巴黎银行-全球-外汇策略-外汇定位分析-20180910-13页_759kb

FX Positioning Analysis Summary (10 September 2018)

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov, outlining the current market sentiment and positioning across G10 currencies. The report is based on data from the prior five years, with positioning scores rescaled to a -50 to +50 scale, where values above 40 or below -40 are considered extreme.

Key Findings

• USD Positioning:
  USD longs increased slightly to a score of +31. This suggests a moderate bullish sentiment towards the US dollar.

• AUD and NZD Positioning:
  FX investors extended AUD shorts to -35 and NZD shorts to -42, driven by the Risk Reversal component increasing short positions for both currencies.

• GBP Positioning:
  GBP shorts remained lighter than in mid-August, at -12, indicating potential for shorts to be re-established.

• SEK Positioning:
  SEK shorts were pared back to -13 from -20 over the past week, as the FX Funds component unwound shorts.

Components of Positioning Analysis

The overall positioning score for each currency 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, indicating market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum strength.

Currency Positioning Scores

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	34	28	40	31	21
EUR	3	18	-44	-36	5
JPY	6	5	28	46	23
GBP	-38	-37	-18	-44	-8
CHF	19	-46	14	46	46
CAD	-8	-13	24	-48	-44
AUD	-7	-38	-45	-43	-39
NZD	-43	-48	-33	-48	-39
NOK	19	-	20	29	-17
SEK	-28	-	-21	4	-6

Charts Mentioned

• Chart 1: Overall FX positioning.
• 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.

Legal and Disclaimer Information

• The document is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading.
• It is intended for Relevant Persons as defined under MiFID II and is not for public offering or solicitation.
• It is not investment research and should not be relied upon for investment decisions.
• Indicative prices are based on internal models and may vary significantly from other sources.
• The document may contain back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
• The information is strictly confidential and may not be copied, reproduced, or distributed without prior written consent.

Contact Information

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Alexander Jekov: FX Strategist, BNP Paribas London Branch
• Sam Lynton-Brown: FX Strategist
• Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York)
• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC
• Production Team: Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, Varghese Joseph

Additional Information

• The document is available on the BNP Paribas Global Fixed Income Website.
• It is also accessible via Bloomberg under the following research packages:
  • Fixed Income Research (BPFR)
  • G10 Interest Rate Research (BPBS)
  • Emerging Markets Research (BPFR)
  • Market Economics (BPEC)

US Disclosures

• Options Disclosures: Options are complex and may be suitable only for sophisticated investors.
• ETF Disclosures: ETFs carry risks including tracking error, currency, and geopolitical risks.
• Convertibles and Unregistered Securities: Certain securities may not be registered under US laws and are restricted.
• Distribution Restrictions: The report may be distributed only to certain qualified investors.

UK Disclosures

• The document is communicated by BNP Paribas London Branch, authorized by the ECB, ACPR, and Financial Conduct Authority.
• It is registered in England and Wales under no. FC13447.

General Disclaimer

• This document is for informational purposes only and does not constitute a prospectus or public offering.
• No assurance is given that any transaction will be entered into on the terms indicated.
• All estimates and opinions are subject to change without notice.