20181015-法国巴黎银行-FX_POSITIONING_ANALYSIS_GLOBAL_MACRO_QUANT_STRATEGY_G10_FX_12页_1022kb

FX Positioning Analysis Summary | Global

Core Content Overview

This document provides a detailed analysis of the positioning of G10 currencies (USD, EUR, GBP, JPY, CAD, CHF, AUD, NZD, NOK, SEK) in the foreign exchange market as of 15 October 2018. The analysis is based on various metrics and is presented in percentile form, rescaled to a -50 to +50 scale, where values above 40 or below -40 indicate extreme positions.

Key Findings

Currency Positioning Scores

• USD: Long positioning was reduced to a score of +13, primarily due to a sharp decline in the FX Fund position tracker score.
• EUR: Lightly short at -12.
• GBP: Neutral at -6.
• JPY: Neutral at -9.
• AUD: Short positioning was squeezed over the past week, with a score of -15.
• NZD: Also saw a squeeze in short positioning, scoring -41.
• CHF: Scored -4, indicating a slight short position.
• CAD: Scored +5, suggesting a small long position.
• NOK: Scored +33, indicating a moderate long position.
• SEK: Scored -20, showing a light short position.

Positioning Metrics

• Client Exposure: Measures internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflects the relative price of calls vs. puts, indicating market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.

Overall Positioning

The overall currency score is calculated as the equally weighted average of the components. This provides a comprehensive view of the market's sentiment across all G10 currencies.

Main Views

• The USD has seen a reduction in long positioning, likely due to market dynamics affecting the FX Fund position tracker.
• AUD and NZD have experienced a squeeze in short positioning, suggesting potential reversal in their positions.
• The EUR, GBP, and JPY are in relatively neutral or light positions, with EUR being slightly short and GBP and JPY neutral.
• CHF is slightly short, while CAD is slightly long.
• NOK has a moderate long position, indicating increased investor interest.

Key Information

• The positioning scores are based on historical data over the past five years.
• The report includes multiple charts and graphs that illustrate the positioning of each currency, with sources attributed to BNP Paribas.
• The analysis is provided by BNP Paribas's Strategy and Economics teams, with contributions from various strategists and economists across different branches and regions.
• The report serves as a marketing communication and is not investment research for the purposes of MiFID II.
• It is intended for Relevant Persons as defined by MiFID II, including Professional Clients and Eligible Counterparties.
• The report may contain back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
• There may be conflicts of interest due to the interaction of the research team with sales and trading, and this should be taken into account when interpreting the data.

Strategy Contacts

Legal and Regulatory Information

• The document is non-independent research and is subject to the UK Financial Conduct Authority rules.
• It may contain "Research" as defined under MiFID II unbundling rules, and is intended for firms that have signed up to BNPP Global Markets Research packages or are out of scope of MiFID II.
• The document is for information purposes only and does not constitute an offer to sell or issue securities.
• BNPP may have a financial interest in the issuers or entities mentioned, and may have acted on the information before publication.
• The information is not guaranteed to be accurate or complete and should not be relied upon as such.
• Transactions involving the products discussed may involve significant risk, including market, counterparty, and liquidity risk.
• The document is intended for Relevant Persons and is not suitable for retail investors.

Additional Information

• The report includes various charts and graphs, such as Chart 1 (overall positioning), Chart 2 (absolute total G10 positioning), and others for individual currencies.
• The document is produced by a BNPP group company and is for the use of intended recipients only.
• It is important to note that all information and opinions are based on BNPP's internal models and may vary depending on different assumptions and models.
• The report may also contain performance data based on back-testing, which is not indicative of future results.