巴黎银行-全球-外汇策略-外汇定位分析

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1、Thisdocumenthasbeenproducedby:FXinvestorshavefurtherextendedtheirEURlongexposure,toBNPParibasLondonBranchascoreof+25(-/+50scale).USDshortpositioninghasonlymoderatedslightlyovertheMichaelSneydpastweekandremainsatanextremeshortof-44.GlobalHeadofFXStrategy&ShortCHFexposurecontinuestomoderate.Att

2、hestartof2018Cross-AssetStrategisttheCHFscorewas-23vs.-7currently.AlexanderJekovLongSEKpositioningappearstohavemoderatedsomewhat,GraduateAnalystbutremainsthesecondlargestlongpositionintheG10at+23.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR25SEK23NOK16GBP1305-Feb-2018C

3、AD-429-Jan-2018JPY-6AUD-6CHF-7NZD-7USD-44-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerI

4、ndicator40andbelow-40representextremepositions.-30-47-46-48-49USD450-134937EURTointerpretascoreof-27,forexample,add50togive23.1-39823-22JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.11450-1928GBP-24-37-2226CHF2842-40-24-26CAD51213-36-22AUD-7917-32-22NZ

5、D21-48-4844NOK19-192133SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFund

6、positiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bn

7、pparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Aug-14Feb-15Aug-15Feb-16Aug-16Feb-17Aug-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBP