巴黎银行-全球-外汇策略-全球外汇定位分析-20190325-13页_1mb

报告摘要

FLASH | FX POSITIONING ANALYSIS | GLOBAL Summary

Core Content Overview

This document provides an FX positioning analysis for G10 currencies as of 25 March 2019. It outlines the current market sentiment and positions across various components, including client exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, BNPP Trending Indicator, and Buy Sell Pressure. These components are used to calculate an overall positioning score for each currency, which is rescaled between -50 and +50 based on historical data from the prior five years.

Key Positioning Scores

The following are the key positioning scores for G10 currencies:

USD: Score of +7 (long positioning has been pared back)
EUR: Score of -18 (extended EUR shorts)
GBP: Score of +10 (longs extend slightly, the longest score since May 2018)
JPY: Score of +19 (longs extended due to Risk Reversals and Buy Sell Pressure)
AUD: Score of -23 (shorts extend further)
NZD: Score of +17 (market is long NZD)
CAD: Score of -22 (shorts extended)
CHF: Score of -11 (slightly negative)
NOK: Score of +2 (slightly positive)
SEK: Score of -16 (negative)

Interpretation of Positioning Scores

Positioning scores are reported as percentiles, with values above 40 or below -40 indicating extreme positions. For example:

A score of -27 means that 23% of observations over the past five years have been below the current observation.
A score of +19 means that 69% of observations have been below the current observation.

These scores help in understanding the relative positioning of currencies in the market and can be used to anticipate potential market movements.

Components and Their Impact

Client Exposure: Indicates FX investor exposure estimated by internal sales desks.
IMM (Commitment of Traders): Reflects US-based hedge-fund/CTA activity.
Risk Reversals: Show the relative price of calls versus puts, incorporating option market sentiment.
FX Fund Position Tracker: A regression-based decomposition of fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum.
Buy Sell Pressure: Utilizes tick data, aggressor information, and price movements to indicate price momentum and direction.

The overall currency score is calculated as the equally weighted average of these components.

Strategic Contacts

The report is authored by BNP Paribas' Strategist and Economist teams. Key contacts include:

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
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)
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, Luca Maia, Andre Digiacomo: FX & IR Latam Strategists, Banco BNP Paribas Brasil S.A. (Sao Paulo)
Kris Gjini, Benedicte Lowe: Cross Asset Strategist and other relevant contacts, BNP Paribas London branch

Disclaimer and Legal Information

This document is non-independent research and is a marketing communication under MiFID II.
It is not intended as investment research and does not provide investment, financial, legal, or tax advice.
The content may include "Research" as defined under MiFID II unbundling rules, and it is only for those who have signed up to BNPP Global Markets Research packages or are out of scope of MiFID II.
BNPP may have conflicts of interest due to its involvement in trading and investment banking activities.
The indicative prices and performance data are based on internal models and assumptions and may vary from other sources.
The document may contain performance simulations based on back-testing, which are not indicative of future results.
No liability is accepted for any loss arising from the use of this document or its content.
The document is intended for Relevant Persons only, as defined by MiFID II and other applicable regulations.

Additional Information

The document includes charts for the overall positioning scores and individual components for each currency.
It is produced by a BNP Paribas group company and is for the use of intended recipients only.
It is strictly confidential and must not be copied, reproduced, or distributed without prior written consent.
The United States Disclosures indicate that the report is for institutional investors and may involve complex financial instruments such as options and ETFs, which are not suitable for all investors.

Final Notes

This document is not a prospectus, advertisement, or public offering.
It is not intended to be used as a basis for investment decisions.
Past performance is not indicative of future results.
Simulated performance may not reflect actual market conditions or liquidity constraints.