巴黎银行-全球-外汇策略-外汇定位分析-20180806-13页_755kb
报告摘要
FX Positioning Analysis Summary - 6 August 2018
Core Content
This document provides an FX Positioning Analysis by BNP Paribas London Branch, authored by Michael Sneyd (Global Head of FX Strategy & Cross) and Kris Gjini (Graduate). It outlines the current positioning of G10 currencies based on historical data and various indicators, and serves as a marketing communication for professional clients and eligible counterparties.
Key Currency Positioning Insights
The following are the key positioning scores for G10 currencies, reported as percentiles rescaled to a -50 to +50 scale. Values above 40 or below -40 indicate extreme positions.
- USD: Long exposure is stable at +18
- GBP: Positioning remains the shortest in the G10 at -34
- EUR: Moderate short at -9
- NZD: Large short position at -33
- SEK: Short positioning is rebuilding at -18
- NOK: Market remains long at +13
- CHF: Moderate short at -23
- CAD: Moderate short at -16
- JPY: Moderate long at +7
- AUD: Moderate long at +35
Positioning Indicators
The analysis uses the following indicators to assess FX positioning:
- Client Exposure: Internal sales desks' estimate of FX investor exposure
- IMM (Commitment of Traders): Proxy for US-based hedge-fund/CTA activity
- Risk Reversals: Reflects market sentiment via the relative price of calls vs. puts
- FX Fund Position Tracker: Regression-based decomposition of fund positioning
- BNPP Trending Indicator: Technical measure of currency momentum strength
The overall currency score is calculated as an equally weighted average of these components.
Charts and Visuals
- Chart 1: Overall FX Positioning Analysis
- Chart 2: Absolute Total G10 Positioning
- Chart 3: USD Overall Positioning
- Chart 4: GBP Overall Positioning
- Chart 5: EUR Overall Positioning
- Chart 6: JPY Overall Positioning
- Chart 7: AUD Overall Positioning
- Chart 8: CAD Overall Positioning
- Chart 9: NZD Overall Positioning
- Chart 10: CHF Overall Positioning
- Chart 11: NOK Overall Positioning
- Chart 12: SEK Overall Positioning
All charts are sourced from BNP Paribas.
FX Strategy Contacts
| Strategist | Job Title | Legal Entity | Phone |
|---|---|---|---|
| Michael Sneyd, CFA | Global Head of FX Strategy & Cross-Asset Strategist | BNP Paribas London branch | 44 20 7595 1307 |
| Sam Lynton-Brown | FX Strategist | BNP Paribas London branch | 44 20 7595 8467 |
| Natalie Rickard | FX Strategist | BNP Paribas London branch | 44 20 7595 8270 |
| Alex Jekov | Graduate | 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 |
| Marcelo Carvalho | Head of Emerging Markets Research, Latam | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3418 |
| Sai Ulluri | FX & IR CEEMEA Strategist | BNP Paribas London branch | 44 20 7595 1872 |
| Shaun Daly | FX & IR CEEMEA Graduate | BNP Paribas London branch | 44 20 7595 1870 |
| Erkin Isik, CFA | FX & IR CEEMEA Strategist | Turk Ekonomi Bank A.S. (Istanbul) | 90 216 635 2987 |
| Altaz Daga | APAC IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Dawn Kwa | Asia FX & IR Strategist | BNP Paribas Singapore Branch | 65 6210 3263 |
| Kun Shan | China Strategist | BNP Paribas China Limited (Shanghai) | 86 21 2896 2773 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head FX & IR Latam 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 |
Legal and Disclaimer Notes
- This document is non-independent research and is intended for professional clients and eligible counterparties.
- It may contain "Research" as defined under MiFID II unbundling rules and is only available to 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 and may engage in transactions inconsistent with the views expressed.
- No liability is accepted for any losses arising from reliance on the document.
- The information is based on public sources and may not be accurate or complete.
- Simulated performance data is not indicative of future results.
- This document is for informational purposes only and not intended as investment advice.
- It does not constitute a prospectus or public offering and is not suitable for retail investors.
- Transactions involving the discussed products may involve high risk and volatility.
Additional Information
- The document is produced by BNP Paribas London Branch.
- It is subject to change or may be discontinued.
- All information reflects BNPP's judgment as of the date of the document.
- Prior to transacting, ensure you understand the terms and legal, tax, and accounting considerations.
- The information is confidential and may not be copied or distributed without prior written consent.
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