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巴黎银行-全球-外汇策略-全球外汇定位分析-20190513-13页.pdf

1、MACRO QUANT STRATEGY|G10 FX Please refer to important information at the end of the report FLASH|FX POSITIONING ANALYSIS|GLOBAL 13 May 2019 Michael Sneyd,CFAAlex Jekov,Head of Macro Quantitative&Derivatives Strategy|Kris Gjini,FX Strategist|,Macro Quant Strategist|Benedicte Lowe ,Cross Asset Strateg

2、ist|BNP Paribas London Branch USD longs are pared back to a score of+9(-/+50 scale)from+14 last week as a result of theRisk Reversal and Client Survey components turning more negative on the USD.GBP longs are reduced to a score of+17 as the Risk Reversal and the BNP Paribas TrendingIndicator compone

3、nts reduce longs.FX investors extend JPY longs to a score of+14 driven by all components turning morepositive on the JPY.AUD and NZD shorts extend to scores of-22 and-18 respectively.Fig.1:BNP Paribas FX Positioning Analysis overall positioning*Source:BNP Paribas*The positioning scores above are rep

4、orted as a percentile based on the prior five years of data.These percentiles are rescaled to give a value between 50 and+50.Values above 40 and below 40 represent extreme positions.To interpret a score of 27,for example,add 50 to give 23.This tells us that 23%of observations over the past five year

5、s have been below the current observation.Client Exposure IMM Risk Reversals FX Fund Position Tracker BNPP Trending Indicator Buy Sell Pressure 19 43-23 11 4-2 USD-5-20-17 25 9-25 EUR 21-27 28 3 32 28 JPY 28 23 27-29 12 39 GBP-28-46-36 4 11-26 CHF-18-32 23 1 8 3 CAD-12-43-21-23-14-17 AUD-31-33-24 45

6、-20-42 NZD 26-15 36-13 14 NOK-41-35-20-39-39 SEK-35-22-20-18-6-3 9 14 16 17-50-40-30-20-1001020304050SEKAUDCHFNZDEURCADUSDJPYNOKGBP13-May-201906-May-2019SHORT LONG SHORT LONG SHORT LONG SHORT LONG Client exposure Internal sales desks estimate of FX investor exposure.IMM The commitment of traders(COT

7、)is a widely used proxy for US-based hedge-fund/CTA activity.Risk reversals Risk reversals indicate the relative price of calls relative to puts,and thus incorporate an option“market sentiment”.FX Fund position tracker Regression based decomposition of currency fund positioning.BNPP trending indicat

8、or A technical measure of the strength of a currencys momentum.Buy sell pressure An indicator of price momentum and direction that utilises tick data,aggressor information and price movements.The overall currency score is then calculated as the equally weighted average of the componentsMACRO QUANT S

9、TRATEGY|G10 FX 2 13 May 2019 Fig.2:Absolute total G10 positioning Three-year plot of G10 currency positioning scores Fig.3:USD overall positioning Fig.4:GBP overall positioning Fig.5:EUR overall positioning Fig.6:JPY overall positioning Fig.7:AUD overall positioning Fig.8:CAD overall positioning All

10、 chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 3 13 May 2019 Fig.9:NZD overall positioning Fig.10:CHF overall positioning Fig.11:NOK overall positioning Fig.12:SEK overall positioning All chart sources:BNP Paribas All chart sources:BNP Paribas One-year plot of G

11、10 currency positioning individual scores Fig.13:USD positioning components Fig.14:GBP positioning components Fig.15:EUR positioning components Fig.16:JPY positioning components All chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 4 13 May 2019 Fig.17:AUD positioni

12、ng components Fig.18:CAD positioning components Fig.19:NZD positioning components Fig.20:CHF positioning components Fig.21:NOK positioning components Fig.22:SEK positioning components All chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 5 13 May 2019 STRATEGY CONTA

13、CTS STRATEGIST JOB TITLE LEGAL ENTITY PHONE 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 BN

14、P Paribas London branch 44 20 75958351 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 7

15、973 Altaz Dagha 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 Par

16、ibas Brasil S.A.(Sao Paulo)55 11 3841 3421 Samuel Castro FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3492 Luca Maia FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3447 Andre Digiacomo FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Pa

17、ulo)55 11 3841 3445 Kris Gjini Macro Quantitative 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 COVERAGE LEGAL ENTITY PHONE Amanda Grantham-Hill Market Economics and Strategy BNP Paribas L

18、ondon Branch 44 20 7595 1687 Anna McLauchlin 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 Bakkioui Market Economics and Strategy BNP Paribas London Branch 44 20 7595 8478 Varghes

19、e Joseph Market Economics and Strategy BNP Paribas Securities Corp 1 212 841 3698 Online BNP Paribas Global Markets website BNP Paribas Strategy website Fixed Income Research BPFR Emerging Markets Research BPFR G10 Interest Rate Research BPBS Market Economics BPEC MACRO QUANT STRATEGY|G10 FX 6 13 Ma

20、y 2019 Legal Notice This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and trading

21、which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent research constitutes a marketing com

22、munication.This document is not investment research for the purposes of MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition on dealing ahead of the dissemination of investment resear

23、ch.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules and have signed up to one of the BNPP Global

24、Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use the Research content in this document if your firm has not si

25、gned up to one of the BNPP Global Markets Research packages,except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP Paribas This document constitutes a marketing communication and has been prepared by BNPP for,and is di

26、rected at,(a)Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to investments falling within Article 19(5)of the Financial Servic

27、es and Markets Act 2000(Financial Promotion)Order 2005,and at other persons to whom it may lawfully be communicated(together“Relevant Persons”)under the regulations of any relevant jurisdiction.Any investment or investment activity to which this document relates is available only to and will be enga

28、ged in only with Relevant Persons.Any person who is not a Relevant Person should not act or rely on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.The information and opinions contained in this document

29、 have been obtained from,or are based on,public sources believed to be reliable,but there is no guarantee of the accuracy,completeness or fitness for any particular purpose of such information and such information may not have been independently verified by BNPP or by any person.None of BNPP,any of

30、its subsidiary undertakings or affiliates or its members,directors,officers,agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of the information or any opinions based thereon and conta

31、ined in this document and it should not be relied upon as such.This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any part of it nor the fact of its distribution form the basis o

32、f,or be relied on,in connection with any contract or investment decision.To the extent that any transaction is subsequently entered into between the recipient and BNPP,such transaction will be entered into upon such terms as may be agreed by the parties in the relevant documentation.Information and

33、opinions contained in this document are published for the information of recipients,but are not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient,are subject to change without notice and not intended to provide the sole basis of any evaluation

34、of the instruments discussed herein.In providing this document,BNPP does not offer investment,financial,legal,tax or any other type of advice to,nor has any fiduciary duties towards,recipients.Any reference to past performance is not indicative of future performance,which may be better or worse than

35、 prior results.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditions,and historical data selected by BNPP,and should not be used as guidance,in any way,of future performance.To the fullest extent permi

36、tted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility of such losses.All estimates and opinions included in this

37、document are made as of the date of this document.Unless otherwise indicated in this document there is no intention to update this document.BNPP may make a market in,or may,as principal or agent,buy or sell securities of any issuer or person mentioned in this document or derivatives thereon.Prices,y

38、ields and other similar information included in this document are included for information purposes however numerous factors will affect market pricing at any particular time,such information may be subject to rapid change and there is no certainty that transactions could be executed at any specifie

39、d price.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in their securities and/or options,futures or other derivative instruments based thereon,or vice versa.BNPP,including its officers and employees may serve or have served a

40、s an officer,director or in an advisory capacity for any person mentioned in this document.BNPP may,from time to time,solicit,perform or have performed investment banking,underwriting or other services(including acting as adviser,manager,underwriter or lender)within the last 12 months for any person

41、 referred to in this document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to the extent permitted by law,have acted upon or used the information contained herein,or the analysis on which it was based,before the document was published.BNPP

42、may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document.Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to v

43、erify its factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into on such indicative terms.Any indicative price(s)contained herein have been prepared in good faith in accordance with BNPPs own internal models and calculation

44、 methods and/or are based on or use available price sources where considered relevant.Indicative price(s)based on different models or assumptions may yield different results.Numerous factors may affect the price(s),which may or may not be taken into account.Therefore,these indicative price(s)may var

45、y significantly from indicative price(s)obtained from other sources or market participants.BNPP expressly disclaims any MACRO QUANT STRATEGY|G10 FX 7 13 May 2019 responsibility for the accuracy or completeness of its own internal models or calculation methods,the accuracy or reliability of any price

46、 sources used,any errors or omissions in computing or disseminating these indicative price(s),and for any use you make of the price(s)provided.The indicative price(s)do not represent(i)the actual terms on which a new transaction could be entered into,(ii)the actual terms on which any existing transa

47、ctions could be unwound,(iii)the calculation or estimate of an amount that would be payable following an early termination of the transactions or(iv)the price(s)given to the transactions by BNPP in its own books of account for financial reporting,credit or risk management purposes.As an investment b

48、ank with a wide range of activities,BNPP may face conflicts of interest,which are resolved under applicable legal provisions and internal guidelines.You should be aware,however,that BNPP may engage in transactions in a manner inconsistent with the views expressed in this document,either for its own

49、account or for the account of its clients.This document may contain certain performance data based on back-testing,i.e.simulations of performance of a strategy,index or assets as if it had actually existed during a defined period of time.To the extent any such performance data is included,the scenar

50、ios,simulations,development expectations and forecasts contained in this document are for illustrative purposes only.All estimates and opinions included in this document constitute the judgment of BNPP and its affiliates as of the date of the document and may be subject to change without notice.This

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