20180910-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_13页_741kb

报告摘要

FX Positioning Analysis Summary - 10 September 2018

Core Content

This document is a FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov. It provides an overview of the positioning of major G10 currencies in the foreign exchange market, based on various components including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These scores are calculated on a -50 to +50 scale, with extreme positions defined as scores above 40 or below -40.

Key Findings

Currency Positioning

USD: Long positioning increased slightly to +31.
EUR: Short positioning at -3, indicating a relatively neutral stance.
JPY: Mixed positioning, with a score of +6.
GBP: Short positioning remains lighter than mid-August at -12, suggesting potential for re-establishing shorts.
AUD: Shorts extended to -35, driven by increased Risk Reversal component.
NZD: Shorts extended to -42, also influenced by the Risk Reversal component.
SEK: Shorts pared back to -13 from -20 over the past week due to FX Funds unwinding.

Positioning Components

Client Exposure: Measures internal sales desks' estimate of FX investor exposure.
IMM: Represents the Commitment of Traders (COT), a proxy for US-based hedge-fund/CTA activity.
Risk Reversals: Reflect the relative price of calls vs. puts, incorporating market sentiment.
FX Fund Position Tracker: Uses regression-based decomposition of fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum strength.

Interpretation of Scores

A score of +31 indicates that 23% of past five-year observations were below this level.
Scores are presented as percentiles, rescaled between -50 and +50 for clarity.

Charts and Visuals

Chart 1: Overall FX 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: SEK overall positioning.
Chart 12: Three-year plot of G10 positioning individual scores.

Additional Information

All charts are sourced from BNP Paribas.
The report includes contact details for FX strategists and production teams across different regions.
It also outlines legal disclaimers and disclosures, emphasizing that the document is non-independent research and may be subject to conflicts of interest.

Legal and Regulatory Notes

The document is a marketing communication and not investment research.
It does not constitute an offer to sell or issue securities and is not intended for reliance in making investment decisions.
It may contain simulated performance data and is subject to change without notice.
The information is not guaranteed to be accurate or complete and is provided for informational purposes only.
BNP Paribas may have financial interests in the currencies or securities discussed and may engage in transactions that could conflict with the report's views.

United States Disclosures

Options discussed may be complex and suitable only for sophisticated investors.
ETFs may involve tracking error, currency, and geopolitical risks.
BNPP may act as an Authorized Participant, market maker, or underwriter, which may lead to potential conflicts of interest.
Some securities may not be registered under US Securities Laws and are restricted to Qualified Institutional Buyers or non-US persons.

United Kingdom Disclosures

The document is communicated by BNP Paribas London Branch, authorized and supervised by the ECB, ACPR, and FCA.
It is registered in England and Wales under no. FC13447.

Summary of Key Themes

The report highlights the current market sentiment and positioning across G10 currencies.
It emphasizes the importance of understanding the various components that influence FX positioning.
Legal and compliance considerations are clearly outlined, with a focus on the non-independent nature of the research and potential conflicts of interest.
The document serves as a reference for market participants and is not intended to be a substitute for independent financial advice.

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