20180416-法国巴黎银行-FX_QUANT_INSIGHT__FX_POSITIONING_ANALYSIS_12页_670kb

FX Positioning Analysis Summary - 16 April 2018

Core Content Overview

This report from BNP Paribas London Branch provides a detailed analysis of FX positioning scores for various currencies, based on data from the prior five years. The scores are on a -50 to +50 scale and represent percentiles of historical data. Extreme positions are indicated when scores are above +40 or below -40.

Key Currencies and Positioning

• GBP (British Pound):
  The market has increased long GBP positions over the week, with the score rising from +13 to +28. FX funds have shifted from holding GBP shorts to small long positions.

• SEK (Swedish Krona):
  SEK shorts have increased to a score of -40, indicating a strong bearish sentiment.

• NOK (Norwegian Krone):
  NOK long positions have also increased, resulting in the largest long position in the history of the metric relative to SEK.

• JPY (Japanese Yen):
  Long JPY positions have been reduced further this week to a score of +12, showing a more cautious stance.

Positioning Metrics

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 currency fund positioning
• BNPP Trending Indicator: A technical measure of currency momentum

Positioning Scores Table

Charts Mentioned

• Chart 1: BNP Paribas FX Positioning Analysis – Overall 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: 1 Year historic plot of G10 currency positioning individual scores

Additional Information

• The report includes contact details for FX strategists and production/editing teams.
• It provides links to BNP Paribas' online resources such as the Global Fixed Income Website and Bloomberg research sections.
• The document contains legal notices and disclaimers, emphasizing that it is non-independent research and not investment advice. It is a marketing communication and should not be relied upon as a prospectus or public offering.
• The document also includes important disclosures for options, ETFs, and convertible securities, highlighting potential conflicts of interest and the need for independent professional advice.

Legal Disclaimer

• The document is not investment research and is not subject to the independence requirements of MiFID II.
• It may contain performance data based on back-testing, which is for illustrative purposes only and does not guarantee future results.
• BNP Paribas may have financial interests in the issuers or products mentioned, including acting as a market maker or advisor.
• The information is confidential and may not be distributed without prior written consent.
• The document is for the general information of BNP Paribas' clients and is a general solicitation of derivatives business.