20180226-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_12页_668kb

FX Positioning Analysis Summary - 26 February 2018

Core Content

This document provides a detailed FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, an FX Strategist. The report outlines the current market positioning scores for major G10 currencies, using a -50 to +50 scale based on historical data from the prior five years.

Key Currencies and Positioning Scores

• USD: Short positions have been pared back slightly, with a score of -34. This indicates that 23% of historical observations were below the current level.
• EUR: Long positions continue to be held, at a score of +16.
• JPY: The market remains long JPY, with a score of +12.
• SEK: There has been a substantial increase in short positions, moving from neutral to -24. This suggests that 23% of historical observations were below the current level.
• Other Currencies:
  • GBP: Score of +13
  • CHF: Score of -17
  • CAD: Score of -19
  • AUD: Score of +9
  • NZD: Score of -16
  • NOK: Score of +25

Methodology and Components

The positioning scores are derived from a combination of the following indicators, all reported as percentiles:

• 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: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

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

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis (with score -34 for USD, +12 for JPY, -24 for SEK, +16 for EUR).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3, 5, 7, 9, 10, 11, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22: Individual currency positioning scores over various timeframes, including 3-year and 1-year historic plots.

FX Strategy Contacts

Legal and Regulatory Information

• This document is non-independent research and is a marketing communication under MiFID II.
• It is intended for Relevant Persons as defined by MiFID II, including Professional Clients and Eligible Counterparties.
• The information is not investment research and is not subject to any independence requirements.
• The document may include Research as defined under MiFID II unbundling rules, which is only available to those who have signed up for BNP Paribas Global Markets Research packages or are out of scope of the unbundling rules.
• No liability is accepted for any direct or consequential loss arising from the use of the document.
• The document is for informational purposes only and should not be relied upon as authoritative or a substitute for independent judgment.
• No guarantees are made regarding the accuracy or completeness of the information.
• Past performance is not indicative of future results.
• Indicative prices are based on internal models and may differ from those of other sources.
• The document may contain back-tested performance data, which is for illustrative purposes only and does not reflect actual market conditions or liquidity constraints.

Additional Information

• The document may be distributed to U.S. persons only by BNPP Securities Corp. or its affiliates, subject to applicable regulations.
• ETF disclosures include the risks associated with investing in these funds and potential conflicts of interest.
• Options disclosures emphasize the risks involved and the suitability for sophisticated investors only.
• Convertibles and other securities may be unregistered and restricted under U.S. securities laws.
• The document is confidential and may not be copied, reproduced, or distributed without prior written consent.