瑞信-全球外汇市场-2017.6.28fx compass on a high

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1、28June2017GlobalFixedIncomeResearchForeignExchangeFXCompass:OnahighResearchAnalystsShahabJalinoos2123255412shahab.jalinoos@credit-suisse.comFigure1:LargerepricinginGermanfront-endthisweekRayFarris-0.206562123412ray.farris@credit-suisse.comGermany2yr-0.40AlviseMarino2123255911-0.60alv

2、ise.marino@credit-suisse.comTrangThuyLe-0.8085221017426trangthuy.le@credit-suisse.comHonglinJiang-1.00442078881501Jan-16Apr-16Jul-16Oct-16Jan-17Apr-17honglin.jiang@credit-suisse.comSource:CreditSuisse,theBLOOMBERGPROFESSIONAL™serviceBhaveerShah442078831449TheFXmarketsprungtolifeyeste

3、rdayonthebackofECBchiefDraghibhaveer.shah@credit-suisse.comstatingthat"deflationaryforceshavebeenreplacedbyreflationaryones,"referringtoa"strengtheningandbroadeningrecoveryintheeuroarea."Thiswasenoughtoleadtothebiggestone-dayjumpin2-yearGermanyieldssince2015,withyieldsrising7bpto-55b

4、pfrom-62bp(Figure1).TheEURmoveisinlinewithourcurrentforecastprofile(3mtargetsforEURUSD,EURJPYandEURGBPwere1.15,126.50and0.90beforeyesterday'smove).WehavebeengenerallybullishthesinglecurrencysinceMarch,takingaviewthatbetter-than-expectedgrowthandpoliticaloutcomescombinedwithits"under-

5、owned"structuralpositiongaveitroomtorallyfurther.Inthiscontext,wearenotsurprisedtoseesuchareactiontoDraghi'scomments.Still,fornow,weprefertokeepourforecastsunchanged.WesuspectinflationaryforcesarestillnotstrongenoughtotoleratesustainedEURUSDrallywellbeyond1.15withoutpromptingcentralb

6、ankreaction.InthisissueoftheFXCompass,weconsiderthepossibilitythatGBPweaknessmightforcetheBoEtohikerates,despitetheuncertaintycreatedbyBrexit.WecomparetherecentexperiencesofMexicoandRussiawhencentralbanksusedratehikestostabilizethecurrencyevenamiduncertaingrowthconditions.Wearguethat

7、riskreversalskewbidforGBPputsvs.callsseeninGBPUSDandEURGBPmaynotbeentirelyjustified,especiallyatlongerdates.Assuch,werecommendbuyinga27June2018EURGBP0.8600digitalputfinancedbysellinga0.9250digitalcallforzerocost(spotref:0.8840,forwardref:0.8922).Bothoptionsarepricedat33%ofpayout,whic

8、himpliesamax