全球-宏观策略-全球资金与流动性定位指标

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1、F&LLibraryPositionindicatorsGlobalMarketsStrategy18March2019BelowareexcerptsofpastissuesofFlows&Liquidityonthetopicof:Positionindicators.Theexcerptscanbefoundinreversechronologicalorder,withthemostrecentupdatebelow.Theexcerptsarenotupdatedandareaccurateonlyasofthedateindicated.Gener

2、ally,wedonotemailoutthisdocument,butmaintainitonJ.P.MorganMarketsasareferencetool.HowextremeareEuropeanunderweightsposttheECB?(extractfromFlows&Liquidity,08Mar19)·Intheequityspace,hedgefundsappeartohaveincreasedtheirnegativestanceonEuropeanbanksoverthepastweek,shiftingtowardsmoreextr

3、emenegativeterritory.·ETFinvestorshavebecomeprogressivelymoreunderweightonEuropeanequities.Theircurrentunderweightstandsatmorethanadecadelow.·Intheeuro,CFTCdatasuggestthatheavyspecshortsvs.thedollararenotonlyconfinedtohedgefundsbutextendtonon-hedgefundinvestorsalso.·Thisweek’sbondral

4、lymayhavebeenexacerbatedbyshortcoveringbyactiveEurobondfundsandashiftbacktowardslongdurationpositionsinUSTsbyCTAs.·MoreconfirmationfromUSFlowofFundsthatthe2018USrepatriationepisodeislargelybehindus.·Ourbestguessisthatlastyear’sUSrepatriationflowof$430bnwasmostlyusedforsharebuybacks,b

5、yaround2/3rds,withtherestsplitbetweencorporatebondwithdrawalandcapex.·AstheUSrepatriationflowappearstobelargelybehindus,thisraisestheprospectofdownsiderisktoUSsharebuybacksandcapexgrowth,andupsiderisktoUScorporatebondissuance,relativetolastyear.·TLTRO3’sprovideameaningfulextensionofe

6、xistinglowcostfunding,andcreatesaround€120bnofadditionalborrowingspaceforperipherybanksonaggregate.·Themarketreactiontothisweek’sECBmeetingwasratherpuzzling.ThecollapseinEuropeanbankstocksinparticularwasinourmindatoddswiththeECB’sgenerositywhicheffectivelyallowsbankstosecurecheaplong

7、-termfundinguntil2023.ThismarketreactionseemedevenmorepuzzlingforItalianbanksgiventherallyinItaliangovernmentbonds.GlobalMarketsStrategyNikolaosPanigirtzoglouAC(44-20)7134-7815nikolaos.panigirtzoglou@jpmorgan.comBloombergJPMAFLOWJ.P.MorganSecuritiesplcMikaInkinen(44-20)77426565m

8、ika.j.inkine