核心关注方向：战争背景下的高确信度交易

Key focus and themes Foreign Exchange - Asia ex-Japan/Euro Area/Europe Research Analysts High-conviction trades against a war backdrop Global FX Strategy Craig Chan-NSLcraig.chan@nomura.com+65 6433 6106 Which is the closest to your view on how long the US-Israel military operation against Iranwill last from here? Yujiro Goto-NSCyujiro.goto@nomura.com+81 3 6703 1120 Within 1 to 2 weeks1. Before 29 April (War Powers Resolution)2. Beyond 29 April 20263. Dominic Bunning-NIplcdominic.bunning@nomura.com+44 (0) 20 7102 4063 Major central bank rate pricing has turned notably towards hikes, but financialconditions are only marginally tighter. FX markets are still moving in line with thetheme of a terms-of-trade shock, with models/markets still suggesting a relatively lowrisk of a US recession. The risk is likely to grow if energy prices remain elevated,which could lead to less of broad USD bid.• Wee Choon Teo-NSLweechoon.teo@nomura.com+65 6433 6107 Yusuke Miyairi, CFA-NIplcyusuke.miyairi@nomura.com+44 (0) 20 7102 4145 Asia FX: We raised the conviction level on our long USD/INR to 4/5 (from 3 on 19March). We maintain high conviction levels on our long USD/THB (4/5), longCNH/KRW (4/5) and long SGD/IDR (4/5).• Vicky Chen-NSLvicky.chen1@nomura.com+65 6433 6540 G10 FX:The market's rate hike pricing for European central banks has moved a lot inthe past week, but we believe their hurdles to hike are higher than they were in 2022.So, we hold long EUR/GBP (conviction: 3/5) and long NOK/SEK (4/5). Meanwhile, wereduce the conviction on our short AUD/NZD (2/5) and downside USD/JPY optiontrade (0/5).• Manthan Shingala-NSLmanthan.shingala1@nomura.com+65 6433 6427 Asia Rates Strategy Asia rates: In Thailand, we take profit on our receive Sep-IMM 1y THOR vs. USrecommendation and add a receive Jun-IMM 2y THOR versus US (75%; conviction 3/5).In India, we rotate our paid position from 5y to Jun-IMM 2y and retain a conviction levelof 3/5. Elsewhere, we maintain relatively high conviction levels (4/5) on both our Jun-IMM 2s5s Korea NDIRS flattener and Jun-IMM 1s3s China steepener (extra pay in 3y).• Albert Leung-NIHKalbert.leung1@nomura.com+852 2252 1401 Nathan Sribalasundaram-NSLnathan.sribalasundaram@nomura.com+65 6433 9707 Clair Gao, CFA-NIHKclair.gao@nomura.com+852 2252 1081 Australia/New Zealand RatesStrategy Andrew Ticehurst-NALandrew.ticehurst@nomura.com+61 2 8062 8611 The message from major central bank meetings (i.e., RBA, FOMC, ECB, BoE) over thepast week was clearly upside inflation risk because of the surge in global energy prices. Production Complete: 2026-03-20 14:17 UTC Markets have seen a substantial repricing of central bank rate expectations with Fed fundsfutures pricing of almost a zero change (as of 20 March) by end-2026, from 24bp of cuts aweek ago (44bp of cuts were priced two weeks ago). Out of the four central banks, BoEpricing has moved the most, with end-2026 last at +66bp of hikes (i.e., a +74bp changeover the past two weeks). Despite these significant changes, financial conditions haveonly tightened marginally. For the US, this is because of only limited moves in USD(higher), US equities (lower), and US yields (higher; 10Y) in the past two weeks. With a still high level of uncertainty over the US-Israel and Iran war – especially over whetherthere will be further attacks on oil/gas refineries and/or still no clear path towards a broaderde-escalation that will re-open the Strait of Hormuz, the risk of still elevated energy pricescould further tighten financial conditions. For now, the FX market continues to view the waras primarily aterms-of-trade shock, which results in USD bid momentum (especially againstnet energy importers in Asia – THB, INR, PHP, JPY). However,as we note, this dynamiccan quickly change if financial conditions tighten rapidly and lead to a demandshock/recession. We believe the reaction in this scenario could be less USD strength in theG10 (possibly some repatriation risk that supports the JPY and EUR),while Asia FXwouldlikely continue to depreciate against the USD (some relative outperformance in CNH). However, this scenario is still not being reflected in overall financial conditions or evenrecession models. The Cleveland Fed’s yield curve predictor of economic growth (3M vs.10Y yield spread) last showed (13 March release; covering 14 February to 5 March) thatthe probability of recession in 1Y was 17.8%. Since 5 March (to date), the 3M vs 10Yspread has further steepened, suggesting that the Fed’s model should show a further fallin the probability of recession. That said, with energy prices remaining elevated, ourdiscussions with market participants suggest that concerns over recession risks aregrowing, and this is also reflected in Polymarket, which shows that the probability of a USrecession was last at 34% by end-2026 (was 22% before the US-Israel attack on Iran). Onstrategy, we remain positioned in favour of oil prices remaining at elevated levels oreven m