巴黎银行-全球-外汇市场-外汇定位分析-20171211-10页_753kb

FX Positioning Analysis Summary (11 December 2017)

Core Content

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 across major G10 currencies, using various metrics to assess investor behavior and market expectations.

Key Findings

• GBP Positioning: Long GBP positions have increased over the week, with a score of +15 on a -50 to +50 scale. This suggests a bullish sentiment towards the British Pound.
• EUR and USD Positioning:
  • EUR has a score of +27, indicating a moderate long position.
  • USD has a score of -24, showing a moderate short position.
• CAD Positioning: Investors remain bullish on CAD with a score of +22.
• NOK Positioning: Short NOK positions have been unwound, resulting in a score of -5, suggesting a shift in sentiment.
• Other Currencies:
  • JPY: Score of -26
  • CHF: Score of -28
  • AUD: Score of -8
  • NZD: Score of -27
  • SEK: Score of -5

Positioning Metrics

The report uses the following metrics to evaluate FX positioning:

1. Client Exposure: Internal sales desks' estimate of FX investor exposure.
2. IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
3. Risk Reversals: Indicates the relative price of calls vs. puts, reflecting market sentiment.
4. FX Fund Position Tracker: Regression-based decomposition of fund positioning.
5. BNPP Trending Indicator: A technical measure of currency momentum strength.

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

Chart References

• Chart 1: Overall FX Positioning Analysis (Percentile-based score from prior five years of data).
• 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.

All charts are sourced from BNP Paribas and provide visual representations of the positioning scores.

FX Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal and Distribution Notice

• The document is non-independent research and is a marketing communication under MiFID.
• It does not constitute investment research and may not be suitable for all investors.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, or advisory services.
• The information is not guaranteed for accuracy or completeness and is provided for informational purposes only.
• No transaction will be entered into on the basis of this document without prior agreement.
• The document is confidential and may not be reproduced or distributed without prior consent.

Important Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest.
• Securities: Some may be "restricted securities" and only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution Jurisdictions

• UK: Document is communicated by BNP Paribas London Branch.
• France: Produced and distributed by BNP Paribas SA and BNP Paribas Arbitrage.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland.
• Belgium: Distributed by BNP Paribas Fortis SA/NV.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch.
• Italy: Distributed by BNP Paribas Italian Branch.

Disclaimer

• The information is not intended as investment, financial, legal, or tax advice.
• Past performance is not indicative of future results.
• No assurance is given that any transactions will be executed at the indicated terms.
• The document is subject to change and may be discontinued at any time.