20170227-法国巴黎银行-FX_Positioning_Analysis_11页_666kb

FX Positioning Analysis Summary

Core Content

This document provides a detailed analysis of the current FX market positioning as of 27 February 2017, produced by BNP Paribas London Branch. It outlines the overall positioning of major currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These indicators are used to evaluate the sentiment and exposure of investors in the foreign exchange market.

Key Findings

• USD Positioning: The USD has seen a significant increase in long positions, with the score rising to +10 on the scale of +/-50, which is moderate compared to the +22 score at the start of the year. This suggests that USD is currently in a relatively strong position, though not extreme.
• EUR Positioning: EUR remains the largest short position in the market, with a score of -27. This is interpreted as 23% of historical observations being below the current level, indicating a strong bearish sentiment.
• Commodity Bloc Exposure: The market is long the commodity bloc, particularly AUD, which is close to its largest long in 5 years. This reflects a strong demand for AUD due to its correlation with commodities.
• Other Currencies:
  • JPY: Score of -11, indicating a moderate short position.
  • GBP: Score of -19, showing a negative but not extreme position.
  • CHF: Score of +34, indicating a strong long position.
  • CAD: Score of -23, suggesting a moderate short position.
  • NZD: Score of -13, reflecting a slightly negative position.
  • NOK: Score of +20, indicating a positive position.
  • SEK: Score of +38, showing a strong long position.

Main Viewpoints

• The overall currency score is calculated as an equally weighted average of the various components.
• Extreme positions are indicated when scores are above +40 or below -40.
• Risk reversals are used to gauge market sentiment by comparing the relative price of calls and puts.
• IMM (Commitment of Traders) is a proxy for US-based hedge-fund and CTA activity.
• FX Fund Position Tracker is a regression-based decomposition of fund positioning.
• BNPP Trending Indicator is a technical measure of currency momentum.

Key Information

• The document includes charts that visualize the positioning scores for various currencies, including the overall positioning, absolute positioning, and historical trends over 3 years and 1 year.
• It also provides contact information for BNP Paribas FX strategy teams, both in London and New York, along with their roles and contact details.
• The document is a marketing communication and not investment research. It is intended for Relevant Persons as defined by MiFID and other regulatory frameworks.
• BNP Paribas may have conflicts of interest due to its interactions with sales and trading, and it is not liable for any loss arising from reliance on the document.
• Performance data may be based on back-testing and is for illustrative purposes only.
• Indicative prices are based on internal models and may differ from other sources.
• The document is confidential and not to be distributed without prior written consent.
• Legal disclosures are included for the UK, US, France, Germany, Belgium, and Ireland, emphasizing that the information is not intended for retail investors and is subject to local regulations.

Summary of Indicators

Legal and Distribution Notes

• The document is non-independent research and is subject to legal disclaimers.
• It is intended for professional clients and may not be suitable for retail investors.
• Confidentiality is emphasized, and unauthorized distribution is prohibited.
• Disclosure of conflicts of interest is included, noting that BNP Paribas may engage in transactions inconsistent with the views expressed in the document.
• Important disclosures for options, ETFs, and unregistered securities are provided, highlighting risks and eligibility criteria.

Conclusion

This document serves as a comprehensive overview of the current FX positioning, using a range of indicators to assess market sentiment and exposure. It is designed for professional investors and includes detailed information on the positioning of major currencies, along with legal and regulatory disclaimers. The analysis is based on historical data and internal models, and the information provided should not be relied upon as a definitive investment guide.