20180326-法国巴黎银行-FX_Positioning_Analysis_12页_667kb

FX Positioning Analysis Summary (26 March 2018)

Core Content Overview

This document provides a detailed analysis of FX market positioning as of 26 March 2018, produced by BNP Paribas London Branch. It outlines the current sentiment and positioning scores for major G10 currencies, including USD, EUR, JPY, GBP, NOK, SEK, and others, based on a combination of different data sources and methodologies.

Key Findings

• JPY Positioning: The market has increased its long JPY position to a score of +33 (on a -/+50 scale), marking the largest long JPY position since September 2016.
• USD Positioning: Short USD positions have slightly extended to -28, following a trend of reducing USD shorts over the past two months.
• GBP Positioning: Sentiment towards GBP has improved, with small long GBP positions being built, reaching a score of +10.
• NOK and SEK Positioning: FX investors continue to build short SEK and long NOK positions, with long NOK/SEK positioning at a record extreme.

Positioning Metrics

The positioning scores are calculated using 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 option market sentiment.
• FX Fund Position Tracker: A 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

• Chart 1: Overall FX Positioning (Percentile-based score on a -/+50 scale).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: USD Overall Positioning.
• Chart 4: GBP Overall Positioning.
• Chart 5: JPY Overall Positioning.
• Chart 6: EUR 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.

All charts are sourced from BNP Paribas and illustrate the positioning trends across the G10 currencies.

Legal and Regulatory Information

• This document is non-independent research and is intended for Relevant Persons as defined under MiFID II.
• It may contain Research under MiFID II unbundling rules, which is only available to those who have signed up for BNP Paribas Global Markets Research packages.
• The document may be subject to conflicts of interest due to interactions with sales and trading teams.
• STEER™ is a trademark of BNP Paribas.
• Options and ETFs mentioned in the document are complex instruments and may involve high risk.
• Convertibles or unregistered securities may be restricted and only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Disclaimer

• The information and opinions are based on public sources and historical data, but are not guaranteed for accuracy or completeness.
• Indicative prices are provided based on BNPP's internal models and may vary significantly from other sources.
• The document is not investment research and does not constitute an offer to sell or purchase any financial instruments.
• No liability is accepted for any losses arising from the use of this document.
• The document is confidential and must not be distributed without prior written consent.

Contact Information

Additional Notes

• The document is intended for discussion and may be subject to change or discontinuation.
• It is not a prospectus, advertisement, or public offering.
• All estimates and opinions are based on the date of the document and may be subject to change.
• The document may contain back-tested performance data, which is not indicative of future results.
• Confidentiality is emphasized, and the document must not be shared without prior consent.