20180927-法国巴黎银行-FX_POSITIONING_ANALYSIS___GLOBAL_12页_1019kb

FX Positioning Analysis Summary

Core Content

This document provides a detailed analysis of the positioning of G10 currencies by FX funds and other market participants as of 27 September 2018. It is a report from BNP Paribas Global Markets, focusing on the current sentiment and exposure levels of major currencies, including USD, EUR, JPY, GBP, CAD, CHF, AUD, NZD, NOK, and SEK. The report includes charts and data points that reflect the market's sentiment, and it is intended for professional clients and eligible counterparties.

Key Metrics and Positioning

The report highlights the following key currency positioning metrics:

• USD: Long positions have been unwound after peaking at +25 in August. As of September, the positioning is at -22, indicating a strong short bias.
• EUR: The market has cut its short EUR exposure over the month, with positioning at -6.
• JPY: The market has turned short JPY, with a positioning score of -9.
• GBP: The positioning score is -21, suggesting a strong short bias.
• CAD: Positioning is at +4, indicating a slight long bias.
• CHF: Long positions have been added, with a positioning score of +12.
• AUD: The market continues to unwind extreme short positions, with a score of -13.
• NZD: Positioning is at -27, indicating a significant unwinding of short positions.
• NOK: Positioning is at +33, showing a long bias.
• SEK: Positioning is at -24, indicating a short bias.

The positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are defined as those above +40 or below -40.

Main Views

The report indicates that the market is currently in a state of transition, with several currencies showing significant shifts in positioning:

• USD: The long positions have been unwound, suggesting a bearish sentiment towards the US dollar.
• EUR: The market has reduced its short exposure, indicating a more neutral or slightly bullish stance.
• JPY and GBP: Both currencies are under significant short positions, which may suggest a bearish outlook.
• CHF: The market has increased its long exposure, indicating a more positive sentiment towards the Swiss Franc.
• AUD and NZD: The market is unwinding extreme short positions, which may signal a potential reversal in sentiment.

Chart Descriptions

• Chart 1: Overall FX positioning for G10 currencies, showing the current state of positioning across all currencies.
• Chart 2: Absolute total G10 positioning, indicating the magnitude of the overall market exposure.
• Chart 3: One-year plot of G10 currency positioning scores, highlighting trends and changes over time.
• Chart 4: Individual positioning scores for each currency, offering a detailed view of market sentiment.
• Chart 5: Additional charts for specific currencies such as USD, EUR, GBP, JPY, CAD, CHF, AUD, NZD, NOK, and SEK, showing their respective positioning components.

Strategy Contacts

The report includes contact information for strategists and production/editing teams:

• Strategists:

  • Michael Sneyd, CFA - Head of Macro Quantitative & Derivatives Strategy
  • Sam Lynton-Brown - FX Strategist
  • Alex Jekov - FX Strategist
  • Daniel Katzive, CFA - Head of FX Strategy North America
  • Vasilis Koutsaftis - FX Options Strategist
  • Wike Groenenberg - Head of Emerging Markets Research
  • Erkin Isik, CFA - FX & IR CEEMEA Strategist
  • Altaz Daga - APAC IR Strategist
  • Dawn Kwa - Asia FX & IR Strategist
  • Tianhe Ji - China Strategist
  • Gabriel Gersztein - Head of Global Emerging Markets Strategy
  • Samuel Castro, Luca Maia, Andre Digiacomo - FX & IR Latam Strategists
  • Kris Gjini, Benedicte Lowe - Cross Asset Strategists

• Production:

  • Barbara Consuelo - London

• Editorial:

  • Amanda Grantham-Hill, Anna McLaughlin, Varghese Joseph - London and New York

Disclaimer and Legal Information

This document is a marketing communication and not investment research. It is intended for Relevant Persons as defined by MiFID II and other regulations. It does not constitute an offer to sell or issue securities and should not be relied upon for investment decisions. The information is subject to change and may not be accurate or complete. BNP Paribas may have conflicts of interest due to its involvement in transactions or advisory roles with the entities mentioned. The report also includes important disclosures regarding options, ETFs, and convertible securities, emphasizing the risks and potential conflicts of interest.

Additional Information

• The report is available on the BNP Paribas Global Markets Website (www.globalmarkets.bnpparibas.com).
• It is also accessible via Bloomberg (BNP Paribas research RES / BNP).
• The document is produced by a BNP Paribas group company and is intended for the use of the specified recipients.
• In the United States, the document is distributed by BNPP Securities Corp. and is subject to specific regulations and disclosures.
• In the UK, the document is communicated by the BNP Paribas London Branch.
• In France, the report is produced and/or distributed by BNP Paribas SA and BNP Paribas Arbitrage.

Summary

The FX Positioning Analysis from BNP Paribas provides insights into the current market sentiment and positioning of G10 currencies. It highlights the unwinding of USD long positions and the shortening of EUR, JPY, GBP, AUD, and NZD. CHF shows a long bias, while CAD and NOK are in a more neutral or slightly positive position. The report includes detailed charts and is intended for professional clients and eligible counterparties. It is important to note that the information is for informational purposes only and may not be suitable for all investors. BNP Paribas may have potential conflicts of interest, and the report is subject to legal and regulatory disclosures.