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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
