巴黎银行-全球-外汇市场-外汇定位分析-20180326-12页_684kb

报告摘要

FX Positioning Analysis Summary (26 March 2018)

Core Content

This document is a report from BNP Paribas London Branch, authored by FX Strategist Natalie Rickard, providing an analysis of FX market positioning as of 26 March 2018. The report outlines the current sentiment and positioning levels for major G10 currencies using various metrics and includes charts for visual reference.

Key Findings

JPY Positioning: The market has increased its long JPY position to a score of +33 (on a -/+50 scale), marking the largest long JPY position since September 2016.
USD Positioning: Short USD positions have slightly extended to -28, following a trend of reducing USD shorts over the past two months.
GBP Positioning: Sentiment towards GBP has improved, with small long GBP positions being built, reaching a score of +10.
NOK and SEK Positioning: FX investors continue to build short SEK and long NOK positions. The long NOK/short SEK positioning is at a record extreme.
Positioning Interpretation: The scores are based on a percentile scale from the prior five years of data, rescaled between -50 and +50. A score above 40 or below -40 indicates an extreme position.

Positioning Metrics

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, indicating option market sentiment.
FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Currency-Specific Positioning

Currency	Score	Notes
USD	-28	Slight extension of short positions
EUR	+46	Improved sentiment
JPY	+30	Largest long position since 2016
GBP	+8	Small long positions built
CHF	-26	Mixed positioning
CAD	-6	Mild short position
AUD	+0	Neutral positioning
NZD	-23	Mild short position
NOK	+40	Record extreme long NOK position
SEK	-24	Continued short position

Charts and Visuals

Chart 1: Overall FX Positioning (percentile-based scores)
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

Legal and Compliance Notes

This document is non-independent research and is subject to conflicts of interest.
It is a marketing communication under MiFID II and not investment research.
The document may contain "Research" as defined under MiFID II unbundling rules.
It is intended for Professional Clients and Eligible Counterparties.
No assurance is given that transactions will be entered into on the terms indicated.
Performance data may be based on back-testing and is not indicative of future results.
The document is not a prospectus or public offering.
Securities described may not be eligible for sale in all jurisdictions.

Contact Information

Name	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
Natalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
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
Others (see table)	Various roles	BNP Paribas branches and subsidiaries	Various

Additional Information

Online Resources:
- BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
- Bloomberg: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), etc.
Important Disclosures:
- Options and ETFs discussed are complex instruments with high risk.
- Information is not investment advice and is subject to change.
- BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.