20180102-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_10页_748kb

FX Positioning Analysis Summary (2 January 2018)

Core Content

This document presents the FX Positioning Analysis report by BNP Paribas London Branch, authored by Natalie Rickard (FX Strategist) and Alex Jekov (Graduate). It provides insights into the positioning of major G10 currencies by FX investors, using a composite score derived from multiple indicators.

Key Positions and Scores

The report outlines the positioning scores for G10 currencies based on historical data and current market sentiment. The scores are calculated using a combination of the following components, all rescaled to a -50 to +50 scale:

• Client Exposure
• IMM (Commitment of Traders)
• Risk Reversals
• FX Fund Position Tracker
• BNPP Trending Indicator

Currency Positioning Scores

Main Views

• USD: Investors are still heavily short on USD, though the position has slightly improved from -26 to -18.
• EUR: The EUR remains the most favored currency among G10, with a strong long position.
• SEK: There is a positive trend in rebuilding long SEK positions, suggesting a shift in market sentiment.
• CHF and JPY: Both currencies are heavily shorted, with scores of -23, indicating significant bearish sentiment.
• The overall positioning score is calculated as an equally weighted average of the individual indicators, providing a comprehensive view of market sentiment.

Charts and Visuals

The report includes multiple charts that visually represent the positioning scores for various currencies:

• Chart 1: Overall FX Positioning (Percentile-based scores)
• 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

These charts help illustrate the relative positioning of each currency, with values above 40 or below -40 indicating extreme positions.

FX Strategy Contacts

The document also includes contact details for FX strategy teams in various regions:

Global FX Strategy

Emerging Markets FX & IR Strategy

Legal and Distribution Notice

• This document is non-independent research and is a marketing communication.
• It is intended for professional clients and eligible counterparties, as defined by MiFID.
• BNP Paribas may have financial interests in the entities or instruments discussed, which could lead to conflicts of interest.
• No liability is accepted for any reliance on the document or its content.
• The document is for information purposes only and does not constitute an offer to sell or issue any financial instruments.
• It may contain performance data based on back-testing and is not a guarantee of future results.
• It is produced by a BNP Paribas group company and may not be reproduced or distributed without prior written consent.

US and UK Disclosures

• Important Option Disclosures: Options are complex instruments with high risk and are not suitable for all investors.
• Important ETF Disclosures: ETFs have risks, including tracking error and market-specific risks. BNP Paribas may have conflicts of interest due to its involvement in ETFs.
• UK: The document is communicated by BNP Paribas London Branch, authorized by the ECB, ACPR, and FCA.
• France: The report is produced and distributed by BNP Paribas SA and BNP Paribas Arbitrage, authorized and supervised by ECB and ACPR.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland, authorized and supervised by ECB and ACPR.
• Belgium: Distributed by BNP Paribas Fortis SA/NV, authorized and supervised by ECB and National Bank of Belgium.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France.
• Italy: The report is distributed by BNP Paribas Italian Branch.

Summary

The report highlights the current FX positioning across G10 currencies, noting a shift in sentiment towards EUR and SEK, while USD and JPY remain heavily shorted. It provides detailed data and visual aids to support the analysis and includes contact information for FX strategy teams globally. Legal disclaimers and distribution notices are included to clarify the nature of the document and its intended audience.