20181022-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1022kb

报告摘要

FX Positioning Analysis Summary | G10 Currencies

Core Content Overview

This report provides a detailed analysis of the positioning of G10 currencies in the foreign exchange market, based on data from BNP Paribas. It outlines the current sentiment and exposure levels of various market participants, including FX investors, IMM (Commitment of Traders), risk reversals, and FX funds, across major G10 currencies. The positioning scores are calculated as a percentile based on the prior five years of data, rescaled to a range between -50 and +50. Extreme positions are indicated by scores above +40 or below -40.

Key Findings

Currency Positioning Scores

USD: Moderate long positions with a score of +14.
EUR: Slightly extended EUR shorts with a score of -16.
CAD: Reduced long positions to +18.
NOK: Pared back long positions to +13 due to FX funds increasing short positions.

Other Currencies

Currency	Position Score	Notes
JPY	+13	Not explicitly detailed, but included in the analysis
GBP	-1	Positioning score based on multiple components
CHF	-4	Positioning score based on multiple components
AUD	-10	Positioning score based on multiple components
NZD	-41	Strong short positions
SEK	-20	Positioning score based on multiple components
NOK	+33	Overall positioning score

Positioning Components

The overall positioning score is derived from an equally weighted average of several components, including:

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

Interpretation of Scores

A score of +14 for USD indicates that the current position is in the upper 14th percentile of historical data.
A score of -16 for EUR means that 16% of historical observations were worse than the current position.
A score of +18 for CAD suggests it is in the upper 18th percentile.
A score of +13 for NOK reflects a moderate long position.

Visual Aids

Chart 1: Overall FX positioning scores for G10 currencies.
Chart 2: Absolute total G10 positioning.
Chart 3: USD overall positioning.
Chart 5: EUR overall positioning.
Chart 7: AUD overall positioning.
Chart 9: NZD overall positioning.
Chart 11: NOK overall positioning.
Chart 13: USD positioning components.
Chart 15: EUR positioning components.
Chart 17: AUD positioning components.
Chart 19: NZD positioning components.
Chart 21: NOK positioning components.
Chart 22: SEK positioning components.

Disclaimer and Legal Information

This document is non-independent research and is intended for Relevant Persons as defined by MiFID II and other regulations. It is not investment research and may be subject to conflicts of interest. BNPP may engage in transactions that are inconsistent with the views expressed in this document. The content is for informational purposes only and should not be relied upon as a basis for investment decisions.

BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
Bloomberg: BNP Paribas research RES / BNP

Strategy Contacts

Name	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	FX Strategist	BNP Paribas London branch	44 20 7595 8467
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
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Turk Ekonomi Bank A.S. (Istanbul)	90 216 635 2987
Altaz Dagha	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	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

Important Disclosures

This document is a marketing communication and not investment research.
It may contain simulated performance data based on back-testing.
Options are complex instruments and may involve a high degree of risk.
ETFs and other securities may be subject to currency, geopolitical, credit, and interest rate risks.
BNPP may have conflicts of interest due to its role in market-making, advisory, and investment banking activities.
The information is not guaranteed for accuracy or completeness.
Indicative prices do not represent actual transaction terms.
Prior performance is not indicative of future results.
Confidentiality is maintained, and unauthorized distribution is prohibited.
U.S. and UK legal disclosures are provided for compliance and transparency.

Conclusion

The report provides insights into the current positioning of G10 currencies based on a combination of market sentiment, fund exposure, and technical indicators. It highlights the moderate long USD positions, extended EUR shorts, and reduced CAD and NOK longs. The analysis is intended for professional investors and is subject to various legal and regulatory disclosures.

展开完整摘要