巴黎银行-全球-外汇市场-外汇定位分析-20180129-12页_932kb

FX Positioning Analysis Summary (29 January 2018)

Core Content Overview

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard, FX Strategist. It outlines the current market positioning across G10 currencies based on five key components: Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are calculated as percentiles over the past five years, rescaled to a -50 to +50 scale, with extreme positions defined as above 40 or below -40.

Key Positioning Scores

Interpretation of Scores

• A score of -45 means that 45% of observations over the past five years have been below the current level, indicating an extremely short position on USD.
• A score of +27 indicates that 27% of observations have been below the current level, suggesting a strong long position on SEK.
• A score of -13 means that 13% of observations have been below the current level, showing a moderation in the short position on CHF.

Main Views and Insights

• USD: Investors remain extremely short on USD, with all five components indicating large short positions.
• EUR: Maintains a large long position, with a score of +21.
• JPY: Remains neutral, with a score of -2.
• SEK: Shows a significant increase in long positions over the week, reaching +27, which is now the largest long position in the G10.
• CHF: The large short position has been reduced, with the score moderating to -13.

Additional Information

• The overall currency score is calculated as an equally weighted average of the five components.
• The report includes several charts (Chart 1 to Chart 22) illustrating the positioning scores for individual currencies and historical data. These charts are sourced from BNP Paribas.
• The report also includes FX Strategy Contacts, detailing key personnel and their contact information across different branches and locations.

Legal and Regulatory Disclaimer

• The document is non-independent research and may be subject to conflicts of interest.
• It is not investment research for the purposes of MiFID II and is considered a marketing communication.
• The information is for professional clients and eligible counterparties only, and is not intended for public or retail investors.
• It may include research content under MiFID II unbundling rules, which requires the recipient to have signed up for a relevant research package.
• The document contains performance data that may be based on back-testing and simulations, which are not indicative of future performance.
• BNPP may have financial interests in the securities or entities mentioned, including acting as a market maker, advisor, or underwriter.
• The information is strictly confidential and may not be copied, reproduced, or distributed without prior written consent.
• The document may include options and ETFs which are complex and involve high risk. Investors are advised to consult with independent advisors before making any investment decisions.
• Certain securities may be unregistered under US Securities Laws and are available only to Qualified Institutional Buyers or non-US persons.

Contact Information