巴黎银行-新兴市场-外汇市场-外汇定位分析-20171120-BNP_Paribas-FX_Positioning_Analysis_10页_758kb

FX Positioning Analysis Summary (20 November 2017)

Core Content

This document provides a detailed analysis of the positioning of major G10 currencies by FX investors and funds, as reported by BNP Paribas London Branch. It outlines the current market sentiment and positions across various currencies, using a range of indicators such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are calculated as percentiles based on five years of historical data, scaled between -50 and +50, with extreme positions defined as those above +40 or below -40.

Main Views and Key Information

Currency Positioning Highlights

• EUR: The long EUR position has significantly increased, with an overall score of +27, up from +13 last week. This indicates a strong bullish sentiment towards the euro.
• JPY: FX investors have reduced their short JPY positions, suggesting a shift in sentiment.
• CHF: Short CHF positions have been unwound somewhat, indicating a potential weakening in bearish stance.
• NZD: Short NZD positions have increased significantly, showing a shift in investor sentiment towards the New Zealand dollar.
• SEK: Short SEK positions have extended to -15, representing the largest short position since February, highlighting a strong bearish view on the Swedish krona.

Positioning Metrics

Interpretation of Positioning Scores

• The scores are based on historical data and are scaled between -50 and +50.
• A score of +27 means that 23% of historical observations were below the current level, indicating a positive outlook.
• A score of -15 means that 85% of historical observations were above the current level, indicating a negative outlook.

Charts and Data Sources

• Chart 1: Overall 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

All charts are sourced from BNP Paribas and provide visual insights into the positioning trends of the respective currencies.

FX Strategy Contacts

Legal and Regulatory Information

• This document is a marketing communication and not investment research.
• It is intended for Professional Clients and Eligible Counterparties under MiFID.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document does not constitute an offer to sell or issue securities and should not be relied upon as a basis for investment decisions.
• No liability is accepted for any use of the document or its content.
• The information is based on public sources and is not guaranteed to be accurate or complete.
• Indicative prices are not actual transaction terms and may vary significantly from other sources.
• The document may include back-tested performance data, which is for illustrative purposes only.

US Disclosures

• Options discussed are complex and not suitable for all investors.
• ETFs may involve tracking error, currency, and geopolitical risks.
• BNP Paribas may act as an Authorized Participant, market maker, or underwriter in ETFs.
• Certain securities may be "restricted" and only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution and Legal Notice

• This document is produced by BNP Paribas and is for the use of intended recipients.
• It is confidential and may not be reproduced or distributed without prior written consent.
• It is subject to legal notices and regulations in the UK, France, Germany, Belgium, and Ireland.