巴黎银行-全球-外汇策略-全球外汇定位分析-20190523-13页_1mb

MACRO QUANT STRATEGY | G10 FX Summary

Core Content Overview

This document presents a comprehensive analysis of the positioning of G10 currencies based on a macro quantitative strategy by BNP Paribas. It outlines the current positioning scores for each currency, the methodology used to calculate these scores, and the implications for market participants. The report is intended for professional clients and relevant individuals, with important disclosures regarding its non-independent nature and potential conflicts of interest.

Key Positioning Scores

• USD: Longs have pared back to a score of +3 on the -/+50 scale due to the FX Fund Position Tracker component building USD shorts.
• JPY: Longs have extended to a score of +23, driven by the Client Survey and IMM components turning more positive. This is the longest JPY positioning score this year, following the 3 January flash-crash.
• EUR: The market is neutral with a score of -2.
• AUD: Investors have reduced shorts to a score of -23, as the FX Fund Position Tracker unwinds AUD shorts.

The positioning scores are based on a percentile ranking of the prior five years of data, rescaled between -50 and +50. Values above +40 or below -40 indicate extreme positions.

Methodology

The overall currency score is calculated as an equally weighted average of the following components:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM: Commitment of traders (COT) as a proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Indicate 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: A technical measure of the strength of a currency's momentum.
• Buy Sell Pressure: An indicator of price momentum and direction using tick data, aggressor information, and price movements.

Key Figures and Visuals

• Fig. 1: BNP Paribas FX Positioning Analysis – overall positioning.
• Fig. 2: Absolute total G10 positioning.
• Fig. 3-6: One-year plots of G10 currency positioning for USD, GBP, EUR, and JPY.
• Fig. 7-12: Positioning plots for AUD, NZD, NOK, and SEK.

These visuals are sourced from BNP Paribas and provide a visual representation of the positioning scores across different currencies.

Strategy Team

The strategy is managed by the following professionals at BNP Paribas:

Important Disclosures

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• It is not intended to provide investment advice or be relied upon as such.
• It may contain hypothetical or back-tested performance and is not indicative of future results.
• No liability is accepted for any loss arising from reliance on this document.
• The information may be subject to change without notice.
• Confidential and only for selected recipients.
• Restricted securities may be discussed, only eligible for QIBs or non-US persons.

Additional Resources

• BNP Paribas Global Markets website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy website: www.bnpparibas.com
• Online resources:
  • Fixed Income Research (BPFR)
  • Emerging Markets Research (BPFR)
  • G10 Interest Rate Research (BPBS)
  • Market Economics (BPEC)

Legal and Regulatory Information

• This document is for professional clients and relevant persons only.
• It does not constitute a prospectus or public offering in the U.S., Canada, or other jurisdictions.
• No assurance is given that any transaction will be entered into on the terms indicated.
• No liability is accepted for any loss arising from use or reliance on this document.
• Confidentiality is maintained, and the document is not to be distributed without prior consent.
• ETFs and convertible securities may be discussed, with relevant disclosures about risks and potential conflicts of interest.
• Options are complex instruments, and the document contains important risk disclosures.

Disclaimer

• The content is based on public sources and historical data, and not independently verified.
• All estimates and opinions are subject to change.
• No guarantees of accuracy or completeness.
• BNP Paribas may act as a market maker, advisor, or underwriter in relation to the discussed products.
• Transactions may involve high risk and volatility.
• Past performance is not indicative of future results.

This document is a marketing communication and is intended for professional clients only.