巴黎银行-全球-外汇市场-外汇定位分析-20180423-12页_685kb

FX Positioning Analysis Summary (23 April 2018)

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 positioning scores of major G10 currencies, based on data from the prior five years, and includes various indicators used to assess market sentiment and positioning.

Key Positioning Scores

• USD: The score has reduced to -18 (-/+50 scale), indicating a moderate short position.
• GBP: Long positions have been significantly unwound, falling to +15 from +28.
• CHF: FX investors have extended their short position to -25, though not as extreme as the January 2018 levels.
• SEK: Short positions remain large but have been moderated to -33.
• NOK: Long positions remain large at +29.

Positioning Indicators

The report uses the following indicators to assess FX 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, incorporating 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.

Chart References

The report includes several charts (Chart 1 to Chart 22) that illustrate the positioning of various G10 currencies. These charts are sourced from BNP Paribas and provide visual insights into the relative positioning of each currency.

Key Observations

• The positioning scores are reported as percentiles, rescaled to a -50 to +50 scale.
• Scores above +40 or below -40 indicate extreme positions.
• The USD has a moderate short position, while GBP has seen a notable reduction in long positions.
• CHF has a more extended short position, though still less extreme than earlier in 2018.
• SEK and NOK remain in large, but moderated, positions.

Legal and Regulatory Information

• The document is non-independent research and is a marketing communication under MiFID II.
• It does not constitute investment research and is not subject to the independence requirements of investment research.
• The content may include "Research" under MiFID II unbundling rules, and is intended for specific firms that have signed up for BNP Paribas Global Markets Research packages or are out of scope of the unbundling rules.
• The document contains important disclosures regarding the risks associated with options, ETFs, and unregistered securities.
• It is intended for Relevant Persons as defined under MiFID II and other legal frameworks.
• The information is confidential and should not be used or relied upon by non-Relevant Persons.
• The document may include back-tested performance data, which is for illustrative purposes only and not indicative of future results.

Contact Information

For FX Strategy inquiries, the following contacts are available:

Additional Information

• The document is available at BNP Paribas Global Fixed Income Website.
• For Bloomberg users, it references:
  • Fixed Income Research BPFR
  • G10 Interest Rate Research BPBS
  • BNP Paribas Strategy Website
• The document is subject to conflicts of interest due to BNP Paribas' interactions with sales and trading.
• No liability is accepted for any losses arising from reliance on the document.
• The indicative prices provided are based on internal models and may vary significantly from other sources.
• Back-tested performance data is for illustration and does not reflect actual market conditions or liquidity constraints.
• The report is intended to generate discussion and is subject to change or discontinuation.

Disclaimer

• This document does not constitute an offer to sell or issue securities, nor a solicitation to purchase any financial instrument.
• No assurance is given that any transaction will be entered into on the terms indicated.
• The information is provided for informational purposes only and should not be relied upon as authoritative.
• All estimates and opinions are as of the date of the document and may change without notice.