巴黎银行-全球-外汇策略-全球外汇定位分析-20190225-13页_1mb
报告摘要
FX Positioning Analysis Summary
Core Content
This document presents a comprehensive analysis of the positioning of G10 currencies in the foreign exchange market as of 25 February 2019. The analysis is based on multiple components including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, BNPP Trending Indicator, and Buy Sell Pressure. These components are used to derive positioning scores, which are reported as percentiles based on five years of historical data, rescaled to a range between -50 and +50. Extreme positions are indicated when scores are above 40 or below -40.
Key Positioning Scores
- USD: Positioning score reduced from +13 to +6, due to the Buy Sell Pressure component reducing long positions.
- GBP: Short positioning was reduced to -4, driven by the Client Survey component turning more bullish on GBP.
- EUR: Market is positioned short with a score of -11.
- SEK: FX investors extended shorts to a score of -18, as both the Client Survey and Buy Sell Pressure components turned more bearish on SEK.
Interpretation of Positioning Scores
- A score of -27 means that 23% of observations over the past five years have been below the current observation.
- The scores reflect the market sentiment and positioning trends across different currencies and are useful for understanding the direction and strength of market movements.
Components Overview
| Component | Description |
|---|---|
| Client Exposure | Internal sales desks' estimate of FX investor exposure. |
| IMM | Commitment of Traders (COT), a proxy for US-based hedge-fund/CTA activity. |
| Risk Reversals | Indicates the relative price of calls vs. puts, incorporating option market sentiment. |
| FX Fund Position Tracker | Regression-based decomposition of currency fund positioning. |
| BNPP Trending Indicator | Technical measure of a currency's momentum strength. |
| Buy Sell Pressure | Indicator of price momentum and direction using tick data, aggressor information, and price movements. |
Strategy Contacts
| Strategist | Job Title | Legal Entity | Phone Number |
|---|---|---|---|
| Michael Sneyd, CFA | Head of Macro Quantitative & Derivatives Strategy | BNP Paribas London branch | 44 20 7595 1307 |
| Sam Lynton-Brown, CFA | Head of G10 FX Strategy, Europe | BNP Paribas London branch | 44 20 7595 8467 |
| Parisha Saimbi | G10 FX and Sterling Rates Strategist | BNP Paribas London branch | 44 20 75958351 |
| Alex Jekov | FX Strategist | BNP Paribas London branch | 44 20 7595 4185 |
| Daniel Katzive, CFA | Head of FX Strategy North America | BNP Paribas Securities Corp (New York) | 1 212 841 2408 |
| Vasilis Koutsaftis | FX Options Strategist | BNP Paribas Securities Corp (New York) | 1 212 471 7973 |
| Wike Groenenberg | Head of Emerging Markets Research, CEEMEA & APAC | BNP Paribas London branch | 44 20 7595 8746 |
| Altaz Daga | APAC IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Dawn Kwa | Asia FX & IR Strategist | BNP Paribas Singapore Branch | 65 6210 3263 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head of Global Emerging Markets Strategy | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Samuel Castro | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3492 |
| Luca Maia | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3447 |
| Andre Digiacomo | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3445 |
| Kris Gjini | Macro Quantitative Strategist | BNP Paribas London branch | 44 20 7595 1603 |
| Benedicte Lowe | Cross Asset Strategist | BNP Paribas London branch | 44 20 7595 1993 |
Editorial and Production Contacts
| Name | Coverage | Legal Entity | Phone Number |
|---|---|---|---|
| Amanda Grantham-Hill | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 1687 |
| Anna McLaughlin | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 3754 |
| Elina Talvitie | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 2588 |
| Jessica Bakioui | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 8478 |
| Varghese Joseph | Market Economics and Strategy | BNP Paribas Securities Corp | 1 212 841 3698 |
Disclaimer and Legal Information
- This document is non-independent research and may be subject to conflicts of interest.
- It is a marketing communication and is not investment research for MiFID II purposes.
- It is not intended to provide investment advice.
- Past performance is not indicative of future results.
- Simulated performance may not reflect actual market factors such as liquidity and transaction costs.
- The document is not a prospectus and not for public offering.
- It may contain restricted securities and is only for QIBs or non-US persons.
- ETFs discussed may involve tracking error, currency risk, and geopolitical risk.
- BNPP may hold positions, act as market maker, or have conflicts of interest related to the instruments discussed.
- The document is intended for professional clients and eligible counterparties.
- The information is confidential and not for public distribution.
Additional Information
- The document is available on BNP Paribas Global Markets website.
- BNP Paribas Strategy website includes Fixed Income Research, Emerging Markets Research, G10 Interest Rate Research, and Market Economics.
- STEER™ and MARKETS 360 are trade marks of BNP Paribas.
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