20180129-法国巴黎银行-FX_Positioning_Analysis_12页_669kb

FX Positioning Analysis Summary - 29 January 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 for G10 currencies based on five key components: Client Exposure, IMM, Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. Each component is scaled between -50 and +50, with extreme positions defined as values above 40 or below -40.

Key Findings

• USD: FX investors remain extremely short on USD, with a score of -45, indicating a strong bearish sentiment.
• EUR: Large long positions continue to be held, with a score of +21, showing a bullish stance.
• JPY: The market remains neutral, with a score of -2.
• SEK: A significant long position has been built, with the score rising to +27, now the largest long in the G10.
• CHF: The large short position has been reduced, with the score moderating to -13.

Positioning Components

Interpretation of Positioning Scores

• Positioning scores are based on a percentile of the prior five years of data, rescaled to a -50 to +50 scale.
• A score of -27 means that 23% of observations over the past five years have been below the current observation.

Charts and Visuals

• 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.

Legal and Regulatory Notice

• The document is non-independent research and constitutes a marketing communication.
• It is not intended for retail investors and is directed at Professional Clients and Eligible Counterparties.
• It may contain "Research" as defined under MiFID II unbundling rules, and is only available to those who have signed up to BNP Paribas Global Markets Research packages or are out of scope of the MiFID II unbundling rules.
• The information is for informational purposes only and does not constitute investment advice.
• BNPP may have conflicts of interest due to its involvement in trading, underwriting, and advisory services related to the discussed products and instruments.
• No guarantees are made regarding the accuracy or completeness of the information or models used.
• Performance data may be based on back-testing and is not indicative of future results.

Additional Information

• FX Strategy Contacts: Includes details of strategists and their contact information across various branches.
• Online Resources:
  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • Bloomberg:
    • Fixed Income Research: BPFR
    • G10 Interest Rate Research: BPBS
    • Emerging Markets Research: BPFR
    • Market Economics: BPEC
• Important Disclosures:
  • Options and ETFs are complex instruments and may involve high risk.
  • Certain securities may not be registered under US Securities Laws and are considered "restricted securities".
  • The document may be distributed only to qualified institutional buyers or non-US persons under Regulation S.
  • BNPP may act as a market maker, advisor, or underwriter for the discussed products and may have potential conflicts of interest.

US Disclosures

• The report is a general solicitation of derivatives business and is subject to U.S. Commodity Exchange Act regulations.
• BNPPSC is a broker-dealer and futures commission merchant registered with the SEC, CFTC, FINRA, and NFA.
• This document is for the general information of BNPP's clients and may not be used for any other purpose.

UK Disclosures

• The document is communicated by BNPP London Branch, authorized and supervised by the ECB, ACPR, and Prudential Regulation Authority.
• It is subject to limited regulation by the Financial Conduct Authority.
• BNPP London Branch is incorporated in France with Limited Liability and registered in England and Wales under number FC13447.

Disclaimer

• The information and opinions in this document are based on public sources and may not be independently verified.
• BNPP does not accept responsibility for the accuracy or completeness of the information.
• No assurance is given that any transaction will be entered into on the terms described.
• All estimates and opinions are as of the date of the document and may be subject to change without notice.