巴黎银行-全球-外汇策略-外汇定位分析-20180219-12页_875kb

FX Positioning Analysis Summary - 19 February 2018

Core Content Overview

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, an FX Strategist. It outlines the current market sentiment and positioning scores for major G10 currencies, offering insights into the positions held by FX investors, hedge funds, and other market participants. The analysis is based on historical data from the prior five years and is presented as a percentile score rescaled between -50 and +50.

Key Currency Positioning Scores

• USD: Market remains very short with a score of -38. This is the lowest score since the scale was introduced, indicating a strong bearish sentiment.
• EUR: Moderately long with a score of +13, suggesting a cautiously positive outlook.
• JPY: FX investors are moderately long at a score of +13, the largest long since May 2017.
• GBP: Slightly long with a score of +14, indicating a moderate bullish stance.
• CAD, AUD, NZD: The market has become more bearish on the commodity bloc, with short positions for CAD (-24), AUD (-10), and NZD (-9).
• NOK: Long positions have been rebuilt to +16, though FX funds still appear short NOK (-9).
• CHF: Slightly short with a score of -15.
• SEK: Slightly short with a score of -6.

Interpretation of Positioning Scores

• Positioning scores are reported as percentiles based on five years of historical data.
• Scores above +40 or below -40 indicate extreme positions.
• To interpret a score, add 50 to the value to get the percentile. For example, a score of -27 indicates that 23% of historical observations were below the current level.

Methodology

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 vs. puts, incorporating option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of a currency's momentum strength.

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute Total G10 Positioning
• Chart 3: 3-Year historic plot of G10 currency positioning scores
• Chart 4: 1-Year historic plot of G10 currency positioning individual scores
• Chart 5-12: Individual currency positioning charts (USD, EUR, JPY, GBP, CAD, AUD, NZD, NOK, CHF, SEK)

Legal and Regulatory Information

• This document is non-independent research and is considered a marketing communication under MiFID II.
• It does not constitute investment research and is not subject to independence requirements.
• The content may include "Research" as defined under MiFID II unbundling rules, intended for firms that have signed up to BNP Paribas Global Markets Research packages or are out of scope of the unbundling rules.
• It is intended for professional clients and eligible counterparties, and may not be suitable for retail investors.
• The document contains performance data based on back-testing, which is for illustrative purposes only and does not reflect actual market conditions or future results.
• It does not constitute a prospectus or public offering and is not intended to provide investment, tax, or legal advice.

Contact Information

FX Strategy Contacts

Production and Editorial Contacts

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
• Disclaimer:
  • The information and opinions are based on public sources and may not be independently verified.
  • No liability is accepted for any use of or reliance on the information.
  • BNPP may have conflicts of interest due to its involvement in investment banking, underwriting, and advisory services.
  • The document is for information purposes only and is not intended to provide the sole basis for investment decisions.
  • It does not constitute an offer to sell or issue securities or a solicitation of an offer to buy securities.