全球外汇策略：若沃什令鹰派失望，可逢欧元反弹做空

Global FX StrategyFadeEURralliesifWarshdisappointshawks TheFOMCisunlikelytodeliverthehawkishsurpriseneededtofinallybreak +1-212-816-8340daniel.tobon@citi.comBrian Levine AC theUSDout of its12-monthrange.Onthecontrary,increasingpotentialforan Irandeal, which weexpectnewFed ChairWarshwill lean into,couldbean additional factor for looking past any commodity-induced inflationsurprises.While we hadbeen moretactically cautious risk assets,thesuccessfulmajorIPOlastweekcouldseeriskstabilizeandrally.InFX,thatshouldseecarrytradesresume,whichwepreferfundingwithEURandCAD. +1-212-816-6896brian.levine@citi.com +81-3-6776-3251osamu.takashima@citi.com big surprisesthisweek.Marketexpectations alreadyleantowardsahawkishstatement and SEP:(1)the statementis likelyto dropthe easing bias;(2)the corePCEforecast should berevisedhigher;and (3)themediandotlikelyshiftstonochangefor2026(wemight even seea dot ortwomovetowards a hike,butthis ismoreofariskthan abase case).Inourview,thesechanges should not causeasignificantFX reaction,astheyarealreadypricedin. conference.Whilemanyquestionsandanswers willfocus on Warsh's potentialstructuralchangesforthe Fed,wethinkthemostimmediatefocus forFXwill bearoundWarsh'sattitudetowardscurrentmarketpricing(+18bpsofhikesthroughyear-end,with the first hike fully priced for March 2027). Our base case is Warshwillrelyonhisviewofprovidinglessforwardguidancetogiveambiguousanswerstowards current market pricing.Apotential US-Iran deal and weaker CPIgive the(Figure 1) and DXY near fair value (Figure 2),there may be limits to any knee-jerkUSD selling. Ultimately,ourmedium-termUsDviewisbasedonrelativegrowthdifferentials,whichleavesuslookingforEURUSDtowards1.14 (withpotentialforadownsideovershoot).Butwemayfirstneedclearersignsthatglobalfront-endyieldshavepeakedandcouldeaseasconflictconcernsfade.Inthemeantime,welikeusinganyUSDweaknessaroundtheFOMCmeetingtoaddtoEURUSDshorts,especiallytowardsresistancearound1.1660-1.1680(Figure3;converging historicallypivotallevelandmultiplemovingaverages includingthe200dma). Inassessingtherisks,though,ourviewisthattheasymmetryskewsUsD-positive.Whilenot ourbasecase,a Warsh endorsement of marketpricing-or at leastendorsingthestatement/SEPnotion thata hike or acutis equally likely-couldlead toamaterial USD rallywith chasing.That is because we wouldexpect anyindicationthatahikeisonthetablewouldleadmarketstobringforwardsuchpricing,whilelikelyaddinginpremiumfora second hike.SuchadevelopmentcouldfinallyseetheDxYbreakoutof its12-monthconsolidationatthebaseofthelong-term channeluptrend (Figure4).Historically,suchbreakouts should bechased ifconfirmed (preferablyonamulti-daybasis). Meanwhile,we seea highbarforthe markettoprice out hikes even ifthesehawkishrisksdonotmaterialize,asthislikelyrequiresdatathatfirstshowsinflationbreadthispeaking.But onepairthat couldseeabiggerreaction onanyknee-jerkUSDsellingisUSDJPYiftheMoFusesitas anopportunitytointervene.Wehave seentheMoFuse JPY-positive catalyststogivetheirinterventionmore"bangfortheirbuck"(asseen July11,2024whentheyintervenedafteraUSCPImiss).AndgiventhebuildupinspeculativeJPYshortpositioning,thisisapairwewouldmonitortacticallyinsuchascenario. Butfor now,themore likely path remainsforthe USD toremain in its range,with abiastobuydipsoncorrections.Combinedwithanimprovingriskbackdrop(seebelow),thismaintains a positivebackdropfor carrywhichwelike funding with EURand CAD. Pleasealso see thebelowforadditionalcontext: USEconomics-TheDailyUpdate-Anotherdovishdevelopment USEconomics-FOMCPreview-HawkishSEP.dovishWarsh 50O all-timehigh...sofar).Asthis wasatactical view,we suggested short-dateddownsideprotection (specificallyNZD and SEK puts)ratherthan exiting anyrisk-positive trades.While we did see a market correction (along with weakness in thosecurrencies), wemay havekept the bearish viewlongerthan we should have. placement of a major tech IPO last week, and what we think will be a relativelybanal Fedmeetingcould supportriskassetsfromhere(andbigpictureweremainconstructiveonUSequitieswhiletheAlcapexbacklogremainsrobust).Andmanyrally(e.g.,discretionvsstaples,volofvolversusvol,etc.).CitiCommoditieshasalso shifted down their oil forecast as they see Strait of Hormuz flows resumingrelatively quickly,normalizing by mid-late July.Uncertainty remains,but giveninvestorfatigue withendless headlines in recentmonths,we would expect anymemorandumthatelongatestheceasefirewillbeviewedasawelcomereliefTherefore,absentan actual re-escalation,this summershould shifttowardsalowervol regime.Earningsremainapositive catalysttoriskassetsandareduetostartagaininamonth. however,arecentpatchofsoftdata,peakhawkishnessclosetopricedfortheRBA,and slowing China data could seethefundamental caseweaken.AndNOKcouldnextmonthasweexpect.WethinkthefundamentalcasesforCAD,SEK,andNZDremainweak,andcarry is limited.That leaves G10as a better sourceoffunders,USD remains thebestcarry long in thegroup,inour view. ofthegraphicsinthisdocument,pleasecallUSA1-888-500-5008(TTY:711),fro