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Дайджест валютного рынка

Рыночные идеи, события, аналитика
17.05.2011, 11:23

Голдман все еще смотрит конструктивно на евро и, следовательно, на рискованные активы

В десятых числах апреля аналитическая команда Goldman Sachs начала кошмарить рынки рискованных активов (нефть, металлы, акции, высокорискованные валюты), и вслед за этим произошел разворот в US Treasuries, а чуть позднее и сами рискованные активы начали коррекцию.

Я писал об этом здесь и здесь

Мы увидели фиксацию в металлах, нефти 10-30%. Странным образом это совпало с беспрецедентной серией повышений гарантийного обеспечения на COMEX и других биржах.

Теперь, похоже, они начинают менять свое видение рынка.

Вот новые рекомендации:

Moreover, we remain structurally constructive on cyclical assets, including stocks and oil, which in turn suggests there could be further upside in the Euro, induced from cross asset correlations.

Overall, we remain committed to our view that EUR/$ will move higher again. From a tactical trading point of view, it obviously hurts that we decided to not lock in potential gains when we almost reached our 1.50 target. But with our fundamental views still firmly in place we continue to remain positioned for a renewed EUR/$ rally.

Голдман ждет дальнейшего роста euro/usd. Из тактических соображений они не закрывали свой лонг по евро, когда тот достиг цели на 1,50. То есть GS принял практически движение в 10 фигур против их позиции!

С фундаментальной точки зрения они ждут возобновления ралли.

Разъяснение их позиции по поводу европейского долгового кризиса и евро

Obviously, the last couple of days have been dominated - once again - by the concerns about sovereign debt in Europe, and in particular in Greece. It appears FX markets and the Euro play the role of a safety valve with investors buying protection in case the sovereign situation gets notably worse. The latest IMM data indicates the notable drop in EUR longs and USD shorts as of last Tuesday. Since then, the skew in EUR/$ risk reversals has become more biased towards EUR/$ puts, which suggests that speculative positioning may now be outright short.

Having said this, apart from the Euro, things seem to stabilise otherwise. Greek 2yr yields have been stable, slightly below 24 percent for about 3 weeks and this despite no peripheral bond purchases by the ECB within the SMP program in recent weeks. Greek stocks appear to be stabilising at low levels as well, having been on a downtrend for several months.

Moreover, when looking at other peripheral countries, and in particular much larger Spain, we detect an increase in volatility and choppy ranges but little evidence of fear-dominated price action. The sovereign spreads between Spain and the core countries of the Eurozone has actually declined over the last week and remains well within the range seen throughout most of the year.

The fiscal adjustment in Greece is obviously painful and it is therefore understandable that there will be periods of reform fatigue. And during these periods, negotiations about additional support are understandable. We are going through one of these periods currently, but this does not change our underlying view that the Eurozone has the ability and will to deal with its problems.

Moreover, the news flow over much of last week indicates continued strong political commitment to Eurozone membership in our view. Together with the financial, fiscal and economic strength of the Eurozone as a whole, the situation in the small countries Greece, Ireland and Portugal is highly unlikely to be genuine threat to the Euro.

We once again come to the conclusion that the fiscal risk premium will likely decline after the recent increase.

On the other hand the rapidly approaching debt ceiling in the US, likely to be hit by the middle of summer, has the potential to lead to a notable increase in the Dollar's fiscal risk premium - in particular if the political haggling about the consolidation path continues without producing tangible results. Moreover, as the latest US Weekly highlights, substantial fiscal consolidation could leave the Fed in a position where rate increases would be unlikely for a very long time to come.

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