巴黎银行-全球-外汇市场-外汇定位分析-20180625-13页_736kb

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FX Positioning Analysis Summary (25 June 2018)

Core Content

This document provides an analysis of FX positioning scores for G10 currencies as of 25 June 2018, produced by BNP Paribas London Branch. It outlines the current market sentiment and positions held by FX investors, funds, and other market participants.

Key Positioning Scores

USD: Long positioning has increased to a score of +16 (on a -50 to +50 scale), up from +9 the previous week.
JPY: Long exposure has risen to +25, with FX funds continuing to hold large long positions.
CAD: Short positioning has extended to -26, driven by increased FX fund short positions.
SEK: Short positioning has reached -28, the largest among G10 currencies.

Positioning Components

The positioning scores are calculated as equally weighted averages of the following components:

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 currency momentum.

Charts and Data Sources

The document includes several charts that visualize the positioning data:

Chart 1: Overall FX Positioning (BNP Paribas FX Positioning Analysis)
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: NZD Overall Positioning
Chart 9: NOK Overall Positioning
Chart 10: CHF Overall Positioning
Chart 11: SEK Overall Positioning

All charts are sourced from BNP Paribas.

Legal and Disclaimer Information

The document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication under MiFID II and not investment research.
It does not constitute an offer to sell or purchase any financial instruments.
The information is for informational purposes only and not for reliance as authoritative.
BNPP does not provide investment, financial, legal, or tax advice.
Past performance is not indicative of future performance.
Indicative prices are based on internal models and may not reflect actual market terms.
The document may contain back-tested performance data, which is for illustrative purposes only.
It is strictly confidential and may not be copied or distributed without prior consent.

Important Disclosures

Options: Complex instruments with high risk, suitable only for sophisticated investors.
ETFs: Carry risks including tracking error, currency, and geopolitical risks.
Securities: Some may be restricted securities and only available to QIBs or non-US persons.
U.S. Distribution: Limited to institutional investors or major U.S. institutional investors.
UK Distribution: Communicated by BNP Paribas London Branch, authorized by ECB, ACPR, and PRA.
France Distribution: Produced by BNPP SA and BNPP Arbitrage, authorized by ECB and ACPR.

FX Strategy Contacts

Strategist	Job Title	Legal Entity	Phone Number
Michael Sneyd, CFA	Global Head of FX Strategy & Cross-Asset Strategist	BNP Paribas London branch	44 20 7595 1307
Nathalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
Daniel Katzive, CFA	Head of FX Strategy North America	BNP Paribas Securities Corp (New York)	1 212 841 2408
Vasilis Koutsaftis	FX Options Strategist	BNP Paribas Securities Corp (New York)	1 212 471 7973
Wike Groenenberg	Head of Emerging Markets Research, CEEMEA & APAC	BNP Paribas London branch	44 20 7595 8746
Marcelo Carvalho	Head of Emerging Markets Research, Latam	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3418
Sai Ulluri	FX & IR CEEMEA Strategist	BNP Paribas London branch	44 20 7595 1872
Gabriel Gersztein	Head FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3421

Additional Contacts

Name	Role	Legal Entity	Phone Number
Barbara Consuelo	Production	BNP Paribas London branch	44 20 7595 8486
Amanda Grantham-Hill	Editorial	BNP Paribas London branch	44 20 7595 4107
Anna McLaughlin	Editorial	BNP Paribas London branch	44 20 7595 3754
Varghese Joseph	Editorial	BNP Paribas Securities Corp (New York)	1 212 841 3698

Online Resources

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

Disclaimer Summary

No liability is accepted for any loss arising from reliance on this document.
No guarantee of accuracy or completeness of the information provided.
No investment advice is given.
Confidentiality is strictly maintained.
Back-tested data is for illustration and not indicative of future performance.
Simulated performance may differ from actual results due to market factors.

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