20180423-法国巴黎银行-FX_Positioning_Analysis_12页_667kb

报告摘要

FX Positioning Analysis Summary (23 April 2018)

Core Content Overview

This document provides an analysis of FX positioning as of 23 April 2018 by BNP Paribas London Branch, authored by FX Strategist Natalie Rickard. It outlines the current market sentiment and positioning scores across various G10 currencies, using data from the prior five years, and highlights key insights from different indicators.

Key Currencies and Positioning Scores

The following are the key currency positioning scores and their interpretations:

Currency	Positioning Score	Notes
USD	-18	Market has reduced its long-standing short USD position.
GBP	+15	Long GBP positions have been unwound significantly, from +28 to +15.
CHF	-25	FX investors have extended their short CHF position.
SEK	-33	Short SEK positions remain large but have been moderated.
NOK	+29	Long NOK positions remain large.

Positioning Indicators

The positioning scores are derived from several indicators:

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.

Overall Positioning Analysis

The overall currency score is calculated as an equally weighted average of the above components. The report includes several charts to visualize the positioning scores:

Chart 1: Overall FX Positioning (scale -50 to +50)
Chart 2: Absolute Total G10 Positioning
Chart 3: USD Overall Positioning
Chart 4: GBP Overall Positioning
Chart 5: JPY Overall Positioning
Chart 6: CAD Overall Positioning
Chart 7: AUD Overall Positioning
Chart 8: NZD Overall Positioning
Chart 9: CHF Overall Positioning
Chart 10: SEK Overall Positioning
Chart 11: NOK Overall Positioning

Historical Context

The report includes a 3-Year historic plot of G10 currency positioning scores.
A 1-Year historic plot is also provided for individual G10 currencies, showing recent trends.

Key Observations

The short USD position has decreased but remains negative.
Long GBP positions have been significantly reduced, indicating a shift in market sentiment.
Short CHF and SEK positions are notable, though not as extreme as in January 2018.
Long NOK positions remain strong, suggesting continued bullish sentiment.

Legal and Disclaimer Information

This document is a marketing communication and not independent research. It is intended for Relevant Persons as defined by MiFID II and may contain Research content, which is only available to those who have signed up for BNP Paribas Global Markets Research packages or are out of scope of MiFID II unbundling rules.

Important disclaimers include:

The document is for information purposes only and does not constitute an offer to sell or issue securities.
No guarantee is made regarding the accuracy, completeness, or reliability of the information.
Indicative prices and performance data are subject to change and may not reflect actual market conditions.
The information may include back-tested performance and is not indicative of future results.
BNP Paribas may have conflicts of interest due to its involvement in transactions with the entities mentioned.

Contact Information

FX Strategy Contacts

Name	Job Title	Legal Entity	Phone Number
Natalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
Michael Sneyd, CFA	Global Head of FX Strategy & Cross-Asset Strategist	BNP Paribas London branch	44 20 7595 1307
Sam Lynton-Brown	FX Strategist	BNP Paribas London branch	44 20 7595 8467
Daniel Katzive, CFA	Head of FX Strategy North America	BNP Paribas Securities Corp (New York)	1 212 841 2408

Production and Editorial Contacts

Name	Location	Legal Entity	Phone Number
Barbara Consuelo	London	BNP Paribas London branch	44 20 7595 8486
Amanda Grantham-Hill	London	BNP Paribas London branch	44 20 7595 4107
Anna McLaughlin	London	BNP Paribas London branch	44 20 7595 3754
Varghese Joseph	New York	BNP Paribas Securities Corp (New York)	1 212 841 3698

Additional Information

The document is available on the BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
It is also referenced in Bloomberg under:
- Fixed Income Research BPFR
- G10 Interest Rate Research BPBS
- BNP Paribas Strategy Website

US Disclosures

Options and ETFs discussed are complex instruments and may involve high risk.
Restricted securities may not be registered under US securities laws.
Only Qualified Institutional Buyers (QIBs) or non-US persons may be eligible to purchase these instruments.
BNPP Securities Corp (BNPPSC) is a registered broker-dealer and may distribute the report only to institutional investors.

UK and France Disclosures

The document is communicated by BNP Paribas London Branch and is authorized and supervised by ECB, ACPR, and FCA.
In France, the report is produced and/or distributed by BNPP SA and BNPP Arbitrage, both authorized and supervised by ECB and ACPR.

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