The “re”-words. Restructuring, reshaping, re-profiling – the dictionary of terms for measures to tackle the Greek debt problem is growing inflationary. We hardly believe that any of those measures will bring a final solution for the Greek debt crisis. Accordingly, the crisis will time and again find its way onto the front pages. We recommend short positions in 9-month 25Δ EUR-USD riskies for those who want to play this story.
FX Flow Analysis. The M&A tale revisited. We conduct an empirical event study which ex-amines the effect of M&A announcements on the target country’s currency. We find that the announcement effect of M&A deals for EUR-USD is anything but significant. Exceptions remain though.
Long CHF-JPY: onwards and upwards. We recommend going long CHY-JPY at current levels. We think this makes sense by taking account of fundamentals, intervention risk in yen and technical indicators. We see upside potential towards 98.00 in CHF-JPY up to the end of the year.
Asia Outlook: Medium-term case for EM Asian FX gains remains. The positive risk back-drop for Asian equities and currencies in April was shaken somewhat in early May as commodi-ties corrected sharply. Near term, we see risks of a further bounce in USD/Asia or at least a supportive tone. However, the medium-term case for Asian FX gains remains.
EMEA Outlook: Double burden. The tables have started to turn and the rise in risk aversion has taken its toll on the currencies. Consolidation has also largely been felt in the commodities markets. As a result commodity currencies are facing a double burden. We also provide a trade idea on RUB exchange rate volatility.
LatAm Outlook: Only a breather? The euro zone debt crisis and the recovery of the US dollar put a little pressure on the Latin American currencies over the past few weeks. This is however unlikely to be more than a little breather in the appreciation trend of Latin American currencies.
Technical Analysis. Our fundamental view is being supported by a technical analysis of the exchange rates. We also provide a trade idea on EUR-GBP and USD-JPY.
Optimized Carry Trades. This section provides one possible use of correlation forecasts: We use correlation forecasts to construct optimized carry trades – with exceptionally good back test performance.
Trade Idea Carry Trade. We outline a trade idea on carry trades.
Commerzbank G10 Currency Indices. These indices are estimates of the “idiosyncratic” components of each currency. They help to isolate the currency-specific drivers and enable the FX manager to implement views on currencies with minimal exposure to other factors. We also provide a trade idea.
Econometric Models. We present our econometric models that we use for multi-quarter fore-casts.
ARPI2 – Measuring Risk Perception. Our aggregate index of global risk perception is a useful measure to assess risk aversion in global financial markets.
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