20180115-法国巴黎银行-FX_Positioning_Analysis_10页_577kb

FX Strategy | FX Quant Insight Summary

Core Content Overview

This document provides an FX Positioning Analysis report from BNP Paribas London Branch, authored by Michael Sneyd (Global Head of FX Strategy & Cross-Asset Strategist) and Natalie Rickard (FX Strategist), dated 15 January 2018. The report includes insights on the positioning of major G10 currencies, as well as details on the team and legal disclosures relevant to the document.

Key FX Positioning Insights

The report highlights the current positioning of various currencies based on a composite score derived from multiple indicators. The scores are calculated on a -50 to +50 scale, with extreme positions indicated by values above +40 or below -40.

• USD: Short positioning is at an extreme level with a score of -40, indicating a significant overbought sentiment in the currency.
• CAD: Long positioning has moderated to +8, down from +18, ahead of the Bank of Canada meeting.
• EUR: Remains the largest long in the G10 with a score of +25, and FX funds are still positioned long EUR.
• JPY: Short positioning has decreased to -9, with most short positions unwound.
• CHF: Still remains short with a score of -9.
• GBP: Positioning is at +13, showing a moderate long bias.
• AUD: Score is +32, indicating a strong long position.
• NZD: Score is +6, showing a slight long bias.
• NOK: Score is +27, indicating a moderate long position.
• SEK: Score is +12, showing a slight long bias.

The positioning scores are derived from 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: Regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

The overall currency score is calculated as an equally weighted average of these components.

Charts and Visuals

Several charts are included in the report to illustrate the positioning scores:

• Chart 1: Overall FX Positioning (percentile-based scores).
• 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: 3-Year historical plot of G10 currency positioning scores.

These charts are sourced from BNP Paribas and are intended to provide a visual representation of the positioning data.

FX Strategy Team Contacts

The report includes contact details for the FX strategy team:

Legal and Regulatory Disclosures

• The document is a marketing communication and not investment research.
• It is intended for Relevant Persons as defined by MiFID and other jurisdictions.
• BNP Paribas may have conflicts of interest due to its involvement in trading, market making, and advisory roles.
• No liability is accepted for any loss or damage arising from the use of the document.
• The information is based on public sources and may not be independently verified.
• Simulated performance is included and not indicative of future results.
• ETFs and options mentioned are subject to specific disclosures and are not suitable for all investors.
• Securities discussed may not be eligible for sale in all jurisdictions or to all investors.

Distribution and Authorisation

• The document is produced by BNP Paribas London Branch.
• It is distributed to Professional Clients and Eligible Counterparties under applicable regulations.
• Reproduction or distribution is prohibited without prior written consent.
• Legal notices are provided for various jurisdictions, including the UK, France, Germany, Belgium, and Ireland.

This summary provides a structured overview of the key points, insights, and disclosures from the FX Positioning Analysis report.