that BoJ did not announce any new measures to stem 

the relatively high volatility in Japanese bond markets. 

However, Kuroda kept the door open for an increase in 

the maturity of the fixed rate operation and BoJ is still 

easing aggressively by injecting massive amounts of 

liquidity into the economy. 

• Valuation: PPP estimate around 86. 

• Risk: Markets remain speculatively short JPY and 

while positioning has eased recently, USD/JPY could 

drop further if investors continue to scale down their 

short positions. However, we expect the BoJ to react if 

momentum in JPY appreciation picks up again or if 

volatility continues to rise. 

Morten Helt, Senior Analyst, mohel@danskebank.com, +45 45 12 85 18 

Forecast: 101 (3M), 105 (6M) and 110 (12M) 

110.0 

USD/JPY 

105.0 

100.0 

95.0 

90.0 

85.0 

80.0 

75.0 



USD/JPY 1M 3M 6M 12M 


Fwd. / Consensus 94.91 / 101.37 94.91 / 102.72 94.91 / 104.70 94.91 / 104.36 




Conclusion: BoJ’s fundamental shift in monetary policy 

will continue to favour a weaker JPY. USD/JPY has 

dropped nearly 10 big figures over the past three weeks 

but the sell-off looks increasingly stretched and we 

expect USD/JPY to correct higher and trade at 98 in one 

month’s time. With the Fed poised to scale down its QE 

programme, relative monetary policy should continue to 

favour a weaker JPY. We target USD/JPY at 105 and 

110 in 6M and 12M, respectively. 


7

USD/JPY – important issues to watch 

• Growth concerns from rising yields misplaced 

− Yields on long-dated JGB bonds have risen significantly since 

the BoJ announcement on 4 April but the fear of a possible 

negative impact on growth from higher bond yields is, in our 

view, misplaced. The 10-year bond is basically just back to its 

level of mid-2012 and in the meantime 5year-5year B/E 

inflation has increased about 1pp. In other words, expected 

real interest rates have dropped markedly and are now 

negative. Hence, we do not find the argument that the recent 

increase in government bond yields endangers the recovery 

convincing. Actually, targeting lower bond yields would be 

inconsistent with its goal of raising inflation expectations. 

• USD/JPY volatility in highest levels since 2009 

− Volatility in the Japanese bond market and in JPY crosses has 

increased markedly and USD/JPY implied volatility currently 

trades at the highest levels since 2009. Some of the increase 

in volatility has been driven by a general risk-off sentiment and 

in particular the sell-off in Japanese equities should be seen in 

perspective as Nikkei is still up more than 40% since the 

beginning of October 2012. 

− So far BoJ seems confident that financial markets will calm as 

the economy recovers. However, if BoJ does not manage to 

tame market volatility, there is a risk that it eventually could 

lead to a loss of confidence in 'Abenomics'. 

Morten Helt, Senior Analyst, mohel@danskebank.com, +45 45 12 85 18 

10Y JGB yields have risen significantly 

1.50 

% 

% 1.50 

1.25 

10-yearJGB yield 

1.25 

1.00 

1.00 

0.75 

0.75 

0.50 Inflation expectations, forward 5Y5Y 

0.50 

0.25 (from inflation-swaps) 

0.25 

0.00 

0.00 

-0.25 

-0.25 

-0.50 

-0.50 

11 12 13 


Market volatility has increased significantly 

120 

45 

> 

80 

30 

25 

60 

20 

40 

15 

10 

20 

5 

0 

0 

2006 2007 2008 2009 2010 2011 2012 2013 


www.danskebank.com/CI 8

EUR/CHF – range bound 

• Growth. Growth is slowing in Switzerland, which is, 

however, still outperforming the eurozone. 

• Monetary policy. The SNB left monetary policy 

unchanged at its March meeting and pledged to 

continue defending the 1.20 minimum target. 

• Flows. Underlying flows (current account surplus) 

remain CHF supportive. 

• Valuation. The Swiss franc is overvalued by about 8% 

according to the Danske Bank General PPP model. 

However, the large inflation differential means that fair 

value in EUR/CHF is moving slowly lower every day. 

• Risks. When the SNB judges deflation risks to be 

history, a move back to a free-floating currency should 

be expected. However, this policy shift is, in our view, 

unlikely to take place in coming quarters – and likely 

not even within our forecast horizon. 

Forecast: 1.24 (3M), 1.24(6M) and 1.24 (12M) 

1.30 

1.25 

1.20 

EUR/CHF 

1.15 



EUR/CHF 1M 3M 6M 12M 


Fwd. / Consensus 1.23 / 1.23 1.23 / 1.25 1.23 / 1.26 1.23 / 1.27 




• Conclusion. Buying interest has emerged every 

time EUR/CHF has approached the 1.20 minimum 

target – leaving EUR/CHF range-bound but around 

1.23. 

We do not see any triggers of a trend in EUR/CHF, 

but given the reduced euro tail-risks, potential 

remains for temporary spikes in EUR/CHF – not 

least if the JPY weakens again. 



9

EUR/CHF – important issues to watch 

• This is not a currency peg 

− SNB’s minimum target on EUR/CHF is technically no 

different from the interventions it conducted from 

March 2009 to mid-2010, although this time the SNB 

has announced the level that it will defend. It is 

important to note that this is not a currency peg in the 

traditional sense. The SNB has not expressed any view 

on how long it intends to keep the exchange rate floor in 

place, or as to whether it intends to move the target. 

• Correlation with yen depreciation flows 

− The correlation between the yen and the franc has 

been positive and fairly high since the introduction of 

Abenomics in Japan. In other words, some of the 

flows driving the yen weaker appear to be correlated 

with the flows that have recently weakened the franc. 

− Hence, any policy responses in Japan that fuels 

renewed JPY selling should have the potential to 

send EUR/CHF higher. 

Correlation remains with the yen 

-0.1 

Jan 

Source: Bloomberg, Danske Bank Markets 

CHF becoming less overvalued by the day 

2.0 

1.9 

1.8 

1.7 

1.6 

1.5 

1.4 

1.3 

1.2 

0.8 

0.7 

0.6 

0.5 

0.4 

0.3 

0.2 

0.1 

0.0 

JPY - CHF correlation (50-day window) 

Mar May Jul Sep Nov Jan 

12 

PPP estimate 

1.1 

90 92 94 96 98 00 02 04 06 08 10 12 


Mar 

13 

EUR/CHF spot 

May 

0.8 

0.7 

0.6 

0.5 

0.4 

0.3 

0.2 

0.1 

0.0 

-0.1 

2.0 

1.9 

1.8 

1.7 

1.6 

1.5 

1.4 

1.3 

1.2 

1.1 



10

EUR/SEK – the Riksbank will set summer mode 

• Growth. Q1 GDP surprised on the upside by printing 

1.7% y/y, a hair’s breadth higher than the Riksbank 

forecast. Activity indicators for Q2 suggest the recovery 

will continue in Q2. Sweden looks set to continue to 

outperform Euroland. 

• Monetary policy. Relative monetary policy is clearly 

supporting the downside in EUR/SEK. Our short-term 

spread model indicates that the pair is ‘overbought’ and 

even more so when the market, which currently has a 

bias for additional rate cuts, realises that 1% will mark 

the trough in this rate cycle. Rate hikes will not be on the 

agenda before 2014 but will still be more frontloaded 

than with the ECB. 

• Fundamentals. The fundamental backdrop, productivity 

growth, current account, relative inflation and public 

finances are all SEK-supportive factors. 

• Flows. High quality and commercial flows are likely to cap 

the upside in SEK crosses. 

• Valuation. The SEK is not fundamentally overvalued; 

EUR/SEK is either close to or above long-term equilibrium. 

• Risks. Higher: July cut or verbal interventions. Lower: 

Renewed euro crisis or a Nordea privatisation. 


9.50 

9.25 

9.00 

8.75 

8.50 

8.25 

EUR/SEK 

8.00 



EUR/SEK 1M 3M 6M 12M 


Fwd. / Consensus 8.61 / 8.48 8.62 / 8.49 8.64 / 8.43 8.69 / 8.43 




Conclusion. Last month we cautioned against 

near-term data-related headwinds for the SEK, 

expecting EUR/SEK to hover around 8.60 before 

heading lower on the back of relative monetary 

policy where the Riksbank would refrain from 

cutting rates in July. Indeed, the krona has had a few 

challenging weeks. However, basically nothing has 

changed for the worse. Hence, we continue to look 

for medium-term appreciation, leaving the 3-12M 

forecasts intact. 

Stefan Mellin, Senior Analyst , mell@danskebank.com +46 8 568 805 92 


11

EUR/SEK – important issues to watch 

We expect the Riksbank will leave rates unchanged on 3 July 

• The market is pricing in a premium for a rate cut in July which 

might seem fair given the uncertainty about what will be in 

focus for the Riksbank Board this time. Is it low inflation, high 

unemployment, the krona or household debt and how to 

internalise macroprudential considerations Or is it inflation 

expectations Two new Board members add to uncertainty. 

• The data have been mixed but on balance close to Riksbank 

forecast (GDP growth, inflation and unemployment). The krona 

is significantly weaker. And there is no evidence what so ever 

that the majority camp abandoned its 'lean against the wind 

policy stance'; quite the opposite as suggested by a recent 

speech by Per Jansson. 

• Neither of the arguments above seem to favour a rate cut in 

our view. If we are right a re-pricing of the Riksbank would lend 

support to the downside in EUR/SEK. 

Nordea privatisation still on the radar 

• The government stake in Nordea Bank is 13.6%. If it decides 

to sell its share, worth around SEK40bn, this might, depending 

on the buyer, be a positive flow factor for the SEK. 

Relative rates key driver for EUR/SEK 

-0,6 

-0,7 

-0,8 

-0,9 

-1,0 

-1,1 

-1,2 

-1,3 

jun aug okt dec 

12 

Source: Reuters EcoWin 

Important rate decisions from NB and RB 

jun 

Source: Reuters EcoWin 

> 

feb apr jun 

13 

0,85 

0,75 

0,65 

0,55 

0,95 > 

0,45 

feb apr jun 

13 

8,9 

8,8 

8,7 

8,6 

8,5 

8,4 

8,3 

8,2 

8,1 

1,19 

1,18 

1,17 

1,16 

1,15 

1,14 

1,13 

1,12 

1,11 

1,10 

Stefan Mellin, Senior Analyst , mell@danskebank.com +46 8 568 805 92 


12

EUR/NOK – edging lower despite Norges Bank being on alert 

• Growth. Mainland GDP growth recovered in Q1 and 

the positive numbers continued in the spring with 

manufacturing production and credit growth rising 

briskly. The numbers indicate that Q4 was a 

‘temporary soft patch’. However, note that the recent 

'regional network report' has painted a less upbeat 

picture and the LFS unemployment rate is up. 

• Monetary policy. Due to low inflation and a moderate 

wage agreement, Norges Bank lowered its rate path 

significantly in March. However, Norges Bank left 

rates unchanged in May due to the weaker NOK. With 

our forecasts for growth, inflation and the NOK, we 

expect Norges Bank to be on hold for the rest of 2013. 

Risk is skewed towards a rate hike in 2014. 

• Flows. Norges Bank is currently purchasing a very 

modest amount of foreign currency. We have also seen 

less foreign interest for NGBs this year. Note that 

according to the weekly flow data speculators have 

strongly scaled down long NOK positions this year. 

• Valuation. The NOK is still slightly overvalued, with 

EUR/NOK PPP at 7.79. 

• Risks. Norges Bank cutting rates due to low inflation. 

Arne Lohmann Rasmussen, Chief Analyst, arr@danskebank.com, +45 45 12 85 32 


8.50 

8.25 

8.00 

7.75 

7.50 

7.25 

7.00 


EUR/NOK 1M 3M 6M 12M 


Fwd. / Consensus 7.63 / 7.50 7.65 / 7.48 7.68 / 7.43 7.74 / 7.34 




EUR/NOK 


Conclusion. We expect EUR/NOK to edge lower as a 

rate cut now looks less likely. However, Norges Bank is 

still focused on the currency and it is likely that the 

central bank will from time to time try to intervene 

verbally in the FX market, as EUR/NOK edges lower 

over the next 12 months. Note that our forecasts are 

based on the USD, GBP and SEK appreciating on a 

broad base (6 to 12 months), so the trade-weighted 

NOK does not become ‘too strong’ for Norges Bank. 


13

EUR/NOK – important issues to watch 

• Weak Regional Network Report from Norges Bank 

Recently, we have seen some positive surprises in Norway. 

Manufacturing production came in at 5.4% in May, credit 

growth increased to 6.5% driven by loans to households 

and underlying inflation surprised on the upside in both 

April and May. The positive development is reflected in the 

so-called surprise index that is at the highest level since 

June 2012. However, note the much less upbeat picture in 

the ‘Regional Network Report' pointing to weaker growth in 

Q2. Hence, there is a risk of a correction lower in the 

Norwegian surprise index ,which could weigh on the NOK. 

• Norges Bank meeting on 20 June in focus 

The Norges Bank meeting and the new inflation report due 

on 20 June are the No. 1 key events in Norway this 

summer. We expect no rate change but the rate path 

might be lifted slightly this year, indicating less chance of a 

new rate cut. Higher inflation, a weaker NOK and higher 

rates internationally all point in that direction. These 

factors should mitigate the weaker growth outlook implied 

by the Regional Network and the more moderate wage 

agreement. The question is whether Norges Bank will 

remove the probability of a rate cut this year. 

Norway: risk of correction lower in surprise index 

Source: Bloomberg, Macrobond 

High inflation in April/May makes a rate cut unlikely 

3.5 

%, y/y 

3.0 

2.5 

2.0 

1.5 

1.0 

0.5 

CPI-ATE (core inflation) 

0.0 

0.0 

00 01 02 03 04 05 06 07 08 09 10 11 12 13 


3.5 

3.0 

2.5 

2.0 

1.5 

1.0 

0.5 

Arne Lohmann Rasmussen, Chief Analyst, arr@danskebank.com, +45 45 12 85 32 


14

EUR/DKK – no repeat of January 

• Since Danmarks Nationalbank (DN) hiked interest 

rates on 24 January, EUR/DKK has been relatively 

stable below the central rate and DN has not needed 

to intervene in the FX markets to support DKK. Hence, 

given that we expect the ECB to remain on hold, we do 

not expect any immediate rate changes from DN. We 

still expect one 10bp rate increase on a 12-month 

horizon, which would leave the lending rate at 0.30% 

and return the rate on certificates of deposit to zero. 

• If the ECB decides to cut the refinancing rate by a 

further 25bp, we expect DN to go along and cut the 

lending rate by 10bp to 0.10%. Should the ECB decide 

to cut the deposit rate into negative territory, we 

expect DN to track the move fully and lower the rate 

on certificates of deposit, respectively. 

• Following the ECB rate cut on 2 May, EUR/DKK 

moved marginally lower despite the strong 

performance for peripheral bonds and a weaker Swiss 

franc. The slightly stronger DKK might reflect that 

some market participants were surprised that DN 

slashed the lending rate by only 10bp. More recently, 

EUR/DKK has again moved higher. This time the move 

probably reflects the higher EONIA rates that 

triggered an independent rate hike in January. 



7.465 

7.460 

7.455 

7.450 

7.445 

7.440 

7.435 

7.430 

Central parity 

EURDKK 

07 08 09 10 11 12 13 

EUR/DKK Spot 7.46038 


Conclusion. EUR/DKK is trading below central parity 

following continued strong demand for Danish bonds 

this year and after the ‘small’ DN rate hike in 

January. However, we do not expect to see strong 

new inflow into DKK in 2013 and a ‘strong move’ 

below 7.46 as in 2012 is not expected. Also, we do 

not expect to see a new depreciation trend for DKK, 

as it will be firmly offset by DN through intervention 

and rate hike(s). Hence, we expect a very stable 

EUR/DKK over the next 12 months. If EONIA rates 

continue to move higher – contrary to our 

expectations it might push EUR/DKK higher like in 

did in January. 


15

EUR/DKK forwards – forward discount very stable 

• The 12M forward discount in EUR/DKK widened in 

March as the market priced out the independent 

Danish rate hikes that were priced in in January. 

Hence, the normalisation of the EUR/DKK forward 

curve that we saw in January has now reversed 

slightly and the forwards have been very stable over 

the past two months. We primarily recommend 

hedging with short tenors and awaiting a further 

normalisation before largely using long tenors again. If 

the recent move higher in EUR/DKK continues, the 

market might as happened in January once again start 

to price a faster normalisation. 

• However, given that despite the recent risk rally 

(1) EUR/DKK continues to trade below central parity, 

(2) strong demand continues for Danish bonds, (3) DN 

is reluctant to mirror ECB refi-rate cuts and (4) the 

risk of new safe-haven inflows into DKK hedging EUR 

assets/income using long EUR/DKK tenors might still 

be considered. 

• The forward discount might also widen further in a 

new risk-off move or due to half-year or year-end turn 

premiums being priced in. 


Fwd discount in EUR/DKK stable 

-50 

-150 

-250 

-350 

1 month 3 months 12 months 


Danish CITA curve steeper than EONIA curve 

* The chart shows an approximation of 1M CITA and 1M EONIA forward rates; 

blue is current pricing 



16

USD/CAD – BoC waiting for Fed but be wary of Poloz 

• Growth. Canadian data has continued to improve since 

bottoming out in early March. Both GDP and 

employment growth have surprised on the upside. We 

expect Canada to benefit from recovering US activity 

going forward. 

• Monetary policy. The Bank of Canada (BoC) has 

maintained its overnight lending rate at 1.00% for the past 

two years. New BoC governor Stephen Poloz has so far 

revealed very little about his stance on monetary policy but 

hinted that he is ‘hands off’ CAD. While Poloz may change 

the wording of the monetary policy statement as well as 

its long-standing hawkish bias, he will probably find it hard 

to turn outright soft with Fed tapering coming up. 

• Flows. Speculators have shortened CAD significantly 

since the New Year but short covering seen lately. 

• Valuation. The CAD is expensive on PPP measures, 

although less so than, for example, the AUD. 

• Commodities. We expect oil prices to be range-bound 

in the near term and head lower on a 12M horizon. 

However, oil production is rising in Canada and this 

suggests that oil revenue will remain significant. 

• Risks. At this point we know very little of the new BoC 

governor policy stance: he might surprise with a more 

dovish stance than his predecessor. 

Christin Tuxen, Senior Analyst, tux@danskebank.dk, +45 45 13 78 67 


1.15 

1.10 

1.05 

1.00 

0.95 

USD/CAD 

0.90 



USD/CAD 1M 3M 6M 12M 


Fwd. / Consensus 1.02 / 1.02 1.02 / 1.02 1.02 / 1.03 1.03 / 1.02 




Conclusion. Canada stands to benefit from a US 

recovery, which we see materialising notwithstanding 

the current soft patch. Unless Poloz is softer than we 

expect, CAD could be in for some tailwinds in the near 

term as short positioning in the Loonie continues to be 

extreme. However, later in the year, the pricing of a Fed 

exit should support USD/CAD – though this will likely 

happen at a time when BoC rate hikes are also moving 

closer and thus upside in the pair is limited. 


17

AUD/USD – unfinished business from the RBA 

• Growth. Data out of Australia (as well as that of key 

trading partner, China) have continued to disappoint 

lately, albeit the May job report was a positive surprise. 

• Monetary policy. The Reserve Bank of Australia (RBA) 

cut its cash target rate by 25bp to 2.75% in early May 

and the latest Statement on Monetary Policy cut the 

inflation outlook slightly. The RBA still sees growth 

picking up to trend pace in 2014 but weakening data 

could lead governor Stevens to continue easing with a 

25bp cut in both Q3 and Q4. 

• Flows. Speculators have shortened AUD on a large 

scale recently and positioning looks somewhat extreme. 

• Valuation. AUD/USD remains overvalued by PPP 

measures and an eventual end to the mining boom 

underlines the downside risks. 

• Commodities. We see only limited potential for metal 

prices to move higher from here as the end of the 

structural commodities super-cycle is moving closer. 

• Risks. The pace of the AUD sell-off has been surprisingly 

fast and a near-term correction cannot be ruled out 

should commodity prices and/or China surprise on the 

upside. Also, if RBA draw its horns in on easing as Fed 

starts tapering, AUD could be in for some tailwinds. 



1.10 

1.05 

1.00 

0.95 

0.90 

0.85 

AUD/USD 

0.80 



AUD/USD 1M 3M 6M 12M 


Fwd. / Consensus 0.96 / 0.99 0.95 / 0.97 0.95 / 0.96 0.94 / 0.96 




Conclusion. With the RBA having proved it is 

determined to use its ammunition to stimulate the 

domestic economy and with a dollar trough in sight, the 

potential for AUD/USD upside from here should be 

limited. In particular, during H2 AUD faces further RBA 

cuts and the impairment in commodity terms of trade 

as the mining cycle wears off. Thus, on a 3-6M horizon 

AUD/USD could come under pressure as the 

struggling non-mining sector down under contrasts 

with a decent US outlook, and the RBA and the Fed will 

likely respond accordingly. 


18

NZD/USD – RBNZ to act harshly on any kiwi strength 

• Growth. Economic releases have started to show a tiny 

bit of weakness lately following a year of mostly positive 

surprises this year. Not least the construction sector is 

booming due to the earthquake reconstruction. 

• Monetary policy. The Reserve Bank of New Zealand 

(RNBZ) has kept rates at 2.50% since the earthquakerelated 

cut early in 2011. Following a range of warnings 

since his inauguration RBNZ governor Wheeler has 

started to intervene to curb NZD strength. RBNZ is 

struggling with the risks to financial stability from a 

booming construction sector, whereas the rest of the 

economy suffers from an overvalued NZD. We think 

Wheeler will leave the cash rate unchanged for the 

foreseeable future and rather use intervention to 

stimulate domestic growth. 

• Flows: A good deal of speculative longs in kiwi have 

been unwound and we are now in neutral territory. 

• Valuation. NZD is heavily overvalued in PPP terms. 

• Commodities. While energy prices could trend lower 

the prices of New Zealand many agricultural products 

may stay at elevated levels. 

• Risks. If the Reserve Bank of Australia cuts more 

aggressively than we currently project, RBNZ may 

follow suit. 



0.90 

0.85 

0.80 

0.75 

0.70 

0.65 


NZD/USD 1M 3M 6M 12M 


Fwd. / Consensus 0.81 / 0.82 0.80 / 0.80 0.80 / 0.80 0.79 / 0.81 




NZD/USD 


Conclusion. With house- rather than consumer-price 

inflation the key worry for RBNZ and Wheeler having 

revealed his willingness to resort to intervention to 

curb NZD peaks, upside for kiwi should be very limited 

from current levels. As for most USD crosses, we see 

further downside in H2, as the USD stands to receive 

support from a Fed exit at a time when RBNZ will 

remain focused on the outlook for the domestic 

economy and the country’s competitiveness. Relative 

to AUD we see potential in NZD as New Zealand is 

less vulnerable to the commodities that we see 

suffering going forward. 


19

EUR/PLN – weak economy weighs on zloty 

• Growth: The steady but marked decline in the Polish 

economy throughout 2012 continued in Q1 13, as 

growth was a disappointing 0.5% y/y. Domestic demand 

in particular continues to suffer. A softer stance from the 

Polish central bank (NBP) should help the recovery but 

the outlook for 2013 looks bleak nevertheless. 

• Monetary policy: The Polish central bank (NBP) has been 

overly hawkish over the past year despite a fairly sharp 

slowdown in growth and very subdued inflation 

pressures. That said, with inflation now well below its 

official 2.5% inflation forecast, the NBP now seems to be 

softening its stance a bit. However, we believe that the 

NBP will have to do a lot more and we now expect it to cut 

interest rates by 75bp more in total to 2.00% in the 

coming year. 

• Valuation: The PLN is trading close to its fair value level, 

so valuation is unlikely to pose any significant hindrance 

to its continued near-term appreciation. 

• Risks: The biggest risk for the zloty is clearly the sharp 

slowdown in the Polish economy and the need for further 

monetary easing. 

Forecast: 4.30 (3M), 4.30 (6M) and 4.35(12M) 

4.7 

EUR/PLN 

4.6 

4.5 

4.4 

4.3 

4.2 

4.1 

4.0 

3.9 



EUR/PLN 1M 3M 6M 12M 


Fwd. / Consensus 4.24 / 4.18 4.26 / 4.20 4.28 / 4.16 4.33 / 4.07 




Conclusion: The Polish zloty has been hard hit by the 

recent increase in global risk aversion as well as worries 

about the outlook for the zloty. Looking ahead, we see 

further downside risk on the zloty due to particularly 

weak Polish growth. However, the downside is clearly 

curbed by a now more attractive valuation of the zloty. 

So, while we continue to caution that it could weaken 

further in the next one to three months, we do not see 

any reason for panic. We would even begin to consider 

entering into long zloty positions if the zloty weakens 

much more. 

Lars Christensen, Chief Analyst, larch@danskebank.com, +45 45 12 85 30 


20

EUR/HUF – policy uncertainties but much is already priced in 

• Growth: Very weak domestic demand and lacklustre 

export growth weigh on the economy. Furthermore, we 

are increasingly reaching the conclusion that the key 

reason for Hungary’s lacklustre growth performance is a 

continued deterioration in ‘supply-side conditions’. 

Continued political ‘noise’ is certainly not helping. 

• Monetary policy: The outlook for monetary policy has 

become even more uncertain since former Economics 

Minister György Matolcsy became the new central bank 

governor. This means the outlook for Hungarian 

monetary policy is highly uncertain. However, we expect 

the Hungarian central bank (MNB) to continue to cut 

rates gradually, as we expect inflation to continue to 

decline. However, we think that the MNB will be fairly 

cautious in the rate cutting cycle to try to avoid a sharp 

weakening of the forint. 

• Valuation: Inflation could potentially become a valuation 

issue in the medium term. 

• Risks: The biggest risk for the forint clearly remains 

political uncertainty in Hungary and the risk that the 

Hungarian government once again will ‘misstep’ in 

economic policy. 

Forecast: 295(3M), 295 (6M) and 295 (12M) 

320 

EUR/HUF 

310 

300 

290 

280 

270 

260 

250 



EUR/HUF 1M 3M 6M 12M 


Fwd. / Consensus 290.0 / 295.4 290.1 / 296.7 290.1 / 296.2 290.1 / 299.3 




Conclusion: The forint has been hit by the recent global 

financial jitters. However, it has held up fairly well 

compared with many other emerging market currencies. 

We believe this has to do with the fairly high carry on the 

forint and fairly strong external balances. We believe this 

will be supportive for the forint going forward as well. 

Lars Christensen, Chief Analyst, larch@danskebank.com, +45 45 12 85 30 


21

EUR/CZK – weak economy and political jitters to weigh on 

the CZK 

• Growth. The outlook for the Czech economy is not positive. 

Everything points to much weaker growth than implied by our 

current forecast of a decline in GDP of around 0.2% y/y this 

year. Considering the final release of Q1 GDP, which showed 

quite sharp downward revisions to GDP falling 2.2% y/y, the 

risks are squeezed for a larger fall in GDP this year – by as 

much as 1.0% y/y. 

• Monetary policy. The key policy rate is at a technical zero of 

0.05% and the CNB stated that it is ready to use the FX 

channel for further monetary easing, as negative rates are not 

an option. Even though further easing is needed given the 

weak economy, the CNB has so far been reluctant to use this 

intervention and most of the board members still see no need 

for further easing. That said, with the CZK currently stronger 

together with worse-than-expected economic activity, the 

need to ease monetary policy through FX intervention has 

increased further. However, we still do not think that the CNB 

is anywhere closer to entering the FX market and weakening 

the CZK at present. 

• Debt risks are low. The Czech government forecasts the 

public finance deficit to be below 3% this year. 

• Valuation. From a long-term perspective, CZK is undervalued 

(fair value is around 23.4 against EUR). 

• Risks. Intervention risks in connection with further monetary 

easing, long-lasting political jitters 


27.5 

EUR/CZK 

27.0 

26.5 

26.0 

25.5 

25.0 

24.5 

24.0 



EUR/CZK 1M 3M 6M 12M 


Fwd. / Consensus 25.78 / 25.98 25.78 / 25.91 25.78 / 25.77 25.77 / 25.52 




Conclusion. The CZK has gained some ground on global 

risk-off sentiment, which favours the ‘safe haven’ status 

currencies such as the CZK. A stronger CZK and weaker 

economic growth have increased the need for FX 

intervention by the CNB. Nonetheless, we do not think 

that the CNB will start intervening any time soon and only 

the verbal interventions from the CNB seem likely at this 

point. We keep our bearish view on the CZK on all 

forecast horizons for three to 12 months. However, our 

CZK forecast reflects the weakness in the economy 

rather than any action by the CNB. 

Stanislava Pravdová-Nielsen, Analyst, spra@danskebank.com, +45 45 12 80 71 


22

EUR/RUB – Fed and BoJ shake the rouble 

• Growth. The Russian economy continues to grow slowly, 

expanding 2.6% y/y in April 2013 and just 1.8% in 

January-April. H2 13 is expected to deliver a better 

performance due to decelerating inflation. We keep our 

2013 GDP growth forecast at 2.9% y/y. 

• Monetary policy. We expect the Russian central bank to 

be on hold at its July monetary policy meeting, as new 

governor Elvira Nabiullina will start in late June. However, 

we expect a first rate cut in August 2013. 

• Flows. Capital outflows were USD56.8bn in 2012 versus 

almost USD81bn in 2011 and we expect this to slow to 

USD50bn in 2013. Bank Rossii continues to see ‘a massive 

outflow’ and does not expect it ‘to moderate in the near 

future’. 

• Valuation. EUR/RUB is trading heavily above its 1M 

average of 41.39 and strong upside risk is still present. 

• Risks. Bank Rossii’s rate cuts, the deterioration of the 

current account surplus and the Fed’s and BoJ’s tapering 

of economic stimulus in upcoming months are weighing on 

the RUB. 

Vladimir Miklashevsky, Economist/Trading Desk Strategist, 

vlmi@danskebank.com, +358 10 546 75 22 


50 

48 

46 

44 

42 

40 

EUR/RUB 

38 



EUR/RUB 1M 3M 6M 12M 


Fwd. / Consensus 42.29 / 40.92 42.75 / 40.98 43.40 / 40.95 44.67 / 41.68 




• Conclusion. We still believe that Bank Rossii seems to 

be comfortable with a weak rouble. Yet, in late May 

2013 it started FX interventions selling around 

USD70m a day, and after a break-up of 37.03 in 

RUBBASK increased them to USD200m, the largest in 

12M. 

• We see upside risks for the EUR/RUB in the coming 

three to six months. As Q3 is set to post a weaker 

current account surplus and the Russian Finance 

Ministry is planning to launch an FX purchase 

mechanism on the domestic market. 


23

EUR/RUB – important issues to watch 

• High volatility has come to dwell 

− As we expected in our previous publications, the RUB’s 

volatility has increased since early 2013. Just within two 

weeks we saw the RUB losing 7% against the EUR. The 

band-widening policy is likely to continue this year, as 

Bank Rossii’s deputy chairman Sergey Shvetsov stated 

in April 2013. 

− A weaker rouble looks attractive for Russian export 

sectors. There are speculations that weakening the 

RUB might be one of key tools of Putin’s economic 

stimulus programme, which is currently under 

discussion. 

− As the local bond market has opened for foreign 

investors, the most recent OFZ auctions attracted new 

inflows supporting the RUB. We expect the trend to 

continue in 2013-14. 

− As Putin stated that the wellbeing fund may be needed 

to cover the pension fund deficit, it supports the RUB 

through likely sales of FX assets and RUB buys. 

However, in the long run, we see it being negative for the 

Russian economy as it signals that Russia’s budget 

revenues are set to shrink in the future. 

42 

40 

38 

36 

34 

32 

30 

37.5 

37 

36.5 

36 

35.5 

35 

34.5 

34 

Rouble's trading band vs. dual currency basket 

lower border 

upper border 

RUBBASK Curncy 

daily USD200m interventions started 

RUBBASK Curncy 

daily USD70m interventions started 

42 

40 

38 

36 

34 

32 

30 

37.5 

37 

36.5 

36 

35.5 

35 

34.5 

34 

Vladimir Miklashevsky, Economist/Trading Desk Strategist, 

vlmi@danskebank.com, +358 10 546 75 22 


24

USD/TRY – political uncertainty and less supportive global 

risk environment to weigh on TRY 

• Growth. The Turkish economy weakened sharply in 2012 

(GDP 2.3% y/y) after strong growth in 2011 (GDP growth 

8.6%). The main culprit was the sharp fall in domestic 

demand and investments. Despite the slowdown and still 

uncertain outlook for the global economy, the Turkish 

economy should rebound this year as domestic demand and 

investments are expected to recover and contribute 

positively to growth. We expect GDP growth in 2013 to be 

around 3.6% y/y. 

• The current account deficit remains large and we expect 

the current account to widen again as domestic demand is 

expected to recover. We expect the CA deficit to widen to - 

6.8% in 2013, to -7.3% in 2014 and to -7.4% in 2015. 

• Monetary policy. On 16 April 2013 Turkey’s central bank 

cut its key rates by 50bp: benchmark repo rate decreased 

to 5.00%. Given the recent sell-off in lira and the increased 

volatility and last but not least the expected economic 

recovery, we do not expect further monetary easing from 

the TCMB. 

• Valuation. TRY remains fundamentally overvalued (fair 

value around 2.10). 

• Risks. Less monetary easing by major central banks globally 

is increasing volatilities in global flows, hitting TRY together 

with other EM currencies. 

Forecast: 1.87(3M), 1.91(6M) and 1.98(12M) 

2.15 

USD/TRY 

2.10 

2.05 

2.00 

1.95 

1.90 

1.85 

1.80 

1.75 

1.70 



USD/TRY 1M 3M 6M 12M 


Fwd. / Consensus 1.87 / 1.82 1.89 / 1.84 1.91 / 1.85 1.97 / 1.81 




Conclusion. The combination of sharply increased 

political uncertainty in Turkey and a rise in global risk 

aversion has hit the Turkish lira hard recently. We expect 

political uncertainty to remain elevated for some time to 

come. Furthermore, we would stress that Turkey’s 

sizable current account is likely to weigh on the lira in the 

medium term. The scope for further lira weakness, 

however, will be curbed by the fact that the valuation of 

the lira has become more attractive after the recent selloff. 

Vladimir Miklashevsky, Economist/Trading Desk Strategist, vlmi@danskebank.com, +358 10 546 75 22 


25

USD/ZAR – risk of weaker rand remains high 

• Growth. In 2012, real GDP expanded by 2.5% following 3.5% 

GDP growth in 2011. Overall, 2012 GDP growth came out 

more or less in line with our expectations. Looking ahead, we 

estimate average GDP growth of 2.3% y/y in 2013, 3.1% y/y 

in 2014 and 3.3% y/y in 2015. Overall, the risks to our 2013 

GDP forecast are on the downside given the continued 

strikes which are paralysing production in the mining sector. 

• Monetary policy. The SARB MPC meeting at the end of May 

did not bring any changes to interest rate setting and the 

MPC maintained the key policy rate at 5.00%. While in the 

statement the central bank was concerned about the growth 

outlook, upside inflation risks have increased due to a 

depreciating and volatile exchange rate. Even though the 

SARB still maintains its accommodative monetary policy 

stance, given the challenging global environment towards EM 

the room for manoeuvre is very limited. This means that the 

SARB will, in our view, be on hold throughout 2013. 

• Debt risks. The South African government raised the 

projected 2012/13 budget deficit to 5.2% (from 4.8%). The 

South African credit rating was, among other things, cut on 

the widening of the budget deficit. 

• Valuation. ZAR remains fundamentally overvalued (fair value 

around 10.50). 

• Risks. Loss of investor confidence due to intensified socioeconomic 

problems, further downgrade by the rating agencies., 

a widening current account deficit. 

Stanislava Pravdová-Nielsen , Analyst, spra@danskebank.com, +45 45 12 80 7 

Forecast: 10.1(3M), 10.2 (6M) and 10.3 (12M) 

12.50 

USD/ZAR 

12.00 

11.50 

11.00 

10.50 

10.00 

9.50 

9.00 

8.50 

8.00 



USD/ZAR 1M 3M 6M 12M 


Fwd. / Consensus 9.92 / 9.30 10.01 / 9.52 10.14 / 9.51 10.42 / 9.52 




Conclusion: The rand has been subject to a significant selloff 

over the past two weeks, triggered by the general selloff 

in EM assets on the back of the changing outlook for 

global monetary policy, which is negative for EM. We 

have not changed our stance on the rand and remain 

bearish on all forecast horizons. On the short horizon, it 

is the technical picture and drop in commodity prices 

which are likely to weigh on the rand, while fundamental 

overvaluation could weigh on the currency on a 12- 

month horizon. The continued volatility will remain 

intact given the uncertain outlook for global monetary 

policy, which is key for sentiment towards the emerging 

markets. 


26

USD/CNY – trading band to be widened 

• Growth. The main uncertainty in China is the pace of the 

deceleration in China’s long term growth potential. 

Cyclically the recovery in China remains fragile and recent 

data suggest that growth has started to ease again, albeit 

so far not dramatically. Growth in China appears to be 

moving sideways slightly below 8%. 

• Monetary policy. Inflation remains subdued below 2.5% y/y 

and although we expect it to increase moderately in H2 13, 

we expect it to stay below 3% y/y, substantially below the 

government’s 3.5% target for inflation in 2013. Policy focus 

is now that the current weakness is not severe enough to 

force additional monetary and fiscal stimulus. 

• FX policy. China is gradually moving towards full 

convertibility and a floating exchange rate and the daily 

trading band is soon expected to widen further from +/-1% 

to +/-2%. A crackdown on illegal capital inflows since early 

May appears to have been successful in curbing 

speculative capital inflows and this is expected to slow the 

appreciation pace in coming months. 

• Valuation. Fundamentally, CNY is, in our view, now only 

slightly undervalued (about 7%). 

• Risks: Should growth slow substantially below 7.5%, focus 

is likely to be on stabilising growth and this would probably 

include slowing the appreciation of CNY. A substantial 

depreciation of other Asian currencies could also force 

China to slow its appreciation. 


6.6 

6.5 

6.4 

6.3 

6.2 

6.1 

Apr 

Jul Oct Jan 

11 


USD/CNY exchange rate 

Trading band 

widened 

PBoC reference rate 

Daily trading band 

Spot 

Apr Jul Oct Jan 

12 

Apr 

13 

Conclusion. The CNY is slightly undervalued and we 

expect it to appreciate only moderately as China 

gradually moves towards a convertible currency and a 

floating exchange rate. In the future, we also expect to 

see increasing two-way volatility in the exchange rate. 

Speculative capital inflows have eased and we expect 

this to slow the appreciation pace compared with recent 

months. We expect the daily trading band to widen soon, 

from +/-1% to +/- 2%. 

6.6 

6.5 

6.4 

6.3 

6.2 

6.1 

Flemming Jegbjærg Nielsen, Senior Analyst, flemm@danskebank.com, +45 45 12 85 35 


27

Danske Markets FX forecasts 

Forecast Forecast vs forward outright, % 

Spot +1m +3m +6m +12m +1m +3m +6m +12m 

Exchange rates vs EUR 

USD 1.334 1.32 1.30 1.27 1.26 -1.1 -2.6 -4.9 -5.8 

JPY 126.5 130 131 133 139 2.7 3.5 5.1 10.0 

GBP 0.849 0.85 0.86 0.87 0.84 0.1 1.2 2.3 -1.5 

CHF 1.232 1.24 1.24 1.24 1.24 0.7 0.7 0.8 0.9 

DKK 7.46 7.46 7.46 7.46 7.46 0.0 0.1 0.1 0.2 

NOK 7.64 7.50 7.45 7.40 7.35 -1.9 -2.8 -3.9 -5.3 

SEK 8.60 8.50 8.40 8.30 8.20 -1.3 -2.6 -4.0 -5.7 

Exchange rates vs USD 

JPY 94.9 98 101 105 110 3.8 6.3 10.5 16.7 

GBP 1.57 1.55 1.51 1.46 1.50 -1.1 -3.7 -7.0 -4.3 

CHF 0.92 0.94 0.95 0.98 0.98 1.8 3.4 6.0 7.1 

DKK 5.59 5.65 5.74 5.87 5.92 1.1 2.8 5.3 6.3 

NOK 5.72 5.68 5.73 5.83 5.83 -0.9 -0.2 1.1 0.6 

SEK 6.45 6.44 6.46 6.54 6.51 -0.2 0.0 1.0 0.2 

CAD 1.02 1.02 1.02 1.04 1.05 0.4 0.2 2.0 2.5 

AUD 0.96 0.95 0.94 0.92 0.87 -0.9 -1.5 -3.0 -7.1 

NZD 0.81 0.80 0.79 0.77 0.75 -0.8 -1.6 -3.5 -4.6 

CNY 6.12 6.10 6.04 5.98 -1.4 -2.8 -4.5 

Note: GBP, AUD and NZD are denominated in local currency rather than USD 



28

Danske Markets FX forecasts vs DKK 


Spot +1m +3m +6m +12m +1m +3m +6m +12m 

Exchange rates vs DKK 

EUR 7.46 7.46 7.46 7.46 7.46 0.0 0.1 0.1 0.2 

USD 5.59 5.65 5.74 5.87 5.92 1.1 2.8 5.3 6.3 

JPY 5.89 5.74 5.69 5.61 5.37 -2.6 -3.3 -4.8 -8.9 

GBP 8.78 8.78 8.67 8.57 8.88 0.0 -1.1 -2.1 1.7 

CHF 6.05 6.02 6.02 6.02 6.02 -0.6 -0.6 -0.6 -0.7 

NOK 0.98 0.99 1.00 1.01 1.01 2.0 3.0 4.1 5.7 

SEK 0.87 0.88 0.89 0.90 0.91 1.3 2.7 4.3 6.1 

CAD 5.51 5.54 5.63 5.65 5.64 0.7 2.5 3.2 3.7 

AUD 5.37 5.37 5.39 5.40 5.15 0.2 1.1 2.0 -1.3 

NZD 4.52 4.52 4.53 4.52 4.44 0.3 1.1 1.6 1.3 

PLN 1.76 1.73 1.73 1.71 -0.9 -0.2 -0.2 

CZK 0.29 0.29 0.28 0.29 -1.3 -1.6 -0.8 

HUF 0.26 0.25 0.25 0.25 -0.2 0.7 2.2 

RUB 0.18 0.17 0.17 0.18 -1.0 1.1 8.8 



29

Danske Markets FX forecasts vs SEK 


Spot +1m +3m +6m +12m +1m +3m +6m +12m 

Exchange rates vs SEK 

EUR 8.60 8.50 8.40 8.30 8.20 -1.3 -2.6 -4.0 -5.7 

USD 6.45 6.44 6.46 6.54 6.51 -0.2 0.0 1.0 0.2 

JPY 6.80 6.54 6.41 6.24 5.90 -3.9 -5.9 -8.7 -14.2 

GBP 10.13 10.00 9.77 9.54 9.76 -1.3 -3.7 -6.1 -4.2 

CHF 6.98 6.85 6.77 6.69 6.61 -1.9 -3.3 -4.7 -6.5 

NOK 1.13 1.13 1.13 1.12 1.12 0.7 0.2 -0.1 -0.4 

DKK 1.15 1.14 1.13 1.11 1.10 -1.3 -2.7 -4.1 -5.8 

CAD 6.35 6.31 6.33 6.28 6.20 -0.6 -0.2 -1.0 -2.3 

AUD 6.20 6.12 6.07 6.01 5.66 -1.1 -1.5 -2.1 -7.1 

NZD 5.21 5.15 5.10 5.03 4.88 -1.0 -1.6 -2.6 -4.6 

PLN 2.03 1.95 1.93 1.89 -3.5 -4.3 -6.1 

CZK 0.33 0.32 0.32 0.32 -3.9 -5.7 -6.6 

HUF 0.30 0.28 0.28 0.28 -2.9 -3.4 -3.7 

RUB 0.20 0.19 0.19 0.20 -3.6 -3.0 3.0 



30

Danske Markets FX forecasts vs NOK 


Spot +1m +3m +6m +12m +1m +3m +6m +12m 

Exchange rates vs NOK 

EUR 7.64 7.50 7.45 7.40 7.35 -1.9 -2.8 -3.9 -5.3 

USD 5.72 5.68 5.73 5.83 5.83 -0.9 -0.2 1.1 0.6 

JPY 6.04 5.77 5.69 5.56 5.29 -4.5 

GBP 8.99 8.82 8.66 8.51 8.75 -2.0 -4.0 -6.0 -3.8 

CHF 6.20 6.05 6.01 5.97 5.93 -2.6 -3.5 -4.6 -6.1 

SEK 0.89 0.88 0.89 0.89 0.90 -0.7 -0.2 0.1 0.4 

DKK 1.02 1.01 1.00 0.99 0.99 -2.0 -2.9 -4.0 -5.4 

CAD 5.64 5.57 5.62 5.60 5.56 -1.2 -0.5 -0.9 -1.9 

AUD 5.50 5.40 5.39 5.36 5.08 -1.8 -1.8 -2.0 -6.7 

NZD 4.63 4.55 4.53 4.49 4.38 -1.6 -1.9 -2.4 -4.2 

PLN 1.80 1.73 1.72 1.69 -3.8 -4.2 -5.7 

CZK 0.30 0.29 0.28 0.28 -4.2 -5.6 -6.2 

HUF 0.26 0.25 0.25 0.25 -3.1 -3.3 -3.3 

RUB 0.18 0.17 0.17 0.18 -3.9 -2.9 3.4 



31

EMEA FX forecasts 

EUR USD DKK SEK NOK 

Danske Forward Danske Forward Danske Forward Danske Forward Danske Forward 

PLN 14-Jun 4.24 3.18 175.9 202.5 179.9 

+1M 4.25 4.25 3.22 3.18 175.5 200.0 202.2 176.5 

+3M 4.30 4.27 3.31 3.20 173.5 174.7 195.3 201.8 173.3 179.5 

+6M 4.30 4.29 3.39 3.21 173.5 173.6 193.0 201.1 172.1 179.2 

+12M 4.35 4.33 3.45 3.24 171.5 171.7 188.5 200.1 169.0 178.8 

HUF 14-Jun 293 218 2.55 2.94 2.61 

+1M 293 291.4 222 218.2 2.55 2.90 2.95 2.56 

+3M 295 293.1 227 219.5 2.53 2.54 2.85 2.94 2.53 2.61 

+6M 295 295.5 232 221.2 2.53 2.52 2.81 2.92 2.51 2.60 

+12M 295 299.8 234 224.2 2.53 2.48 2.78 2.89 2.49 2.58 

CZK 14-Jun 25.7 19.3 29.1 33.5 29.7 

+1M 26.0 25.7 19.7 19.3 28.7 32.7 33.4 28.8 

+3M 26.1 25.7 20.1 19.3 28.6 29.0 32.2 33.5 28.5 29.8 

+6M 26.2 25.7 20.6 19.3 28.5 29.0 31.7 33.6 28.2 29.9 

+12M 26.0 25.7 20.6 19.2 28.7 29.0 31.5 33.8 28.3 30.2 

RUB 14-Jun 42.35 31.97 17.61 20.28 18.01 

+1M 41.75 42.58 31.63 31.89 17.87 20.36 20.19 17.96 

+3M 43.25 43.02 33.27 32.22 17.25 17.33 19.42 20.01 17.23 17.80 

+6M 43.00 43.66 33.86 32.69 17.35 17.06 19.30 19.76 17.21 17.61 

+12M 40.95 44.92 32.50 33.58 18.22 16.57 20.02 19.31 17.95 17.25 

TRY 14-Jun 2.48 1.86 301 347 308 

+1M 2.46 2.49 1.86 1.86 303 346 345 305 

+3M 2.43 2.51 1.87 1.88 307 297 346 343 307 305 

+6M 2.43 2.54 1.91 1.90 307 293 342 339 305 302 

+12M 2.50 2.61 1.98 1.95 298 285 328 332 294 297 

ZAR 14-Jun 13.27 9.90 56.2 64.7 57.5 

+1M 13.13 13.27 9.95 9.94 56.8 64.7 64.8 57.1 

+3M 13.13 13.38 10.10 10.02 56.8 55.7 64.0 64.3 56.7 57.2 

+6M 12.95 13.57 10.20 10.16 57.6 54.9 64.1 63.6 57.1 56.7 

+12M 12.98 13.95 10.30 10.43 57.5 53.4 63.2 62.2 56.6 55.5 



32

Disclosures 

This research report has been prepared by Danske Bank Markets, a division of Danske Bank A/S (‘Danske Bank’). The authors of this research report are Kasper 

Kirkegaard (Senior Analyst), Stefan Mellin (Senior Analyst), Stanislava Pravdová-Nielsen (Analyst), Morten Helt (Senior Analyst), Lars Christensen (Chief Analyst) 

Christin Tuxen (Senior Analyst) and Vladimir Miklashevsky (Analyst). 

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the compensation of the research analyst was, is or will be, directly or indirectly, related to the specific recommendations expressed in the research report. 

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The research reports of Danske Bank are prepared in accordance with the Danish Society of Financial Analysts’ rules of ethics and the recommendations of the 

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Calculations and presentations in this research report are based on standard econometric tools and methodology as well as publicly available statistics for each 

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Major risks connected with recommendations or opinions in this research report, including as sensitivity analysis of relevant assumptions, are stated throughout the 

text. 

Date of first publication 

See the front page of this research report for the first date of publication. 


33

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34

FX Forecast Update - Danske Analyse - Danske Bank

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