20181220-法国巴黎银行-FX_POSITIONING_ANALYSIS_12页_1022kb

FX Positioning Analysis Summary | G10 FX

Core Content

This document provides a comprehensive analysis of the positioning of G10 currencies in the foreign exchange market as of 20 December 2018. The analysis includes multiple components such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The overall positioning scores are calculated as equally weighted averages of these components, rescaled to a -50 to +50 scale based on historical data from the prior five years.

Key Findings

• Overall Risk Taking: There has been an increase in overall risk taking in the G10 FX market since the start of December.
• USD Positioning: FX investors remain long USD with a score of +23, indicating a positive sentiment towards the US dollar.
• Positive Positions:
  • SEK has extended its net long positioning to +13.
  • JPY has a net long position of +11.
  • All components for SEK are positive.
• Negative Positions:
  • GBP has a short position of -26.
  • CAD and AUD have short positions of -21 and -20 respectively.
  • FX Fund Position Tracker has sharply dropped on GBP.
• Trimmed Short Positions:
  • EUR and NOK short positions have been trimmed to -12 and -8 respectively.
• Neutral Positions:
  • CHF and NZD are positioned neutrally at +6 and +4 respectively.

Components Overview

Interpretation of Positioning Scores

• Positioning scores are based on a percentile scale from the prior five years, rescaled to a range of -50 to +50.
• A score of +23 means that 23% of observations over the past five years have been below the current observation.
• Scores above +40 or below -40 indicate extreme positions.

Charts and Visuals

• Chart 1: Overall positioning of G10 currencies.
• Three-year plot: Shows the positioning scores of G10 currencies over three years.
• One-year plot: Highlights individual positioning scores for each currency over one year.
• Charts for individual currencies: Include USD, EUR, GBP, JPY, CAD, AUD, NZD, NOK, and SEK, with corresponding positioning components.

Strategy Contacts

The report is authored by the following strategists and economists:

Legal and Regulatory Information

• The document is a marketing communication under MiFID II and not independent research.
• It is not investment research and may not be used for investment decisions.
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• The information is not guaranteed for accuracy or completeness.
• BNPP may have conflicts of interest due to its involvement in trading and investment banking activities.
• The document may contain hypothetical or back-tested performance data which is not indicative of future results.
• Options and ETFs discussed are complex instruments with significant risks.
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Disclaimer

• This document is for information purposes only and not to be relied upon as authoritative.
• No guarantee is made regarding the accuracy or completeness of the content.
• Indicative prices and terms are not actual terms for transactions.
• BNPP and its affiliates may act as market makers or hold positions in the discussed instruments.
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Additional Information

• The document is available on BNP Paribas Global Markets Website and BNP Paribas Strategy Website.
• It is also accessible via Bloomberg under the BNP Paribas research section.
• Legal Notice and disclosures are included for compliance with US and UK regulations.