20170103-法国巴黎银行-FX_Positioning_Analysis_11页_666kb

FX Positioning Analysis Summary

Core Content Overview

This document is a report from BNP Paribas London Branch, dated 3 January 2017, providing an FX positioning analysis for G10 currencies. It outlines the current market sentiment and positions based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, and internal tracking models. The analysis is used to inform FX strategy decisions and highlights the positioning scores and trends for key currencies.

Main Viewpoints and Key Information

Currency Positioning Scores (Percentile-based, -50 to +50)

• USD: The largest long position in the new year with a score of +20, indicating room for further long positioning.
• JPY: The second largest short position in G10, with a score of -15 (light positioning).
• GBP: The largest short position with a score of -23, though FX funds have slightly increased long positions.
• SEK: Short positions have been cut significantly, from -23 to -2, indicating a shift in sentiment.

Positioning Indicators

Positioning Interpretation

• Positioning scores are based on a percentile scale from the prior five years, rescaled to -50 to +50.
• Scores above +40 or below -40 indicate extreme positions.
• For example, a score of -27 implies that 23% of historical observations were below the current level.

Trending Indicators and Charts

• The overall currency score is calculated as an equally weighted average of the components.
• Charts are provided for the overall positioning of each G10 currency, as well as 1-year and 3-year historical plots to illustrate positioning trends.
• Key charts include:
  • Chart 1: Overall FX Positioning
  • Chart 2: Absolute Total G10 Positioning
  • Chart 3: USD Positioning
  • Chart 4: GBP Positioning
  • Chart 5: EUR Positioning
  • Chart 6: JPY Positioning
  • Chart 7: AUD Positioning
  • Chart 8: CAD Positioning
  • Chart 9: NZD Positioning
  • Chart 10: CHF Positioning
  • Chart 11: NOK Positioning
  • Chart 12: SEK Positioning

Strategy Contacts

The document lists key contacts for FX strategy across different regions:

• London

  • Michael Sneyd, Macro Quantitative Strategist: 44 20 7595 1307 | michael.sneyd@uk.bnpparibas.com
  • Steven Saywell, Global Head of FX Strategy: 44 20 7595 8487 | steven.saywell@uk.bnpparibas.com
  • Sam Lynton-Brown, FX Strategist: 44 20 7595 8467 | sam.lynton-brown@uk.bnpparibas.com
  • Clara Leonard, FX Strategist: 44 20 7595 1424 | clara.leonard@uk.bnpparibas.com
  • Natalie Rickard, Graduate: 44 20 7595 8270 | natalie.rickard@uk.bnpparibas.com

• New York

  • Daniel Katzive, Head of FX Strategy North America: 1 212 841 2408 | daniel.katzive@us.bnpparibas.com
  • Vasilis Koutsaftis, FX Options Strategist: 1 212 471 7973 | vasilis.koutsaftis@americas.bnpparibas.com

• Emerging Markets FX & IR Strategy

  • Wike Groenenberg, Global Head of EM Strategy: 44 20 7595 8746 | wike.groenenberg@uk.bnpparibas.com
  • Piotr Chwieczak, FX & IR CEEMEA Strategist: 44 20 7595 8715 | piotr.chwieczak@uk.bnpparibas.com
  • Erkin Isik, FX & IR CEEMEA Strategist: 90 216 635 2987 | erkin.isik@teb.com.tr
  • Mirza Baig, Head of FX & IR Asia Strategy: 65 6210 3262 | mirza.s.baig@asia.bnpparibas.com
  • Jennifer Kusuma, FX & IR Asia Strategist: 65 6210 3263 | jennifer.kusuma@asia.bnpparibas.com
  • Altaz Daga, AU/NZ IR Strategist: 65 6210 4994 | altaz.dagha@asia.bnpparibas.com
  • Kun Shan, China Strategist: 86 21 2896 2773 | kun.shan@asia.bnpparibas.com
  • Tianhe Ji, China Strategist: 86 21 2896 2785 | tianhe.ji@asia.bnpparibas.com
  • Gabriel Gersztein, Head FX & IR Latam Strategy: 55 11 3841 3421 | gabriel.gersztein@br.bnpparibas.com
  • Samuel Castro, FX & IR Latam Strategist: 55 11 3841 3492 | samuel.castro@br.bnpparibas.com
  • Gustavo Mendonca, FX & IR Latam Strategist: 55 11 3841 3445 | gustavo.mendonca@br.bnpparibas.com

Legal and Distribution Notice

• The document is non-independent research and is a marketing communication.
• It is intended for Relevant Persons as defined by MiFID and other financial regulations.
• BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed.
• The information is for internal use and not to be relied upon as a substitute for professional advice.
• The document may contain back-tested performance data and is not indicative of future results.
• No liability is accepted for any use of the information or the indicative prices.

US Disclosures

• Options are complex and not suitable for all investors.
• ETFs carry risks including tracking error, currency, and geopolitical risks.
• BNP Paribas may have conflicts of interest and may act as a market maker, advisor, or underwriter.
• Certain securities may be unregistered and only available to Qualified Institutional Buyers.

Distribution and Legal Disclaimer

• The document is produced by a BNP Paribas group company.
• It is intended for specific recipients and not for public distribution.
• The information is confidential and not to be copied or distributed without prior consent.
• No liability is accepted for any reliance on the document or its content.

Regulatory Information

• The document is authorized and supervised in various jurisdictions.
• It is not a prospectus or investment research.
• It is subject to legal and regulatory requirements and confidentiality clauses.