全球-外汇策略-全球外汇展望：美元“登顶”.docx

Desk Strategy18 April 2019 GlobalFX AND RATESStrategistsMacquarie Futures USA LLCThierry Wizman +1 212 231 2082Macquarie Bank Limited Singapore BranchGareth Berry +65 6601 0348IP Macquarie Bank Limited Hong Kong BranchTrang Thuy Le +852 3922 2113 Macquarie Capital (Europe) LimitedEimear Daly +44 20 3037 4802 -Macquarie Securities (Australia) LimitedRic Deverell +61 2 8232 4307Hayden Skilling, CFA +61 2 8232 2623° MACQUARIEThis publication has been prepared by Sales and Trading personnel at Macquarie and is not a product of the Macquarie Research Department.Global FX OutlookThe Top is in' for the US DollarIn Q1, the Fed5s about-face on extending its rate-hiking cycle, its "flattened dots" in March, its decision to wind down quantitative tightening, and the backdrop of slower US growth in Q1 had many analysts calling (again) for the "death of the dollar" on its debasement. Yet “bad news“ for the USD was more than equalled by the bad news for other currencies - especially the EUR, the CAD, and the AUD. Their central banks also turned 'dovish' in Q1, at least in rhetoric, if not in practice, as fear of a slowdown in the home economies emerged. Knowing that this "call and response" between the Fed and other central banks was in effect, we stuck to our strong & steady view of the USD throughout Q1, secure in the knowledge that the US economy would emerge from its own soft patch before others did.But as we go into Q2, we now see imminent downside risks for the USD building, as global growth is seen to have started a tentative recovery from its 3-quarter slump. Stimulus from China, a wind-down of the 'trade wars', and calmer seas on the European political front are all developments that could entice some risk-taking into heretofore more fragile economies, even if the 'carry' in those currencies remains inferior to the USD's. The EUR could be the greatest beneficiary of this turnaround, (our year-end projection is 1.17) given the dependence of its industrial economy (which has suffered the most), but the AUD and NZD could also benefit, as could the GBP. Our year-end projection for the AUD/USD is 0.72, and 1.34 for the GBP/USD. Within the developed markets, we remain bearish only on the CAD, where the Canadian household's idiosyncratic issues will plague the loonie's prospects, and we project the USD/CAD to be at 1.38 at year-end.In the EMs, risks are skewed towards further CNY appreciation as the US and China inch towards extending their fragile trade truce, including an agreement to preclude CNY devaluations. Should these things transpire, the CNY would be at the core of a broad rally in sentiment for Asia's currencies. So we see room for the KRW and TWD to reverse their Q1 underperformance rallies alongside CNY strength. The SGD is also likely to do well with broad USD weakness in the region, and continued modest NEER outperformance. However, we have pared back our enthusiasm for the high yielders - the IDR, etc.In Latin America, a weaker USD could help currencies outside the USD bloc, such as the BRL and ARS. But these currencies will more likely continue to be driven by local events - i.e., whether the pension reform passes in Brazil, and whether tight monetary policy succeeds in controlling inflation in Argentina without adverse political ramifications. Mexico is in the USD bloc, and won't benefit as much from a weak USD. Indeed, a repetition of the volatility of 2016 looms with the coming US election of 2020. The MXN's vols, interestingly, are low.In emerging EMEA, politics dominates, especially in Turkey, where an adverse backdrop risks flight into USD deposits, putting pressure on the TRY. Although not without its own risks, we are more comfortable with the RUB, especially insofar as Russia's healthy external accounts, low government debt, and substantial FX reserves make it stand out against Turkey. We see South Africa's ZAR as an important beneficiary of an EM FX rally, too, supported by the rating agencies* forbearance.Sales and Trading personnel at Macquarie are not independent and, therefore, the information herein may be subject to certain conflicts of interest, and may have been shared with other parties prior to publication. Note: To the extent Macquarie Research is referenced, it is identified as such and the associated disclaimers are included in the published research report. Please refer to the important disclosures .Gareth Berry+65 6601 0348Eimear Daly+44 20 3037 4802Fig 9 Corporate mood poised to reboundEurozone PMIsApr-15 Jan-16Oct-16Jul-17 Apr-18 Jan-19Source: Bloomberg, Macquarie StrategyFig 10 Policy ammunition is depleted on the rates sideSource: Bloomberg, Macquarie StrategyThe Euro: Upside beckonsWe keep our gently-climbing EURUSD forecast profile, but marginally bump up the near-term forecasts to reflect the sudden turnaround in China economic data and to capture the rising chance of an early breakthrough in US-China trade negotiations. EURUSD to 1.15 by end-June, then on to 1.17 by year-end.Defused global trade tensions would go a long way towards boosting Eurozone manufacturing PMIs, which already stand to gain a little from the 6-month Brexit postponement. And wherever the Eurozone PMIs lead, EURUSD tends to follow.Thafs not to say the euro is entirely out of the woods on the trade front. Not by a long shot. Some residual caution is warranted for several reasons:(1) Geopolitical rivalry means US-China trade tensions are likely to simmer for years to come. But a limited deal is achievable. Any compromise sold as a US negotiating victory would be helpful heading into the 2020 presidential election, especially if US equities respond positively to the news.(2) The threat of US tariffs on EU auto exports hasn't gone away, but we see grounds for optimism here too. The EU has just agreed to open formal trans-Atlantic talks to explore how tariffs on a range of manufacturing goods can be lowered. ltJs early days, but thafs a good start. Admittedly, a long-running dispute over alleged subsidies to the EU airline industry has escalated recently, which some regard as a bad omen. But we were encouraged to see the US go through the proper WTO arbitration channels this time, rather than acting unilaterally.(3) Brexit continues to cast a shadow, but at least Eurozone manufacturers can breathe a little easier for a while, safe in the knowledge that their supply chains and access to UK export markets will not be disrupted until Oct 31st at the earliest.(4) The details matter. Although a US-China rapprochement would lift the global mood and boost global trade, the EU could be disadvantaged by any pledges China gives to increase its consumption of US exports. If US exporters win, exporters from elsewhere might lose some share of the pie, although this may be a greater threat to Australian agricultural and LNG exports.Beware the month of MayPopulist forces are very likely to gain seats in May's EU parliamentary elections, but the new arithmetic should still favour the mainstream status quo. So we're not overly concerned about the euro suffering heavily from this. Parliaments power is limited too - so much so that critics still lament the perceived 'democratic deficit5 at the heart of the EU. The 28 heads of state still mostly call the shots, especially in sensitive areas of economic policy.Still, the forced participation of the UK potentially increases the downside tail-risks here, even if we still judge them to be manageable. As a price for securing the Brexit extension, PM May has agreed to “refrain from any measure which could jeopardise the attainment of the Union's objectives, in particular when participating in the decision-making processesf, of the EU. However, the UK's MEP's are not bound by the same pledge and some could try to make a nuisance of themselves, allying with populist forces from elsewhere in an attempt to increase their influence over parliamentary proceedings and decision-making.The longer haulLooking further out, we dial back our EURUSD bullishness into year-end but only fractionally. This reflects the diminishing chances of ECB policy tightening anytime soon if anything, the wind is now blowing in the opposite direction.Steps to mitigate the harmful effects of negative rates on the health of the banking system are being considered. There's a subliminal message here that the market has picked up on: it would not be worth the effort to do this unless the ECB intends to camp out in negative rates territory for potentially years to come.Introducing a tiered system of negative interest rates would be one way of doing this, although not the only one. It would also be the most euro-negative form, potentially opening the door to further interest rate cuts. Recall that the tiered system already in place in Switzerland has allowed the SNB to lower rates down to -75bp without sparking deposit flight. Using the upcoming TLTROs to supply more euro liquidity at negative interest rates would be another potential avenue the ECB could explore.Having made such a song and dance about this in recent weeks, at least a token gesture from the ECB in this direction is likely in our view. But any reform to how negative rates are implemented could still be several months away, and a trend towards modest but generalised USD weakness should be well established by then. Under the influence of these cross-currents EURUSD still has some upside potential into year-end, especially given the prospect of a more hawkish successor when Draghi retires on Oct 31st. An unwind of extended short EUR positioning should impart another mild tailwind too.A ratings downgrade of Italy remains an ever-present risk, with six more opportunities before yearend. But sub-investment grade territory seems a long way off yet (Fig. 12). So Italy becomes more of an FX issue in 2020 in our view, although annual budget negotiations with Brussels in Q4 could become a temporary flashpoint again.Fig 12 Dates of Italy's upcoming rating reviews, includingFig 11 Speculative positions in IMM FX futurescurrent ratings150EUR speculative positioning个Net longSOEO。oS3。l100500-50-100 -150 -200Source: Bloomberg, CFTC. Macquarie StrategyJan-10 Jan-12 Jan-14 Jan-16Net shortJ-250Jan-08Jan-18Moody s (Sep 6th)S&P (Apr 26th, Oct 25th)Baa3 (stable)BBB (outlook neg)DBRS (Jul 12th, Nev 15th)Fitch (Aug 9th)Source: Bloomberg, Macquarie StrategyBBBH (stable)BBB (outlook neg)Gareth Berry+65 6601 0348Trang Thuy Le+852 3922 5718Fig 14 1y JPY vol has now sunk to a 25-year lowFig 13 A bond buying spree is still underwaySource: Bloomberg, MoF, Macquarie StrategyUSDJPY FX option-implied 1y atm volYen: To weaken further as global growth recoversUSDJPY has remained resilient throughout the recent global growth scare, and has deftly navigated around episodes of elevated geopolitical risk too. So much for the safe-haven bid, which never seems to last more than a few hours these days.We know why - Japanese demand for foreign bonds has been intense for the past 9 months, and that trend continues.Now that the growth outlook is looking up and FX vols have dropped further too (Fig. 14), we have to assume the yen will weaker further, so we have raised our short-term forecasts to reflect this. USDJPY to 113 by end-June, up from 109 previously.However, we still see plenty of scope for a turnaround and for yen strength to materialise into 2020. Whatever about the current cyclical upswing, global growth still seems to be locked in a long-term structural downtrend and policy tools left to fight back against it are limited.All of this is fertile ground for a structural rally in the yen, and the Bank of Japan is virtually powerless to stop it unless it becomes even more inventive with its policy toolbox. We cannot rule out helicopter money - it would be the logical next step - but the hurdle is high.We see USDJPY falling to 110 by end-2019, and 100 by end-2020.Gareth Berry+65 6601 0348Eimear Daly+44 20 3037 4802Sterling: Unfinished businessSterling still has a bright future, in our view. The whole Brexit saga is likely to end with a decision to stay in the EU after all, or to leave on terms that largely preserve the UK's existing trading links.But given the risk of a hard no-deal Brexit has already receded, sterling's best chance of a decent rally has passed for now. So we flatten our GBP forecast profile, and kick some of the upside we had been expecting into 2020.Cable should still get back to 1.40 eventually, but probably not until Q1 2020 now (a quarter later than we had originally expected). The likely Conservative Party leadership challenge should be out of the way by then, removing a key obstacle to a stronger sterling rebound.Why hasn't GBP enjoyed a relief rally?It has, but a weaker one than we anticipated. In January, hedge funds saw the House of Commons beginning to mobilise to prevent a cliff-edge accident on March 29th, and short GBP exposure was gradually reduced ahead of time. EURGBP is now materially lower YTD (5.1% on a spot return basis, 5.3% including carry).But the lack of follow-through since the 6-month Brexit extension was confirmed has surprised us. Extreme stresses had built up in the FX vol space until the last moment, but sterling spot has had a limited reaction even as these vol pressures subsided afterwards. Such a spot-vol disconnect is pretty rare.Source: Bloomberg, CFTC, Macquarie StrategyFig 16 Vols collapse as immediate Brexit risks subsideSource: Bloomberg, Macquarie StrategyA longer-extension would have better-suited our bullish GBP view too; EU Council President Tusk had been pushing for twelve months rather than the six he ultimately got.But the biggest missing ingredient is real-money participation; our sense is that global investors are still deeply underweight GBP assets and probably will remain so until the Brexit fog has cleared (Fig. 15). They have lingering concerns on a number of fronts.Is sterling really out of the woods?Some say the postponement has simply moved the cliff-edge to Oct 31st, and that we will face another nail-biting countdown before long. So there is little to get excited about.There's a grain of truth to that, but we take a more optimistic intepretation. The Brexit cliff edge has been moved not once, but twice, which proves that neither side really wants to see a hard no-deal Brexit. The UK governments uncompromising rhetoric has been exposed as bluster, and the EU chose to be merciful when it could have let the clock run down past midnight.This was not pure altruism on the EU's part. Europe is in no fit state to weather another economic and political shock. Arguably, keeping the UK inside the tent also prevents