20181011-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1020kb

FX Positioning Analysis Summary | G10 Currencies

Overview

This document provides an analysis of the positioning of G10 currencies as of 11 October 2018. The positioning scores are calculated based on historical data from the past five years and are scaled between -50 and +50. Scores above 40 or below -40 indicate extreme positions. The overall positioning score is an equally weighted average of several components, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Key Findings

• Overall Positioning: The total positioning across G10 currencies has slightly decreased, with notable exceptions in SEK and NZD, where short positioning has increased.
• USD Positioning: Long positioning in USD has decreased from +24 to +19, primarily due to the FX Fund Position Tracker.
• CAD and NOK: Long positions in CAD and NOK have been trimmed to +23 and +15, respectively.
• JPY and GBP: Positioning is close to neutral, indicating the unwinding of recent large shorts.
• NZD and SEK: FX investors have extended their short exposure the most in NZD and SEK, with scores of -38 and -29, respectively.

Positioning Components

Interpretation of Positioning Scores

• A score of +19 for USD means that 19% of the past five years' observations have been below the current observation.
• A score of -38 for NZD indicates that 38% of the past five years' observations have been above the current observation.
• Scores close to neutral (e.g., JPY and GBP) suggest that positions are being unwound.

Charts

• Chart 1: Overall G10 positioning.
• Chart 2: Absolute total G10 positioning.
• Chart 3: One-year plot of G10 currency positioning individual scores.
• Chart 4: Three-year plot of G10 currency positioning scores.
• Chart 5-22: Individual currency positioning charts (USD, EUR, JPY, GBP, CHF, CAD, AUD, NZD, NOK, SEK).

Strategy Contacts

• Strategists:

  • Michael Sneyd, CFA – Head of Macro Quantitative & Derivatives Strategy, BNP Paribas London branch
  • Sam Lynton-Brown – FX Strategist, BNP Paribas London branch
  • Alex Jekov – FX Strategist, BNP Paribas London branch
  • Shaun Daly – Graduate, BNP Paribas London branch
  • Daniel Katzive, CFA – Head of FX Strategy North America, BNP Paribas Securities Corp (New York)
  • Vasilis Koutsaftis – FX Options Strategist, BNP Paribas Securities Corp (New York)
  • Wike Groenenberg – Head of Emerging Markets Research, CEEMEA & APAC, BNP Paribas London branch
  • Erkin Isik, CFA – FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul)
  • Altaz Dagha – APAC IR Strategist, BNP Paribas Singapore Branch
  • Dawn Kwa – Asia FX & IR Strategist, BNP Paribas Singapore Branch
  • Tianhe Ji – China Strategist, BNP Paribas China Limited (Beijing)
  • Gabriel Gersztein – Head of Global Emerging Markets Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Samuel Castro – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Luca Maia – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Andre Digiacomo – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Kris Gjini – Cross Asset Strategist, BNP Paribas London branch
  • Benedicte Lowe – Cross Asset Strategist, BNP Paribas London branch

• Production:

  • Barbara Consuelo – London, BNP Paribas London branch

• Editorial:

  • Amanda Grantham-Hill – London, BNP Paribas London branch
  • Anna McLaughlin – London, BNP Paribas London branch
  • Varghese Joseph – New York, BNP Paribas Securities Corp (New York)

Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• No liability is accepted for any loss arising from the use of this document.
• Performance data is based on back-testing and is for illustrative purposes only.
• This document does not constitute an offer to sell or issue any financial instrument.
• It is for informational purposes only and should not be relied upon as authoritative.
• BNPP may engage in transactions inconsistent with the views expressed in this document.
• Information is provided on a confidential basis and may not be copied or distributed without consent.