20180219-法国巴黎银行-Fx_Positioning_Analysis_12页_668kb

报告摘要

FX Strategy | FX Quant Insight Summary

Core Content

This document provides an FX Positioning Analysis from BNP Paribas London Branch dated 19 February 2018, authored by Natalie Rickard, an FX Strategist. It outlines the current positioning of major G10 currencies based on various metrics and provides a visual representation of the data through charts.

Key Currency Positioning Scores

The following are the key positioning scores for G10 currencies, reported on a -50 to +50 scale based on percentile rankings from the prior five years of data:

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	-24	-43	-34	-42	-47
EUR	14	48	-14	23	13
JPY	15	-37	40	20	28
GBP	10	35	-9	-29	0
CHF	-15	-37	-1	18	21
CAD	20	41	-47	-18	-37
AUD	-10	9	-13	-20	-23
NZD	-9	6	-19	-30	1
NOK	20	-	45	-33	30
SEK	6	-	5	-15	7

Interpretation of Positioning Scores:

Scores above +40 or below -40 indicate extreme positions.
A score of -27 means 23% of historical observations were below this level.
The overall currency score is calculated as an equally weighted average of the components.

Main Viewpoints

USD is heavily short, with a score of -38, suggesting a strong bearish sentiment among FX investors.
JPY is moderately long with a score of +13, representing the largest long position since May 2017.
The commodity bloc currencies (CAD, NZD, AUD) are short, reflecting a more bearish outlook on these currencies.
NOK has seen a rebuilding of long positions, with a score of +16, though FX funds still show a short bias.
The BNPP Trending Indicator is used to assess the strength of a currency's momentum and is included in the overall score calculation.

Charts Overview

Chart 1: Overall FX Positioning Analysis, showing the key scores for all currencies.
Chart 2: Absolute Total G10 Positioning, indicating the total positioning across all G10 currencies.
Chart 3 & 13: USD Overall Positioning, showing both the overall and 1-year historical data.
Chart 4 & 18: GBP and CAD Overall Positioning.
Chart 5 & 17: EUR and AUD Overall Positioning.
Chart 6 & 19: JPY and NZD Overall Positioning.
Chart 7 & 20: AUD and CHF Overall Positioning.
Chart 8 & 21: CAD and NOK Overall Positioning.
Chart 9 & 22: NZD and SEK Overall Positioning.
Chart 10 & 12: CHF and SEK Overall Positioning.

All charts are sourced from BNP Paribas and provide visual insights into the positioning trends across G10 currencies.

Additional Information

The FX Fund Position Tracker is a regression-based decomposition of currency fund positioning.
The BNPP Trending Indicator is a technical measure of the strength of a currency's momentum.
The Risk Reversals metric indicates the relative price of calls vs. puts, incorporating option market sentiment.
The IMM data reflects US-based hedge-fund/CTA activity as a proxy for trader sentiment.

FX Strategy Contacts

The following are the key contacts for FX Strategy at BNP Paribas:

Name	Job Title	Legal Entity	Phone Number
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
Natalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
Daniel Katzive, CFA	Head of FX Strategy North America	BNP Paribas Securities Corp (New York)	1 212 841 2408
Vasilis Koutsaftis	FX Options Strategist	BNP Paribas Securities Corp (New York)	1 212 471 7973
Wike Groenenberg	Head of Emerging Markets Research, CEEMEA & APAC	BNP Paribas London branch	44 20 7595 8746
Marcelo Carvalho	Head of FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3418
Samuel Castro	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3492
Gustavo Mendonca	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3445
Mirza Baig	Head of FX & IR Asia Strategy	BNP Paribas Singapore Branch	65 6210 3262
Sai Ulluri	FX & IR CEEMEA Strategist	BNP Paribas Singapore Branch	65 6210 3263
Altaz Daga	AU/NZ IR Strategist	BNP Paribas Singapore Branch	65 6210 4994
Kun Shan	China Strategist	BNP Paribas China Limited (Shanghai)	86 21 2896 2773
Tianhe Ji	China Strategist	BNP Paribas China Limited (Beijing)	86 10 6535 0836
Gabriel Gersztein	Head FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3421

Legal and Disclaimer Information

This document is non-independent research and marketing communication.
It is not investment research for the purpose of MiFID II.
It is not intended for retail investors and is for professional clients only.
The information is subject to change and not guaranteed for accuracy or completeness.
No liability is accepted for any loss arising from reliance on the document.
Options and ETFs discussed are complex instruments and not suitable for all investors.
Restricted securities may not be registered under US Securities Laws and are only available to qualified institutional buyers or non-US persons.
The document may contain back-testing performance data, which is hypothetical and not indicative of future results.
Confidentiality is emphasized; the document may not be distributed without prior written consent.

Useful Links

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, Market Economics, BPFR, BPEC

Disclaimer Summary

The document is for information purposes only.
It is not an offer to sell or solicitation of an offer to buy.
No guarantee is made regarding the accuracy or completeness of the information.
No investment, tax, or legal advice is provided.
Performance data is hypothetical and not indicative of future results.
Conflicts of interest may exist due to BNPP's involvement in transactions or advisory roles.
Confidentiality is strictly maintained; unauthorized distribution is prohibited.