巴黎银行-全球-外汇市场-外汇定位分析-20171218-10页_748kb

FX Positioning Analysis Summary - 18 December 2017

Core Content

This document provides an FX Positioning Analysis report from BNP Paribas London Branch, focusing on the positioning of G10 currencies as of 18 December 2017. The analysis includes multiple positioning indicators and charts to illustrate the current sentiment and exposure levels.

Key Information

• Overall Positioning Score: -26 (on a -/+50 scale), indicating a short position in USD, which is the largest among G10 currencies.
• Extreme Positions: Scores above +40 or below -40 are considered extreme. The overall score of -26 is not extreme.
• Positioning Indicators:
  • 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 versus puts, indicating 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.

Main Views

G10 Currency Positioning

Interpretation of Positioning Scores

• A score of -26 is interpreted as follows: Add 50 to the score to get 24, meaning that 24% of past observations were below this score.
• The positioning scores are based on historical data from the prior five years and are rescaled to a -50 to +50 range.

Charts and Data Sources

• Chart 1: Overall FX Positioning (BNP Paribas FX Positioning Analysis)
• 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
• Chart 13: 1 Year historic plot of G10 currency positioning scores

All charts are sourced from BNP Paribas.

FX Strategy Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
• Sam Lynton-Brown: FX Strategist, London
• Natalie Rickard: FX Strategist, London
• Alex Jekov: Graduate, London
• Daniel Katzive, CFA: Head of FX Strategy North America, New York
• Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy Contacts

• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
• Sai Ulluri: FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore
• Dawn Kwa: Graduate, Singapore
• Altaz Daghia: AU/NZ IR Strategist, Singapore
• Kun Shan: China Strategist, Shanghai
• Tianhe Ji: China Strategist, Beijing
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Legal and Distribution Notice

• This document is a marketing communication and not investment research.
• It is directed at Professional Clients and Eligible Counterparties under MiFID.
• BNP Paribas may have conflicts of interest due to its involvement in trading and advisory services.
• No liability is accepted for any reliance on the document's content.
• The document is not a prospectus or public offering and may not be suitable for all investors.
• Options and ETFs discussed are complex and may involve high risk.
• Restricted securities may not be registered under US Securities Laws and are only available to Qualified Institutional Buyers (QIBs) or non-US persons under Regulation S.

Disclaimer

• The information is for informational purposes only and not for investment advice.
• Past performance is not indicative of future results.
• Indicative prices are not actual transaction terms and may vary significantly.
• Confidentiality is maintained, and the document may not be reproduced or distributed without prior consent.