巴黎银行-全球-外汇策略-为相对较弱的加元定位-2019071.pdf

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1、TRADEIDEA

2、GLOBALPleaserefertoimportantinformationat10July2019theendofthisreportG10FXPositioningforamoderatelyweakerCADTRADEIDEA1.BNPParibasFXPositioningAnalysissuggestsBuy2m1.34USDCADEuropeanDigitalforaCADlongshaveextendedtoascoreof+37(-/+50costof15.7%(spotref:1.312509:20BST)

3、.scale),whichrepresentsthelargestlongsince11January2011(Fig.1).Notionalallocationintradeideaportfoliois1.91USDm.ThecomponentbreakdownrevealsthatallinvestortypesholdCADlongs,althoughtheproxyforfastmoneyinvestorsisthemostextreme(Fig.6).KEYMESSAGESWethinkCADlongscouldbevulnerabl

4、etoasharpunwindintheeventofanynegativedata-flowfortheWeviewriskrewardasattractivetopositionforCAD.CADweaknessinthenear-term.LongCADpositioningisatanextreme,theBoCis2.Fed/BoCrateexpectationshavediverged(Fig.lightlypricedandCanadiandatasurprisemetrics2)withtheFedpricedfor82bpof

5、easingoverthenextcouldbedueareversal.yearandtheBoCpricedfor12bp.Canadiandatahasbeenholdingupverywellanddatasurprisemetrics(detailsinpoint3onpage2)areWehaveastructurallybearishviewontheUSDandatverypositivelevels.However,evenslightlymoreforecastsignificantandbroadweaknessintheU

6、SDdovishmessagingfromtheBoCcouldhaveanthroughtoyear-end.WecontinuetoholdothertradeoutsizedimpactonCAD,givenhowlightlypricedtheideasinourmodelportfolioconsistentwiththisview.centralbankisforeasingriskandgivenhowtheFXHowever,wethinktheUSDCADexchangerateismarketispositioned.larg

7、elyoutsideofthiscomingadjustment.ThepairisOnefactorsuggestingthattheBoCcouldalreadytradingclosetolong-termfairvalueaccordingincrementallyturnlesshawkishisthatanFXtoourmodelsandlacksthestructuralcaseforheadwindisstartingtobuild,albeitnotyettoadepreciationwhichotherUSDpairsexhi

8、bit.WeviewdegreethathasconcernedtheBoCinthepastthattacticalrisk-rewardforCADshortsvstheUSD(seeFig.4).areattractiveatpresentlevels.Fig.1:CADlongsatextremelevelsFig.2:Fed/BoCpolicyexpectationshavedivergedSources:Macrobond,BNPParibasSources:Macrobond,BNPParibasDanielKatzive,Head

9、ofFXStrategy,NorthAmerica

10、BNPParibasSecuritiesCorp.

11、AlexanderJekov,G