巴黎银行-全球-外汇策略-全球外汇分析-20190124-12页_1mb

FX Positioning Analysis Summary | G10 Currencies

Core Content Overview

This document provides an analysis of the positioning of G10 currencies as of 24 January 2019, based on data from BNP Paribas. The analysis includes various components such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, BNPP Trending Indicator, and Buy Sell Pressure. The positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range of -50 to +50. Values above 40 or below -40 indicate extreme positions.

Key Currency Positioning Insights

• USD: Overall positioning remains neutral.
• GBP: Shorts have moderated from -22 to -16, as the Trending Indicator component has extended its large long positioning.
• EUR: Shorts have been cut to -12, indicating a more balanced stance.
• JPY: Longs have been cut to +18, showing a slight reduction in bullish sentiment.
• CAD: Shorts have been squeezed, resulting in a neutral position at +1 (up from -8).
• NOK: The market has increased its long position to +14, indicating positive sentiment.
• CHF: Short positions have increased to -9, suggesting bearish outlook.
• AUD: Now the largest G10 short with a score of -17, showing strong bearish sentiment.
• NZD: Long positions have increased to +36, indicating a positive stance.

Positioning Components

The overall currency score is calculated as an 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: Reflect the relative price of calls versus puts, indicating 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.
• Buy Sell Pressure: An indicator of price momentum and direction using tick data, aggressor information, and price movements.

Charts and Visuals

• Chart 1: Overall FX positioning for G10 currencies.
• Chart 2: Absolute total G10 positioning.
• Chart 3: One-year plot of USD positioning components.
• Chart 4: One-year plot of GBP positioning components.
• Chart 5: One-year plot of EUR positioning components.
• Chart 6: One-year plot of JPY positioning components.
• Chart 7: One-year plot of AUD positioning components.
• Chart 8: One-year plot of CAD positioning components.
• Chart 9: One-year plot of NZD positioning components.
• Chart 10: One-year plot of NOK positioning components.
• Chart 11: One-year plot of CHF positioning components.
• Chart 12: One-year plot of SEK positioning components.

Strategy Contacts

Legal and Disclaimer Information

• This document is non-independent research and constitutes a marketing communication.
• It is intended for Relevant Persons as defined by MiFID II and other legal provisions.
• BNPP and its affiliates may have conflicts of interest, including financial interests in the securities or entities mentioned.
• The information is based on public sources and may not be independently verified.
• No liability is accepted for any losses arising from reliance on the information.
• Performance data may include back-testing and is not indicative of future results.
• ETFs and other financial instruments discussed may involve significant risks, including liquidity and market risk.
• This document is for informational purposes only and not for solicitation or as a prospectus.
• It may only be distributed to certain qualified investors and is subject to legal restrictions.