巴黎银行-全球-外汇策略-外汇定位分析-20180219-12页

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1、Thisdocumenthasbeenproducedby:ThemarketremainsveryshortUSDthisweek,withascoreof-BNPParibasLondonBranch38(-/+50scale).FXinvestorsremainmoderatelylongtheJPYatascoreof+13,NatalieRickardthelargestlongsinceMay2017.FXStrategistThemarkethasbecomemorebearish

2、onthecommoditybloc,becomingshortCADandNZDandremainingshortAUD.LongNOKpositionshavebeenrebuilttoascoreof+16,thoughFXfundsstillappearshortNOK.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR17NOK16JPY13119-Feb-2018SEKGBP112-Feb-2018

3、CHF-3CAD-8NZD-10AUD-11USD-38-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetwee

4、n-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-24-43-34-42-47USD1448-142313EURTointerpretascoreof-27,forexample,add50togive23.15-37402028JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobserva

5、tion.1035-9-290GBP-15-37-11821CHF2041-47-18-37CAD-109-13-20-23AUD-96-19-301NZD20-45-3330NOK6-5-157SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskr

6、eversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’s

7、momentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage220170

8、12070Aug-15Feb-16Aug-16Feb-17Aug-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Mar-15Sep-15Mar-16Sep-16Mar-17Sep-17Mar-15Sep-15Mar-16Sep-16M