20181206-法国巴黎银行-MACRO_QUANT_STRATEGY_12页_1021kb

FX POSITIONING ANALYSIS | GLOBAL Summary

Core Content

This document provides a detailed analysis of the positioning of G10 currencies in the foreign exchange market, based on data from BNP Paribas. It outlines the current market sentiment, investment exposure, and technical indicators for various G10 currencies, including USD, EUR, GBP, JPY, CAD, CHF, AUD, NZD, and NOK.

Key Information

• Overall Positioning: The overall G10 absolute FX positioning remains near extreme lows, similar to levels seen in May 2018.
• USD Positioning: FX investors have reduced USD long positions from +15 to +11 over the past week. The FX Fund Position Tracker component has added to shorts.
• EUR Positioning: The EUR remains in a short position with a score of -20.
• GBP Positioning: The GBP is also in a short position with a score of -16.
• NOK and CAD Positioning: Both NOK and CAD are in short positions with scores of -12 and -15, respectively, due to the fall in oil prices over the past month.
• JPY Positioning: JPY has a score of +4, indicating a relatively neutral to slightly positive position.
• CHF Positioning: CHF has a score of +17, suggesting a positive stance.
• AUD Positioning: AUD has a score of +10, indicating a slightly positive position.
• NZD Positioning: NZD has a score of +5, showing a very slight positive position.
• SEK Positioning: SEK has a score of +20, indicating a positive position.

Main Viewpoints

• Positioning Scores: The positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are defined as scores above 40 or below -40.
• Components of Positioning Analysis:
  • Client Exposure: Internal sales desks' estimate of FX investor exposure.
  • IMM (Commitment of Traders): A widely used proxy for US-based hedge-fund/CTA activity.
  • Risk Reversals: Indicate the relative price of calls relative to puts, incorporating option market sentiment.
  • FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
  • BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.
• Overall Currency Score: The overall currency score is calculated as the equally weighted average of the components.

Key Tables and Charts

• Table of Positioning Scores: Includes scores for USD, EUR, GBP, JPY, CAD, CHF, AUD, NZD, and NOK, along with the contributing components.
• Charts:
  • Chart 1: Overall G10 FX positioning.
  • Chart 2: Absolute total G10 positioning.
  • Chart 3: One-year plot of G10 currency positioning individual scores.
  • Chart 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22: Positioning components for individual currencies.

Strategy Contacts

• Strategists:

  • Michael Sneyd, CFA - Head of Macro Quantitative & Derivatives Strategy
  • Sam Lynton-Brown, CFA - Head of G10 FX Strategy, Europe
  • Parisha Saimbi - G10 FX and Sterling Rates Strategist
  • Alex Jekov - FX Strategist
  • Shaun Daly - Graduate
  • Daniel Katzive, CFA - Head of FX Strategy North America
  • Vasilis Koutsaftis - FX Options Strategist
  • Wike Groenenberg - Head of Emerging Markets Research, CEEMEA & APAC
  • Altaz Daga - APAC IR Strategist
  • Dawn Kwa - Asia FX & IR Strategist
  • Tianhe Ji - China Strategist
  • Gabriel Gersztein - Head of Global Emerging Markets Strategy
  • Samuel Castro - FX & IR Latam Strategist
  • Luca Maia - FX & IR Latam Strategist
  • Andre Digiacomo - FX & IR Latam Strategist
  • Kris Gjini - Cross Asset Strategist
  • Benedicte Lowe - Cross Asset Strategist

• Production Contact:

  • Barbara Consuelo - London

• Editorial Contacts:

  • Amanda Grantham-Hill - London
  • Anna McLaughlin - London
  • Varghese Joseph - New York

Important Notes

• This document is a marketing communication and is not independent research.
• It is intended for Relevant Persons, including Professional Clients and Eligible Counterparties.
• No investment advice is provided, and no fiduciary duties are assumed.
• Past performance is not indicative of future performance.
• Simulated performance may not reflect actual market conditions, including liquidity, fees, and transaction costs.
• Conflicts of interest may exist, as BNPP may engage in transactions in a manner inconsistent with the views expressed in the document.

Disclaimer

• The information and opinions in this document are not guaranteed for accuracy or completeness.
• No liability is accepted for any direct or consequential losses arising from reliance on the document.
• The document is not an offer to sell or a solicitation to buy any financial instruments.
• It is not a prospectus or public offering and is not intended for general public or retail investors.

Additional Information

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES/BNP
• Document Source: BNP Paribas group of companies
• Legal Disclaimer: This document is non-independent research and not investment research for the purpose of MiFID II.
• Confidentiality: The document is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.

United States Disclosures

• Options Disclosures: Options are complex instruments and may involve a high degree of risk.
• ETF Disclosures: ETFs have general risks including tracking error and potential lag in performance.
• Convertible Securities Disclosures: Certain securities may be restricted and only eligible for purchase by QIBs or non-US persons.
• Distribution Restrictions: The report may be distributed to U.S. persons only by BNPP Securities Corp or its subsidiaries.

UK and France Disclosures

• UK: The document is communicated by BNP Paribas London Branch, which is authorised and regulated by the Financial Conduct Authority and Prudential Regulation Authority.
• France: The report is produced and/or distributed by BNPP SA and/or BNPP Arbitrage, which is authorised and supervised by the European Central Bank and Autorité de Contrôle Prudentiel et de Résolution.

Final Note

This document is for information purposes only and is subject to change or discontinuation. It is intended to generate discussion and not as a recommendation or investment advice.