20170130-法国巴黎银行-FX_Positioning_Analysis_11页_665kb

FX Positioning Analysis Summary

Overview

This document, produced by BNP Paribas London Branch, provides an analysis of the FX market positioning as of 30 January 2017. The report outlines the current state of currency exposure, including key metrics such as Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. It highlights that the USD positioning has shifted from a long position of +22 at the start of the year to a neutral score of +2, indicating a reduction in long exposure.

Key Findings

Currency Positioning Highlights

• USD:

  • Positioning score has moved from +22 to +2, indicating a neutral stance.
  • This suggests a reduced long exposure to the USD compared to the beginning of the year.

• NOK:

  • Long positions have increased to +28, making it the largest long position among G10 currencies.
  • This is the highest score for NOK since 2014, indicating strong bullish sentiment.

• GBP:

  • Short GBP remains the largest position in the market.
  • The BNPP Trending Indicator has risen slightly, suggesting a modest increase in the strength of the short position.

• EUR:

  • EUR has a score of -27, indicating a bearish stance.
  • This score reflects a relatively high level of short exposure compared to historical data.

• JPY:

  • JPY has a score of -32, showing a significant bearish position.
  • The FX Fund Position Tracker indicates a strong short bias.

• CHF:

  • CHF has a score of -23, indicating a moderate bearish position.
  • The FX Fund Position Tracker shows a negative stance, while the BNPP Trending Indicator is at -13.

• AUD:

  • AUD has a score of +31, indicating a bullish position.
  • The FX Fund Position Tracker shows a positive stance, and the Risk Reversals indicate a strong call bias.

• CAD:

  • CAD has a score of +17, showing a moderate bullish position.
  • The FX Fund Position Tracker indicates a positive stance, and the Risk Reversals suggest a slight call bias.

• NZD:

  • NZD has a score of +41, indicating a strong bullish position.
  • The FX Fund Position Tracker and Risk Reversals show a positive bias.

• SEK:

  • SEK has a score of +39, indicating a strong bullish position.
  • The FX Fund Position Tracker and Risk Reversals suggest a positive stance.

Positioning Metrics

• Client Exposure: Measures the internal estimate of FX investor exposure.
• IMM (Commitment of Traders): Reflects US-based hedge-fund/CTA activity.
• Risk Reversals: Indicates the relative price of calls vs. puts, incorporating market sentiment.
• FX Fund Position Tracker: Uses regression-based decomposition to assess fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.

Overall Positioning

The overall currency score is calculated as an equally weighted average of the above components. The report includes charts that visualize the positioning scores and historical trends for G10 currencies over the past three years and one year.

Legal and Distribution Information

• The document is a marketing communication and not investment research.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID.
• It may contain back-tested performance data, which is for illustrative purposes only.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, or advisory roles related to the discussed products.
• The document is not a prospectus or public offering and should not be relied upon for investment decisions.
• It is confidential and not to be distributed without prior written consent.

Contact Information

Global Strategy Contacts

Distribution Team

• 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

Important Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, geopolitical, credit, and interest rate risks.
• Securities: Not eligible for sale in all jurisdictions or to all investors.
• Confidentiality: Information is provided on a confidential basis and may not be shared without consent.
• No Liability: BNP Paribas disclaims liability for any loss arising from the use of this document.
• Back-Testing: Performance data is simulated and not indicative of future results.
• Regulatory Compliance: The document is subject to legal and regulatory requirements in the UK, France, Germany, Belgium, Ireland, and Italy.

Legal Notice

This document is non-independent research and may be subject to conflicts of interest. It is for information purposes only and not to be used as a basis for investment decisions. BNP Paribas may engage in transactions inconsistent with the views expressed in this document. No assurance is given that any transaction will be entered into on the terms indicated.