20181018-法国巴黎银行-FX_POSITIONING_ANALYSIS_GLOBAL__MACRO_QUANT_STRATEGY_G10_FX_12页_1020kb

FX Positioning Analysis Summary | G10 Currencies

Core Content Overview

This document provides a detailed analysis of the positioning of G10 currencies as of 18 October 2018, based on data from BNP Paribas. The analysis is derived from various sources including FX funds, client exposure, IMM (Commitment of Traders), risk reversals, and the BNPP Trending Indicator. These metrics are used to assess the market sentiment and positioning of currencies on a percentile scale ranging from -50 to +50, where values above 40 or below -40 indicate extreme positions.

Key Findings

• USD Positioning: The long positioning score for USD has decreased from +24 to +14, primarily due to increased short exposure by FX funds.
• GBP, EUR, JPY, CHF: Short positions have been extended in these currencies.
• AUD and NZD: Short positions have been squeezed, indicating reduced short exposure.
• SEK: Most of the short positioning has been unwound, moving from -29 to -8.
• CAD: Long positioning remains firm at +23, with FX funds showing particularly strong long exposure.

Positioning Components Table

Interpretation of Positioning Scores

• The positioning scores are calculated as a percentile based on the prior five years of data, rescaled between -50 and +50.
• A score of +14 means that 14% of observations over the past five years have been below the current observation.
• A score of -8 means that 8% of observations over the past five years have been above the current observation.

Methodology

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflect the relative price of calls compared 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 an equally weighted average of the components.

Strategy Contacts

• London Branch:

  • Michael Sneyd, CFA – Head of Macro Quantitative & Derivatives Strategy
  • Sam Lynton-Brown – FX Strategist
  • Alex Jekov – FX Strategist
  • Shaun Daly – Graduate
  • Kris Gjini – Cross Asset Strategist
  • Benedicte Lowe – Cross Asset Strategist

• New York:

  • Daniel Katzive, CFA – Head of FX Strategy North America
  • Vasilis Koutsaftis – FX Options Strategist

• Other Branches:

  • 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

Legal and Compliance Information

• This document is non-independent research and is a marketing communication.
• It does not constitute investment research and is not subject to any prohibition on dealing ahead of dissemination.
• BNPP may have conflicts of interest due to its interactions with sales and trading, and these are resolved under legal provisions and internal guidelines.
• The document may contain back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
• It is intended for professional clients and eligible counterparties only and may not be used by non-Relevant Persons.

Disclaimer

• The information in this document is for informational purposes only and does not constitute a prospectus or public offering.
• BNPP does not provide investment, financial, legal, or tax advice.
• The document may not be reproduced or distributed without prior written consent.
• Indicative prices and terms are not actual transaction terms and are subject to change.