巴黎银行-全球-外汇市场-外汇定位分析-20180305-12页_882kb

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FX Positioning Analysis Summary - 5 March 2018

Core Content Overview

This document provides an analysis of the positioning of G10 currencies by investors and market participants, based on data from multiple sources. The analysis is conducted by BNP Paribas London Branch, with contributions from Michael Sneyd and Alexander Jekov. The report outlines the current sentiment and exposure levels for each G10 currency, using a scoring system that ranges from -50 to +50, based on historical data from the past five years.

Key Positioning Scores

USD: Short positioning continues to moderate but remains the largest G10 short with a score of -30.
EUR: Positioning has extended slightly to a score of +19, with all five components remaining positive.
JPY: Long exposure continues to rise, with a score of +17.
NOK: Investors are building long positions, with a score of +20.
GBP: Positioning is slightly negative, with a score of -15.
CHF: Positioning is slightly positive, with a score of +4.
CAD: Positioning is slightly negative, with a score of -6.
AUD: Positioning is slightly positive, with a score of +3.
NZD: Positioning is slightly positive, with a score of +1.
SEK: Positioning is slightly negative, with a score of -19.

Interpretation of Positioning Scores

The positioning scores are derived from a combination of the following indicators:

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 market sentiment.
FX Fund Position Tracker: Based on regression decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

A score of -27 indicates that 23% of observations over the past five years have been below the current observation. Scores above +40 or below -40 are considered extreme.

Main Views and Insights

The overall currency score is calculated as an equally weighted average of the components.
The report includes multiple charts to visualize the positioning of each G10 currency, including the overall positioning, 1-year historical plots, and 3-year trends.
The analysis highlights that while USD remains the most heavily shorted currency, there is a positive shift in long positions for EUR and NOK.
JPY's long exposure is increasing, indicating growing investor interest in the currency.
GBP, CHF, and CAD show mixed sentiment, with some positive and negative indicators.
AUD and NZD have relatively neutral positioning, with slight positive scores.

Legal and Regulatory Information

The document is a non-independent research communication and is not intended to be investment research.
It is a marketing communication under MiFID II and is intended for Relevant Persons as defined by regulatory frameworks.
The content is not to be used as a substitute for independent financial advice.
The document may contain hypothetical or back-tested performance data, which is not indicative of future results.
BNP Paribas may have conflicts of interest due to its involvement in investment banking, underwriting, or advisory services for the issuers mentioned.
The document is strictly confidential and may not be copied, reproduced, or distributed without prior written consent.

Contact Information

Strategists:
- Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
- Sam Lynton-Brown: FX Strategist
- Natalie Rickard: FX Strategist
- Alex Jekov: Graduate
- Daniel Katzive, CFA: Head of FX Strategy North America
- Vasilis Koutsaftis: FX Options Strategist
- Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC
- Marcelo Carvalho: Head of Emerging Markets Research, Latam
- Piotr Chwiejczak: FX & IR CEEMEA Strategist
- Sai Ulluri: FX & IR CEEMEA Strategist
- Erkin Isik, CFA: FX & IR CEEMEA Strategist
- Mirza Baig: Head of FX & IR Asia Strategy
- Dawn Kwa: Graduate
- Altaz Daga: AU/NZ IR Strategist
- Kun Shan: China Strategist
- Tianhe Ji: China Strategist
- Gabriel Gersztein: Head FX & IR Latam Strategy
- Samuel Castro: FX & IR Latam Strategist
- Gustavo Mendonca: FX & IR Latam Strategist
Production and Editorial Contacts:
- Barbara Consuelo: London
- Amanda Grantham-Hill: London
- Anna McLaughlin: London
- Varghese Joseph: New York

Additional Resources

Online: BNP Paribas Global Fixed Income Website
Bloomberg:
- Fixed Income Research BPFR
- G10 Interest Rate Research BPBS
- BNP Paribas Strategy Website
- Emerging Markets Research BPFR
- Market Economics BPEC

United States Disclosures

Options: Complex instruments not suitable for all investors. May involve high risk and are only appropriate for sophisticated investors.
ETFs: May involve risks such as tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest due to its involvement in ETF-related activities.
Securities: Some may be unregistered and are considered "restricted securities" under Rule 144A. Only Qualified Institutional Buyers or non-US persons may be eligible to purchase.
Distribution: The report may be distributed only to institutional investors under FINRA Rule 2210(a)(4) or to major U.S. institutional investors under Rule 15a-6.

UK and France Disclosures

In the UK, the document is communicated by BNP Paribas London Branch, which is authorized and regulated by the Financial Conduct Authority and Prudential Regulation Authority.
In France, the report is produced and/or distributed by BNPP SA and BNPP Arbitrage, which are authorized and supervised by the ECB and ACPR.

Disclaimer

The information and opinions in this document are for informational purposes only.
No assurance is given that any transaction will be entered into on the terms indicated.
BNPP disclaims any liability for inaccuracies or omissions in the document.
The document does not constitute a prospectus, an advertisement, or an offer to buy or sell securities.
The information is subject to change without notice.

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