巴黎银行-全球-外汇策略-全球外汇定位分析-20190408-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL8April2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™FXinvestorsremainmoderatelylongtheUSDwithascoreof+12(-/+50scale).EURshortshavereducedslightly,toascoreof-18.EURshortexposureremainsthelargestG10FXpositionintheG10.ThemarkethasparedbackitsshortAUDpositioningtoascoreof-9(from-19lastweek)astheRiskReversalcomponentcontinuestoindicatebuildingofAUDlongs.NZDlongshaveunwound;themarkethasextendedshortsonNZDtoascoreof-12.TheBuySellPressurecomponenthasturnedsignificantlyshortNZD.LongJPYpositioninghasunwoundtoascoreof+10(from+16lastweek).Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure18350231-3USD-20-21-1412-23-41EUR-1-7947-817JPY4122-27-15430GBP-13-39-3546157CHF-15-3121-47-531CAD1-4437-4310-17AUD-35620-20-6-38NZD43-26-41341NOK-18--22-46-29SEK-18-16-12-9-8-39101214-50-40-30-20-1001020304050EURSEKNZDAUDCADCHFGBPJPYUSDNOK05-Apr-201929-Mar-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smome...