巴黎银行-全球-外汇市场-外汇定位分析-20180115-10页_751kb

FX Positioning Analysis Summary - 15 January 2018

Core Content Overview

This document provides a detailed FX positioning analysis from BNP Paribas London Branch, authored by Michael Sneyd (Global Head of FX Strategy & Cross-Asset Strategist) and Natalie Rickard (FX Strategist). It outlines the current market sentiment and positioning of major G10 currencies based on various metrics and sources, including client exposure, IMM (Commitment of Traders), risk reversals, and FX fund positioning.

Key Findings

• USD Positioning: Short USD positioning is at an extreme level, with a score of -40 on a -/+50 scale. This indicates a significant over-short position relative to historical data, suggesting potential market reversal or support.
• CAD Positioning: Long CAD positioning has moderated ahead of the Bank of Canada meeting, with the score decreasing from +18 to +8.
• EUR Positioning: EUR remains the largest long in the G10 with a score of +25. FX funds continue to be long EUR, indicating strong bullish sentiment.
• JPY Positioning: Short JPY positions have been largely unwound, with a score of -9. However, investors remain short CHF, indicating a bearish outlook for the Swiss Franc.
• GBP Positioning: GBP has a score of +13, suggesting a moderate long position.
• AUD Positioning: AUD has a score of +32, indicating a strong long position.
• NZD Positioning: NZD has a score of +6, showing a mild long position.
• NOK Positioning: NOK has a score of +27, suggesting a moderate long position.
• SEK Positioning: SEK has a score of +22, indicating a slight long position.

Positioning Metrics

The positioning scores are calculated as percentiles based on the prior five years of data, rescaled to a -50 to +50 range. A score of -27, for example, implies that 23% of historical observations were below the current level.

Metrics Used:

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

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

Charts and Visuals

• Chart 1: Overall FX Positioning Score (Percentile-based).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: USD Overall Positioning.
• Chart 4: GBP Overall Positioning.
• Chart 5: EUR Overall Positioning.
• Chart 6: JPY Overall Positioning.
• Chart 7: AUD Overall Positioning.
• Chart 8: NZD Overall Positioning.
• Chart 9: CHF Overall Positioning.
• Chart 10: CAD Overall Positioning.
• Chart 11: NOK Overall Positioning.
• Chart 12: SEK Overall Positioning.
• Chart 13: 1 Year historic plot of G10 currency positioning individual scores.

All charts are sourced from BNP Paribas and are used to visualize the positioning scores and trends across different currencies.

Strategy Contacts

The following are key contacts for FX and Emerging Markets strategies:

FX - Global Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal and Distribution Notice

• This document is non-independent research and is a marketing communication.
• It is not intended to be investment research and is not subject to any prohibition on dealing ahead of dissemination.
• The document may not be eligible for sale in all jurisdictions or to certain investors.
• No liability is accepted for any use of the information, including indicative prices or performance data.
• The document is for the use of intended recipients only and may not be reproduced or transmitted without prior written consent.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.
• The information is based on public sources and may not have been independently verified.
• No assurance is given regarding the accuracy or completeness of the information or the achievement of any indicated returns.

US Disclosures

• Options discussed are complex and may involve high risk, suitable only for sophisticated investors.
• ETFs may involve tracking error, currency, geopolitical, credit, and interest rate risks.
• BNP Paribas may act as a market maker, advisor, or underwriter for ETFs or related securities.
• Certain securities may be "restricted" and only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution Jurisdictions

• The document is distributed in various jurisdictions, including the UK, France, Germany, Belgium, and Ireland, by BNP Paribas branches and subsidiaries, each subject to local regulations and supervision.