20180611-法国巴黎银行-FX_POSITIONING_ANALYSIS_12页_717kb

FX Positioning Analysis Summary - 11 June 2018

Core Content

This document provides an analysis of FX positioning scores for major currencies as of 11 June 2018, based on data from BNP Paribas. It outlines the current market sentiment and positions held by various market participants, including client exposure, Fund Trackers, and other FX-related indicators. The scores are based on a percentile scale derived from the past five years of data, with values ranging from -50 to +50. Extreme positions are indicated by scores above +40 or below -40.

Main Points

• USD Positioning: Long USD positions were reduced to a score of +6, down from +50 last week. Both client exposure and Fund Tracker continue to show long USD positions, indicating sustained interest in the US dollar.

• EUR Positioning: The market holds -18 short EUR positions ahead of the ECB meeting, reflecting cautious sentiment. The Fund Tracker also shows a -45 score, suggesting significant short positioning.

• NOK Positioning: Long NOK positions have increased significantly to +20, up from +4 last week. This suggests a growing bullish sentiment toward the Norwegian krone.

• SEK Positioning: Short SEK positions were reduced to -20, indicating a shift in market sentiment from extreme short to more neutral.

• CAD Positioning: CAD has turned short from a neutral score last week, with FX funds currently holding extreme CAD shorts (score -25). This suggests a strong bearish bias towards the Canadian dollar.

• GBP Positioning: GBP has a -29 score, showing a strong bearish stance. The Fund Tracker score is -49, reinforcing this view.

• CHF Positioning: CHF has a -6 score, indicating a moderate bearish bias. The Fund Tracker score is -50, suggesting extreme short positions.

• AUD Positioning: AUD has a +12 score, showing a slight bullish bias. The Fund Tracker score is -49, indicating a strong bearish stance.

• NZD Positioning: NZD has a -44 score, showing a strong bearish bias. The Fund Tracker score is -50, reinforcing this view.

• JPY Positioning: JPY has a -9 score, showing a moderate bearish bias. The Fund Tracker score is -49, indicating a strong bearish stance.

Key Information

• The overall positioning score is calculated as an equally weighted average of multiple components: Client Exposure, IMM (Commitment of Traders), Risk Reversals, and FX Fund Position Tracker.

• Interpretation of Positioning Scores: A score of -27 means that 23% of past observations were below this value. This helps in gauging whether the current position is extreme or not.

• Extreme Positions: The document highlights that extreme short positions are currently observed in CAD and EUR, while long positions are noted in NOK and USD.

• Charts: Several charts are provided to visualize the positioning scores, including overall positioning, 3-year historical plots, and individual currency positioning scores. These are sourced from BNP Paribas.

Additional Notes

• FX Strategy Contacts: The document lists key contacts for FX strategy and related research across different regions and roles.

• Legal Disclaimer: The report is non-independent research and may be subject to conflicts of interest. It is a marketing communication and not investment research for MiFID II purposes. It is not intended for use by non-Relevant Persons.

• Investment Risks: The document notes that all transactions may involve high risk, including market, counterparty, and liquidity risks. It also warns that simulated performance does not reflect real-world conditions and is not indicative of future results.

• United States Disclosures: The document contains important disclosures for options, ETFs, and unregistered securities. It emphasizes that certain securities may not be registered under US law and are only available to Qualified Institutional Buyers or non-US persons.

• UK and France Disclosures: The report is produced and distributed by BNP Paribas London Branch and BNPP SA/BNPP Arbitrage in France. It outlines the regulatory status and authorizations in these jurisdictions.

Summary Table of Positioning Scores

Conclusion

The FX positioning analysis indicates a mixed sentiment across major currencies, with USD and NOK showing long positions, and EUR, GBP, JPY, and CAD showing short positions. The ECB meeting is a key event influencing EUR positioning, while CAD and EUR are currently at extreme levels. Investors are advised to consider the risks associated with these positions and consult independent advisors before making any investment decisions.