20170320-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_11页_620kb

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FX Positioning Analysis Summary (20 March 2017)

Core Content Overview

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Natalie Rickard. It outlines the current market sentiment and positioning scores for major G10 currencies based on a percentile scale (-50 to +50) derived from five years of historical data. Extreme positions are defined as scores above +40 or below -40.

Key Currency Positioning Scores

The following are the updated positioning scores for the G10 currencies as of 20 March 2017:

Currency	Score	Notes
USD	-3	Market exposure has decreased from +14 to -3, indicating a shift from long to flat positions.
EUR	-35	GBP short positions have extended to -35, back to January's lows.
JPY	-23	AUD long positions remain at a 5-year high.
GBP	-35	Short positions have extended to -35, back to January's lows.
CHF	23	Moderate long position.
CAD	-20	Moderate short position.
AUD	34	Long positions at 5-year high.
NZD	-27	Short positions have moderated.
NOK	-12	Moderate short position.
SEK	39	Moderate long position.

Interpretation of Positioning Scores

Score Interpretation: A score of -27 means that 23% of historical observations were below the current level.
Components of the Score: The overall score is an equally weighted average of the following components:
- Client Exposure: Internal sales desks' estimate of FX investor exposure.
- IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
- Risk Reversals: Reflect the relative price of calls vs. puts, indicating market sentiment.
- FX Fund Position Tracker: A regression-based decomposition of fund positioning.
- BNPP Trending Indicator: A technical measure of currency momentum.

Market Trends

The USD has moved from a long position to flat, suggesting reduced market exposure.
The GBP has seen a significant extension in short positions, reaching levels seen in January.
The EUR short position has been cut to flat, the first time since October.
The NZD short position has moderated, but remains negative.
The AUD long position is at a 5-year high, indicating strong bullish sentiment.

Charts and Visuals

Chart 1: Overall FX Positioning Score.
Chart 2: Absolute Total G10 Positioning.
Chart 3, 4, 5, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22: Individual currency positioning scores over various time frames.

Strategy Contacts

Cross Asset Strategy:
- Michael Sneyd, CFA (Macro Quantitative Strategist, London)
- Natalie Rickard (Graduate, London)
Foreign Exchange:
- Steven Saywell (Global Head of FX Strategy, London)
- Sam Lynton-Brown (FX Strategist, London)
- Clara Leonard (FX Strategist, London)
Emerging Markets FX & IR Strategy:
- Wike Groenenberg (Global Head of EM Strategy, London)
- Piotr Chwieczak (FX & IR CEEMEA Strategist, London)
- Erkin Isik, CFA (FX & IR CEEMEA Strategist, Istanbul)
- Mirza Baig (Head of FX & IR Asia Strategy, Singapore)
- Altaz Daga (AU/NZ IR Strategist, Singapore)
- Kun Shan (China Strategist, Shanghai)
- Tianhe Ji (China Strategist, Shanghai)
- Gabriel Gersztein (Head FX & IR Latam Strategy, Sao Paulo)
- Samuel Castro (FX & IR Latam Strategist, Sao Paulo)
- Gustavo Mendonca (FX & IR Latam Strategist, Sao Paulo)

Legal and Distribution Notice

This document is non-independent research and constitutes a marketing communication.
It is intended for Professional Clients and Eligible Counterparties as defined under MiFID.
BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
The document may contain back-tested performance data, which is for illustrative purposes only.
No assurance is given that any indicated returns or results will be achieved.
The information is not investment research and is not subject to any prohibition on dealing ahead of dissemination.

US Disclosures

Options and ETFs discussed may involve high risk and are not suitable for all investors.
Certain securities may be "restricted securities" and only available to Qualified Institutional Buyers (QIBs) or non-US persons under Regulation S.
BNP Paribas may act as an Authorized Participant, market maker, or underwriter in ETFs and may have conflicts of interest.

Distribution and Legal Disclaimer

The document is produced by a BNP Paribas group company.
It is for the use of intended recipients only and may not be reproduced or distributed without prior written consent.
No liability is accepted for any use of the information, including any losses incurred.
The document is not a prospectus and does not constitute an offer to sell or purchase any financial instruments.
Information is provided on a confidential basis and must not be copied or distributed without consent.
BNP Paribas may have financial interests in the issuers or securities discussed.

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