巴黎银行-全球-外汇策略-外汇定位分析-20180823-12页_756kb

报告摘要

FX Positioning Analysis Summary - 23 August 2018

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov. It outlines the current sentiment and positioning of major G10 currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are based on historical data over the past five years and are rescaled to a range of -50 to +50.

Key Findings

USD Positioning: FX investors have reduced their long positions in USD to +28 from +33 previously. This moderation is attributed to the Risk Reversal and BNPP Trending Indicator components.
EUR Positioning: The market holds significant EUR short positions with a score of -14, indicating a bearish sentiment. Both the Risk Reversal component and the proxy for fast money investors show large short positions.
Negative Sentiment Currencies:
- NZD: Score of -33, reflecting strong negative sentiment.
- SEK: Score of -32, showing continued negative positioning.
- GBP: Score of -30, indicating persistently negative investor sentiment.

Positioning Scores Overview

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	33	33	21	40	14
EUR	-2	13	-43	-42	2
JPY	4	-2	29	50	23
GBP	-41	-50	-11	-46	-27
CHF	2	-50	-11	49	35
CAD	-12	-15	21	-41	33
AUD	1	-45	-10	-46	-9
NZD	-43	-50	1	-46	-27
NOK	22	-	20	29	-12
SEK	-27	-	-20	-41	-38

Interpretation of Scores

The positioning scores are based on a percentile scale of the prior five years of data, rescaled to -50 to +50.
Scores above +40 or below -40 indicate extreme positions.
For example, a score of -27 means that 23% of past observations were below the current level.

Methodology

Client Exposure: Internal sales desks' estimate of FX investor exposure.
IMM: Commitment of Traders (COT) data, used as a proxy for US-based hedge-fund/CTA activity.
Risk Reversals: Indicate 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 currency momentum.

Overall Positioning

The overall positioning score is calculated as an equally weighted average of the above components.

Charts and Visuals

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: CAD Overall Positioning.
Chart 9: NZD Overall Positioning.
Chart 10: CHF 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.

Legal and Regulatory Information

The document is non-independent research and may be subject to conflicts of interest.
It is intended for Relevant Persons as defined by MiFID II and is not investment research.
Steer™ is a trademark of BNP Paribas.
The document is a marketing communication and not a prospectus or public offering.
It does not constitute an offer to sell or issue any financial instrument.
Confidentiality: The information is provided on a strictly confidential basis.
Disclaimer: No guarantees are made regarding the accuracy or completeness of the data or opinions presented.

Contact Information

Strategist	Job Title	Legal Entity	Phone Number
Michael Sneyd, CFA	Global Head of FX Strategy & Cross-Asset Strategist	BNP Paribas London branch	44 20 7595 1307
Sam Lynton-Brown	FX Strategist	BNP Paribas London branch	44 20 7595 8467
Alexander Jekov	Graduate	BNP Paribas London branch	44 20 7595 4185
Daniel Katzive, CFA	Head of FX Strategy North America	BNP Paribas Securities Corp (New York)	1 212 841 2408
Vasilis Koutsaftis	FX Options Strategist	BNP Paribas Securities Corp (New York)	1 212 471 7973
Wike Groenenberg	Head of Emerging Markets Research, CEEMEA & APAC	BNP Paribas London branch	44 20 7595 8746
Marcelo Carvalho	Head of Emerging Markets Research, Latam	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3418
Shaun Daly	FX & IR CEEMEA Graduate	BNP Paribas London branch	44 20 7595 1870
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Turk Ekonomi Bank A.S. (Istanbul)	90 216 635 2987
Altaz Daga	APAC IR Strategist	BNP Paribas Singapore Branch	65 6210 4994
Dawn Kwa	Asia FX & IR Strategist	BNP Paribas Singapore Branch	65 6210 3263
Tianhe Ji	China Strategist	BNP Paribas China Limited (Beijing)	86 10 6535 0836
Gabriel Gersztein	Head FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3421
Samuel Castro	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3492
Luca Maia	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3447
Andre Digiacomo	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3445

Additional Information

The document is available on the BNP Paribas Global Fixed Income Website at www.globalmarkets.bnpparibas.com.
It is also referenced on Bloomberg under:
- Fixed Income Research (BPFR)
- G10 Interest Rate Research (BPBS)
- Emerging Markets Research (BPFR)
- Market Economics (BPEC)
Important Disclosures:
- Options and ETFs discussed may involve high risk and are not suitable for all investors.
- The information is for educational and discussion purposes only and not for investment advice.
- Past performance is not indicative of future results.
- BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.