巴黎银行-全球-外汇市场-外汇定位分析-20180319-12页_683kb

FX Positioning Analysis Summary (19 March 2018)

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, an FX Strategist. It outlines the current market sentiment and positioning across major G10 currencies and other FX instruments, using various metrics to assess the level of exposure and market dynamics.

Key Positions and Sentiment

• JPY Long Positions: The long JPY positions have extended to a score of +23 (on a -50 to +50 scale), indicating the largest JPY long in a year. This suggests strong bullish sentiment towards the Japanese Yen.
• USD Short Positions: The market's short USD position continues to moderate, with a current score of -24, up from an extreme of -45 in February. This implies a gradual shift in sentiment towards USD.
• Commodity Bloc Sentiment: Sentiment towards the commodity bloc has worsened over the week, particularly with AUD short positions being built significantly.
• NOK Long Positions: NOK remains the largest long in the G10 at +25, indicating strong demand for the Norwegian Krone.
• SEK Short Positions: Short SEK positions are now more moderate at -17, suggesting a less extreme bearish stance on the Swedish Krona.

Positioning Metrics

The report uses the following metrics to evaluate FX positioning:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A widely used proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Indicates the relative price of calls versus puts, incorporating 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.

The overall currency score is calculated as an equally weighted average of these components.

Chart Highlights

• Chart 1: Overall FX Positioning Analysis (BNP Paribas).
• 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: NOK Overall Positioning.
• Chart 8: CAD Overall Positioning.
• Chart 9: NZD Overall Positioning.
• Chart 10: CHF Overall Positioning.
• Chart 11: SEK Overall Positioning.
• Chart 12: 3-Year historic plot of G10 currency positioning scores.
• Chart 13: 1-Year historic plot of G10 currency positioning individual scores.

All charts are sourced from BNP Paribas.

FX Strategy Contacts

Legal and Compliance Notes

• The document is a marketing communication and non-independent research.
• It may contain "Research" as defined under MiFID II unbundling rules.
• The content is for Relevant Persons only and may not be used by others.
• No investment advice is provided; readers are advised to seek independent professional advice.
• The document may include hypothetical or back-tested performance data, which is not indicative of future results.
• Conflicts of interest may exist due to BNPP's involvement in trading, underwriting, and advisory roles.
• Confidentiality: The document is provided on a strictly confidential basis and must not be distributed without prior written consent.
• Securities Eligibility: Certain securities may not be eligible for sale in all jurisdictions or to certain investors.
• Disclaimer: BNPP and its affiliates do not accept liability for any losses arising from the use of the document.

Additional Resources

• BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• Bloomberg:
  • Fixed Income Research BPFR
  • G10 Interest Rate Research BPBS
  • BNP Paribas Strategy Website
  • Emerging Markets Research BPFR
  • Market Economics BPEC

US Disclosures

• Options: Complex instruments not suitable for all investors. Only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest.
• Convertibles Securities: May be restricted and only available to Qualified Institutional Buyers (QIBs) or non-US persons.

UK Disclosures

• The document is communicated by BNP Paribas London Branch.
• It is subject to limited regulation by the Financial Conduct Authority (FCA) and Prudential Regulation Authority (PRA).
• BNPP London Branch is lead supervised by the European Central Bank (ECB) and ACPR.

France Disclosures

• The report is produced and/or distributed in France by BNPP SA and BNPP Arbitrage.
• BNPP SA is authorized and supervised by the ECB and ACPR.