巴黎银行-全球-外汇策略-外汇定位分析-20180816-13页_780kb

FX Positioning Analysis Summary - 16 August 2018

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Kris Gjini. It outlines the current positioning of G10 currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The analysis is presented on a scale from -50 to +50, where values above 40 or below -40 represent extreme positions.

Main Points

• USD Exposure: The USD maintains a long exposure with a score of +32, indicating strong demand for the U.S. dollar.
• Safe-haven Demand: Safe-haven currencies such as JPY and CHF have seen increased demand. JPY long positions have extended to +23, while CHF has turned long at +4 from a previous short position of -15.
• EUR Short Positions: EUR short positions have slightly increased to -19, showing continued bearish sentiment.
• NOK Positioning: NOK long positions have been completely unwound from +16 to -43, reflecting a significant shift in sentiment.
• Other Currencies: AUD, NZD, SEK, and GBP have seen further extension of short positions, with FX funds being particularly short on these currencies.

Key Information

Positioning Indicators

Interpretation of Positioning Scores

• A score of +32 for USD means that 23% of observations over the past five years have been below the current observation.
• The scores are based on a percentile system, rescaled to a -50 to +50 range.
• Extreme positions are defined as values above +40 or below -40.

Charts and Data Sources

• Chart 1: Overall FX positioning.
• Chart 9, 13, 14, 16, 17, 18, 19, 20, 21, 22: Individual currency positioning charts.
• All charts are sourced from BNP Paribas.

Legal and Compliance Notes

• This document is non-independent research and is a marketing communication under MiFID II.
• It is not intended as investment advice and should not be relied upon as such.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed in this document.
• The information is based on public sources and may not be independently verified.
• The document does not constitute an offer to sell or issue securities, nor a solicitation of an offer to purchase.

Important Disclosures

• Options: Complex instruments not suitable for every investor, involving high risk.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest due to its involvement in ETF activities.
• Securities: May be restricted and only available to Qualified Institutional Buyers or non-U.S. persons.
• Distribution: The report is distributed to U.S. persons through BNPP Securities Corp or its affiliates, depending on the jurisdiction.

Conclusion

The FX positioning analysis highlights the continued long exposure to USD, strong demand for safe-haven currencies like JPY and CHF, and increased short positions on EUR, GBP, AUD, NZD, and SEK. The report is intended to inform and generate discussion but should not be used as a basis for investment decisions without independent evaluation.