20180618-法国巴黎银行-FX_Positioning_Analysis_13页_719kb

FX Positioning Analysis Summary (18 June 2018)

Core Content Overview

This document presents the FX Positioning Analysis by BNP Paribas for 18 June 2018, highlighting the current market sentiment and positioning across major currencies. The analysis is based on a combination of different indicators, including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Tracker, and BNPP Trending Indicator. The positioning scores are calculated as a percentile based on the prior five years of data, rescaled to a range of -50 to +50, with extreme positions defined as scores above +40 or below -40.

Key Positioning Insights

• USD: The market has extended its long USD positions slightly to a score of +9. Both the Client Exposure and FX Fund Tracker components show moderately large long USD positions.
• EUR: FX investors continue to hold EUR shorts with a score of -15.
• CAD: Short positions in CAD have increased over the past week, from -9 to -20. The market has been building short CAD positions for the past three weeks.
• AUD: Positioning in AUD turned short with a score of -10, moving from neutral. FX funds appear to hold large AUD short positions with a score of -50.
• GBP: The score is -21, indicating a moderate short position.
• JPY: The score is -6, suggesting a slightly negative stance.
• CHF: The score is -3, indicating a mild short position.
• NZD: The score is -39, showing a strong short position.
• NOK: The score is +42, indicating a strong long position.
• SEK: The score is -50, indicating a very strong short position.

Methodology

The overall currency score is calculated as the equally weighted average of 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: Indicate the relative price of calls relative to puts, reflecting 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.

Charts and Data

• Chart 1: Overall FX Positioning (percentile-based scores).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: 3-Year historic plot of G10 currency positioning scores.
• Chart 7: USD Overall Positioning.
• Chart 10: GBP Overall Positioning.
• Chart 18: CAD Overall Positioning.
• Chart 20: CHF Overall Positioning.
• Chart 22: SEK Overall Positioning.
• Chart 17: AUD Overall Positioning.
• Chart 19: NZD Overall Positioning.
• Chart 21: NOK Overall Positioning.
• Chart 14: GBP Overall Positioning.
• Chart 16: JPY Overall Positioning.

All charts are sourced from BNP Paribas.

FX Strategy Contacts

Legal and Disclaimer Notes

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• It is not investment research and is not subject to any prohibition on dealing ahead.
• The content may contain "Research" under MiFID II unbundling rules, which is only available to those who have signed up to BNPP Global Markets Research packages.
• No liability is accepted for any direct or consequential loss arising from reliance on the document.
• Indicative prices are based on BNPP's internal models and may vary from other sources.
• Simulated performance is for illustrative purposes only and does not reflect actual market conditions or future results.
• Past performance is not indicative of future results.
• No guarantees are made regarding the accuracy or completeness of the information.
• The document may include performance data based on back-testing and is not a prospectus or public offering.
• ETF and options disclosures are included, highlighting the risks and potential conflicts of interest.
• The document is confidential and must not be copied, reproduced, or distributed without prior written consent.

Additional Information

• Online Resources:

  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, BNP Paribas Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC.

• Legal Notice:

  • This document is for information purposes only and does not constitute an offer to sell or purchase any financial instrument.
  • It is not intended to provide investment, tax, or legal advice.
  • BNPP may have financial interests in the issuers or instruments mentioned, and may act as an advisor, manager, or market maker.
  • Confidentiality is emphasized, and the document must not be shared without consent.

• United States Disclosures:

  • Options and ETFs discussed are complex instruments and not suitable for all investors.
  • Restricted securities may be mentioned, and only QIBs or non-US persons may be eligible to purchase.
  • The report may be distributed only to institutional investors or major U.S. institutional investors.
  • BNPPSC is responsible for content when distributed to U.S. persons.
  • This document is a general solicitation for derivatives business under U.S. law.

• UK and France Disclosures:

  • In the UK, the document is communicated by BNP Paribas London Branch, authorized by the ECB, ACPR, and Prudential Regulation Authority.
  • In France, the report is produced by BNPP SA and/or BNPP Arbitrage, incorporated in France with limited liability.

This summary provides a concise overview of the key insights, methodology, contacts, and legal disclosures from the FX Positioning Analysis report.