20180828-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_13页_741kb
报告摘要
FX Positioning Analysis Summary (28 August 2018)
Core Content Overview
This document provides an analysis of the G10 FX positioning as of 28 August 2018, produced by BNP Paribas London Branch, authored by Michael Sneyd (Global Head of FX Strategy & Cross-Asset Strategist) and Alexander Jekov (Graduate). The report includes insights from multiple positioning indicators and highlights the market sentiment and exposure levels across major G10 currencies.
Key Findings
- Overall G10 FX positioning is at a 1-year high, indicating a significant shift in market sentiment.
- The USD long positioning has decreased to +29 (from +31 previously), suggesting a slight reduction in bullish sentiment.
- EUR short positioning has been reduced to -12, indicating a more neutral or slightly bearish stance compared to earlier periods.
- GBP remains heavily shorted with a positioning score of -32, and all five components are in negative territory, showing a sharp increase in short exposure over the past week.
- The positioning scores are reported as percentiles based on the prior five years of data, rescaled to a -50 to +50 range. Values above +40 or below -40 are considered extreme positions.
Positioning Indicators
The report uses the following indicators to assess FX positioning:
- 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 versus puts, incorporating option market sentiment.
- FX Fund Position Tracker: A regression-based decomposition of fund positioning.
- BNPP Trending Indicator: A technical measure of currency momentum strength.
Positioning Scores for G10 Currencies
| Currency | Client Exposure | IMM | Risk Reversals | FX Fund Position Tracker | BNPP Trending Indicator |
|---|---|---|---|---|---|
| USD | 33 | 32 | 26 | 41 | 12 |
| EUR | -3 | 13 | -43 | -42 | 17 |
| JPY | 4 | 9 | 24 | 49 | 12 |
| GBP | -41 | -50 | -27 | -31 | -23 |
| CAD | -12 | -11 | 29 | -46 | 35 |
| AUD | -1 | -41 | -12 | -46 | -7 |
| NZD | -43 | -49 | -1 | -47 | -26 |
| NOK | 22 | - | 29 | 15 | -6 |
| SEK | -27 | - | -28 | -40 | -40 |
Charts and Visuals
- Chart 1: Overall FX positioning (BNP Paribas FX Positioning Analysis)
- 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
- Chart 13: USD positioning components
- Chart 14: GBP positioning components
- Chart 15: EUR positioning components
- Chart 16: JPY positioning components
- Chart 17: AUD positioning components
- Chart 18: CAD positioning components
- Chart 19: NZD positioning components
- Chart 20: CHF positioning components
- Chart 21: NOK positioning components
- Chart 22: SEK positioning components
All charts are sourced from BNP Paribas.
Legal and Regulatory Information
- The document is non-independent research and is intended for Relevant Persons as defined under MiFID II.
- It may contain "Research" as defined under the MiFID II unbundling rules and is intended for firms that have signed up to a BNPP Global Markets Research package or are out of scope of the unbundling rules.
- STEER™ is a trademark of BNP Paribas.
- The document does not constitute an offer to sell or issue any financial instrument.
- It is not investment research and should not be relied upon for making investment decisions.
- BNP Paribas may have conflicts of interest due to its involvement in transactions with the entities mentioned, and may engage in transactions inconsistent with the views expressed.
Important Disclosures
- Options: Complex instruments with high risk, suitable only for sophisticated investors.
- ETFs: May involve tracking error, currency and geopolitical risks, and credit/interest rate risks.
- Convertibles Securities: May not be registered under US Securities Laws and are restricted securities under Rule 144A or Regulation S.
- U.S. Distribution: Limited to institutional investors or major U.S. institutional investors.
- Confidentiality: The document is provided strictly confidential and may not be distributed without prior written consent.
- No Liability: BNPP and its affiliates disclaim any liability for the accuracy or completeness of the information, models, or calculations used.
FX Strategy Contacts
| Name | Job Title | Legal Entity | Phone Number |
|---|---|---|---|
| Michael Sneyd, CFA | Global Head of FX Strategy & Cross-Asset Strategist | BNP Paribas London branch | 44 20 7595 1307 |
| Sam Lynton-Brown | FX Strategist | BNP Paribas London branch | 44 20 7595 8467 |
| Natalie Rickard | FX Strategist | BNP Paribas London branch | 44 20 7595 8270 |
| Alex Jekov | Graduate | BNP Paribas London branch | 44 20 7595 4185 |
| 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 |
| Marcelo Carvalho | Head of Emerging Markets Research, Latam | Banco BNP Paribas Brasil S.A. (São Paulo) | 55 11 3841 3418 |
| Shaun Daly | FX & IR CEEMEA Graduate | BNP Paribas London branch | 44 20 7595 1870 |
| Erkin Isik, CFA | FX & IR CEEMEA Strategist | Turk Ekonomi Bank A.S. (Istanbul) | 90 216 635 2987 |
| 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 FX & IR Latam 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 |
Production Team
| Name | Role | Location | Legal Entity | Phone Number |
|---|---|---|---|---|
| Barbara Consuelo | Production | London | BNP Paribas London branch | 44 20 7595 8486 |
| Amanda Grantham-Hill | Editorial | London | BNP Paribas London branch | 44 20 7595 4107 |
| Anna McLaughlin | Editorial | London | BNP Paribas London branch | 44 20 7595 3754 |
| Varghese Joseph | Production | New York | BNP Paribas Securities Corp (New York) | 1 212 841 3698 |
Disclaimer
- The document is not investment research and should not be used as the sole basis for investment decisions.
- No guarantee is made regarding the accuracy or completeness of the information.
- Back-tested performance is provided for illustrative purposes and does not reflect real-world conditions.
- Indicative prices are based on internal models and may vary significantly from other sources.
- No liability is accepted for any losses arising from the use of this document.
- Confidentiality is maintained for all information provided.
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载
