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合并版 2026年10月16日

三菱日联金融集团更新于 2026/10/18
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美国通胀美联储
可引用研究简报

核心结论 · Tlines 提取

MUFG 报告称，美元本周料将走弱，终结此前连续四周的涨势。在强于预期的美国9月CPI数据推动美元升至年内新高后，美元迅速回吐涨幅。市场普遍预期美联储本月将按兵不动；美联储主席凯文·沃什的讲话未显露急于收紧政策的信号，且美国中期选举可能抑制连续加息。MUFG 维持做空欧元/日元交易，并在本周逆转后平掉做多美元/瑞典克朗交易。

机构
三菱日联金融集团
发布时间
2026/10/16
研究主题
US Dollar (DXY) · Fed Policy · USD/JPY
时间范围
October 2026 · this month · this week
美元指数 · DXY美联储政策 · FED美元兑日元 · USDJPY通胀 · CPI

关键论点

  • 美元本周料将走弱，终结此前连续四周的涨势；美国9月CPI强劲推动美元创年内新高后迅速回落。
  • 市场普遍预期美联储本月维持利率不变；沃什的表态未显示急于收紧，中期选举或抑制连续加息。
  • 若民主党掌控国会，可能边际上压低美债收益率并使美元进一步走弱。
  • 美元多头仓位拥挤，一旦AI相关乐观情绪降温，美元易受反转冲击。

关键数字

美元连涨周数（即将终结）
4
杠杆基金削减美元空头连续周数
3

主要风险

  • 美元多头拥挤，若AI情绪恶化可能剧烈反转。
  • 民主党横扫国会可能进一步压低美债收益率并拖累美元。
  • 能源价格高企与美债收益率上升仍是美元支撑。

对应原文证据

  1. 1 16 October 2026 16 October 2026 Bullish USD trend suffers setback FX View: The USD is on course to weaken this week, bringing an end to four consecutive weeks of gains. · October 2026
  2. After climbing to a fresh year-to-date high following the stronger-than-expected US CPI report for September, the USD quickly surrendered those gains, marking the beginning of the current pullback.
  3. The Fed is still widely expected to leave rates on hold this month after recent communication from officials, including Fed Chair Kevin Warsh, failed to signal any urgency to tighten policy again. · this month

上下文：结论为 Tlines 自动提取，并非机构原话；带引号的证据为机构原文。引用时须同时保留机构、日期与时间范围。

在原始来源核验 ↗
研报原件

正在载入文档……

完整中文译文

第 1 页

1 16 10月 2026 16 10月 2026

看涨美元趋势受挫

外汇观点：美元本周势将走弱，终结此前连续四周的涨势。在强于预期的美国9月CPI报告推动下，美元一度升至年内新高，但随后迅速回吐涨幅，标志着当前回调的开始。在包括美联储主席Kevin Warsh在内的官员近期沟通未能释放任何再次收紧政策的紧迫信号后，市场仍普遍预期美联储本月将维持利率不变。美国中期选举临近也可能抑制背靠背加息。若民主党掌控国会，可能在边际上推动美债收益率和美元进一步回落。美元的回调也恰逢投资者对AI相关交易的乐观情绪降温。强劲流入风险较高的美国资产，加之美国收益率上升以及能源价格高企带来的贸易条件正向冲击，共同支撑了美元。然而，严重超配的仓位使美元在AI情绪恶化时容易遭遇逆转。

交易思路：我们维持做空EUR/JPY的交易思路，并在本周逆转后平掉做多USD/SEK的交易思路。

日元资金流——国际收支：日本财务省上周公布了8月国际收支数据，显示投资收益余额的3个月合计仍处于较低水平。这反映出股票投资收益余额大幅下降。

IMM外汇持仓：截至10月6日当周的最新IMM持仓数据显示，杠杆基金连续第三周削减美元空头仓位。另一方面，受巴西总统选举首轮投票推动，BRL多头仓位大幅增加。

近期美元涨幅部分逆转

来源：Bloomberg，截至10月16日14:20 BST（每周兑美元变动%）

外汇周报

DEREK HALPENNY 全球市场研究主管 EMEA及国际证券

EMEA全球市场部 T: +44 (0)20 7577 1887 E:derek.halpenny@uk.mufg.jp

LEE HARDMAN 高级货币分析师

全球市场研究 EMEA全球市场部 T: +44 (0)20 7577 1968 E:lee.hardman@uk.mufg.jp

研究门户：全球市场研究 - MUFG Research

第 2 页

2 16 10月 2026 美元：美元与AI交易开始逆转

美元本周走势逆转，美元指数当前势将下跌，终结连续四周的涨势。美元走软的主要受益者是斯堪的纳维亚货币，尤其是NOK和SEK，以及NZD。在9月9日至10月14日美元指数近期见顶期间的美元涨势中，SEK和NZD是表现最差的货币之一。相比之下，AUD跑输NZD，本周兑美元走弱，推动AUD/USD回落至0.6900水平。美元的回调恰逢本月全球政府债券收益率继续下降，此前9月曾大幅重新定价走高。在美国收益率曲线长端，收益率已显著下降，10年期美国国债收益率较本月早些时候触及的峰值下降近30bp个基点。

在美国通胀数据走强后，美元本周未能扩大涨幅，这令人失望，并可能促使部分投资者削减过去一个月积累的多头仓位。9月CPI和PPI报告将强化美联储内部对通胀更持久风险的担忧。撇开能源价格上涨的通胀影响不谈，核心通胀连续第二个月坚挺（环比+0.34%），加大了美联储继续收紧政策的压力。核心通胀回升在商品（环比+0.25%）和服务（环比+0.37%）两个领域均有体现。核心商品通胀录得自2025,年1月以来最强月度涨幅，可能预示运输和能源成本上升带来更大的传导。个人电脑及外围设备价格也连续第三个月强劲上涨，环比1.4%，受AI相关需求增强支撑。然而，其对核心商品通胀月度涨幅的贡献仍相对温和，约为0.01个百分点。总体而言，CPI和PPI报告促使经济学家上调对9月核心PCE平减指数的预测，目前预期集中在环比0.3%至-0.4%区间。

尽管美国通胀数据走强，进一步凸显美联储通胀目标进展有限，但市场参与者一直不愿定价更偏鹰派的政策路径。在美联储主席Kevin Warsh在上月首次加息后不久未释放明确需要再次加息的信号后，市场对本月底背靠背加息的定价已降至约4bp%。此外，包括纽约联储主席Williams和副主席Jefferson在内的其他美联储官员近期表态暗示，短期内没有迫切需要再次收紧政策。这种偏好更渐进政策收紧步伐的倾向，有助于在短期内抑制美国收益率和美元的上行风险。

收益率利差对美元上行的支撑减弱 能源价格上涨的传导

来源：Bloomberg、Macrobond及MUFG 来源：Bloomberg、Macrobond及MUFG GMR 美元在未能延续连续四周涨势后回调走低

美国通胀走强未能强化美元强势及美联储背靠背加息预期

仍预期美联储将维持利率不变直至12月，尽管不能完全排除10月加息

第 3 页

3 16 10月 2026 本周美元的回落恰逢AI相关交易出现动摇。彭博AI股票指数本月早些时候刚创下历史新高，此后已下跌约 6%。半导体和neocloud股票指数的回调更为明显。此轮抛售由多重因素共同驱动，包括市场再度担忧AI投资规模最终可能导致供过于求。与此同时，为AI基础设施融资而日益增长的筹资需求正在促使融资条件收紧。为资助大型数据中心而发行的债券——Meta、Nvidia和Oracle等公司预计将成为这些数据中心的租户——近几周已跌破面值。CoreWeave等neocloud公司在为扩张融资方面最为激进，其债务遭遇了更强的抛售压力，收益率升至 15% 以上。

IMF在最新《金融稳定报告》中将AI驱动的市场回调列为金融稳定面临的三大关键风险之一。报告指出，AI相关企业及其投资者正日益依赖三大杠杆来源。第一，超大规模云服务商在全球投资级债券发行中的占比已升至 10%，高于 2024 年的不到 1%。IMF还特别指出neocloud运营商，因其债务负担更重、盈利能力更弱。第二，对冲基金的股票总敞口加上股票保证金贷款，已增至发达经济体GDP的约 15%，高于 10%，反映出AI相关股票中杠杆头寸的累积。第三，杠杆交易所交易基金中单一股票产品的占比已从 16% 升至 28%，因散户投资者越来越多地使用这些工具来获得对AI股票的杠杆敞口。这些不断增长的杠杆来源加大了强制抛售、股市波动加剧以及信用利差走阔的风险——如果AI相关投资和盈利能力被证明不如当前预期那样持久。

IMF警告称，AI相关市场回调的后果可能在全球范围内显现，尽管一些司法管辖区似乎比其他地区更为脆弱。其分析显示，在发达亚洲股市中，全球AI股票回报代理指标的贝塔值最高，表明其对AI相关情绪波动的敏感度更高。相比之下，欧元区、英国和大多数新兴经济体的股市贝塔值明显较低。美国金融市场一直是AI相关乐观情绪驱动下强劲外国投资者需求的主要受益者。截至7月的十二个月内，外国投资者购买了 USD942 十亿美元的美国股票，同期美国公司债券的购买量则大幅增至 USD452 十亿美元。这些可观的资金流入凸显出，美元已日益与投资者在美国金融市场寻求更高回报的行为相关联，而非受益于其传统的避险地位。然而，这一动态也使美元在AI情绪恶化时更容易面临逆转风险。

全球AI指数的股票回报贝塔 大量资金流入风险较高的美国资产

来源：IMF《全球金融稳定报告》10月 2026 来源：Bloomberg、Macrobond 与 MUFG GMR AI交易走低，焦点在于债务负担更重、盈利能力更低的neocloud运营商

IMF对杠杆上升提出担忧，包括AI企业日益依赖债券发行

大量AI相关资金流入美国股票和公司债券，将在AI投资者情绪恶化时使美元变得脆弱

第 4 页

4 16 10月 2026 美元：美国政治将影响美元吗？

美元仍获得良好支撑，接近近期高点，因美国收益率在略低于近期高点的水平企稳，同时AI相关的抛售令投资者风险偏好承压。本周一项FT民调显示，特朗普总统的支持率仍接近纪录低位，生活成本是导致读数不佳的主要原因。白宫争夺战的民调目前预测民主党不仅将赢得众议院，还将赢得参议院。其估计民主党赢得参议院的概率为 71.6%，这将确认其大获全胜，并限制特朗普进一步增加支出的任何尝试。中期选举会对美元产生任何影响吗？

有三种最可能的情景——1）民主党赢得众议院，但共和党守住参议院；2）民主党同时赢得众议院和参议院；3）或共和党继续掌控众议院和参议院。市场共识一直是情景 1），尽管民调中的持续动能表明共识正转向情景 2）。从美国国债市场潜在反应的角度看这些情景，民主党控制国会一院或两院，可能对收益率下行略有支撑。削弱特朗普总统进一步增加政府支出能力的结果，将有助于压低收益率。IMF预算赤字预测显示，美国财政赤字在整个预测期内维持在 7% 水平附近。政策僵局意味着财政僵局——这对财政前景而言并非特别良好的背景，但好于共和党获胜时可能出现的局面。民主党也更倾向于推动对AI实施更多监管。反对数据中心建设可能使AI投资支出动能放缓，而在估值已偏高的情况下，这可能成为更大规模下跌修正的部分催化剂。那将对美元不利，尤其是兑核心G10，而更高beta的G10也更可能受损。情景 2）还可能看到对特朗普白宫的调查大幅增加，这可能加剧华盛顿的冲突，并导致更多不可预测的政策公告。这一发展也将对美元不利，因为美元对冲抛售意愿上升。

情景 3）最不被预期，因此可能导致最大波动，美元可能走强，因预期进一步赤字支出和持续的AI自由化推动收益率上升。但外汇波动可能受限，对政策没有明确强烈影响。情景 2）可能看到美元抛售，但幅度不超过约 1%。情景 3）可能看到美元涨幅大于上述幅度，但最终11月通胀数据、美联储利率预期以及地缘政治发展和能源价格仍将是更重要的外汇驱动因素。

共和党与民主党多数席位的几率——参议院对美元更重要

来源：Polymarket；Macrobond；MUFG GMR 来源：Macrobond；Bloomberg 与 MUFG GMR 焦点现在将转向政治

从收益率和AI的角度看政治

美联储与地缘政治仍将主导

Page 5

5 16 October 2026

Weekly Calendar

Ccy Date BST Indicator/Event Period Consensus Previous Mkt Moving CNY 19/10/2026 03:00 GDP YoY 3Q 4.4% 4.3% !!! EUR 19/10/2026 03:15 ECB's Lane Speaks !! CAD 19/10/2026 13:30 CPI YoY Sep -- 3.0% !!! USD 19/10/2026 15:00 NAHB Housing Market Index Oct 31.0 32.0 !! CAD 19/10/2026 16:30 BoC Overall Business Outlook Survey 3Q -- - 0.4 !!

GBP 20/10/2026 07:00 Average Weekly Earnings 3M/YoY Aug -- 3.9% !!! GBP 20/10/2026 07:00 Payrolled Employees Monthly Change Sep -- -26k !!! EUR 20/10/2026 09:00 ECB Current Account SA Aug -- 27.6b !! EUR 20/10/2026 10:00 Germany ZEW Survey Expectations Oct -- 34.7 !! EUR 20/10/2026 10:00 Construction Output MoM Aug -- 0.0% !! USD 20/10/2026 13:30 Housing Starts Sep 1300k 1275k !!

JPY 21/10/2026 00:50 Trade Balance Sep -¥179.1b -¥1111.9b !! GBP 21/10/2026 07:00 CPI YoY Sep -- 3.1% !!! GBP 21/10/2026 07:00 Public Sector Net Borrowing Sep -- 18.3b !! GBP 21/10/2026 07:00 PPI Output NSA YoY Sep -- 3.7% !! GBP 21/10/2026 14:00 BoE’s Bailey Speaks !!! EUR 21/10/2026 17:00 ECB's Lagarde Speaks !!! NZD 21/10/2026 22:45 CPI YoY 3Q -- 4.1% !!!

JPY 22/10/2026 07:00 Machine Tool Orders YoY Sep F -- 60.4% !! CHF 22/10/2026 08:30 SNB Summary of Sept Rate Decision !! USD 22/10/2026 13:30 Initial Jobless Claims -- -- !! EUR 22/10/2026 15:00 Consumer Confidence Oct P -- - 16.5 !!

JPY 23/10/2026 00:30 Natl CPI YoY Sep 2.1% 1.9% !!! GBP 23/10/2026 07:00 Retail Sales Inc Auto Fuel MoM Sep -- 0.5% !! EUR 23/10/2026 09:00 S&P Global Eurozone Manufacturing PMI Oct P -- 52.9 !! EUR 23/10/2026 09:00 S&P Global Eurozone Services PMI Oct P -- 53.0 !! GBP 23/10/2026 09:30 S&P Global UK Services PMI Oct P -- 52.1 !! GBP 23/10/2026 09:30 S&P Global UK Manufacturing PMI Oct P -- 51.9 !! CAD 23/10/2026 13:30 Retail Sales MoM Aug -- -0.7% !! USD 23/10/2026 14:45 S&P Global US Composite PMI Oct P -- 58.4 !!

Source: Bloomberg, Macrobond & MUFG GMR

Key Events:

  • The main economic data releases in the week ahead will come from the UK, including the latest CPI and labour market reports. Market participants will be looking for confirmation that the BoE remains on course to begin raising rates next month. Headline inflation in the UK has generally undershot expectations since the US-Iran conflict began, allowing the BoE to take its time in assessing whether higher rates are warranted in response to the energy price shock. However, recent comments from BoE officials, including Governor Bailey, suggest that the window for keeping rates on hold is narrowing. Another reason the BoE has been reluctant to tighten policy is the persistent weakness in the labour market, which has helped to ease concerns about second-round inflation effects, such as stronger wage growth. Labour market conditions have remained soft despite the UK's robust economic growth this year. Evidence of an improvement in labour market conditions would add to pressure on the BoE to begin raising rates. Governor Bailey is scheduled to speak on Wednesday afternoon, following the release of both key economic reports, making his remarks particularly important for assessing the near-term policy outlook.
  • The release of the latest CPI reports from Canada, New Zealand and Japan will also be in focus in the week ahead. The BoC has recently signalled that upside risks to inflation have increased, fuelling expectations that policy will need to be tightened before the end of this year. However, the case for a rate hike as soon as this month has weakened following a second consecutive soft employment report for September. In Japan, we do not expect the September CPI report to materially alter market expectations that the BoJ will leave rates on hold at this month's policy meeting. By contrast, the CPI release in New Zealand could have a more significant market impact, given that another RBNZ rate hike this month is viewed as a much more finely balanced decision after back- to-back increases in July and September. At its September policy meeting, the RBNZ indicated that it wanted time to assess the impact of those earlier rate hikes. Since then, RBNZ Chief Economist Paul Conway has welcomed market pricing that aligns with his view that the upcoming policy decision remains "wide open", reinforcing uncertainty over whether rates will be raised again this month.

第 6 页

6 16 10月 2026

未平仓交易观点

做空 EUR/JPY——开仓于 177.00（目标价 171.00，止损价 181.00）

我们维持做空 EUR/JPY 的交易建议。欧元在过去一个月遭遇大幅抛售后，本周出现温和反弹。然而，我们并不认为这轮复苏建立在稳固的基础之上。欧元区各国政府债券收益率仍处于高位，尤其是法国等国家。欧洲央行已承认，政府债券收益率上升收紧了金融条件，这可能使政策利率得以维持在低于原本应有的水平。与此同时，我们认为短期内没有明确催化剂能够实质性改善投资者对法国政府债券的情绪。相比之下，日元继续受到两方面因素支撑：日本当局进一步进行外汇干预的风险上升，以及日本央行有意进一步收紧政策。如果与 AI 相关的投资者乐观情绪继续消退，日元还可能受益于避险需求的重新升温。

已平仓交易观点

做多 USD/SEK——开仓于 9.8500（目标价 10.300，止损价 9.600）

鉴于过去一周价格出现反转，我们决定平仓做多 USD/SEK 的交易观点。美元在未能因强于预期的美国9月通胀数据而扩大涨幅后，已失去短期上行动能。市场预期美联储将在本月晚些时候维持利率不变，加上即将到来的美国中期选举，可能限制美国收益率和美元的进一步上行空间，尤其是如果民主党重新掌控国会。美联储官员近期的表态，包括主席 Warsh 和纽约联储主席 Williams，均未显示本月有连续加息的紧迫性。此外，如果投资者对 AI 的情绪继续恶化，美元仍易受更明显回调的影响。相反，瑞典克朗在上月大幅抛售后有进一步反弹的空间。欧元区财政与政治风险上升将继续对 EUR/JPY 构成压力

在美元与瑞典克朗出现反转后削减头寸

第 7 页

7 16 October 2026

FX Portfolio

Trade idea Notional Entry Date Entry Level Current S/L Target Spot P&L Carry P&L Portfolio Contribution

Closed Trades

Long EUR/USD USD 5mn 10/05/2024 1.0770 1.0840 1.0570 1.1070 32,498 -3,484 29,014

Long MXN/ZAR USD 5mn 07/06/2024 1.0300 1.0050 1.0050 1.0850 -121,359 1,812 -119,547

Short EUR/JPY USD 5mn 14/06/2024 168.00 171.10 171.10 162.50 -92,262 -2,194 -94,456

Long AUD/USD USD 5mn 05/07/2024 0.6735 0.6585 0.6585 0.7035 -111,359 -1,544 -112,903

Long GBP/SEK USD 5mn 12/07/2024 13.660 13.920 13.360 14.160 95,168 2,149 97,317

Short NZD/CHF USD 5mn 02/08/2024 0.5170 0.5000 0.5270 0.5000 164,410 -215 164,195

Short NZD/CAD USD 5mn 09/08/2024 0.8270 0.8430 0.8430 0.8030 -96,735 -1,578 -98,313

Short USD/JPY USD 5mn 06/09/2024 143.30 142.80 146.30 138.30 17,446 -7,717 9,729

Long AUD/USD USD 5mn 27/09/2024 0.6890 0.6810 0.6740 0.7100 -58,055 589 -57,466

Long USD/NOK USD 5mn 11/10/2024 10.720 11.020 10.500 11.020 139,925 530 140,455

Long EUR/USD USD 5mn 08/11/2024 1.0760 1.0570 1.0700 1.0100 88,290 3,857 92,147

Long USD/CAD USD 5mn 06/12/2024 1.4090 1.4390 1.3850 1.4550 106,458 1,471 107,194

Long GBP/USD USD 5mn 10/01/2025 1.2250 1.2550 1.2550 1.1750 -122,449 -885 -123,334

Short EUR/JPY USD 5mn 07/02/2025 157.60 161.89 163.00 150.00 -171,320 -9,487 -180,807

Long USD/SEK USD 5mn 14/03/2025 10.120 9.9200 9.9200 10.420 -98,814 5,245 -93,569

Long USD/CAD USD 5mn 28/03/2025 1.4300 1.4050 1.4050 1.4750 -87,413 1425 -85,988

Long EUR/NZD USD 5mn 25/04/2025 1.9040 1.9035 1.8700 1.9600 -1,314 -3,305 -4,619

Short USD/JPY USD 5mn 16/05/2025 145.95 144.00 149.40 138.30 66,804 9,179 57,625

Long USD/ZAR USD 5mn 13/06/2025 17.910 18.020 17.650 18.350 30,709 - 1,963 28,746

Short USD/NOK USD 5mn 27/06/2025 10.070 10.060 10.270 9.6000 4,965 104 5,070

Long EUR/GBP USD 5mn 04/07/2025 0.8625 0.8674 0.8475 0.8850 27,978 -4,894 22,084

Long USD/JPY USD 5mn 18/07/2025 148.30 147.70 145.70 153.30 -19,335 11,240 -8,095

Long NOK/CHF USD 5mn 08/08/2025 7.8727 7.9760 7.7520 8.1151 65,607 12,022 77,629

Short USD/JPY USD 5mn 15/08/2025 147.00 147.80 149.50 143.50 -27,211 -13,990 -41,201

Long NZD/SEK USD 5mn 12/09/2025 5.5557 5.4449 5.4168 5.6945 -99,717 1,511 -98,206

Short USD/JPY USD 5mn 07/11/2025 153.40 156.00 156.00 148.50 -84,746 -4,292 -89,038

Long EUR/GBP USD 5mn 19/09/2025 0.8710 0.8730 0.8550 0.8900 11,481 -15,091 -3,610

Short CAD/CHF USD 5mn 03/10/2025 0.5705 0.5765 0.5825 0.5525 -53,041 -16,310 -69,351

Long AUD/GBP USD 5mn 12/12/2025 0.4980 0.5200 0.4980 0.5280 220,884 -1,297 219,587

Long EUR/JPY USD 5mn 12/01/2026 184.50 181.50 181.50 190.00 -81,301 4,384 -76,917

Short EUR/USD USD 5mn 09/03/2026 1.1570 1.1750 1.1750 1.1300 -105,877 5,936 -99,942

Long AUD/SEK USD 5mn 11/05/2026 6.6850 6.6640 6.5700 6.8950 -15,609 7,665 -7,944

Short GBP/CHF USD 5mn 30/03/2026 1.0600 1.0670 1.0800 1.0200 -32,994 -21,659 -54,603

Long USD/NOK USD 5mn 19/06/2026 9.6900 9.8500 9.5000 10.100 82,559 -728 81,832

Long EUR/GBP USD 5mn 17/07/2026 0.8500 0.8575 0.8395 0.8700 44,118 -3,053 41,065

Short USD/BRL USD 5mn 10/07/2026 5.1150 5.1900 5.2600 4.9600 -73,314 61,095 -12,219

Long AUD/JPY USD 5mn 07/08/2026 111.20 114.50 109.20 114.50 148,381 6,286 154,667

Short EUR/JPY USD 5mn 04/09/2026 181.30 180.90 184.30 186.30 11,031 -1,818 9,214

Short USD/SEK USD 5mn 18/09/2026 9.8500 9.9100 9.6000 10.300 26,668 6,301 32,969

Open Trades

Short EUR/JPY USD 5mn 02/10/2026 177.00 177.60 181.00 171.00 -16,949 -1,941 -18,890 Source: MUFG GMR; Changes in stops/targets in bold italics. (1) Current levels reflect intraday pricing. (2) The portfolio represents hypothetical, not actual, investments. Furthermore, we do not actively manage these hypothetical positions on a daily basis and changes tend to be made only through this publication on a weekly basis. To reflect the level of conviction of our trades we run trades in two different amounts: High conviction trades = USD 10mn & Basic conviction trades = USD 5mn

第 8 页

8 16 10月 2026

外汇持仓

美国商品期货交易委员会（CFTC）每周发布报告，披露以下货币的持仓情况：AUD、BRL、CAD、CHF、EUR、GBP、JPY、MXN、NZD、RUB、USD（隐含）和 ZAR。我们对持仓数据应用了 z 分数，以提供当前仓位相对于过去两年平均水平有多极端的信号。

按投资者分类明细

谨慎重建日元空头 巴西雷亚尔多头大幅跃升

来源：Bloomberg、CFTC、Macrobond 及 MUFG GMR（截至 6 日10月 2026）

要点：

  • 截至 6 日当周的最新 IMM 持仓数据显示，杠杆基金连续第三周削减美元空头头寸。最大的美元空头头寸是针对 AUD、BRL 和 MXN 持有的，在很大程度上被针对 CAD、EUR 和 JPY 的美元多头头寸所抵消。总体而言，数据表明杠杆基金的持仓方向不一。
  • 杠杆基金持仓最大的周度变化为：(i) BRL 多头头寸增加 17,843 份合约；(ii) CAD 空头头寸增加 9,981 份合约；(iii) GBP 多头头寸增加 7,826 份合约；以及 (iv) JPY 空头头寸增加 10,882 份合约。BRL 多头头寸的急剧增加是由巴西第一轮总统选举推动的。因此，在上一次总统选举之后，BRL 多头持仓升至自 2022, 年11月以来的最高水平。
  • 我们的持仓 z 分数分析表明，BRL 多头头寸相对于各自两年区间而言最为极端。合约数 z 分数 合约数 z 分数 合约数 z 分数 AUD -101,428 -2.26 AUD 54,133 1.29 AUD -47,295 -0.52 BRL 56,610 0.32 BRL 27,396 2.59 BRL 84,006 1.00 CAD -35,806 0.50 CAD -79,625 -0.99 CAD -115,431 0.14 CHF -37,379 0.01 CHF -11,350 -0.87 CHF -48,729 1.65 EUR 189,881 -1.27 EUR -44,261 -1.46 EUR 145,620 -1.37 GBP -145,442 -1.76 GBP 12,432 -1.54 GBP -133,010 -1.89 JPY 67,795 0.68 JPY -25,043 0.35 JPY 42,752 0.60 MXN -20,599 -2.36 MXN 74,927 1.45 MXN 54,328 -0.28 NZD -32,534 -0.20 NZD -787 0.91 NZD -33,321 0.23 USD 41,018 -0.39 USD -12,231 -1.92 USD 28,787 -0.88 ZAR 17,884 1.18 ZAR 4,409 0.34 ZAR 22,293 1.21 资产管理机构/机构 杠杆基金 资产管理机构/机构及杠杆基金

第 9 页

9 16 10月 2026日

日元资金流 – 国际收支

要点：

  • 财务省上周公布了8月国际收支数据，图表 1 显示，投资收益余额（日本经常账户余额的主要驱动因素）的 3 个月合计仍处于较低水平。这反映了股票投资收益余额的大幅下降。该数据为净额，6月的负值反映了日本企业在6月和12月向外国投资者支付股息的程度更大。7月和8月的月度投资收益余额已经回升，下个月经常账户的 3 个月合计很可能回升至接近近期高点的水平。日本的对外收支仍然非常强劲。图表 2 是图表 1 中商品和服务贸易的细分。过去三个月，商品和服务余额一直处于逆差状态。
  • 图表 3 来自单独的贸易数据，它突出表明，图表 1 和 2 中日本贸易收支恶化的部分原因是能源贸易逆差恶化。其 3 个月合计显著恶化，证实日本在最初削减海外采购并消耗国内储备之后，已重新回到海外市场满足其能源需求。图表 4 显示，日本 3 个月累计对外直接投资流出大幅放缓。这反映了不寻常的海外净撤资，8月数据为 -1,016 亿日元，反映了从美国的大规模撤资。这种情况时有发生。没有广泛报道的交易可以解释这一点，因此这很可能是一次性的，我们将看到对外直接投资净流出再次恢复。
  • 图表 5 出于显而易见的原因聚焦法国。众所周知，多年来法国一直是日本投资者青睐的目的地。事实上，这在几年前、疫情前确实如此。可以看出，自 2020, 以来，日本投资者总体上是法国债券的净卖方。然而，近期情况发生转变，8月法国债券的 3 个月合计买入额达到 894 亿日元，为 2022 年3月以来最高。9月是重新出现大幅抛售的月份，很可能包括日本投资者平掉近期的买入头寸。来源：Macrobond、Bloomberg 与 MUFG Research

第 10 页

10 16 October 2026 London:

MR DEREK HALPENNY Head of Research, Global Markets EMEA & International Securities T: +44 (0)20 7577 1887

MR LEE HARDMAN Senior Currency Analyst T:+44 (0)20 7577 1968

MR ABDUL-AHAD LOCKHART Currency Analyst T:+44 (0)20 7577 1183

MS MOMOKO MIYACHI Research Assistant T: +44 (0)20 7577 1886

Hong Kong:

MS LIN LI Head of Global Markets Research Asia T: +852 2862 7005

MR KHANG SEK LEE Associate T: +852 2862 7838

New York:

MR GEORGE GONCALVES Head of US Macro Strategy T: +1-212- 405-6687

Dubai:

MR EDWARD BELL Head of Research –MENA T: +971 (0)4 387 503 3

MS SOOJIN KIM Analyst T: +971 (0)4 387 5031 Tokyo

MR TEPPEI INO Tokyo Head of Global Markets Research T: +81 (0) 50 -3842 -1288

MS SUMINO KAMEI Senior Analyst T: +81 (0) 50-3842-1289

MR AKIHIKO YOKOO Senior Analyst T: +81 (0) 50 -3842 -8809

MR TERUMASA KAWAKAMI Analyst T: +81 (0) 50 -3843 -6702

MS SAKURA KOIKE Analyst T: +81 (0) 50 -3842 -2259

MR TOSHIYUKI SUZUKI Global Market Economist T: +81 (0) 3 6214 4148

Singapore:

MR MICHAEL WAN Senior Currency Analyst T: +65 6918 5537

MR LLOYD CHAN Senior Currency Analyst T: +65 6918 5536

第 11 页

11 16 10月 2026日

机构免责声明
Disclaimer CERTIFICATION The author(s) mentioned on the cover of this report hereby certify(ies) (or, where multiple authors are responsible, individually certify with respect to each security that the author covers in this report) that the views expressed in this report accurately reflect their personal views about the subject company(ies) and its (their) securities, and also certify(ies) that they have not been, are not, and will not be receiving direct or indirect compensation in exchange for expressing any specific recommendation(s) or view(s) in this report. This report has been prepared by the Global Markets Research, US Rates and Credit Strategy desks within MUFG Bank, Ltd. (“MUBK”), MUFG Securities EMEA plc (“MUSE”) and MUFG Securities Americas Inc (“MUSA”) and may be distributed to you either by MUBK, MUSE or MUSA or by another subsidiary of the Mitsubishi UFJ Financial Group (“MUFG”). LEGAL ENTITIES AND BRANCHES The securities related businesses within MUFG (together referred to in this material as “MUFG Securities”) are: (1) MUFG Securities EMEA plc (“MUSE”), a limited liability company, registered in England (No:1698498) with its registered office at Ropemaker Place, 25 Ropemaker Street, London, EC2Y 9AJ. MUSE is authorised in the United Kingdom by the Prudential Regulation A uthority (“PRA”) and regulated by the Financial Conduct Authority (“FCA”) and the PRA (FS Registration Number 124512). In the USA, MUSE is a registered Swap Dealer (“SD”) wi th the Commodity Futures Trading Commission (“CFTC”) and a member of the National Futures Association (“NFA”). MUSE is also a registered Security -Based Swap Dealer (“SBSD”) with the Securities Exchange Commission (“SEC”). MUSE has a branch office (“MUSE Dubai Branch”) that is registered at Level 3, East Wing, The Gat e, Dubai International Financial Centre, PO Box 506894, Dubai, UAE. MUSE Dubai Branch is authorised to operate in the Dubai International Financial Centre (“DIFC”) as a Non -DIFC Entity (Commercial License Number CL1656) and is regulated by the Dubai Financial Services Authority (Reference Number F002623); (2) MUFG Securities (Europe) N.V. (“MUS(EU)), a public limited company, registered in the Netherlands (chamber of commerce number 71213376) with its registered office at World Trade Center, Tower Two, level 5, Strawinskylaan 1887, 1077 XX Amsterdam. MUS(EU) is authorized by the European Central Bank and regulated by De Nederlandsche Bank (“DNB”) and also regulated by the Authoriteit Financiële Markten (“AFM”). MUS(EU) has a br anch office (MUSE(EU) Paris Branch) registered in France (chamber of commerce number 844285999) with its registered office at 18 rue du Quatre-Septembre, 75002 Paris. MUS(EU) Paris Branch is regulated in France by the Autorité de contrôle prudentiel et de résolution ("ACPR") and the Autorité des marchés f inanciers ("AMF"); (3) MUFG Securities Americas Inc. (“MUSA”) which is registered in the United States with the Securities and Exchange Commission (“SEC”) and regulated by the Financial Industry Regulatory Authority (“FINRA”) (SEC# 8 -43026; CRD# 19685); (4) MUFG Securities (Canada), Ltd. (“MUS(CAN)”) is an investment dealer registered in Canada with the Ontario Securities Commission (“OSC”) and in each province and territory of Canada, a member of the Canadian Investment Regulatory Organization (“CIRO”) (NRD# 54270), and a member of the Canadian Investor Protection Fund (“CIPF”). Customers’ accounts are protected by CIPF within the specified limits; (5) MUFG Securities Asia Limited (“MUS(ASIA)”) which is incorporated in Hong Kong, licensed under the Hong Kong Securities and Fu tures Ordinance and regulated by the Hong Kong Securities and Futures Commission (Central Entity Number AAA889). MUS(ASIA) is registered as a foreign company under the Corporations Act 2001 of Australia (ARBN 169 329 453); and (6) MUFG Securities Asia Limited, Singapore Branch (“MUS(ASIA Singapore)”) has a capital markets services licence under the Secur ities and Futures Act in Singapore. (7) MUFG Securities (India) Private Limited (“MUS(INDIA)”) is a registered intermediary under the Securities and Exchange Board o f India (Merchant Bankers) Regulations, 1992 having registration number INM000013305. In respect of the financial services provided to wholesale clients in Australia, MUS(ASIA), MUSE and MUSA are each exempt from the requirement to hold an Australian financial services licence under the Corporations Act 2001 of Australia under the Australian Securities and Investments Commission Class Order Exemption CO 03/1099, CO 03/1103, CO 03/1100, and CO 03/1102, respectively. Each of MUS(ASIA), MUSE, MUSA, are regulated under the laws of Hong Kong, the United Kingdom and the United States respectively, which differ from Australian laws. The banking related businesses within MUFG (together referred to in this material as “MUFG Bank”) are: (1) MUFG Bank Ltd (“MUBK”), is a limited liability stock company incorporated in Japan and registered in the Tokyo Legal Affairs Bureau (company no. 0100-01- 008846). MUBK’s head office is at 1 -4-5 Marunouchi, Chiyoda-Ku, Tokyo, Japan. MUBK is authorised and regulated by the Japanese Financial Services Agency. MUBK is registered as a foreign company under the Corporations Act 2001 of Australia (ARBN 103 418 882) and is authorised by the Australian Prudential Regulation Authority to carry on banking business in Australia under the Banking Act 1959 of Australia. MUBK is also a registered Swap Dealer with the Commodity Futures Trading Commission and a member of the National Futures Association. (2) MUBK’s London branch is at Ropemaker Place, 25 Ropemaker Street, London EC2Y 9AN, and is registered as a UK establishment in the UK register of companies (registered no. BR002013). MUBK’s London branch is authorised by the UK Prudential Regulation Authority (“PRA”) and subject to regulation by the UK Financial Conduct Authority (“FCA”) and limited regulation by the PRA. (3) MUFG Bank (Europe) N.V. (“MUFG N.V.”) is a company with limited liability (naamloze vennootschap) incorporated under the laws of the Netherlands and registered with the Dutch Chamber of Commerce under number 33132501, with its head office at Strawinskylaan 1887, 1077XX Amsterdam, the Netherlands. MUFG N.V. is authorized and regulated by the Dutch Central Bank (De Nederlandsche Bank) (www.dnb.nl) and the Dutch Authority for the Financial Markets (Autoriteit Financiële Markten) (www.afm.nl) (jointly the “Dutch Authorised Regulators”). MUFG Bank (Europe) N.V. Germany Branch (“MUFG Germany”) is the German Branch of MUFG N.V. with its registered office at Breite Strasse 34, 40213 Düsseldorf, Germany, registered with the commercial register (Handelsregister) of the local court (Amtsgericht) of Düsseldorf under no. HRB 82502, and is authorised to provide banking services in Germany under the freedom of establishment in the European Union. Part of its activities are - in addition to the Dutch Authorised Regulators –supervised by the Federal Financial Supervisory Authority for Germany, “BaFin” (Bundesanstalt für Finanzdienstleistungsaufsicht) (www.bafin.de) and Deutsche Bundesbank (www.bundesbank.de). (4) MUFG Bank’s DIFC branch, is regulated by the Dubai Financial Services Authority (DFSA) (License number: F000470) and has its registered address at Level 3, East Wing, the Gate, Dubai International Financial Centre, Dubai, P.O. Box 506614, United Arab Emirates. (5) MUFG Bank’s QFC branch is authorised by the Qatar Financial Centre Regulatory Authority (QFCRA) (Licence number: 00103) and h as its registered address at Suite A3, Mezzanine Floor, Tornado Tower, West Bay, Doha, Qatar. (6) MUFG Bank’s Riyadh branch is regulated by the Saudi Central Bank and has its registered address at 13th Floor, East Wing Al N akhlah Tower, King Fahd Road, As Sahafah Dist, Riyadh 13315, Kingdom of Saudi Arabia.
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本页的结论、论点、数字与风险由 Tlines 从 MUFG 于 2026/10/16 发布的研报中提取并结构化，用于横向比较。机构原文可通过本页来源链接访问，并已在上方完整展示。最后更新于 2026/10/18。方法论 · 来源政策 · AI 使用说明 · 申请更正