20180709-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_13页_719kb

FX Positioning Analysis Summary - 9 July 2018

Core Content Overview

This document provides a detailed analysis of FX positioning scores as of 9 July 2018, produced by BNP Paribas London Branch, with insights from strategists including Michael Sneyd and Alexander Jekov. The report outlines the current positioning across major G10 currencies and includes various data sources and methodologies used to assess market sentiment and trends.

Key Currency Positioning Scores

• USD: Long positioning has been reduced from +18 to +14 on a scale of -50 to +50. However, client survey exposure remains significantly long at +33.
• EUR: Positioning is now neutral at 0, down from -22 on 29 May.
• SEK: Short positioning has improved from -35 to -16.
• GBP: Short positioning remains at -20, with fast money investors extending their short positions.
• JPY: Positioning is at +10, with FX Fund Position Tracker at +6.
• CHF: Positioning is at -5, with FX Fund Position Tracker at -49.
• CAD: Positioning is at -23, with FX Fund Position Tracker at -50.
• AUD: Positioning is at +2, with FX Fund Position Tracker at -46.
• NOK: Positioning is at +41, with FX Fund Position Tracker at -22.
• NZD: Positioning is at -42, with FX Fund Position Tracker at -50.

Positioning Methodologies

The positioning scores are derived from multiple indicators:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflect the relative price of calls vs. puts, indicating market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

The overall currency score is calculated as an equally weighted average of these components.

Charts and Data Sources

• Chart 1: Overall FX Positioning Analysis (BNP Paribas FX Positioning Analysis – Overall 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

All charts are sourced from BNP Paribas.

Legal and Regulatory Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication under MiFID II, not investment research.
• It does not constitute an offer to sell or issue securities, nor a solicitation to purchase.
• BNP Paribas may have financial interests in the mentioned issuers or act as a market maker or advisor.
• Option Disclosures: Options are complex and not suitable for all investors.
• ETF Disclosures: ETFs involve risks such as tracking error, currency, and geopolitical risks.
• Convertibles and Unregistered Securities: Some securities may be restricted and only available to QIBs or non-US persons.

FX Strategy Contacts

Production and Editorial Team

Additional Information

• The document is for informational purposes only and should not be relied upon as a substitute for independent judgment.
• BNP Paribas does not provide investment, financial, legal, or tax advice.
• Performance data may include back-testing and is not indicative of future results.
• Indicative prices are based on internal models and may differ from other sources.
• The document may contain non-public information that could affect ETF prices.
• Legal Disclaimer: No liability is accepted for any loss arising from the use of this document.

Contact Information

• BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, BNP Paribas Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC