20171211-法国巴黎银行-FX_Positioning_Analysis_10页_748kb

FX Positioning Analysis Summary (11 December 2017)

Core Content Overview

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, an FX Strategist. It outlines the current market sentiment and positioning scores for various G10 currencies based on historical data and market indicators.

Key Findings

• GBP Positioning: Long GBP positions have increased over the week, with a score of +15 on a -50 to +50 scale.
• EUR and USD Positioning:
  • The market remains long EUR and short USD, though both scores have moderated to +27 and -24 respectively.
• CAD Positioning: Investors are bullish on CAD, with a score of +22.
• NOK Positioning: Short NOK positions have been unwound, resulting in a score of -5.
• Other Currencies:
  • JPY: Score of -21
  • CHF: Score of -27
  • AUD: Score of -21
  • NZD: Score of -44
  • SEK: Score of -8

Positioning Score Interpretation

• Positioning scores are reported as percentiles based on the prior five years of data, rescaled to a range of -50 to +50.
• A score of +40 or above, or -40 or below, indicates extreme positions.
• To interpret a score, add 50 to the value to get the percentile. For example, a score of -27 means 23% of past observations were below the current level.

Components of Positioning Analysis

The report includes the following components used to assess positioning:

• 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 option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum strength.

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

Charts and Visuals

Several charts are referenced to illustrate the positioning scores:

• 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: 1 Year historic plot of G10 positioning scores

These charts are sourced from BNP Paribas and provide historical insights into the positioning of major currencies.

FX Strategy Contacts

The following are key contacts for FX strategy within BNP Paribas:

Emerging Markets FX & IR Strategy Contacts

Legal and Regulatory Notice

• The document is non-independent research and marketing communication.
• It is not investment research and not subject to legal independence.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document contains performance data based on back-testing and is not indicative of future results.
• No liability is accepted for any reliance on the document or its content.
• The document is intended for professional clients and may not be distributed to others without consent.