巴黎银行-全球-外汇策略-全球外汇定位分析-20190218-13页_1mb

FX POSITIONING ANALYSIS | GLOBAL Summary

Core Content Overview

This report provides a comprehensive analysis of the positioning of G10 currencies in the foreign exchange (FX) market, using various indicators and methodologies to assess market sentiment and investment trends. The positioning scores are based on a percentile scale derived from the prior five years of data, rescaled between -50 and +50, with extreme positions defined as those above 40 or below -40.

Key Market Positioning Scores

The scores reflect the collective sentiment of different market participants and are interpreted as follows: A score of -27, for example, indicates that 23% of historical observations were below the current level.

Key Indicators and Components

• Client Exposure: Reflects the internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Indicates the relative price of calls vs. puts, incorporating option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.
• Buy Sell Pressure: Utilizes tick data, aggressor information, and price movements to indicate price momentum and direction.

Positioning Trends

• USD is currently in a moderately long position, suggesting a bullish outlook.
• GBP is in a short position, with the Client Survey component reducing long positions.
• EUR is in a more bearish position, with the Risk Reversal component turning more short.
• NOK has seen a reduction in long positions, attributed to increased short positioning in FX Funds.

Charts and Visuals

• Fig. 1: Overall positioning of G10 currencies.
• Fig. 2: Absolute total G10 positioning.
• Fig. 3–6: One-year plots of individual currency positioning scores.
• Fig. 7–22: Additional positioning components for each G10 currency.

All charts are sourced from BNP Paribas and provide visual representations of the positioning scores and trends.

Strategy Contacts

The report includes contact details for key strategists and economists within BNP Paribas, providing a point of contact for further inquiries.

Disclaimer and Legal Information

• The document is non-independent research and constitutes a marketing communication.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID II.
• It does not constitute investment research and may not be used for investment decisions.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document may include back-tested performance data, which is for illustrative purposes only and not indicative of future results.
• It is not a prospectus, advertisement, or public offering and does not provide investment, tax, or legal advice.
• All information is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.

Additional Information

• The document is produced by a BNPP group company and is for the use of intended recipients only.
• It may be distributed to U.S. persons by BNPP Securities Corp. to institutional investors.
• It contains important disclosures for options, ETFs, and convertible securities, emphasizing the risks and regulatory considerations.
• In Canada, BNP Paribas operates as a Schedule III Bank and under International Dealer Exemption. The document is in English for Quebec recipients.