20181112-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1020kb

FX POSITIONING ANALYSIS | GLOBAL Summary

Core Content Overview

This report provides an analysis of the positioning of G10 currencies in the foreign exchange market, based on data from BNP Paribas. It includes insights from various components such as the FX Fund Position Tracker, Risk Reversals, and the BNPP Trending Indicator, all of which are used to gauge market sentiment and investor behavior.

Key Findings

• USD Positioning: FX investors hold long USD positions with a score of +24, indicating a positive sentiment towards the US dollar. This score is based on a percentile scale (-50 to +50), where values above 40 or below -40 represent extreme positions.
• Other G10 Currencies: Positioning in other G10 currencies is either neutral or short, suggesting a lack of strong bullish sentiment towards these currencies.
• CAD Positioning: The market unwound long positions in CAD over the past week and built shorts with a score of -10, driven by the FX Fund Position Tracker turning more pessimistic.
• NZD Positioning: NZD short positioning was squeezed from -16 to -7, primarily due to the Risk Reversals component.
• GBP and EUR: These are the two G10 currencies with the shortest positioning scores at -22, indicating strong bearish sentiment.

Positioning Components

Interpretation of Positioning Scores

• A score of +24 means that 26% of observations over the past five years have been below the current observation.
• A score of -22 means that 72% of observations have been below the current observation, indicating a strong bearish position.
• The scores are based on historical data and are rescaled to the -50 to +50 range.

Charts and Visuals

• Chart 1: Overall G10 FX positioning.
• Chart 3, 5, 7, 13, 15, 17, 18, 19, 20, 21, 22: Individual positioning scores for each G10 currency over various timeframes.
• All charts are sourced from BNP Paribas.

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 Daga – 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)

Legal and Disclaimer Information

• This document is non-independent research and is a marketing communication.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID II.
• The information is based on public sources and is not guaranteed for accuracy or completeness.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No liability is accepted for any losses arising from the use of this document.
• The document does not constitute an offer to sell or purchase any financial instrument.
• It is not intended to provide investment, tax, or legal advice.
• Past performance is not indicative of future results.
• The document may contain back-tested performance data and is subject to change.