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1、TRADEIDEA
2、GLOBALPleaserefertoimportantinformationand5August2019MARdisclosuresattheendofthisreportG10FXTrailstopshortUSDJPY,closelongUSDCHFFollowingtheUSDRMB’sbreakabove7.00andthesharpre-pricingofUSyields,ourshortUSDJPYspotKEYMESSAGEStradeisperformingwell.How
3、ever,USDCHFhastradedthroughthestoplevelonourlongspottrade.USyieldshavere-pricedsharplylowerinresponseWenotethatsinceinitiatinglongUSDCHF,CHFJPYtoUSDRMBbreakingabove7.00,weakeningthehasfallen0.5%,soshortUSDJPYhasmorethanUSDvsG10lowyielders,particularlytheJPYa
4、ndprotectedlongUSDCHF.CHF.USDJPYandUSDCHFpriceactionisconsistentwithWetrailthestoponourshortUSDJPYspottradehistoricalcorrelationsbetweenUSDCNHandG10FXrecommendationtolockingains.Westopoutof(Fig.1).However,asUSDCNHistypicallynegativelyourlongUSDCHFtrade.corre
5、latedwithEURUSD,EURUSD’sstabilityisatoddswithhistoricalcorrelations.USDJPYandUSDCHFpriceactionisconsistentwithG10FXvsUSDCNHcorrelations.WethinkEURUSDpriceactionreflectsthat:(i)ECBexpectationsarealreadyclosetotheirfloor,EURUSDpriceaction(stable/slightlyhigher
6、)iswhiletheFedexpectationsarefarfromtheirs(front-inconsistentwithhistoricalrelationships,butweendratedifferentialshavere-pricedsubstantiallyinthinkthereisreasonforEURUSDstabilityinthefavourofEURUSDhigher);and(ii)theEUR’scurrentenvironment.attractivenessasafu
7、ndingcurrencysuggestssomeofthelongcarrytradeisnowfundedwiththeEUR,inadditiontoUSD,implyingsomeEURbuyingaswellasUSDbuying,asthemarketunwindscarrytrades.TRADEIDEA(S)USDJPYtrailstop:trailstopto107.Entry:108.45(13Jun).Maintaintargetof104.USDCHFstopout:closeatsto
8、plevelof0.9800,entry:0.9942(1Aug).Fig.1:USDCNH,USDvs.G10correlationsFig.2:FXinvestorsextendingUSDJPYshortsSources:Bloomberg,Macrobond,BNPParibasSources:Bloomberg,Macrobond,BNPParibasSamLynton-Brown,HeadofG10FXStrategy,Europe
9、BNPParibasLondonBranch
10、TRADEIDEA0
11、5/08/20191LegalNoticeThisdocumenthasbeenwrittenbyourStrategistandEconomistteamswithintheBNPParibasgroupofcompanies(collectively“BNPP”);itdoesnotpurporttobeanexhaustiveanalysis,andmaybesubjecttoc
