20181129-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1021kb

FX Positioning Analysis | Global Summary

Core Content Overview

This document presents the FX positioning analysis for G10 currencies as of 29 November 2018, conducted by BNP Paribas. It outlines the current exposure levels of FX investors across major currencies, using a combination of data sources and analytical tools to provide insights into market sentiment and positioning trends.

Key Findings

Overall Positioning

• The total absolute positioning across G10 FX markets remains near the October 2017 lows.
• The overall positioning score is calculated as an equally weighted average of several components.

Currency-Specific Positioning

• USD is moderately long with a score of +15 (on a -/+50 scale).
• EUR and GBP are significantly short with scores of -18 and -19 respectively.
• JPY is near neutral with a score of 0.
• CAD and NOK have short positions extended, with scores of -14 each.

Positioning Metrics

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

Positioning Score Interpretation

• Positioning scores are reported as percentiles based on the prior five years of data.
• Scores are rescaled to a range of -50 to +50.
• Scores above +40 or below -40 represent extreme positions.
• For example, a score of -27 means that 23% of observations over the past five years have been below the current observation.

Key Charts and Visuals

• Chart 1: Overall FX positioning, showing the positioning scores for all G10 currencies.
• Chart 2: Absolute total G10 positioning.
• Chart 3: USD positioning components.
• Chart 4: GBP positioning components.
• Chart 5: EUR positioning components.
• Chart 6: JPY positioning components.
• Chart 7: AUD positioning components.
• Chart 8: CAD positioning components.
• Chart 9: CHF positioning components.
• Chart 10: NOK positioning components.
• Chart 11: SEK positioning components.
• Three-year plot: Shows the positioning score trends for G10 currencies over the past three years.

Strategy Contacts

Important Legal and Disclaimer Information

• This document is non-independent research and is a marketing communication.
• It is not investment research for the purposes of MiFID II.
• It is not intended to provide the sole basis for any investment decision.
• No liability is accepted for any direct or consequential loss arising from reliance on the document.
• The document may contain hypothetical or back-tested performance data.
• The information is subject to change and not guaranteed to be accurate or complete.
• No investment, financial, legal, or tax advice is provided.
• Past performance is not indicative of future results.
• The document is for information purposes only and may not be reproduced or distributed without prior written consent from BNP Paribas.

Disclaimer for U.S. Persons

• This report may be distributed to U.S. persons who qualify as institutional investors under FINRA Rule 2210(a)(4) or to major U.S. institutional investors under Rule 15a-6.
• Options are complex instruments with a high degree of risk and are only suitable for sophisticated investors.
• ETFs involve risks such as tracking error, currency, and geopolitical risks.
• Restricted securities may not be registered under U.S. Securities Laws and are only available to Qualified Institutional Buyers or non-U.S. persons under Regulation S.

Disclaimer for UK Persons

• The document is communicated by BNP Paribas London Branch.
• It is not a prospectus and is intended for professional clients and eligible counterparties.
• The document is subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority.

Additional Notes

• The document is produced by a BNP Paribas group company.
• It is intended for the use of intended recipients only.
• The information is strictly confidential and may not be distributed without prior written consent.
• BNP Paribas may have financial interests in the securities or issuers mentioned and may engage in transactions inconsistent with the views expressed in this document.