1. The document analyzes currency sensitivity for Nestle Treasury Centre Asia Pacific (NTC-AP) using technical and fundamental analysis to measure exposure and predict currency movements. 2. The methodology calculates exposure as total payables multiplied by volatility, and uses simple moving averages and backtesting to forecast currencies technically. Fundamentally, it counts under/overperforming data against expectations. 3. The results found AUDUSD was the best performer gaining 20.4% while USDCHF lost 18.9%. Malaysia's data always outperformed expectations while Vietnam underperformed. The conclusion recommends further research on USDPHP due to its high exposure but low predictability.

1. 1
Currency Sensitivity Analysis
Presented by: Henry Ting
Nestle Treasury Centre –
Asia Pacific

2. 2
Introduction
to
NTC-AP

3. 3
Nestle Treasury
Centre – Asia Pacific
FX and Risk Management Cash Management

4. 4
United
States
Panama
Dubai
Luxembourg
Singapore
Where are we located?
Vevey

5. 5
North America
Europe
Asia
Where is our exposure?

6. 6
Goals
&
Objectives

7. 7Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Goals and
Objective
• Identifying the exposure of
each currency to NTC-AP
• Predicting future
movements of these
currencies.

8. 8
Findings
&
Methodology

9. 9Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Methodology
• Using volatility and total
payables as factors to total
exposure.
• Forecast currency movement
using both technical and
fundamental analysis.

10. 10Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
MEASURING EXPOSURE
TOTAL EXPOSURE IS THE PRODUCT OF TOTAL PAYABLES AND VOLATILITY

11. 11Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
TECHNICAL ANALYSIS
USING SMA(20) AND SMA(55) AS INDICATORS. BACKTESTING ON BLOOMBERG <BT GO>, FROM 01/01/2014 –
01/07/2015

12. 12Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
FUNDAMENTAL ANALYSIS
COUNTING NUMBER OF UNDER/OUT PERFORMING DATA WITH RELEVANCE ABOVE 60 FROM 01/01/2014 –
01/07/2015

13. 13
Results
&
Achievements

14. 14Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Technical Analysis
20.4%
6.6% 7.1%
11.9%
7.5% 8.6%
-18.9%
14.5%
1.8%
11.8%
-0.3%
2.0% 2.1% 3.1%
1.3%
-30%
-20%
-10%
0%
10%
20%
30%
Profit and Loss
Using the custom strategy,
AUDUSD is the best performer, generating a profit of 20.4%.
USDCHF is the worst performer, generating a loss of -18.9%.

15. 15Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Country that always outperform expectation – Malaysia
Country that always underperform expectation – Vietnam
-30.0
-20.0
-10.0
0.0
10.0
20.0
-30.00%
-20.00%
-10.00%
0.00%
10.00%
20.00%
AUD MYR TWD NZD IDR JPY CHF EUR PHP SGD HKD GBP THB KRW VND
Data predictability
Data predictability by count Data predictability by relevance
Fundamental Analysis
(LHS) (RHS)

16. 16
Key Learnings

17. 17Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Key
Learnings
• Finding intrinsic value of a
currency is very challenging
• No single theory that explains
the entire currency market
• Markets are affected by
speculation and surprises

18. 18Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Example when government release negative result/data:
Reserve Bank of New Zealand cut rate by 25 basis point.
From 0.7202 to
0.7032

19. 19
Conclusion
&
Recommendation

20. 20Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Consolidated Result on Exposure and Predictability

21. 21Goals and Objectives
Findings and
Methodology
Results and
Achievements
Key Learnings Conclusion
Conclusion
• AUDUSD has the highest exposure, but the exposure is covered by its
highest predictability
• USDVND is the most unpredictable but not much exposure in that currency.
• Generally, all the currencies have equal balance of exposure and
predictability.
Recommendation
• Further research is required for USDPHP since it has the second largest
exposure but ranks 8th in term of predictability.

22. 22
The End
THE END