本文发表在 rolia.net 枫下论坛USDCAD (1.1950) Policymaker activism has helped to sustain the optimism that was renewed earlier this week, with predictable implications for the carry trade. Following its widely-expected 50bp rate cut, the Fed announced it was establishing $30bn swap facilities with central banks in Brazil, Mexico, South Korea and Singapore in order to obviate the difficulties in obtaining USD funding in those jurisdictions. Separately, the IMF unveiled the Short-Term Liquidity Facility (STLF...yes, we are now officially in acronym hell), which will offer financing on an unconditional basis to countries “with a good track record of sound policies, access to capital markets and sustainable debt burdens” (loans can be up to 5x normal quota). Both measures are designed to aid emerging markets that have been ensnared by the credit crisis that has spread “beyond the advanced economies where it originated” (in the IMF’s words). Finally, Japan announced a $51bn stimulus package that will include tax relief, a bank rescue scheme and relief for small companies (there are also rumours South Korea is set to announce stimulus measures). Asian shares moved sharply higher today (the Nikkei was up almost 10% and the Kospi rallied 12%) and commodities continued to rally, keeping AUD, NZD and CAD atop the G10 list and helping besieged EM currencies regain further ground (KRW has soared 14%). Commodity currencies have mounted breathtaking rallies over the past three days, with AUD leading the way with a 14% gain, NZD up 10% and CAD rising 8%. In fact, the 4% rally CAD recorded against the USD yesterday was the largest 1-day gain in the era of floating exchange rates. USDCAD has dropped more than 10 big figures since Tuesday, which has made a mockery of our observation in Friday’s Weekly that the risk skew in USDCAD was higher, although in our defense we also observed that the USD was overbought and a pullback would happen at some point. Timing of course is everything, and getting it right is difficult when liquidity is so thin and policymakers are unveiling market stabilization measures on a daily basis. In terms of where we go from here, it is important to put the events of the past few days into proper context. The aforementioned measures are welcome steps that should reduce the severity of the global economic downturn. However, it is too late to avert a US recession (indeed, today’s Q3 US GDP numbers are expected to show a contraction), or forestall it spreading to many other regions. So, while it would be foolish to say the carry trade/commodity currency rebound cannot proceed significantly further in the near-term given the magnitude of the moves over the past three days, the volatility in the market and the likelihood of rate cuts from the other major central banks (the BoJ tomorrow and the BoE and ECB next Thursday), we still doubt its sustainability beyond the next few weeks. In terms of technical levels for USDCAD, we see potential support at 1.1750, followed by 1.1500 (38.2% Fibonacci retracement of the appreciation since November 2007) and then 1.1350 (61.8% retracement of the rally over the past month).更多精彩文章及讨论，请光临枫下论坛 rolia.net