巴黎银行-全球-外汇市场-定位分析-20180226-12页_876kb

FX Positioning Analysis Summary - 26 February 2018

Core Content Overview

This document provides a comprehensive FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, FX Strategist. It outlines the current positioning scores for major G10 currencies, based on a -50 to +50 percentile scale derived from the prior five years of data. The report also includes details about the methodology used to calculate these scores and the relevant contacts for further inquiries.

Key Positioning Scores

The following are the current positioning scores for the major currencies:

Interpretation of Scores

• Score Interpretation: A score of -27 means that 23% of observations over the past five years have been below the current observation.
• Extreme Positions: Scores above +40 or below -40 indicate extreme positions.
• Methodology: The overall currency score is calculated as an equally weighted average of the components: Client Exposure, IMM, Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Main Views and Insights

• USD: Short positions have been pared back slightly, with a score of -34. This indicates a moderate bearish sentiment.
• EUR: Long positions continue to be held, at a score of +16, suggesting a bullish outlook.
• JPY: The market remains long JPY, with a score of +12, indicating continued positive positioning.
• SEK: There has been a substantial building of short SEK positions, with the score moving from neutral to -24, indicating a strong bearish sentiment.

Supporting Charts

The report includes the following charts:

• Chart 1: Overall Positioning of G10 currencies.
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: 3-Year historic plot of G10 currency positioning scores.
• Chart 4: USD, EUR, JPY, GBP, CAD, CHF, AUD, NZD, NOK, SEK individual positioning scores.
• Chart 5: 1-Year historic plot of G10 currency positioning individual scores.

All charts are sourced from BNP Paribas and are used to visualize the positioning data across different timeframes.

FX Strategy Contacts

The following are the key contacts for FX Strategy at BNP Paribas:

Legal and Disclaimer Information

• Non-Independent Research: This document is non-independent research for the purpose of UK FCA rules and is considered a marketing communication under MiFID II.
• Conflicts of Interest: BNP Paribas may have financial interests in the issuers or entities discussed and may engage in transactions inconsistent with the views expressed.
• No Investment Advice: The document does not constitute investment, financial, legal, or tax advice.
• Performance Data: Performance data may include back-testing and is not indicative of future results.
• Confidentiality: The information is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.

Additional Resources

• Online Resources:

  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • Bloomberg: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), FX Strategy Website, Emerging Markets Research, Market Economics

• U.S. Disclosures:

  • Options and ETFs discussed are complex and may involve high risk.
  • Certain securities may be restricted and only eligible for QIBs or non-U.S. persons.
  • This document is a general solicitation for derivatives business and is subject to U.S. law.

• UK and France Disclosures:

  • In the UK, this document is communicated by BNPP London Branch, authorized by the ECB, ACPR, and FCA.
  • In France, the report is produced and/or distributed by BNPP SA and/or BNPP Arbitrage, authorized and supervised by ECB and ACPR.

The report is intended for professional clients and eligible counterparties, and is subject to change or discontinuation without notice.