20161219-法国巴黎银行-FX_Positioning_Analysis_11页_666kb

FX Positioning Analysis Summary

Core Content

This document, produced by BNP Paribas London Branch, provides an analysis of FX positioning as of 19 December 2016. It outlines the current sentiment and exposure levels of various currencies in the foreign exchange market, using multiple indicators to assess the market's position.

Main Points

• USD Positioning: The USD remains the largest long position in the market, with a score of +21 on a -50 to +50 scale. This indicates that the USD is in a relatively strong long position compared to historical data.
• BNP Paribas Indicators: Both the BNPP Trending Indicator and the FX Fund Tracker have risen sharply, suggesting increased momentum and positioning in favor of the USD.
• Commodity Bloc Currencies: The market has been a seller of commodity bloc currencies. Notably:
  • AUD long positions have been cut from +14 to 0
  • NZD short positions have extended to -18
  • CAD long positions have also been cut
• SEK Short Positions: The SEK has seen a sharp rise in short positions, reaching -23, which is the second largest short position among G10 currencies.
• Positioning Scores Interpretation: The scores are reported as a percentile based on the prior five years of data, rescaled to a -50 to +50 range. Values above +40 or below -40 are considered extreme.

Key Information

Positioning Metrics

Charts Mentioned

• Chart 1: Overall FX Positioning
• 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
• Chart 13: 1 Year historic plot of USD positioning
• Chart 14: 1 Year historic plot of GBP positioning
• Chart 15: 1 Year historic plot of EUR positioning
• Chart 16: 1 Year historic plot of JPY positioning
• Chart 17: 1 Year historic plot of AUD positioning
• Chart 18: 1 Year historic plot of CAD positioning
• Chart 19: 1 Year historic plot of NZD positioning
• Chart 20: 1 Year historic plot of CHF positioning
• Chart 21: 1 Year historic plot of NOK positioning
• Chart 22: 1 Year historic plot of SEK positioning

Legal and Distribution Notes

• The document is non-independent research and is a marketing communication.
• It is intended for Professional Clients and Eligible Counterparties under MiFID.
• It is not investment research and should not be relied upon for investment decisions.
• The information is not guaranteed to be accurate or complete and is subject to change.
• BNP Paribas may have conflicts of interest due to its involvement in market-making, advisory, or investment banking activities.
• The document may contain back-tested performance data and is not a prospectus or public offering.

Disclaimer

• This document is for informational purposes only and does not constitute an offer to sell or issue securities.
• No liability is accepted for any use of the information contained in this document.
• No investment, financial, legal, or tax advice is provided.
• Past performance is not indicative of future results.
• Options and ETFs discussed are subject to high risk and complexity.
• The document may be confidential and should not be distributed without prior written consent.
• Restricted securities may be referenced, and only Qualified Institutional Buyers (QIBs) or non-US persons under Regulation S are eligible to purchase.

Distribution Contacts

• Barbara Consuelo: Foreign Exchange, London. Tel: 44 20 7595 8486, Email: Barbara.Consuelo@uk.bnpparibas.com
• Amanda Grantham-Hill: London. Tel: 44 20 7595 4107, Email: amanda.grantham-hill@uk.bnpparibas.com
• Anna McLauchlin: London. Tel: 44 20 7595 3754, Email: anna.mclauchlin@uk.bnpparibas.com
• Louise Bylicki: New York. Tel: 1 212 471 6479, Email: louise.bylicki@us.bnpparibas.com

Strategy Team Contacts

• Michael Sneyd, CFA: Macro Quantitative Strategist, London. Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
• Steven Saywell: Global Head of FX Strategy, London. Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
• Sam Lynton-Brown: FX Strategist, London. Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
• Clara Leonard: FX Strategist, London. Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
• Natalie Rickard: Graduate, London. Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
• Daniel Katzive, CFA: Head of FX Strategy North America, New York. Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
• Vasilis Koutsaftis: FX Options Strategist, New York. Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com

Legal Notice

• The document is non-independent research under UK FCA rules.
• It is not investment research and is not subject to any independence requirements.
• BNP Paribas and its affiliates may be market makers, advisors, or underwriters in the instruments discussed.
• The indicated prices are not actual transaction terms and are subject to change.
• The performance data may be back-tested and subject to limitations.
• Confidentiality is emphasized, and the document should not be distributed without consent.
• No liability is accepted for any reliance on the document's content.

Jurisdictional Disclosures

• United States: The document contains option risk disclosures and is available only to qualified institutional buyers or non-US persons under Regulation S.
• UK: The document is produced by BNP Paribas London Branch and is subject to limited regulation.
• France: The report is produced and/or distributed by BNP Paribas SA and BNP Paribas Arbitrage.
• Germany: The report is distributed by BNP Paribas S.A. Niederlassung Deutschland.
• Belgium: The report is produced by BNP Paribas Fortis SA/NV.
• Ireland: The report is distributed by BNP Paribas S.A., Dublin Branch.
• Italy: The report is distributed by BNP Paribas Italian Branch.

This summary encapsulates the key elements of the document, focusing on the positioning analysis, key currencies, and the legal and distribution considerations.