20180820-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_13页_739kb

FX Positioning Analysis Summary (20 August 2018)

Core Content

This document provides an analysis of the FX market positioning as of 20 August 2018, produced by BNP Paribas London Branch. It outlines the current sentiment of various FX positions, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are based on historical data from the past five years, rescaled to a -50 to +50 range, with extreme positions defined as scores above 40 or below -40.

Main Points

• USD Positioning: The market is long USD at a score of +31, indicating a strong bullish sentiment.
• JPY Positioning: Long JPY positions have extended, reaching a score of +23.
• CHF Positioning: A slight long CHF position has been built, with a score of +4, up from a large short position of -17 at the start of August.
• EUR Positioning: Moderate short EUR positions continue, with a score of -17.
• GBP Positioning: The market holds the largest short GBP position in a year, at a score of -32.
• Other Currencies:
  • CAD: Score of -12
  • AUD: Score of +1
  • NZD: Score of -43
  • NOK: Score of +22
  • SEK: Score of -27

Key Information

• Positioning Score Interpretation: The scores are percentiles based on the prior five years of data, rescaled to a -50 to +50 scale. A score of -27, for example, means that 23% of observations over the past five years have been below the current observation.

• Overall Currency Score Calculation: The overall score is calculated as an equally weighted average of the components: Client Exposure, IMM, Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

• Charts: Several charts are referenced, including:

  • Chart 1: Overall FX Positioning
  • 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

• Legal and Compliance Notes:

  • The document is non-independent research and may be subject to conflicts of interest.
  • It is intended for professional clients and eligible counterparties and is not investment research for the purposes of MiFID II.
  • The information is for informational purposes only and does not constitute an offer to sell or purchase any financial instrument.
  • It may include simulated performance data and is not guaranteed to reflect future results.
  • BNPP and its affiliates may have financial interests in the mentioned issuers and may engage in transactions that could conflict with the views expressed in the document.
  • The document is not a prospectus and does not constitute an advertisement or public offering.

Summary Table

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1307
• Natalie Rickard: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8270
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8467
• Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York), Phone: 1 212 841 2408
• Vasilis Koutsaftis: FX Options Strategist, BNP Paribas Securities Corp (New York), Phone: 1 212 471 7973

Legal Disclaimer

• This document may not be suitable for all investors and is not intended as an official transaction confirmation.
• It may include performance data based on back-testing, which is for illustrative purposes only.
• BNPP and its affiliates may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No liability is accepted for any direct or consequential loss arising from the use of this document.
• The information is provided on a confidential basis and may not be copied or distributed without prior written consent.