20181025-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1023kb

报告摘要

FX POSITIONING ANALYSIS | GLOBAL - Summary

Core Content Overview

This document provides a comprehensive analysis of the positioning of G10 currencies by FX investors as of 25 October 2018. The analysis is based on a percentile scale derived from five years of historical data, rescaled to a range of -50 to +50. A score above +40 or below -40 indicates extreme positioning.

Key Positioning Insights

USD Positioning

Score: +16 (slightly long)
Observation: USD positioning has increased slightly, with most components remaining long USD. FX funds appear to be holding large short positions.
Interpretation: A score of +16 means that 16% of past observations were below the current level.

CAD Positioning

Score: +26 (close to the largest long CAD position in over a year)
Observation: The CAD has the largest long position among G10 currencies.
Interpretation: A score of +26 implies that 26% of past observations were below the current level.

EUR Positioning

Score: -18 (moderately short)
Observation: FX investors continue to hold a moderately-sized short EUR position.
Interpretation: A score of -18 means that 18% of past observations were above the current level.

NOK & SEK Positioning

NOK: +5 (slightly long)
SEK: -18 (short)
Observation: The market has been a seller of Scandie currencies, with NOK long positioning squeezed and SEK short positioning extended.
Interpretation: NOK score of +5 implies that 5% of past observations were below the current level; SEK score of -18 implies that 18% of past observations were above the current level.

CHF & JPY Positioning

CHF: Slightly short
JPY: Slightly short
Observation: Risk-off market moves have corresponded with CHF and JPY buying flows, but positioning in these currencies remains slightly short.
Interpretation: CHF and JPY scores are slightly negative, indicating that a small percentage of past observations were above the current level.

Positioning Components

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	29	36	36	-44	23
EUR	-1	8	-38	-35	-25
JPY	-16	-33	22	-12	22
GBP	-4	-21	-21	0	-14
CHF	5	12	38	45	32
CAD	-10	-48	8	-41	-18
NZD	-41	-50	21	-48	-18
NOK	33	-	30	-48	6
SEK	-20	-	-22	-14	-14

Overall Positioning Interpretation

The overall currency score is calculated as an equally weighted average of the components. The scores reflect the sentiment and positioning of various market participants, including FX funds, hedge funds, and institutional traders. The positioning data indicates that USD is still in a long position, while EUR and others show mixed sentiment.

Strategic 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.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 & Disclaimer Information

This document is non-independent research and may be subject to conflicts of interest.
It is intended for Professional Clients and Eligible Counterparties.
It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
BNPP may have a financial interest in the securities discussed and may engage in transactions inconsistent with the views expressed.
The information is for informational purposes only and not to be relied upon as authoritative.
Performance data may include back-testing and is not indicative of future results.
The document is subject to change and may be discontinued.
It is not a prospectus or public offering and does not provide investment, tax, or legal advice.
The document is intended for use by BNPP's clients and may not be distributed without prior written consent.

Additional Disclosures

Options: Complex instruments with high risk, suitable only for sophisticated investors.
ETFs: Carry risks including tracking error, currency, and geopolitical risks.
Securities: May not be eligible for sale in all jurisdictions or to certain investors.
U.S. Distribution: Limited to institutional investors and major U.S. institutional investors.
UK Distribution: Communicated by BNPP London Branch.
France Distribution: Produced and/or distributed by BNPP SA and/or BNPP Arbitrage.