JPM-Key Currency Views Soft landing is already well priced in FX-230811-此為英文文檔

GlobalFXStrategy

11August2023

KeyCurrencyViews

SoftlandingisalreadywellpricedinFX

?Theconfluenceofvariousoffsettingfactors-USgrowthresilience,softerinflation,largeratecutsfromhigh-yielders-hascreatedaconvolutedbackdropforFXmarketparticipants.

?OurbullishdollarbiasstemsfromUSexceptionalismandisfocusedvs.lower-yieldingandinsomecases,growth-challengedcurrencies(henceourbearishforecastsforEURandJPY,underweightCNH).USresiliencetendstoweighmoreonlowyieldersratherthancyclicals(Figure1).

?Thedollarisalreadypricedtobenigngrowthoutcomes(1.3%ptimprovementinglobalgrowthor53globalPMI)whichmakeschasingUSDweaknessapoorrisk-rewardstrategy,inourview.

?AmiddlinggrowthenvironmentshouldstillbesupportiveofFXcarryreturns,butwithlowerintensity.Despiteratecuts,yieldsoncarrybasketsarelikelytostaycloseto10%in2023butdropto8%bymid-2024.

?Targets:EUR/USD,USD/JPY4Qtargetsunchangedat1.05and152.NOK,CADupgradedongrowth,termsoftrade.EUR/NOK11.20(12.20),USD/CAD1.35(1.37).EUR/CHFloweredto0.93(0.94)onsoftregionalgrowth.EMmostlyunchanged:USD/MXN17.40,USD/BRL4.90,USD/CNY7.25.

Figure1:CompositionofUSDstrengthdependsonthenarrative:Low-yieldersareusuallythemostvulnerabletoUSexceptionalism,reflectedinhigherUSyields(x-axis);cyclicalFXmostvulnerabletoarecession(y-axis)

15ybetaofCCY/USDto10yUSyieldsandglobalgrowth;%

Source:J.P.Morgan

GlobalFXStrategy

MeeraChandanAC

(44-20)7134-2924

meera.chandan@

J.P.MorganSecuritiesplc

ArindamSandilya

(65)6882-7759

arindam.x.sandilya@

JPMorganChaseBank,N.A.,SingaporeBranch

PatrickRLocke

(1-212)834-4254

patrick.r.locke@

J.P.MorganSecuritiesLLC

JamesNelligan

(44-20)3493-6829

james.nelligan@

J.P.MorganSecuritiesplc

TohruSasaki

(81-3)6736-7717

tohru.sasaki@

JPMorganSecuritiesJapanCo.,Ltd.

BenKJarman

(61-2)9003-7982

ben.k.jarman@

J.P.MorganSecuritiesAustraliaLimited

JasonHunter

(1-212)270-0034

jason.x.hunter@

J.P.MorganSecuritiesLLC

AnezkaChristovova

(44-20)7742-2630

anezka.christovova@

J.P.MorganSecuritiesplc

TaniaEscobedoJacob

(1-212)622-4128

tania.escobedojacob@

J.P.MorganSecuritiesLLC

Contents

KeyCurrencyDriversandModels

Technicals

JPY

EUR,GBP,CHF

NOK,SEK

CAD,AUD,NZD

Latam(MXN,BRL)

EMEA(ZAR,TRY,ILS,CE4)

EMAsia(INR,KRW,CNY)

Forecasts

2

10

15

17

23

27

34

36

38

43

Seepage50foranalystcertificationandimportantdisclosures.

J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.

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OctaviaPopescu(44-20)3493-5654octavia.popescu@

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KunjJPadh(1-212)834-5108

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GlobalFXStrategy

KeyCurrencyViews

11August2023

KeyCurrencyDrivers

Softlandingisalreadywell-pricedinFX

?Theconfluenceofvariousoffsettingfactors-USgrowthoutperformance,softerinflation,largeratecutsfromhigh-yielders-hascreatedaconvolutedbackdropfor

FXmarketparticipants.

?OurbullishdollarbiasstemsfromUSexceptionalism

andisfocusedvs.lower-yieldingandinsomecases,growth-challengedcurrencies(hence,bearishforecastsforEURandJPY,underweightCNH).USresiliencetendstoweighmoreonlowyieldersratherthanoncyclicals.

?Thedollarisalreadypricedtoverybenigngrowthoutcomes(1.3%-ptimprovementinglobalgrowthor53globalPMI)whichmakeschasingUSDweaknessapoorrisk-rewardstrategy,inourview.

?Amiddlinggrowthenvironmentshouldstillbesup-portiveofFXcarryreturns,butwithlowerintensity.Despiteratecuts,yieldsoncarrybasketsareexpectedtostaynear10%in2023butdropto8%bymid-2024.

?Targets:EUR/USD,USD/JPY4Qtargetsunchangedat

1.05and152.NOK,CADupgradedongrowth,termsoftrade.EUR/NOK11.20(12.20),USD/CAD1.35(1.37).EUR/CHFloweredto0.93(0.94)onsoftregionalgrowth.EMmostlyunchanged:USD/MXN17.40,USD/BRL4.90,USD/CNY7.25.

Thepathfromrecessiontosoftlanding...

Thenarrativeinmarketshasshiftedinamorebenigndirectionontwomeasures.First,resilienceinUSgrowth

whichispromptingmarketsandtheFedtoassigngreaterprobabilityforaUSsoftlanding.Oureconomistshaverecentlymovedinthisdirectionaswell,revisinguptheir3QUSGDPforecastfrom0.5%saarto2.5%saar,takingouttheircallforaUSrecessionin4Q23/1Q24andpushingbacktheUSslowdownto1H24(US:Theendisnotnear,Feroli).Sec-ond,inflationmeasureshavesoftenedincombinationwithimprovingUSproductivity,furtherauguringprospectsofasoftlanding.However,notalldevelopmentshavebeenpos-itive,withthenegativenewsconcentratedoutsidetheUS,specificallyinChina(softerGDP,ongoinghousingweakness,mixedPMIs,weakcreditgrowth)andtheEurozone(slidingPMIs,weakloangrowthsignalingmoredownsideevenifsomeharddataisfindingafooting).Itdidn’thelpthattheonebeaconoflightinFXforthelast18months,highyielders,werealsocalledintoquestionbythedeliveryoflarger-than-expectedratecutsfromLatam(Chile,Brazil).

Figure2:USexceptionalism:Better-than-expectedgrowthisaphenomenonthatisspecifictotheUSandindivergencewithChinaandtheEurozone

Cumulativechangesinoureconomistsgrowthforecastrevisionindices;%pts

Source:J.P.Morganeconomics

TheconfluenceofthesefactorshascreatedaconvolutedbackdropforFXmarketparticipants.Ontheonehand,higheroddsofaUSsoftlandingandlowerinflationshouldbeconstructiveforrisksentimentandonethatusuallywouldbeconsideredmechanicallyUSD-negative.Butontheother,a5%yieldingdollarcombinedwithcontrastingweakgrowthinChinaandEurozone(akaUSexceptionalism),isonethatshouldbeUSD-positive.Addtothisthewiderangeofmacrooutcomesthatarestillpossible(riskofadditionalFedhikes,softlanding,high-for-longsqueeze;GlobalDataWatch,Kas-man).It’sthusnotsurprisingthatmacroinvestorsaredeeplyintrospectingthetealeavesforFXwithoutmuchconviction;butalsonoteworthyisthatevenoursuiteofsystematicmod-elsaredisplayingadecliningintensityamongsignalsindicat-ingalowerconvictionenvironmentforFX(FXMacroQuant,Delair).

...isn’tstraightforward

OurownviewonthedollarsideswiththeUSexceptional-ismcampleavinguswithUSD-bullishbias,particularlyvs.thelower-yieldingandgrowth-challengedcurrencies(bearishforecastsforEURandJPY,underweightCNH).Asdiscussedbelow,thedollarappearspricedtoverybenigngrowthoutcomes,whichmakeschasingUSDweaknessapoorrisk-rewardstrategyinourview.Thisdefensiveviewdoesnotextendtothehigh-yieldersinthenear-termwhichshouldbemoreinsulatedinamiddlingglobalgrowthenviron-ment,eventhoughtheyieldmotivationwilleventuallynar-rowin2024.Inparticular,weconsiderthefollowingthemesasrelevantforFXmarketscurrently.

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-0.4%

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MeeraChandanAC(44-20)7134-2924meera.chandan@

J.P.MorganSecuritiesplcPatrickRLocke(1-212)834-4254patrick.r.locke@J.P.MorganSecuritiesLLC

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KunjJPadh(1-212)834-5108

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GlobalFXStrategy

KeyCurrencyViews

11August2023

USsoftlandingisactuallyUSexceptional-ism...

First,benignUSdevelopmentsofgrowthresilienceandsofterinflationshouldnotbeconflatedandautomaticallyconstruedasUSD-negative;focusondollar-positiveimpli-cationsfromUSexceptionalisminstead.TheaffectsformUSresilienceandsofteninginflationonFXshouldbeevalu-atedseparately.Softerinflationisaglobalphenomenonandispositiveforinvestorsentimentingeneral.Meanwhile,bet-ter-than-expectedgrowthisaphenomenonthatisspecifictotheUSandincontrastwithChinaandtheEurozone(oureconomists’notethatsoisimprovingproductivity).ThegrowthsleeveisthusbettercharacterizedasUSexceptional-ism(Figure2),theintensityofwhichhasbeenbluntedbysofteninginflationthusfar.Ourexpectationisthatgrowthdivergencewillultimatelydominate,particularlyinthecaseofEURandCNYasitwillenableafurthernarrowinginratespreadsvstheUS.Forwardlookingfactorslikeweakcreditgrowth(nonexistentbankloangrowthinEurozone;bigTSFmissinChinathisweek)arestillsignallingmoreweaknessinEURandCNYandhencewelookforweaknessinbothcur-rencies(EUR/USD2Htargetis1.05;ourEMteamisunder-weightCNY).

…whichismorechallengingtolowyield-ers

ThenarrativeshifttowardsUSexceptionalismismoreproblematicforlow-yielders(JPY,CNH,EUR)thanthehighyielders.ThecompositionandintensityofUSDstrengthdependsonwhetherthebackdropischaracterizedbyUSexceptionalismorrecessionconcerns.USexceptionalismwhichwouldnormallymanifestinhigherUSyields/wideryieldspreadsgenerallyaffectsthelowestyieldersthemost(JPY,EUR,othersAsianFX;x-axisFigure3).Meanwhile,recessionconcernsmakecyclical/commodityFXmorevul-nerable(y-axisinFigure3).Recentpriceactionwasinstruc-tive-FXcarrybasketsstillmanagedtoekeoutpositivereturnsinthepastmontheventhoughthehighyieldersdidpoorlyvs.USD,asthefundersweakenedbymore(Figure3;FXMacroQuant;Delair).Thisclearlyfavoursthehighyielderswhichhavealreadyhadasolidperformanceinthelast18months.Highercommoditypricesalsonegativelyaffectthelowyieldersvs.thehighyieldersmoreduetotheirimporter/exporterstatus.

Figure3:CompositionofUSDstrengthdependsonthenarrative:LowestyieldingcurrenciesareusuallythemostvulnerabletoUSexceptionalismreflectedinhigherUSyields(x-axis),andcyclicalFXmostvulnerabletoarecession(y-axis)

15ybetaofCCY/USDto10yUSyieldsandglobalgrowth;%

Source:J.P.Morgan

Figure4:Inthelast2w,Latampositionsledtoalossincarrystrategiesbutcarrysignalsadjustedforbetaledtoanoutperformingshortbaskettocompensatelosses

P&LvsUSDofcurrenciesinhedgedcarrybasketsince1August2023.

longcurrencies

shortcurrencies

BRLCOPHUFMXNPLNAUDCNYEURJPYKRWTHB

Source:J.P.Morgan

Dollarpricesin1.3%ptimprovementinglobalgrowth

Second,inanycasewethinkthatFXmarketsandthedol-larisalreadyimmaculatelypricedforaglobalsoftland-ing.Thisisevidentfromthebroaddollarindexwhichiscur-rentlyundershootingrelativetotherevisionsinourgrowthforecasts.Forinstance,historicalrelationshipsbetweenthedollarandUS/Globalgrowthforecastrevisionswouldhave

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J.P.MorganSecuritiesplcPatrickRLocke(1-212)834-4254patrick.r.locke@J.P.MorganSecuritiesLLC

OctaviaPopescu(44-20)3493-5654octavia.popescu@

J.P.MorganSecuritiesplc

KunjJPadh(1-212)834-5108

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KeyCurrencyViews

11August2023

indicatedthattherecentchangeinourgrowthoutlook(inFigure2)shouldhaveresultedin5%strengtheninginthebroadindex;bycontrast,theindexwasonly1%strongerinthepastquartersuggestingthata1.3%improvementinglobalgrowthisalreadypricedin(Figure5).AsimilarexercisewithPMIsindicatethattheUSDispricedtoaglobalmanufactur-ingPMIof53(currently48.7;Figure6).ThisundershootinsurprisingsincetherangeofmacrooutcomesisstillquitewideandcouldentailriskofadditionalFedhikes,softland-ing,high-for-longsqueeze(seeGlobalDataWatch,Kasman).Hencetherisk-rewardofchasingUSDweakerisnotcondu-civeinthecurrentenvironment,unlessgrowthmomentumweretoimproveinChina/Eurozone.

Figure5:RecentgrowthrevisionsshouldhavestrengthenedthebroadUSDindexby5%;bycontrast,theindexwasonly1%strongerinthepastquarter,signallingthata1.3%improvementinglobalgrowthisalreadypricedin

Actual3mrollingchangeinUSDTWI(%)vs.modelimpliedbyUS-globalandglobalgrowthforecastrevisions(pre-covidbetas)

Source:J.P.Morgan

FXcarry:shelflifeisshrinkingbut10%yieldthisyearisstillhardtoignore

Finally,itisprematuretolookfordrawdownsincarrybaskets,eventhoughtheshelf-lifeonthethemeisadmit-tedlyshorteningsolongUSDhedgesareappropriateincombination.Abigcontributortocarryoutperformanceinthepast18monthshasbeenwideyielddispersion.However,nowthecentralbanksofhighyieldingcurrenciesarestartingtocutrates(Chile,Brazilwereinthespotlightrecently)andyieldspreadsvs.thedollarhavestartedtonarrow(Figure7;meanwhileUSyieldspreadsvs.DMonaveragehavebeenunchangedthisyear,incontrastto2022).Thecompressioninforwardlookingyieldspreadsisameaningfuldevelopmentgiventhatcarryhasdelivered20%returnsYTD,butdoesthismeanthecarrytradeisover?Ourviewisthattheshelflifetocarrybasketsisshrinkingasratecutssuggestlowerintensityofreturnsandthatanarrowersubsetofhighyieldersthat

remainattractive,butitisstillprematuretocallthedeathofFXcarry.Thisisbecause:

Figure6:TheUSDTWIisaboutflatYoYdespitesub-50globalmanufacturingPMIs;historicallythiswouldbeclearlybullishfortheanti-cyclicalUSD

USDTWI(YoY%chg)vsGlMfgPMI.Outofsamplemodel(2014-2019)

Source:J.P.Morgan

Figure7:Lastyear,USyieldspreadswidenedvs.bothDMandEM;thisyear,thewideninghascomeprimarilyvs.EM

2yUSyieldspreadsvs.DMandEM

Source:J.PMorgan

First,evenwithratecutsfromthehighestyieldingcentralbanks(Figure8),theyielddifferentialoncarrybasketsisstillprojectedtobe10%byyearend;thediptosingle-digitsisfor2024;weproject9%inMarch2024and8%bymid-2024(Figure7).

Second,growthinthehighyielders,particularlyLatam,isstillholdingupwell,particularlyLatamwhereourEMstrate-gistsarestilloverweight(LatamCompass,Siddiquietal).

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OctaviaPopescu(44-20)3493-5654octavia.popescu@

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GlobalFXStrategy

KeyCurrencyViews

11August2023

Finally,positivereturnsfromcarryinthe“USsoftlanding”scenariocombinedwithChinatryingtoprovideafloortogrowthshouldbesupportiveofstillpositivereturnsfromcar-ry.RecallthateventheChinare-openingmanifesteditselfinpositivereturnsfromcarryratherthanthebroaddollar.

Figure8:Thehighestyieldingcentralbanksareprojectedtocutratesmateriallybutthemovetosingle-digitsisexpectedtooccurnextyear

J.P.Morganeconomistsforecastsforpolicyrates;%

Source:J.P.Morganeconomics

Figure9:TheyieldofferedbyFXcarrybasketsisexpectedtostayelevatednear10%inDec’23;butwilldropto8%bymid-2024

Yieldofferedontop5/bottom5nominalcarrybasket(globalportfolio).Projectionuntil3Q24iscomputedwithpolicyratesforecastsfromJ.P.Morganeconomists.

Source:J.P.Morgan

Theforecastbottomline:UpgradesinG10;largedivergencewithinEM

Ourforecastchangesthismontharemoreidiosyncraticratherthanreflectingabroadchangeinthedollarview,whereweremainbullishonUSexceptionalism.

InG10,ourforecastupgradesinNOKandCADpartlyreflectahigherprobabilityofaUSsoftlanding,whileourCHFupgradeisbasedondeterioratingEuropeangrowth.NOKisadditionallysupportedbyratespreads,termsoftradeanddomesticgrowth,allowingfurtherreversiontofairvalue.EUR/NOK4Q11.20(12.20),2Q’2410.80(11.40).USD/CAD4Q1.35(1.37),2Q’241.32(1.31).EUR/CHF4Q0.93(0.94),2Q’240.96.GBP/USDmarked-to-market1chigher;4Q1.20(1.19),2Q’241.29.EUR/GBP4Q0.875(0.880),2Q’240.870.Outlookforeuroandyenremainsunchangedaswelookformoreweaknessvs.USDin2H(EUR/USD1.05;USD/JPY152bothunchanged).

InEM,ourEMteamisneutraloverallwithwideregional(andintra-regional)differentiation.CarryshouldcontinuesupportingLatamcurrencies,withtheexceptionofCLPwherethisisgettingquicklyeroded,warrantinganotherdowngrade.USD/CLP4Q860(845),2Q’24870(850).CarryfavouritesareMXNandBRL(USD/MXN4Q17.40,2Q’2418.00andUSD/BRL4Q4.90,2Q’245.00-allunchanged).InAsiaEM,wearedownbeatontheregionbutidiosyncra-siesprevailandwarrantRVexpressions.StaybearishCNYasPolitburooptimismfades;USD/CNY4Q7.25,2Q’247.10.WithinEMEAEM,ourbullishpicksarePLNandHUF,whilewemaintainbearishviewsinZARandCZK.USD/ZAR4Q19.50(20.00);2Q’2421.00.SeealsoEmergingMarketsOutlook&Strategy,Oganes&Goulden.

Onnet,thebroadUSDindexforecastsaredowngradedslightlyacrosstheforecasthorizon.Fromcurrentspotlev-els,weprojectanother2%upsidebyyear-end,beforearetreatin2Q’24whichplacesit0.4%abovecurrentspot.

InG10,NOK,CAD,CHFandGBPareupgraded...

?NOK:Shiftbiasfrombearishtobullish;forecastsupgradedonamorebalancedoutlook.Ratespreads,termsoftrade,USsoftlandingprobabilitiesanddomesticgrowthhavecoalescedintoamorefavourableenviron-mentforthekrone.EUR/NOK4Q11.20(12.20),2Q’24

10.80(11.40).

?CAD:NewforecastslowerthepeakintheUSD/CADprofile.ThecombinationofimprovedUSprospectsbutlingeringquestionmarksaboutCanadaitself,amidaflatoilenvironment,suggestsloweringtheUSD/CADprofilebutnotprojectingoutrightbullishnessforCADvsUSD.USD/CAD4Q1.35(1.37),2Q’241.32(1.31).

?CHF:Bullishandlong;2Hforecastsupgradedondeterioratingregionalgrowth.Thefranchasstrength-enedinlinewithweakerEurozonegrowthsurveys.AlongsideanSNBthatisreadytointervene,thisshould

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limitthefranc’suseasacarryfundingcurrency.EUR/CHF4Q0.93(0.94),2Q’240.96.LongvsGBP.

?GBP:Bearishandshort;EUR/GBPloweredslightlyalongwiththe1cupgradetocable.Ratespreadsandgrowtharemorealignedinabearishdirectionforsterlingnow,withsofthousingdataandPMIs.GBPisvulnerabletoaCPIundershoot.GBP/USD4Q1.20(1.19),2Q’241.29.EUR/GBP4Q0.875(0.880),2Q’240.870.ShortvsCHF.

…whiletherestremainunchanged,butwithmostlybearishbiases

?EUR:Bearishandshortin2Honpoorregionalgrowthandpeakingratedifferentials.Fundamentalsareeuro-bearishbutthemarket’sfocusonsoftUSinfla-tionsurprisesastheprimarydriverforthedollarmaybehinderingEUR/USD’sdescentinlinewithgrowth.EUR/USD4Q1.05,2Q’241.12.Strategytouseasafunder;shortvsMXN&CAD.

?JPY:Bearish.RatedifferentialsareunlikelytoexertdownwardpressureUSD/JPYgivenstrongUSgrowthandtheBoJ’sverydovishstancerelativetoothercentralbanks.USD/JPY4Q152,2Q’24153.

?AUD:Modestlyconstructive.TheresilienceoftheUSeconomyispushingoutnear-termrecessionfearsandAUD/USDremainscheaptomostfundamentaldrivers.AUD/USD4Q0.70,2Q’240.69.Tacticallyneutral.

?NZD:Bearish.Ourforecastsreflectabalanceofidiosyn-craticheadwinds(recession,financialstabilityconcernsinhousing/agriculture)againsttheexchangerate’shistori-callyhighbetatoresilientUSgrowthandextensionoftheglobalbusinesscycle.NZD/USD4Q0.62,1Q’240.61.Tacticallyneutral.

?SEK:Bearish.SwedenisoneoftheclosestinG10toalabourmarketcooling.Domesticgrowthremainsdepressedasinflationisstillcriticallyhigh,tyingthehandsoftheRiksbank.Againstthisbackdrop,weseescopefornewlowsinSEK.EUR/SEK4Q12.20,2Q’2411.70.ClosedshortagainstCHFbutbiasedtore-sell.

EM:StayMWoverall(OWLatam,MWAsia,MWEMEA)

?

Asia:Shifttoneutralfrombearish.Theregionaldown-beatviewisunderpinnedbyanemicregionalexportgrowth,structuralgrowth-related(China)andgeopoliticalfears,andabsenceofcarrypremiumtocompensate.Cau-tioniswarrantedonNorthAsianFXbearishness,howev-er,asweenterthenewproductlaunchseason.Politburooptimismiswaning;staybearishCNYFXasdiminishing

hopesofaimmediategrowthreboundshouldcontinuetoweighonthecurrency,compoundedbydeepnegativecar-ry.USD/CNYismarked-to-markethigherin3Qto7.25(7.30);unchangedotherwisewith4Q7.25,2Q’247.10.INRislikelytotradeinnarrowranges,inatugofwarbetweenlargeBoPinflowsandRBIintervention.USD/INR4Q84.00,2Q’2485.00.USD/KRWstillscreenstoolowtoexportgrowthandFPIequityflowmomentumdespitethepastmonth’srally.USD/KRW4Q1340,2Q’241340.WeseevalueinshortKRWvsTWDgiventheirdifferentialsensitivitytothetechrecovery,relativevaluationsadjustingforexportperformance,seasonalityandrelativebetastoUSDstrength.USD/TWD4Q31.75(31.25),2Q’2431.25.WeremainbullishTHBaheadofthetourismhighseasonlaterin4Q,butacknowledgethedisappointingtourismrecovery;USD/THBforecastsraisedacrossthehorizonto4Q34.25(33.75).2Q’24

33.50(33.25).

?EMEA:Neutralasidiosyncraticdevelopmentsdrive

ourfavouredpicks;largestUWisZARwhileweareOWinHUFandPLN.CZKisovervalued,overposi-tionedandthecarrysupportsettofall,butonlyagradualpaceofdepreciationisexpected;EUR/CZKforecastsraisedslightlyacrossthehorizonto4Q24.75(24.50),2Q’2425.50(25.25).Deterioratingtermsoftrade,fiscaldeficitandtradebalanceshouldweighonZAR,butUSD/ZARistweakedlowerin4Qto19.50(20.00)withtherestofthehorizonunchanged;2Q’2421.00.PLNshouldbesupportedbyvaluation,positioningandthewaningdragfromCHFmortgage-relatedoutflows.EUR/PLNforecastsareparallel-shifteddownward;4Q4.40(4.50),2Q’244.50(4.60),withbullishnessbestexpressedagainstCZK.HUFcarryremainsadequatecompensationgiventhestrongBoPdata,morebenignfiscalpositionandsub-duedcreditgrowth.EUR/HUFforecastsunchanged;4Q385,2Q’24400.WeareneutralILS,withidiosyncraticdevelopmentsdominatingpriceactionandariskpremiumthatislikelytopersist.USD/ILS1H24forecastsareraisedto3.65(3.55),resultinginaflatpath.USD/TRYismarked-to-marketto27.50(27.00)in2H;unchangedfornextyearwith2Q’2429.00.

?Latam:Bullish.EasingcyclesinLatamwilltesttheresilienceofthecarrytrade,butthecarryappealofMXNandBRLinparticularshouldpersistthroughthefirststagesoftheeasingcyclegivenstablefundamentals.USD/MXNforecastsunchanged;4Q17.40,2Q’2418.00.USD/BRLunchanged;4Q4.90,2Q’245.00.USD/COPunchanged;4Q4400,2Q’244600.Theanticipatedquickerosionoftherateadvantage,alongsidethecentralbank’sreserveaccumulationprogramandsoftgrowthprintsinChinaalignwithourbearishCLPview.USD/CLPrevisedupacrosstheboard;4Q860(845),2Q’24870

(850).

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NOKPLNHKDDXYTWDSGDPHPMYRKRW INR IDRCNYPENMXNCOPBRLZARTRYRUBHUFSEKCHFNZDAUDGBPJPYEUR

JPMUSDTHBCADCZKCLP

ILS

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Figure10:2Q’24terminalforecastrevisionsaremixed,withmore

revisionstothedownsidebutinsmallersize,whilethelargest

upgradeisNOK

ChangesinterminalforecastsvsUSD

Chgin+1yTerminalFcast

-4.0%-2.0%0.0%2.0%4.0%6.0%

Source:J.P.Morgan

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FXModels

Figure11:Overthelastrollingmonth,valuestrategies

outperformed(especiallyREERPPI);forcarrybaskets,

theperformancedifferedbyimplementation

YTD&1mrollingreturnsofFXsinglesignalcross-sectional

strategieswithtradingcosts(top5/bottom5inglobalportfolio)

20%

10%

0%

-10%

-20%

19%19%19%

7%

9%8%8%

4%

1%

0%

0%-1%-1%-1%-2%-3%-3%

-9%

Ytd(lhs)rolling1m(rhs)

-14%

3%2%1%0%-1%-2%

-3%

Nominalcarry

Hedgedcarry

Risk-adjcarry

FDI&Equity

G10ratesmomentum

Realcarry

CommodityToT

Compositebalances

Value(REERCPI)

Swapratesmomentum

Growthmomentum(EASI)

Value(REERPPI)

Inflationstrategy

DefensiveIV

GrowthwithUSDoverlay

Growthmomentum(FRI)

Composiitegrowth

CAB

Equitymomentum

Source:J.P.Morgan

Figure12:USDweightin