Report published September 30, 2026
CHF/KRW, CAD Rates and Japanese Banks – GlobalData TS Lombard Macro Strategy
GlobalData TS Lombard · September 30, 2026
TS Lombard initiates three new macro trade recommendations: short CHF/KRW, long Canada vs Japan 2-year government bonds, and long TOPIX banks. Concurrently, the strategist closes out tactical trades in EM FX carry (-3.1%), EUR/GBP (-0.5%), and US consumer discretionary versus global cyclicals (+7.9%).
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Finvaulta summarizes GlobalData TS Lombard's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Key Takeaways
- 1.Short CHF/KRW as the Swiss franc becomes the prime carry trade funding currency due to muted domestic inflation, while South Korean underlying inflation accelerates and the AI capex cycle supports growth.
- 2.Long Canada vs Japan 2-year government bonds to capture policy divergence, as Canadian markets overprice BoC rate hikes despite fragile domestic macro conditions, while Japan's virtuous wage-inflation cycle keeps the BoJ hawkish.
- 3.Stay long Japanese banks (TOPIX Banks / 1615 JP) supported by resilient global growth, domestic Japanese wage growth of 3–4%, and an expected BoJ policy rate hike to 2% by July next year.
Table of Contents
- Portfolio Update
- Current Trade Recommendations
- Model portfolio performance
- Model portfolio metrics since inception
Report data
We see more downside for Canadian 2y rates — as of September 30, 2026.
| Metric | Estimate | Context |
|---|---|---|
| BoJ Policy Rate Base Case Forecast | 2.0% | Base case expectation for the Bank of Japan's terminal policy rate. |
| July 2027 TONA Futures Pricing | 2.2% | Level at which Japanese TONA futures are trading, containing significant risk premia. |
| December 2027 CORRA Futures Implied BoC Policy Rate | 3.6% | Canadian short-term interest rate market pricing BoC hiking into restrictive territory. |
| Japanese Wage Growth Rate | 3–4% | Wages growing at around 3–4% supporting the Bank of Japan's virtuous wage-inflation cycle. |
| Model Portfolio Since Inception Return | 85.38% | Macro Strategy model portfolio return compared to 75.84% for Bloomberg Macro HF Index. |
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