巴黎银行-全球-外汇策略-外汇定位分析-20180205-12页_884kb

FX Positioning Analysis Summary - 5 February 2018

Core Content Overview

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov. It outlines the current positioning of major G10 currencies based on various data sources and methodologies, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The analysis is presented as a percentile-based score, rescaled between -50 and +50, where values above 40 or below -40 indicate extreme positions.

Key Positioning Insights

• EUR: FX investors have increased their long exposure to EUR, reaching a score of +25 on a -50 to +50 scale. This indicates a significant bullish stance.
• USD: Despite some moderation, USD remains heavily shorted with a score of -44, reflecting an extreme bearish position.
• CHF: Short exposure has been moderating, with the score moving from -23 at the start of 2018 to -7 currently.
• SEK: Long positioning has somewhat moderated but remains the second-largest long position in the G10 at +23.

Positioning Components

Interpretation of Scores

• A score of +25 for EUR means that 25% of past observations were below the current level.
• A score of -44 for USD indicates 44% of observations were above the current level, suggesting an extreme bearish sentiment.

Charts Mentioned

• 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: CHF Overall Positioning
• Chart 10: SEK Overall Positioning
• Chart 11: 1 Year historic plot of G10 currency positioning individual scores

Main Views and Analysis

• The report highlights that EUR and SEK are among the most overbought currencies, while USD remains heavily oversold.
• CHF and JPY show a moderate shift in positioning, suggesting a possible reversal in sentiment.
• The BNPP Trending Indicator for USD is at -49, indicating a strong bearish momentum.
• The FX Fund Position Tracker for EUR is at +49, suggesting a strong bullish trend.

Disclaimer and Legal Notice

• This document is non-independent research and may be subject to conflicts of interest due to its interaction with sales and trading.
• It is not investment research under MiFID II and is intended for Relevant Persons only.
• The document does not constitute an offer to sell or purchase any financial instrument and should not be relied upon for investment decisions.
• It contains hypothetical or back-tested performance data, which may not reflect actual market conditions or future results.
• BNP Paribas may have financial interests in the mentioned issuers, and may engage in transactions that conflict with the views expressed.

Contact Information

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1307
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8467
• Natalie Rickard: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8270
• Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York), Phone: 1 212 841 2408
• Altaz Daga: AU/NZ IR Strategist, BNP Paribas Singapore Branch, Phone: 65 6210 4994
• Kun Shan: China Strategist, BNP Paribas China Limited (Shanghai), Phone: 86 21 2896 2773
• Tianhe Ji: China Strategist, BNP Paribas China Limited (Beijing), Phone: 86 10 6535 0836
• Gustavo Mendonca: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3445
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8715
• Sai Ulluri: FX & IR CEEMEA Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1872
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul), Phone: 90 216 635 2987
• Mirza Baig: Head of FX & IR Asia Strategy, BNP Paribas Singapore Branch, Phone: 65 6210 3262
• Dawn Kwa: Graduate, BNP Paribas Singapore Branch, Phone: 65 6210 3263
• Barbara Consuelo: Production, BNP Paribas London Branch, Phone: 44 20 7595 8486
• Amanda Grantham-Hill: Editorial, BNP Paribas London Branch, Phone: 44 20 7595 4107
• Anna McLauchlin: Editorial, BNP Paribas London Branch, Phone: 44 20 7595 3754
• Varghese Joseph: Editorial, BNP Paribas Securities Corp (New York), Phone: 1 212 841 3698

Additional Information

• The document is available on the BNP Paribas Global Fixed Income Website and Bloomberg.
• It includes important disclosures regarding options, ETFs, and convertible securities.
• Certain securities discussed may be unregistered under US Securities Laws and are only available to QIBs or non-US persons.
• The document is subject to confidentiality and may not be distributed without prior consent.