20181203-法国巴黎银行-FX_POSITIONING_ANALYSIS__GLOBAL_12页_1021kb

FX Positioning Analysis Summary | G10 Currencies

Core Content

This document provides a detailed analysis of the positioning of G10 currencies as of 3 December 2018, based on data from BNP Paribas. It includes insights from various sources such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are calculated as a percentile of the past five years of data, rescaled to a -50 to +50 scale, with extreme positions indicated by scores above +40 or below -40.

Key Positioning Scores

• USD: Moderately long with a score of +13
• EUR: Net short with a score of -19, the shortest position among G10 currencies
• GBP: Net short with a score of -15
• CAD: Short positions extended with a score of -42
• NOK: Short positions extended with a score of -42
• AUD: Neutral with a score of -3
• JPY: Neutral with a score of -6
• CHF: Neutral with a score of -16
• SEK: Neutral with a score of -36

Main Views

• USD remains in a moderately long position, indicating a general bullish sentiment towards the US dollar.
• EUR has the most extreme short position among G10 currencies, suggesting a strong bearish bias.
• GBP is also in a short position, but less extreme than EUR.
• CAD and NOK show extended short positions, indicating increased bearish sentiment.
• AUD, JPY, CHF, and SEK are in neutral positions, suggesting no clear directional bias from the data sources.

Interpretation of Positioning Scores

• A score of -27 means that 23% of observations over the past five years were below the current position.
• The scores are derived from an equally weighted average of the components: client exposure, IMM, risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Supporting Charts

• Chart 1: Overall FX positioning scores
• Chart 2: Absolute total G10 positioning
• Chart 3: USD positioning components
• Chart 4: GBP positioning components
• Chart 5: EUR positioning components
• Chart 6: JPY positioning components
• Chart 7: AUD positioning components
• Chart 8: CAD positioning components
• Chart 9: NZD positioning components
• Chart 10: CHF positioning components
• Chart 11: NOK positioning components
• Chart 12: SEK positioning components
• Chart 13: One-year plot of G10 currency positioning individual scores

Strategy Contacts

Legal and Regulatory Information

• This document is non-independent research and is a marketing communication.
• It is not intended to provide investment advice or be relied upon as a prospectus.
• BNPP may have conflicts of interest due to its involvement in sales, trading, and advisory activities.
• The document may contain back-tested performance data and is for illustrative purposes only.
• Information is based on public sources and may not be independently verified.
• BNPP does not accept responsibility for the accuracy or completeness of the information.
• The document is for the use of intended recipients and may not be reproduced or distributed without prior consent.

Disclaimer

• The information and opinions contained in this document are subject to change without notice.
• Past performance is not indicative of future results.
• Indicative prices and terms are not actual transaction terms.
• Transactions involving the products discussed may involve high risk and volatility.
• No assurance is given that any returns or results will be achieved.
• BNPP may have financial interests in the securities or companies discussed.
• The document may not be used by persons who are not "Relevant Persons" as defined by applicable regulations.
• All information is provided on a strictly confidential basis and must not be copied or distributed without prior written consent.