Archived IMT (2010.06.30)

CHF = BEST PERFORMER OF THE MONTH out of a universe of top traded 35 currencies (emerging markets & G10) after the Swiss National Bank is widely perceived to back off its sporadic interventions, as these have shifted from being an act of stabilization to catching a falling EURCHF knife. The francs safe haven allure has not only gained from outgoing Spanish and Greece funds, but also from Baltic and Eastern European investors. With EURCHF tumbling 12% YTD to 1.3180 and USDCHF reaching 8-week lows at 1.0809, interest will likely crop up in CHF against AUD and CAD as questions escalate regarding the recoveries in China and US. While betting against these commodity currencies via USD and JPY remains a popular risk aversion trade, selling them against the safe haven CHF can be supported by the increasingly struggling USDCHF. No considerable selloff is required in USDCHF in order for CHF strength to emerge against commodity currencies (assuming USD will remain firm against them). The monthly reversal in USDCHF suggests a retest of 1.06, which suggests 0.8750 and 0.9820 in AUDCHF and CADCHF respectively.