巴黎银行-全球-外汇策略-全球外汇定位分析-20190509-13页_1mb

G10 FX Positioning Summary

Core Content Overview

This document provides a comprehensive analysis of the positioning of G10 currencies based on various quantitative and market sentiment indicators. The data is sourced from BNP Paribas and presented as percentile scores derived from the prior five years of historical data, rescaled between -50 and +50. Scores above 40 or below -40 indicate extreme positions. The positioning scores are calculated as an equally weighted average of multiple components, including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, BNPP Trending Indicator, and Buy Sell Pressure.

Key Positioning Insights

USD

• Score: +16
• Change: USD longs have extended, driven by the Risk Reversals component reducing shorts.
• Components:
  • Client Exposure: +27
  • IMM: +46
  • Risk Reversals: -11
  • FX Fund Position Tracker: +8
  • BNPP Trending Indicator: +13
  • Buy Sell Pressure: +12

EUR

• Score: -7
• Change: EUR shorts have been reduced from -12 last week.
• Components:
  • Client Exposure: -11
  • IMM: -21
  • Risk Reversals: -13
  • FX Fund Position Tracker: +7
  • BNPP Trending Indicator: -12
  • Buy Sell Pressure: -33

JPY

• Score: +8
• Components:
  • Client Exposure: -1
  • IMM: -32
  • Risk Reversals: +24
  • FX Fund Position Tracker: -4
  • BNPP Trending Indicator: +35
  • Buy Sell Pressure: +27

NOK

• Score: +15
• Change: NOK longs have been pared back from +26 last week.
• Components:
  • Client Exposure: +33
  • IMM: -46
  • Risk Reversals: +10
  • FX Fund Position Tracker: +41
  • BNPP Trending Indicator: -22
  • Buy Sell Pressure: +12

AUD

• Score: -20
• Components:
  • Client Exposure: -19
  • IMM: -34
  • Risk Reversals: +19
  • FX Fund Position Tracker: -30
  • BNPP Trending Indicator: -13
  • Buy Sell Pressure: -32

NZD

• Score: -17
• Components:
  • Client Exposure: -33
  • IMM: -29
  • Risk Reversals: -19
  • FX Fund Position Tracker: +46
  • BNPP Trending Indicator: -21
  • Buy Sell Pressure: -43

GBP

• Score: +10
• Components:
  • Client Exposure: +33
  • IMM: +25
  • Risk Reversals: +29
  • FX Fund Position Tracker: -30
  • BNPP Trending Indicator: +20
  • Buy Sell Pressure: +40

CHF

• Score: -13
• Components:
  • Client Exposure: -30
  • IMM: -46
  • Risk Reversals: -42
  • FX Fund Position Tracker: -21
  • BNPP Trending Indicator: -12
  • Buy Sell Pressure: -36

CAD

• Score: +2
• Components:
  • Client Exposure: +33
  • IMM: -34
  • Risk Reversals: +19
  • FX Fund Position Tracker: -30
  • BNPP Trending Indicator: +2
  • Buy Sell Pressure: -3

SEK

• Score: -12
• Components:
  • Client Exposure: -29
  • IMM: -44
  • Risk Reversals: -34
  • FX Fund Position Tracker: -21
  • BNPP Trending Indicator: -38
  • Buy Sell Pressure: -38

Key Viewpoints

• USD has seen an increase in long positions, indicating a more bullish outlook from investors.
• EUR has moved from extreme shorts to a more neutral position, suggesting a potential shift in sentiment.
• JPY has moderate long exposure, with the FX Fund Position Tracker turning more positive.
• NOK has seen a reduction in longs, due to the Risk Reversals and Buy Sell Pressure components becoming less bullish.
• AUD and NZD have extended their short positions, indicating bearish sentiment.
• The BNPP Trending Indicator and Buy Sell Pressure provide technical and momentum-based insights, which are critical in determining the overall positioning.

Important Notes

• The scores are based on a percentile system from the past five years, adjusted to a -50 to +50 scale.
• The report is intended for Relevant Persons and is not investment research under MiFID II.
• It may contain Research content for firms that have signed up to BNPP Global Markets Research packages or are out of scope of MiFID II.
• The document includes Important Disclosures related to options, ETFs, and convertible securities, emphasizing the risks involved.
• BNPP may have conflicts of interest, including acting as a market maker, adviser, or underwriter for the referenced entities.
• The information is for internal use only and is confidential. It should not be copied, reproduced, or distributed without prior written consent.
• The document is a marketing communication and not a prospectus or public offering.