巴黎银行-全球-外汇策略-外汇定位分析-20180813-13页_781kb

FX Positioning Analysis Summary (13 August 2018)

Core Content

This document provides an analysis of FX positioning as of 13 August 2018 by BNP Paribas London Branch, authored by Michael Sneyd and Kris Gjini. It outlines the current market sentiment and positioning levels for major G10 currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Key Findings

Currency Positioning Overview

• USD: Long positioning has extended to a score of +31, the highest since 2015. This suggests strong bullish sentiment towards the US dollar.
• JPY: Long exposure has increased to +18, indicating a more positive outlook on the Japanese Yen.
• CHF: Short exposure has moderated significantly from -15 to -1, reflecting a shift in sentiment towards the Swiss Franc.
• EUR: Short positions have extended to -17, showing a bearish stance on the Euro.
• NZD: Now the shortest in the G10 at -34, suggesting a strong bearish sentiment towards the New Zealand Dollar.
• AUD: Significant short positions have been added, with a score of -18 compared to -2 last week, indicating a more negative outlook on the Australian Dollar.
• CAD: Positioning remains negative at -12, suggesting continued bearish sentiment.
• GBP: Positioning is at -12, indicating a moderate bearish stance.
• NOK: Positioning is at +35, suggesting a slightly bullish outlook.
• SEK: Positioning is at -16, showing a bearish sentiment.

Positioning Interpretation

• Positioning scores are based on a percentile scale from the prior five years, rescaled to a range of -50 to +50.
• Values above +40 or below -40 indicate extreme positions.
• For example, a score of -27 means that 23% of past observations were below the current one.

Methodology

• The overall currency score is calculated as an equally weighted average of the various components.
• Indicators used include:
  • Client Exposure: Internal sales desks' estimate of FX investor exposure.
  • IMM: Commitment of traders (COT) as 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 currency momentum.

Charts

• Several charts are referenced, including:
  • Chart 1: Overall FX Positioning
  • Chart 9: NZD Positioning
  • Chart 10: CHF Positioning
  • Chart 13: USD Positioning
  • Chart 14: GBP Positioning
  • Chart 15: EUR Positioning
  • Chart 16: JPY Positioning
  • Chart 17: AUD Positioning
  • Chart 18: CAD Positioning
  • Chart 19: NZD Positioning
  • Chart 20: CHF Positioning
  • Chart 21: NOK Positioning
  • Chart 22: SEK Positioning

All charts are sourced from BNP Paribas.

Important Notes

• The document is a marketing communication and not independent research.
• It does not constitute investment research and is not subject to the independence requirements of MiFID II.
• The information is for the use of professional clients and eligible counterparties.
• It does not provide financial, legal, or tax advice.
• Past performance is not indicative of future results.
• Indicative prices are based on internal models and may differ from other sources.
• There may be conflicts of interest due to BNPP's involvement in trading and investment banking activities.

Legal Disclaimer

• This document is not a prospectus, advertisement, or public offering.
• It may contain back-tested performance data, which is for illustrative purposes only.
• BNPP and its affiliates may have financial interests in the securities or issuers mentioned.
• The document may not be reproduced or distributed without prior written consent.
• U.S. and UK legal disclosures are included, highlighting the intended audience and regulatory compliance.

FX Strategy Contacts

Additional Information

• Bloomberg Sources: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), and BNP Paribas Strategy Website.
• Website: BNP Paribas Global Fixed Income Website – www.globalmarkets.bnpparibas.com
• Important Disclosures:
  • Options and ETFs are complex instruments with high risk.
  • ETFs may involve tracking error, currency, and geopolitical risks.
  • BNPP may have conflicts of interest and may not disclose confidential information.
  • Some securities may be restricted and only available to Qualified Institutional Buyers (QIBs) or non-U.S. persons.

Regulatory Compliance

• The document is subject to UK and EU regulations and is intended for professional clients.
• It may be distributed only to institutional investors in the U.S. and is not intended for retail investors.
• BNPP and its affiliates may act as market makers, advisors, or underwriters, which may affect objectivity.
• No liability is accepted for any losses arising from reliance on the document.