20171218-法国巴黎银行-FX_Positioning_Analysis_10页_748kb

FX STRATEGY | FX QUANT INSIGHT - Summary

Core Content Overview

This document provides an FX Positioning Analysis by BNP Paribas London Branch, authored by Nathalie Rickard, an FX Strategist. It outlines the current sentiment and positioning of major G10 currencies as of 18 December 2017, using a variety of indicators and a percentile-based scoring system ranging from -50 to +50. The analysis is intended for professional clients and relevant persons, and includes important legal and regulatory disclosures.

Key Currency Positioning Insights

• USD: The largest short position in the G10, with an overall score of -26. This indicates that 23% of historical observations over the past five years have been below the current position, suggesting a relatively extreme short bias.
• EUR: Long EUR positions have been moderated, with the score falling to +18. This implies a more balanced stance compared to previous weeks.
• GBP: Bullish sentiment has reduced, with the score at +7. Despite remaining long, the position is less extreme than before.
• NZD: Large short positions have been largely unwound, indicating a shift in sentiment towards the currency.

Positioning Indicators

The overall positioning score is calculated as an equally weighted average of the following components:

• 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 vs. puts, incorporating market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.

Charts and Visuals

• Chart 1: Overall FX Positioning (Percentile-based score).
• 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.
• 3-Year Historic Plot: Shows the evolution of G10 positioning scores over time.

FX Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal and Distribution Notice

• The document is non-independent research and is a marketing communication.
• It is not investment research and does not constitute an offer to sell or purchase any financial instruments.
• BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document is intended for professional clients and relevant persons only.
• It may contain back-tested performance data, which is for illustrative purposes only.
• No assurance is given that any indicated returns or results will be achieved.
• The document is confidential and may not be distributed without prior written consent.
• BNP Paribas may act as a market maker, advisor, or underwriter in the financial instruments discussed.

Regulatory Disclosures

• United States: Disclosures regarding options and ETFs are provided, emphasizing the risks and suitability of these instruments.
• UK: The document is produced by BNP Paribas London Branch, authorized and supervised by ECB and ACPR.
• France: The report is distributed by BNP Paribas SA and BNP Paribas Arbitrage, both authorized and supervised by ECB and ACPR.
• Germany: Distributed by BNP Paribas Niederlassung Deutschland, authorized and supervised by ECB and ACPR.
• Belgium: Distributed by BNP Paribas Fortis SA/NV, supervised by ECB, National Bank of Belgium, and FSMA.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France by ECB and ACPR.

Distribution Contact

• Barbara Consuelo: Foreign Exchange, London. Tel: 44 20 7595 8486, Email: Barbara.Consuelo@uk.bnpparibas.com
• Amanda Grantham-Hill: London. Tel: 44 20 7595 4107, Email: amanda.grantham-hill@uk.bnpparibas.com
• Anna McLauchlin: London. Tel: 44 20 7595 3754, Email: anna.mclauchlin@uk.bnpparibas.com
• Varghese Joseph: New York. Tel: 1 212 841 3698, Email: varghese.joseph@consultant.bnpparibas.com

Disclaimer

• This document does not constitute a prospectus or public offering.
• No liability is accepted for any loss arising from reliance on the information contained.
• All information is based on public sources and is not guaranteed for accuracy or completeness.
• BNP Paribas may use or act on the information before its publication.
• This document is for information purposes only and may be subject to change or discontinuation.