20180205-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_12页_670kb

FX Positioning Analysis Summary - 5 February 2018

Core Content Overview

This report provides an analysis of the FX positioning of G10 currencies as of 5 February 2018, based on data from BNP Paribas London Branch. It outlines the current exposure levels of investors and includes insights from various sources such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are derived from a five-year historical percentile, scaled between -50 and +50, where values beyond ±40 indicate extreme positions.

Key Findings

• EUR Long Exposure: FX investors have increased their long exposure on EUR to +25, indicating a strong bullish sentiment towards the Euro.
• USD Short Positioning: USD short exposure remains at an extreme level of -44, suggesting a strong bearish view on the US Dollar.
• CHF Exposure: Short CHF exposure has been moderating, moving from -23 at the start of 2018 to -7 currently.
• SEK Long Positioning: Long SEK exposure has slightly moderated but still stands at +23, making it the second-largest long position in the G10.

Positioning Metrics

The following are the positioning scores for G10 currencies:

Interpretation of Positioning Scores

• A score of +25 for EUR indicates that 25% of historical observations were below this level, suggesting a bullish stance.
• A score of -44 for USD indicates that 44% of historical observations were below this level, suggesting a bearish stance.
• Moderating positions for CHF and SEK suggest a shift in sentiment, though SEK remains a significant long position.

Charts and Visuals

The report includes several charts:

• 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

These charts provide visual insights into the positioning of each G10 currency, with data sources attributed to BNP Paribas.

Legal and Compliance Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Relevant Persons as defined by MiFID II and other regulatory frameworks.
• The document is not investment research and does not constitute an offer to sell or issue any financial instrument.
• It contains hypothetical and back-tested performance data which is for illustrative purposes only and does not guarantee future results.
• Indicative prices are provided for informational purposes and do not represent actual transaction terms.

FX Strategy Contacts

Additional Information

• Online Resources: BNP Paribas provides FX Strategy insights through its website and Bloomberg platforms.
• Legal Notice: The document is for informational purposes only and may not be suitable for all investors. It does not constitute a prospectus or public offering.
• Confidentiality: The information is provided on a strictly confidential basis and must not be distributed without prior written consent.

Disclaimer

• All estimates and opinions are based on data as of the date of the report and may change without notice.
• Performance data is hypothetical and back-tested, not indicative of future results.
• BNP Paribas may have conflicts of interest due to its involvement in market-making, advisory, and underwriting activities.
• The document may not be used by non-Relevant Persons without proper authorization.