20181105-法国巴黎银行-FX_POSITIONING_ANALYSIS_GLOBAL_MACRO_QUANT_STRATEGY_G10_FX_12页_1020kb

FX Positioning Analysis Summary | Global

Document Overview

This report, dated 5 November 2018, provides an analysis of G10 currency positioning scores based on multiple components including FX Fund Position Tracker, Client Exposure, IMM, Risk Reversals, and BNPP Trending Indicator. The scores are based on historical data from the past five years, rescaled to a range of -50 to +50. Values above 40 or below -40 indicate extreme positions.

Core Content and Key Findings

Currency Positioning Scores

• USD: Long positioning increased to +23 from +15 last week, driven by the FX Fund Position Tracker unwinding USD shorts.
• EUR: Long positioning score is 34, while short positioning is -7.
• JPY: Long positioning score is -38, and short positioning is 17.
• GBP: Shorts increased to -24, primarily due to the FX Fund Position Tracker unwinding longs and building short positions.
• CAD: Long positioning decreased as the Client Survey component built shorts.
• AUD: Shorts continue to be squeezed, with a score of -9.
• NZD: Shorts are at -16.
• CHF: Shorts are at -5, with the FX Fund Position Tracker at -29.
• NOK: Positioning score is 29.
• SEK: Positioning score is -20.

Positioning Interpretation

• Positioning scores are reported as percentiles based on the prior five years of data.
• A score of -27 implies that 23% of historical observations were below the current level (after adding 50).
• Extreme positions are defined as those above +40 or below -40.

Components of Positioning Analysis

Key Observations

• USD is showing a more bullish stance, with increased long positioning.
• GBP is experiencing a significant increase in short positions, indicating a bearish sentiment.
• AUD and NZD continue to face pressure from short positions, though their scores have slightly improved.
• EUR and CHF show mixed signals, with some components indicating long positions and others short.
• CAD has reduced long positioning due to short building from the Client Survey component.
• The FX Fund Position Tracker is a key component in determining the positioning scores, particularly for USD, GBP, and CAD.

Main Views

• The report highlights the shifting dynamics in G10 currency positioning, influenced by various market indicators and investor behavior.
• It emphasizes that positioning scores reflect the collective sentiment of FX investors and market participants.
• The analysis is based on a combination of quantitative and qualitative data, including internal sales desks' estimates, COT reports, and technical indicators.

Charts and Visuals

• Chart 1: Overall positioning of G10 currencies.
• Chart 3, 5, 7, 9, 11, 13, 15, 16, 17, 18, 19, 20, 21, 22: Individual positioning scores for each currency over different timeframes.
• All charts are sourced from BNP Paribas.

Strategy Contacts

• Strategists:

  • Michael Sneyd, CFA - Head of Macro Quantitative & Derivatives Strategy
  • Sam Lynton-Brown - FX 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
  • Erkin Isik, CFA - FX & IR CEEMEA Strategist
  • 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:

  • Barbara Consuelo - London

• Editorial:

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

Legal and Compliance Notes

• The document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not intended as investment research.
• Information is based on public sources and may not have been independently verified.
• BNPP may have financial interests in the issuers or instruments discussed.
• The document does not constitute a prospectus or an offer to sell.
• It is for informational purposes only and should not be relied upon as authoritative.
• It may contain back-tested performance data and is not a guarantee of future results.
• The document is intended for professional clients and eligible counterparties.
• It is subject to change and may be discontinued at any time.

Additional Information

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES / BNP
• The document may contain ETF and options disclosures, and is only available to eligible investors.
• For U.S. persons, transactions must be conducted through BNPP Securities Corp.
• In the UK, the document is communicated by BNPP London Branch.
• In France, the report is produced and/or distributed by BNPP SA and/or BNPP Arbitrage.