20180813-法国巴黎银行-FX_Positioning_Analysis_13页_741kb

FX Positioning Analysis Summary - 13 August 2018

Core Content Overview

This document presents the FX Positioning Analysis by BNP Paribas London Branch, highlighting the current positioning scores for major G10 currencies as of 13 August 2018. The analysis is based on a percentile scale derived from the prior five years of data, rescaled between -50 and +50. Extreme positions are defined as scores above +40 or below -40.

Key Positioning Insights

• USD: Long positioning has extended significantly, reaching a score of +31, which is the largest long position since 2015. This indicates a strong bullish sentiment towards the US Dollar.
• JPY: Long exposure has increased to +18, reflecting a growing positive stance on the Japanese Yen.
• CHF: Short exposure has moderated from -15 to -1, suggesting a shift in sentiment towards the Swiss Franc.
• EUR: Short positions have extended to -17, indicating a bearish outlook on the Euro.
• NZD: Now the shortest in the G10 at -34, showing a significant bearish position.
• AUD: Significant short positions have been added, with a score of -18 compared to -2 last week, indicating a more negative stance on the Australian Dollar.

Positioning Metrics

The overall currency score is calculated as an equally weighted average of the following components:

• 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 vs. puts, incorporating market sentiment.
• FX Fund Position Tracker: Based on regression decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.

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: JPY Overall Positioning
• Chart 6: EUR Overall Positioning
• Chart 7: CHF Overall Positioning
• Chart 8: CAD Overall Positioning
• Chart 9: NZD Overall Positioning
• Chart 10: NOK Overall Positioning
• Chart 11: SEK Overall Positioning

All charts are sourced from BNP Paribas and provide visual insights into the positioning of each currency.

Legal and Disclaimer Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
• No liability is accepted for any reliance on the information provided.
• The content may include Research under MiFID II unbundling rules, which is only available to those who have signed up for BNPP Global Markets Research packages.
• The document is for information purposes only and may not be used as a basis for investment decisions.
• Simulated performance data is included and does not reflect actual market conditions or future results.
• Indicative prices are based on internal models and may vary significantly from other sources.

Contact Information

Additional Information

• Online Resources:

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

• Important Disclosures:

  • Options and ETFs discussed may involve high risk.
  • This document is not intended to provide investment, financial, legal, or tax advice.
  • It may include performance data based on back-testing and is not indicative of future results.
  • BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.

• United States Disclosures:

  • This report may be distributed only to certain qualified investors.
  • It may include information on restricted securities, only eligible for purchase by QIBs or non-US persons.

• Legal Notice:

  • This document is non-independent research and may be subject to conflicts of interest.
  • It is for the use of intended recipients only and may not be reproduced or distributed without prior consent.