20180723-法国巴黎银行-FX_Positioning_Analysis_13页_737kb

FX Positioning Analysis Summary - 23 July 2018

Core Content Overview

This document provides an analysis of FX positioning scores for major G10 currencies as of 23 July 2018, based on data from BNP Paribas London Branch. The analysis is derived from multiple components, including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are reported as percentiles from the prior five years of data, rescaled between -50 and +50, with extreme positions defined as scores above +40 or below -40.

Key Findings

• USD Positioning: FX investors continue to hold long USD positions with a score of +23, indicating a generally positive sentiment towards the US dollar.
• EUR Positioning: Sentiment towards EUR has deteriorated significantly, shifting from +3 to -6. This is primarily due to FX Funds increasing their short positions.
• NOK Positioning: NOK longs have been reduced to +19, attributed to the Risk Reversal component decreasing long positions.
• JPY Positioning: JPY positioning appears neutral, with FX Funds reducing their long positions from +47 to +5.

Positioning Components

Interpretation of Positioning Scores

• A score of +23 indicates that 23% of past observations were below the current level.
• A score of -6 suggests that 94% of past observations were above the current level, indicating a strong bearish sentiment for EUR.
• The scores are calculated as an equally weighted average of the components.

Charts and Visuals

• Chart 1: Overall 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: 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 and provide visual insights into the positioning of each currency.

Legal and Regulatory Information

• The document is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading.
• It is a marketing communication under MiFID II and not investment research.
• It is intended for professional clients and eligible counterparties only.
• The document does not constitute a prospectus or an advertisement under EU or US laws.
• Simulated performance and back-testing data are included, which may not reflect real market conditions or future performance.
• The information is confidential and may not be distributed without prior written consent.

FX Strategy Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch
• Natalie Rickard: FX Strategist, BNP Paribas London Branch
• Alex Jekov: Graduate, BNP Paribas London Branch
• Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York)
• Vasilis Koutsaftis: FX Options Strategist, BNP Paribas Securities Corp (New York)
• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, BNP Paribas London Branch
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Sai Ulluri: FX & IR CEEMEA Strategist, BNP Paribas London Branch
• Shaun Daly: FX & IR CEEMEA Graduate, BNP Paribas London Branch
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul)
• Altaz Daga: APAC IR Strategist, BNP Paribas Singapore Branch
• Dawn Kwa: Asia FX & IR Strategist, BNP Paribas Singapore Branch
• Kun Shan: China Strategist, BNP Paribas China Limited (Shanghai)
• Tianhe Ji: China Strategist, BNP Paribas China Limited (Beijing)
• Gabriel Gersztein: Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Samuel Castro: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Luca Maia: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Andre Digiacomo: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)

Additional Information

• The document is available on the BNP Paribas Global Fixed Income Website and Bloomberg platforms.
• It includes important disclosures regarding options, ETFs, and convertible securities.
• It emphasizes that no guarantees or warranties are provided regarding the accuracy or completeness of the information.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.