巴黎银行-全球-外汇市场-外汇定位分析-20180122-12页_926kb

报告摘要

FX Positioning Analysis Summary - 22 January 2018

Core Content Overview

This document provides an analysis of FX positioning as of 22 January 2018, produced by BNP Paribas London Branch. It outlines the current market sentiment and positions across major G10 currencies, using a range of metrics including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are calculated as a percentile based on the prior five years of data, scaled between -50 and +50.

Key Positioning Insights

USD: Short USD positions remain at an extreme level with a score of -44, the lowest since 2007. This indicates a significant overextension of short positions in the US dollar.
EUR: Long EUR positions are still in place ahead of the ECB meeting, with a score of +23. This suggests continued bullish sentiment towards the Euro.
JPY: The market has fully unwound its short JPY position since the start of the year, and is now flat ahead of the BoJ meeting.
GBP: Moderate long GBP positions have been built, with FX funds reducing large short positions.
CHF: CHF has a score of -40, indicating a heavily short position.
CAD: CAD has a score of +27, showing a moderate long position.
AUD: AUD has a score of +1, indicating a slight long position.
NZD: NZD has a score of +9, suggesting a mild long position.
NOK: NOK has a score of +15, showing a moderate long position.
SEK: SEK has a score of +22, indicating a moderate long position.

Positioning Metrics

The overall currency 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 versus puts, indicating market sentiment.
FX Fund Position Tracker: A regression-based decomposition of fund positioning.
BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Charts and Visuals

Several charts are referenced in the document, including:

Chart 1: Overall FX Positioning Analysis
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: CHF Overall Positioning
Chart 10: SEK Overall Positioning
Chart 11: NOK Overall Positioning
Chart 12: NZD Overall Positioning

These charts provide visual representations of the positioning scores for each currency, based on the BNP Paribas data sources.

FX Strategy Contacts

The document includes contact details for key FX strategists and research teams across various branches, including:

Michael Sneyd, CFA – Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London branch
Natalie Rickard – FX Strategist, BNP Paribas London branch
Sam Lynton-Brown – FX Strategist, BNP Paribas London branch
Daniel Katzive, CFA – Head of FX Strategy North America, BNP Paribas Securities Corp (New York)
Mirza Baig – Head of FX & IR Asia Strategy, BNP Paribas Singapore Branch
Kun Shan – China Strategist, BNP Paribas China Limited (Shanghai)
Tianhe Ji – China Strategist, BNP Paribas China Limited (Beijing)
Gabriel Gersztein – Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo)

Legal and Disclaimer Information

The document is non-independent research and constitutes a marketing communication under MiFID II.
It is not investment research and is not subject to any prohibition on dealing ahead of the dissemination of investment research.
The information is based on public sources and may not be accurate or complete.
BNPP may have conflicts of interest due to its involvement with sales and trading.
The document may contain back-tested performance data, which is for illustrative purposes only and not indicative of future results.
It is intended for professional clients and eligible counterparties, and not for general public use.
The document may include ETFs and convertible securities, which are subject to specific legal and regulatory disclosures.
BNPP and its affiliates may hold positions or act as market makers in the financial instruments discussed.

Additional Notes

The document is produced by BNP Paribas and is for the use of intended recipients only.
It is subject to change and may be discontinued without notice.
It does not constitute an offer to sell or purchase any financial instruments.
The information is confidential and may not be distributed without prior written consent.

References

Online Resources:
- BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
- Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, BNP Paribas Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC
Legal Notice:
- This document is not a prospectus, advertisement, or public offering.
- It is subject to the legal requirements of the jurisdictions in which it is used.
- BNPP disclaims any liability for any use of the information contained herein.