巴黎银行-全球-外汇市场-外汇定位分析-20180702-13页_734kb

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FX Positioning Analysis Summary - 2 July 2018

Core Content Overview

This document provides an analysis of FX positioning as of 2 July 2018, produced by BNP Paribas London Branch. It outlines the current positioning scores for various G10 currencies and highlights the market sentiment and trends based on different indicators. The report also includes legal disclaimers and disclosures relevant to U.S. and U.K. jurisdictions.

Key Positioning Scores

The following are the updated positioning scores for major currencies:

Currency	Score	Notes
USD	+19	Long positions remain large but have moderated slightly
EUR	-3	Short positions have been significantly unwound
GBP	-18	Sharp increase in short positions, indicating strong bearish sentiment
JPY	24	Moderate long positions
AUD	2	Slight long positions
CAD	-27	Negative positioning, indicating bearish sentiment
NZD	-34	Largest short since November 2017
CHF	-12	Slightly negative positioning
NOK	41	Strongly positive positioning
SEK	-38	Strongly negative positioning

The positioning scores are based on a percentile scale derived from the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are indicated when scores are above 40 or below -40.

Main Indicators

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 versus puts, incorporating market sentiment.
FX Fund Position Tracker: Regression-based decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

The overall currency score is calculated as the equally weighted average of these components.

Key Observations

EUR: Short positions have been fully unwound, moving from -22 to -3.
GBP: Short positions have increased sharply to -18, suggesting a significant bearish shift.
NZD: Shorts have extended rapidly to -34, the largest short since November 2017.
USD: Long positions remain large, though slightly reduced to +19.
GBP and NZD: Both currencies show extreme positioning, indicating strong market sentiment.
CHF and JPY: Show moderate to slightly positive positioning.
AUD: Shows a small positive score, indicating slight bullish sentiment.
CAD: Negative positioning, suggesting bearish sentiment.
NOK: Strongly positive positioning, indicating bullish sentiment.
SEK: Strongly negative positioning, indicating bearish sentiment.

Charts Mentioned

Chart 1: Overall FX Positioning Analysis (BNP Paribas)
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
Chart 13: 1 Year historic plot of G10 currency positioning individual scores

FX Strategy Contacts

Name	Job Title	Legal Entity	Phone Number
Michael Sneyd, CFA	Global Head of FX Strategy & Cross-Asset Strategist	BNP Paribas London branch	44 20 7595 1307
Sam Lynton-Brown	FX Strategist	BNP Paribas London branch	44 20 7595 8467
Natalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
Daniel Katzive, CFA	Head of FX Strategy North America	BNP Paribas Securities Corp (New York)	1 212 841 2408
Vasilis Koutsaftis	FX Options Strategist	BNP Paribas Securities Corp (New York)	1 212 471 7973
Wike Groenenberg	Head of Emerging Markets Research, CEEMEA & APAC	BNP Paribas London branch	44 20 7595 8746
Marcelo Carvalho	Head of Emerging Markets Research, Latam	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3418
Sai Ulluri	FX & IR CEEMEA Strategist	BNP Paribas London branch	44 20 7595 1872
Shaun Daly	FX & IR CEEMEA Graduate	BNP Paribas London branch	44 20 7595 1870
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Turk Ekonomi Bank A.S. (Istanbul)	90 216 635 2987
Altaz Daga	APAC IR Strategist	BNP Paribas Singapore Branch	65 6210 4994
Dawn Kwa	Asia FX & IR Strategist	BNP Paribas Singapore Branch	65 6210 3263
Kun Shan	China Strategist	BNP Paribas China Limited (Shanghai)	86 21 2896 2773
Tianhe Ji	China Strategist	BNP Paribas China Limited (Beijing)	86 10 6535 0836
Gabriel Gersztein	Head FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3421
Samuel Castro	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3492
Luca Maia	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3447
Andre Digiacomo	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3445

Legal and Disclosure Information

This document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication and not investment research.
It may contain "Research" as defined under MiFID II unbundling rules.
It is not intended for use by persons who are not "Relevant Persons" as defined under MiFID II.
No liability is accepted for any use of the document or its content.
The information is based on public sources and may not be accurate or complete.
The document does not constitute an offer to sell or issue securities.
It may contain back-tested performance data, which is for illustrative purposes only.
It is not a prospectus or public offering document.
Transactions may involve high risk and significant volatility.
BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
The document is for the use of intended recipients and may not be reproduced or distributed without prior written consent.
It is distributed in accordance with U.S. and U.K. legal requirements.