20181210-法国巴黎银行-FX_POSITIONING_ANALYSIS_GLOBAL_MACRO_QUANT_STRATEGY_G10_FX_12页_1023kb

FX Positioning Analysis Summary

Core Content Overview

This document presents a detailed analysis of the positioning of G10 currencies by FX investors, based on data from the BNP Paribas FX Fund Position Tracker and other components such as Risk Reversals and Client Surveys. The positioning scores are reported on a percentile scale (-50 to +50), derived from historical data over the past five years. Extreme positions are defined as scores above +40 or below -40.

Key Findings

• USD Positioning: FX investors reduced their long positions in USD to a score of +11, down from previous levels. This reflects a more neutral stance, with the FX Fund Position Tracker contributing to the shortening of USD longs.
• EUR Positioning: EUR shorts were reduced to -13 from -19, indicating a shift in sentiment. The Risk Reversal component played a role in this reduction.
• AUD Positioning: The market increased AUD shorts from -3 to -17, driven by more pessimistic views from both the Risk Reversals and Client Survey components.
• NOK Positioning: NOK short positions were reduced to -9, suggesting a slight improvement in sentiment.
• SEK Positioning: SEK long positions increased to +7, indicating a more positive outlook for the Swedish krona.

Positioning Components

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	21	34	26	-37	9
EUR	-14	-2	-15	-20	-15
JPY	13	-38	6	-32	-7
GBP	-40	4	-40	-34	-29
CHF	2	-	30	-50	-18
CAD	-44	-	14	44	-21
NZD	7	-	45	-34	34
AUD	4	-31	-27	23	26
SEK	16	-	4	-34	5

Interpretation of Scores

• A score of -27 means that 23% of historical observations were below the current level.
• Scores above +40 or below -40 indicate extreme positions.
• The scores are a composite of multiple factors, 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: Reflect the relative price of calls versus puts, indicating market sentiment.
  • FX Fund Position Tracker: Based on regression analysis of fund positioning.
  • BNPP Trending Indicator: A technical measure of currency momentum.

Charts and Visuals

• Chart 1: Overall G10 FX positioning (percentile-based).
• Chart 2: Absolute total G10 positioning.
• Chart 3: One-year plot of G10 currency positioning scores.
• Chart 4: Positioning components for GBP, JPY, and others.
• Chart 5: USD and EUR positioning components.
• Chart 6: Chart 7: AUD positioning components.
• Chart 8: Chart 9: NZD and NOK positioning components.
• Chart 10: Chart 11: NOK and SEK positioning components.
• Chart 12: Chart 13: USD positioning components.
• Chart 14: Chart 15: EUR positioning components.
• Chart 16: Chart 17: AUD positioning components.
• Chart 18: Chart 19: NZD positioning components.
• Chart 20: Chart 21: NOK positioning components.
• Chart 22: Chart 22: SEK positioning components.

All charts are sourced from BNP Paribas.

Strategy Contacts

• Michael Sneyd, CFA: Head of Macro Quantitative & Derivatives Strategy, BNP Paribas London Branch.
• Sam Lynton-Brown, CFA: Head of G10 FX Strategy, Europe, BNP Paribas London Branch.
• Parisha Saimbi: G10 FX and Sterling Rates 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 and Editorial Contacts

• Production: Barbara Consuelo, BNP Paribas London Branch.
• Editorial: Amanda Grantham-Hill, Anna McLaughlin, and Varghese Joseph from BNP Paribas London Branch and New York.

Legal and Disclaimer Information

• This document is non-independent research and is intended for Relevant Persons (Professional Clients and Eligible Counterparties).
• It is not investment research and may contain Research under MiFID II unbundling rules.
• BNPP may have conflicts of interest due to its involvement in investment banking, underwriting, and advisory services.
• The document is not a prospectus, advertising, or public offering.
• It does not constitute an offer to sell or issue securities or a solicitation of an offer to buy.
• Simulated performance is not indicative of future results.
• Indicative prices are not actual transaction terms and are subject to change.
• The document is strictly confidential and may not be distributed without prior consent.
• ETF Disclosures: ETFs may involve risks such as tracking error, currency, and geopolitical risks.
• Options Disclosures: Options are complex and may not be suitable for all investors.
• Restricted Securities: Certain securities may not be registered under US Securities Laws and are only available to Qualified Institutional Buyers or non-US persons.

Additional Information

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES/BNP
• This document is produced by a BNPP group company and is for the use of intended recipients only.