20171030-法国巴黎银行-FX_Positioning_Analysis_10页_690kb

报告摘要

FX Positioning Analysis Summary (30 October 2017)

Core Content

This document provides an analysis of FX investor positioning as of 30 October 2017, produced by BNP Paribas London Branch. It outlines the current exposure levels and sentiment indicators for major G10 currencies and highlights the implications for market participants.

Key Findings

USD Positioning: Short USD positions have been completely unwound, with the current score of -2 (on a -/+50 scale), which is the highest since May. This indicates a strong shift towards long USD positions.
EUR Positioning: Long EUR positions have been reduced to the smallest since May, suggesting a cautious or bearish stance among investors.
JPY Positioning: Short JPY positions have been cut to a score of -3, while FX funds have significantly increased long JPY positions, indicating a positive sentiment towards JPY.
Overall Positioning: The overall FX investor positioning is described as very light, as shown in Chart 2. This implies that the net exposure across all currencies is minimal.

Positioning Metrics

The following metrics are used to assess FX positioning:

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 versus puts, indicating market sentiment.
FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum.

The overall currency score is calculated as an equally weighted average of the above components.

Currency-Specific Positioning Scores

Currency	Client Exposure	IMM	Risk Reversals	FX Fund Position Tracker	BNPP Trending Indicator
USD	19	-43	-41	47	9
EUR	17	46	17	-38	25
JPY	-30	-45	11	46	5
GBP	-36	21	0	-47	25
CHF	-2	-27	6	-50	-44
CAD	25	49	-6	-47	10
AUD	-2	41	6	-33	-1
NZD	-41	-7	-34	40	-42
NOK	-2	-	20	-33	12
SEK	16	-	12	-45	4

Charts and Visuals

Chart 1: Overall FX Positioning (percentile-based score).
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 G10 currency positioning individual scores.

Legal and Distribution Notes

This document is non-independent research and is a marketing communication under MiFID.
It is not investment research and may not be relied upon as such.
BNP Paribas may have conflicts of interest due to its involvement in sales, trading, and other financial services.
The document may not be reproduced or distributed without prior written consent.
It does not constitute an offer to sell or an invitation to purchase any financial instruments.
All information is based on public sources and may not be independently verified.
Simulated performance is provided for illustrative purposes only and does not guarantee future results.

Global Strategy Contacts

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Sam Lynton-Brown: FX Strategist, London
Clara Leonard: FX Strategist, London
Natalie Rickard: FX Strategist, London
Daniel Katzive, CFA: Head of FX Strategy North America, New York
Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy Contacts

Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: FX & IR CEEMEA Strategist, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Dawn Kwa: Graduate, Singapore
Altaz Daghia: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
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

Distribution and Legal Disclaimer

Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, Louise Bylicki are responsible for production and distribution.
The document is not investment advice and should not be relied upon as such.
It does not constitute a prospectus or an advertisement in any jurisdiction.
Confidentiality is emphasized; the document may not be shared without written consent.
No liability is accepted for any use or reliance on the information contained.
Indicative prices are provided for informational purposes only and may not reflect actual transaction terms.