20181213-法国巴黎银行-FX_POSITIONING_ANALYSIS_12页_1022kb

报告摘要

FX Positioning Analysis Summary | Global

Core Content Overview

This document provides a comprehensive analysis of the positioning of G10 currencies in the foreign exchange market, based on data from the prior five years. The positioning scores are calculated as percentiles and rescaled to a range between -50 and +50, with extreme positions defined as scores above 40 or below -40.

Key Positioning Insights

USD: Long positioning has extended to a score of +23, primarily driven by the FX fund position tracker component, which has shifted from a short to a long position.
EUR: Short positioning has squeezed to -14.
GBP: Short positioning has extended to -19.
CHF: The market is now long CHF at +8, up from a short position of -2 a week ago.
CAD: CAD is the shortest in the G10 at -20.
AUD: Short positioning has reextended to -13.

Positioning Components

The overall positioning scores are derived from the following components:

Client Exposure: Indicates internal sales desks' estimate of FX investor exposure.
IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
Risk Reversals: Reflect the relative price of calls vs. puts, incorporating market sentiment.
FX Fund Position Tracker: A regression-based decomposition of fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum.

Positioning Score Interpretation

A score of -27 means that 23% of observations over the past five years have been below the current observation (after adding 50).
Scores above 40 or below -40 are considered extreme.

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 7595 8351
Alex Jekov	FX Strategist	BNP Paribas Securities Corp (New York)	1 212 841 2408
Shaun Daly	Graduate	BNP Paribas London branch	44 20 7595 1870
Daniel Katzive, CFA	Head of FX Strategy North America	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
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Turk Ekonomi Bank A.S. (Istanbul)	90 216 635 2987
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. (São Paulo)	55 11 3841 3421
Samuel Castro	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (São Paulo)	55 11 3841 3492
Luca Maia	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (São Paulo)	55 11 3841 3447
Andre Digiacomo	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (São Paulo)	55 11 3841 3445
Kris Gjini	Cross Asset Strategist	BNP Paribas London branch	44 20 7595 1603
Benedicte Lowe	Cross Asset Strategist	BNP Paribas London branch	44 20 7595 1993

Production and Editorial Contacts

Name	Location	Legal Entity	Phone Number
Barbara Consuelo	London	BNP Paribas London branch	44 20 7595 8486
Amanda Grantham-Hill	London	BNP Paribas London branch	44 20 7595 4107
Anna McLaughlin	London	BNP Paribas London branch	44 20 7595 3754
Varghese Joseph	New York	BNP Paribas Securities Corp (New York)	1 212 841 3698

Disclaimer

This document is a marketing communication and not investment research.
It may contain "Research" as defined under MiFID II unbundling rules.
It is intended for Relevant Persons as defined by MiFID II.
BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
The information is based on public sources and historical data, and is not guaranteed for accuracy or completeness.
No liability is accepted for any loss arising from reliance on the document.
Indicative prices are not actual transaction terms and may vary significantly.
Back-testing and simulated performance are for illustrative purposes only.
Past performance is not indicative of future results.
ETFs and convertible securities may involve risks, and BNPP may have interests in the companies involved.
US disclosures: Certain securities may not be registered and are available only to Qualified Institutional Buyers or non-US persons.
UK and France: This document is communicated by BNPP London Branch and produced by BNPP SA or BNPP Arbitrage.

Additional Information

The report includes figures and charts showing the positioning of G10 currencies over three and one-year periods.
The overall currency score is an equally weighted average of the components.
The document is for information purposes only and may be subject to change or discontinuation.
Confidentiality: The information is provided on a strictly confidential basis and may not be copied or distributed without prior consent.