巴黎银行-全球-外汇策略-全球外汇定位分析-20190516-13页_1mb

G10 FX Positioning Summary

Core Content Overview

This document provides an analysis of the current positioning of G10 currencies in the foreign exchange market, based on multiple indicators. The positioning scores are calculated using a percentile-based system over the past five years, rescaled to a range of -50 to +50. Extreme positions are indicated when scores are above +40 or below -40.

The overall market sentiment is risk-off, with increased JPY longs and AUD shorts. USD remains moderately long, while GBP has seen a reduction in long positioning.

Key Positioning Scores

Positioning Components

The following components are used to determine the overall positioning:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): US-based hedge-fund/CTA activity proxy.
• Risk Reversals: Reflects the relative price of calls vs. puts, indicating market sentiment.
• FX Fund Position Tracker: Regression-based decomposition of fund positioning.
• BNPP Trending Indicator: Technical measure of currency momentum.
• Buy Sell Pressure: Utilizes tick data, aggressor information, and price movements to indicate momentum and direction.

The overall score is calculated as the equally weighted average of these components.

Extreme Positioning Indicators

• Scores above +40 or below -40 indicate extreme positions.
• A score of -27 means that 23% of observations over the past five years have been below the current observation.

Visual Aids

• Fig. 1: Overall G10 FX positioning (percentile-based).
• Fig. 2: Absolute total G10 positioning.
• Fig. 3–6: One-year plots of individual currency positioning scores (USD, GBP, EUR, JPY).
• Fig. 7–12: Positioning components for individual currencies (AUD, NZD, NOK, SEK, etc.).

All figures are sourced from BNP Paribas.

Strategy Team

• Michael Sneyd, CFA: Head of Macro Quantitative & Derivatives Strategy
• Sam Lynton-Brown, CFA: Head of G10 FX Strategy, Europe
• Parisha Saimbi: G10 FX and Sterling Rates Strategist
• Alex Jekov: FX Strategist
• Daniel Katzive, CFA: Head of FX Strategy North America
• Vasilis Koutsaftis: FX Options Strategist
• Altaz Daga: APAC IR Strategist
• Dawn Kwa: Asia FX & IR Strategist
• Tianhe Ji: China Strategist
• Gabriel Gersztein: Head of Global Emerging Markets Strategy
• Samuel Castro, Luca Maia, Andre Digiacomo: FX & IR Latam Strategists
• Kris Gjini, Benedicte Lowe: Cross Asset Strategists

Disclaimer and Legal Information

• This document is non-independent research and is intended for Relevant Persons as defined under MiFID II and other regulations.
• It is not investment research and should not be used for investment decisions.
• BNPP may have conflicts of interest due to its interaction with sales and trading.
• The document is for information purposes only and does not constitute an offer to sell or purchase any financial instrument.
• It may contain hypothetical or back-tested performance data, which is not indicative of future results.
• The document may include options and ETF disclosures, highlighting the risks and suitability of such instruments.
• Securities may not be eligible for sale in all jurisdictions or to certain investors.
• Confidentiality is emphasized, and the document is only for selected recipients who qualify under Canadian law.

Additional Information

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy Website: www.bnpparibas.com
• Research Disclaimer: BNPP disclaims all responsibility for the accuracy or completeness of the information and models used.
• Important Disclosures:
  • Options are complex and not suitable for all investors.
  • ETFs involve tracking error, currency, and geopolitical risks.
  • Convertible securities or other unregistered instruments are restricted.