Global Macro Strategist：Risk Reversals

Investment Rating - The report maintains a defensive stance and suggests staying with UST curve steepeners [1] Core Insights - Better-than-expected US data has improved global risk sentiment, reversing some repricing in central bank policies and exchange rates [1][5] - The upcoming US general election is expected to impact the US dollar, with a potential Republican victory likely to strengthen the dollar [1][15] - The report emphasizes the importance of monitoring US unemployment claims data as it approaches the reference period for the US establishment survey [5][11] Summary by Sections Interest Rate Strategy - In the US, the strategy includes maintaining UST 2s20s steepeners and re-entering September/November FOMC OIS flatteners [1][30] - The report anticipates a 25bp rate cut by the Fed in September, with discussions around a potential 50bp cut [1][49] Currency & Foreign Exchange - The report expects the USD to strengthen if global growth risks become a focus, particularly related to Republican campaign policies [1][15] - It discusses the implications of upcoming central bank meetings in Sweden and Norway, predicting a cut from the Riksbank and a hold from Norges Bank [1][12] Global Macro Strategy - The report highlights the significance of the US general election polling and its potential impact on market dynamics [1][8] - It notes that the breadth of weakness across industries challenges optimism regarding the labor market, as indicated by the private payroll diffusion index [5][11] Short-Duration Strategy - The report discusses the recent decline in RRP balances and the implications for funding conditions in the money markets [1][182] - It suggests that the risk of reserve scarcity is low into year-end, with expectations for higher reserves [1][191] Market Positioning - The report recommends maintaining short CAD/JPY positions and highlights the potential for further JPY appreciation if US economic data weakens [1][94][157] - It also discusses the positioning of various currencies in response to global economic conditions, emphasizing the bearish outlook for EUR and CAD [1][181]