20180122-法国巴黎银行-FX_Positioning_Analysis_12页_668kb

FX Positioning Analysis Summary - 22 January 2018

Core Content

This report provides an analysis of FX positioning as of 22 January 2018, produced by BNP Paribas London Branch. It outlines the current market sentiment and positioning scores for major G10 currencies using various metrics and indicators.

Main Points

• USD Positioning: Short USD positions are at an extreme level, with a score of -44 on a -50 to +50 scale. This is the most extreme short USD position since 2007, indicating a strong bearish sentiment.

• EUR Positioning: Long EUR positions remain at +23, with investors holding positions ahead of the ECB meeting. This suggests a bullish outlook for the Euro.

• JPY Positioning: The market has fully unwound its short JPY position since the start of the year, and is now flat JPY ahead of the BoJ meeting.

• GBP Positioning: Moderate long GBP positions have been built this week, and FX funds have cut back large GBP short positions, indicating a shift in sentiment towards the British Pound.

• Other Currencies:

  • CHF: At -40, indicating a very strong short position.
  • CAD: At -27, suggesting a moderate short position.
  • AUD: At +1, indicating a slightly bullish stance.
  • NZD: At +15, showing a moderate long position.
  • NOK: At +27, indicating a moderate long position.
  • SEK: At +18, showing a moderate long position.

Key Metrics

The positioning scores are based on the prior five years of data, rescaled to a -50 to +50 range. A score of -40 or below or +40 or above indicates an extreme position. The overall currency score is calculated as an equally weighted average of the following components:

• Client Exposure
• IMM (Commitment of Traders)
• Risk Reversals
• FX Fund Position Tracker
• BNPP Trending Indicator

Charts and Visuals

Several charts are referenced in the report, including:

• Chart 1: Overall FX Positioning Analysis
• 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: CHF Overall Positioning
• Chart 10: SEK Overall Positioning
• Chart 11: NOK Overall Positioning
• Chart 12: 3 Year historic plot of G10 currency positioning scores

These charts provide visual insights into the positioning trends across different currencies.

FX Strategy Contacts

The report includes contact details for various FX strategists and related professionals across different BNP Paribas branches, including London, New York, Singapore, and São Paulo. These contacts are relevant for further inquiries or discussions regarding the analysis.

Legal and Regulatory Information

• The document is non-independent research and marketing communication under MiFID II.
• It is intended for Relevant Persons and not for the general public.
• The document does not constitute an offer to sell or issue any financial instrument.
• No guarantees are made regarding the accuracy or completeness of the information.
• Confidentiality is emphasized, and the document may not be shared without prior consent.
• The report contains performance data based on back-testing and simulations, which may differ from actual market results.
• Conflict of interest disclosures are included, noting that BNP Paribas may have financial interests or engage in transactions inconsistent with the views expressed.

Important Disclosures

• Options and ETFs: The report includes important disclosures regarding options and ETFs, highlighting the risks involved and the requirement for proper risk disclosure documents.
• Restricted Securities: Some securities discussed may not be registered under U.S. securities laws and are considered "restricted securities" under Rule 144A.
• U.S. Distribution: The report may be distributed to U.S. persons by BNPP Securities Corp or its affiliates, subject to applicable regulations.
• UK Distribution: In the UK, the report is communicated by BNP Paribas London Branch, which is authorized and regulated by the ECB, ACPR, and Financial Conduct Authority (FCA).

Summary of Positioning Scores

Conclusion

The report highlights a strongly bearish USD position, bullish EUR, and a mixed sentiment for other G10 currencies. It serves as a strategic overview for investors and professionals, with important legal and risk disclosures to ensure proper understanding and compliance.