巴黎银行-全球-外汇策略-全球外汇定位分析-20181101-12页_1mb

FX Positioning Analysis Summary (Global) - 1 November 2018

Core Content Overview

This document provides a comprehensive analysis of the positioning of G10 currencies in the foreign exchange market, using various metrics to assess the sentiment and exposure of FX investors. The analysis is based on data from the prior five years and is presented in a percentile format, rescaled between -50 and +50, where values above 40 or below -40 are considered extreme.

Key Findings

• USD Long Positioning: FX investors have increased their USD long positioning to +21, up from +16 last week. This increase was driven by FX funds reducing their short positions.
• CAD Long Positioning: CAD long positioning has decreased to +19, as both the Client Survey and FX Fund Position tracker components have become more pessimistic.
• AUD and NZD Shorts: The shorts on AUD and NZD have been squeezed to -16 and -23, respectively, indicating a shift in sentiment towards these currencies.

Positioning Metrics

The following metrics are used to evaluate the positioning of G10 currencies:

Interpretation of Positioning Scores

• A score of -27 indicates that 23% of observations over the past five years have been below the current observation (after adding 50 to the score).
• The overall currency score is calculated as an equally weighted average of the components.

Visual Representation

• Chart 1: Overall positioning of G10 currencies.
• Three-year plot: Shows the positioning scores of G10 currencies over time.
• Individual currency charts: Include USD, EUR, GBP, JPY, CAD, AUD, NZD, NOK, and SEK, with detailed components.

Strategy Contacts

• Strategist Contacts:

  • 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
  • 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 Contact:

  • Barbara Consuelo – London, BNP Paribas London branch

• Editorial Contacts:

  • 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 and Disclaimer Information

• This document is a marketing communication and is not investment research.
• It may contain non-independent research and is not subject to independence requirements.
• The content is not intended for retail investors and is provided for Professional Clients and Eligible Counterparties.
• BNP Paribas may have financial interests in the entities mentioned, including positions in their securities or derivatives.
• Conflicts of interest may exist due to BNPP's involvement in investment banking, underwriting, and advisory services.
• The information and opinions are based on public sources and may not be independently verified.
• Simulated performance and back-testing data are for illustrative purposes only and do not guarantee future results.
• No liability is accepted for any loss arising from reliance on the document.
• ETF and Option Disclosures are included, noting that these products may involve significant risk and are only suitable for sophisticated investors.
• U.S. Disclosures specify that the report may only be distributed to institutional investors and that certain securities are restricted and not registered under U.S. law.
• The document is subject to legal restrictions in the UK and France, with specific authorizations and supervisory bodies mentioned.

Additional Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES / BNP
• BNP Paribas Strategy Website: www.bnpparibas.com

All charts and data are sourced from BNP Paribas.