20181108-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1022kb

报告摘要

FX Positioning Analysis Summary | G10 Currencies

Overview

This report, dated 8 November 2018, provides a detailed analysis of the positioning of G10 currencies by FX investors, using various components such as Client Exposure, IMM, Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are based on historical data from the past five years and are rescaled to a range of -50 to +50. Extreme positions are defined as scores above 40 or below -40.

Key Findings

USD Positioning: The USD remains the most longed currency in the G10, with a score of +22, indicating a strong bullish sentiment.
CAD Positioning: FX investors have reduced their long positions in CAD from +19 to +7, driven by the Client Survey and the Risk Reversal component turning more bearish.
GBP Positioning: GBP shorts have increased to -24, reflecting unwinding of long positions and building of short positions by the FX Fund Position Tracker component.
AUD and NZD Positioning: Both currencies have seen their short positions squeezed significantly, from -16 and -23 respectively to -5 and -8 over the past week.
CHF Positioning: CHF has a score of -5, with the FX Fund Position Tracker indicating a shift towards long positions.
EUR Positioning: EUR has a score of -7, with the FX Fund Position Tracker showing a slight bearish trend.
JPY Positioning: JPY has a score of -1, with the Risk Reversal component showing a slight bullish trend.
NOK Positioning: NOK has a score of +29, indicating a strong bullish sentiment.
SEK Positioning: SEK has a score of -20, with a bearish trend from the FX Fund Position Tracker and Risk Reversals.

Components of Positioning Analysis

Component	Description
Client Exposure	Internal sales desks' estimate of FX investor exposure
IMM	Commitment of traders (COT) proxy for US-based hedge-fund/CTA activity
Risk Reversals	Indicates the relative price of calls vs. puts, reflecting market sentiment
FX Fund Position Tracker	Regression-based decomposition of currency fund positioning
BNPP Trending Indicator	Technical measure of currency momentum

Strategy Contacts

Strategist	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	FX Strategist	BNP Paribas London branch	44 20 7595 8467
Alex Jekov	FX Strategist	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
Shaun Daly	Graduate	BNP Paribas London branch	44 20 7595 1870
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

Legal and Regulatory Notes

This document is non-independent research and is a marketing communication under MiFID II.
It is intended for Professional Clients and Eligible Counterparties.
It does not constitute investment research and is not subject to any prohibition on dealing ahead of dissemination.
The information is based on public sources and may not have been independently verified.
No guarantees are made regarding the accuracy or completeness of the information.
Indicative prices are not actual transaction terms and may vary significantly.
BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
This document is not a prospectus and does not constitute an offer to buy or sell securities.

Additional Disclosures

Options Disclosures: Options are complex instruments with high risk and are only suitable for sophisticated investors.
ETF Disclosures: ETFs have general investment risks, including tracking error and potential losses.
Convertibles and Unregistered Securities: Some securities discussed may be restricted and only available to QIBs or non-US persons.
Distribution Restrictions: The report may be distributed only to institutional investors or major U.S. institutional investors as defined by relevant regulations.