巴黎银行-全球-外汇策略-全球外汇定位分析-20190214-8页_1mb
报告摘要
FX Positioning Analysis Summary (Global) - 14 February 2019
Core Content Overview
This document provides an analysis of FX positioning scores for G10 currencies as of 14 February 2019. The positioning scores are based on a percentile scale derived from the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are defined as those above 40 or below -40.
Key Positioning Scores
| Currency | Position Score | Notes |
|---|---|---|
| USD | +12 | Long positions increased due to Fund Tracker component |
| JPY | +18 | Long positions extended |
| EUR | -16 | Market shorts extended |
| GBP | -11 | Market shorts extended |
| CHF | -7 | Market shorts extended |
| AUD | -19 | Largest short in G10 |
| SEK | -2 | Squeezed shorts due to Buy and Sell pressure and Fund Tracker |
| NOK | +12 | Long positions reduced |
| NZD | +7 | Long positions reduced |
| CAD | +2 | Long positions reduced |
Interpretation of Positioning Scores
- A score of +12 means that 12% of observations over the past five years have been below the current observation (after adding 50).
- A score of -16 means that 16% of observations over the past five years have been above the current observation (after adding 50).
Components of FX Positioning Analysis
The report includes multiple components that contribute to the overall positioning scores:
- Client Exposure: Internal sales desks' estimate of FX investor exposure
- IMM (Commitment of Traders): Proxy for US-based hedge-fund/CTA activity
- Risk Reversals: Relative price of calls to puts, indicating market sentiment
- FX Fund Position Tracker: Regression-based decomposition of fund positioning
- BNPP Trending Indicator: Technical measure of currency momentum
- Buy Sell Pressure: Indicator of price momentum and direction using tick data and aggressor information
Charts and Visuals
- Chart 1: Overall FX positioning scores
- Chart 2: Absolute total G10 positioning
- Chart 3: USD overall positioning
- Chart 4: GBP overall positioning
- Chart 5: EUR overall positioning
- Chart 6: JPY overall positioning
- Chart 7: AUD overall positioning
- Chart 8: CAD overall positioning
- Chart 9: NZD overall positioning
- Chart 10: CHF overall positioning
- Chart 11: NOK overall positioning
- Chart 12: SEK overall positioning
All charts are sourced from BNP Paribas.
Strategy Contacts
Strategists
| Name | Job Title | Legal Entity | Phone Number |
|---|---|---|---|
| Michael Sneyd, CFA | Head of Macro Quantitative & Derivatives Strategy | BNP Paribas London branch | 44 20 7595 1307 |
| Sam Lynton-Brown, CFA | Head of G10 FX Strategy, Europe | BNP Paribas London branch | 44 20 7595 8467 |
| Parisha Saimbi | G10 FX and Sterling Rates Strategist | BNP Paribas London branch | 44 20 75958351 |
| Alex Jekov | FX Strategist | BNP Paribas London branch | 44 20 7595 4185 |
| Shaun Daly | FX Strategist | BNP Paribas London branch | 44 20 7595 1870 |
| Daniel Katzive, CFA | Head of FX Strategy North America | BNP Paribas Securities Corp (New York) | 1 212 841 2408 |
| Vasilis Koutsaftis | FX Options Strategist | BNP Paribas Securities Corp (New York) | 1 212 471 7973 |
| Wike Groenenberg | Head of Emerging Markets Research, CEEMEA & APAC | BNP Paribas London branch | 44 20 7595 8746 |
| Altaz Daga | APAC IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Dawn Kwa | Asia FX & IR Strategist | BNP Paribas Singapore Branch | 65 6210 3263 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head of Global Emerging Markets Strategy | Banco BNP Paribas Brasil S.A. (São Paulo) | 55 11 3841 3421 |
| Samuel Castro | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (São Paulo) | 55 11 3841 3492 |
| Luca Maia | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (São Paulo) | 55 11 3841 3447 |
| Andre Digiacomo | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (São Paulo) | 55 11 3841 3445 |
| Kris Gjini | Cross Asset Strategist | BNP Paribas London branch | 44 20 7595 1603 |
| Benedicte Lowe | Cross Asset Strategist | BNP Paribas London branch | 44 20 7595 1993 |
Editorial and Production
| Name | Coverage | Legal Entity | Phone Number |
|---|---|---|---|
| Amanda Grantham-Hill | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 1687 |
| Anna McLaughlin | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 3754 |
| Elina Talvitie | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 2588 |
| Jessica Bakioui | Market Economics and Strategy | BNP Paribas London Branch | 44 20 7595 8478 |
| Varghese Joseph | Market Economics and Strategy | BNP Paribas Securities Corp | 1 212 841 3698 |
Disclaimer and Legal Notice
- This document is non-independent research and may be subject to conflicts of interest.
- It is not investment research for the purpose of MiFID II.
- It does not constitute an offer to sell or issue any financial instruments.
- It may include "Research" as defined under MiFID II unbundling rules, intended for specific firms.
- No liability is accepted for any use of or reliance on the information contained.
- BNPP may have financial interests in the issuers or persons mentioned.
- This document is for the use of intended recipients and may not be reproduced or distributed without prior consent.
- It is a marketing communication and not a prospectus or public offering.
- It may include simulated performance data and is not indicative of future results.
- It is intended to generate discussion and is subject to change or discontinuation.
- All information is provided on a strictly confidential basis.
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