Trade Detail: Sell USD/CNY NDF 1M. 1M NDF entry at 6.1875 (spot ref 6.1365). Target 6.16 (45bp gain to fixing, includes carry) with stop at 6.20 (20bp loss reference to 1M NDF) for a risk reward of 2.2:1. We allocate 200% of the Asia FX Portfolio to the trade since the volatility of CNY is low. We chose 1M since it offers the best annualized carry of 3.1% when we look out to 12 month on the curve. We look to roll the position every month.
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