20180319-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_12页_668kb

FX Positioning Analysis Summary - 19 March 2018

Core Content Overview

This document provides a detailed analysis of FX positioning as of 19 March 2018, produced by BNP Paribas London Branch. It outlines the current sentiment and positioning scores for major G10 currencies, including USD, EUR, JPY, GBP, CAD, CHF, AUD, NZD, and NOK, based on data from the prior five years.

Key Positioning Scores

• JPY: Long positions have extended to +23, representing the largest JPY long in a year.
• USD: Short positions continue to moderate, with a score of -24, up from an extreme of -45 in February.
• AUD: Sentiment has worsened, with large short positions being built, indicating a negative outlook.
• NOK: Remains the largest long in the G10 at +25.
• SEK: Short positions are more moderate at -17.

Positioning Indicators

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: Based on regression decomposition of fund positioning
• BNPP Trending Indicator: A technical measure of currency momentum

Chart References

• Chart 1: BNP Paribas FX Positioning Analysis – Overall Positioning
• 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: NOK Overall Positioning
• Chart 10: CHF Overall Positioning
• Chart 11: SEK Overall Positioning
• Chart 12: 3-Year historic plot of G10 currency positioning scores

Interpretation of Positioning Scores

• Scores are reported as percentiles 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.

FX Strategy Contacts

Legal Notice

• This document is non-independent research and is a marketing communication.
• It is not investment research under MiFID II and is not subject to independence requirements.
• It may contain "Research" as defined under MiFID II unbundling rules.
• It is intended for Professional Clients and Eligible Counterparties.
• It does not constitute an offer to sell or issue securities.
• No liability is accepted for any use or reliance on the document's content.
• Information is based on public sources and may be subject to change.
• Performance data may be based on back-testing and is not indicative of future results.

Important Disclosures

• Options and ETFs discussed are complex and may involve high risk.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• Certain securities may be "restricted" and only available to Qualified Institutional Buyers or non-US persons.
• The document is for informational purposes only and does not provide investment, tax, or legal advice.
• It is strictly confidential and may not be distributed without prior consent.