20180108-法国巴黎银行-FX_Positioning_Analysis_10页_575kb

FX Positioning Analysis Summary - 8 January 2018

Core Content Overview

This document provides a detailed analysis of FX positioning as of 8 January 2018, produced by BNP Paribas London Branch. It outlines the current sentiment and exposure levels of FX investors across major currencies, using a combination of different indicators such as client exposure, IMM (Commitment of Traders), risk reversals, and the FX Fund Position Tracker. The positioning scores are based on historical data from the past five years and are scaled between -50 and +50, with extreme positions defined as those above +40 or below -40.

Key Currency Positioning Insights

• USD: Short positions have increased significantly, with a score of -34, representing the largest short position since August 2017.
• CAD: FX investors have rebuilt large long positions, with an overall score of +20. However, FX funds are still positioned short on CAD.
• NOK: The market has switched to a long position, with a score of +14.
• EUR: Investors continue to hold substantial long positions, with a score of +23.
• JPY: Investors are positioned short, with a score of -20.
• CHF: Short positions are more pronounced, with a score of -26.
• GBP: A score of +1 suggests a slight long bias.
• AUD: A score of +5 indicates a moderate long position.
• NZD: A score of -5 suggests a slight short bias.
• SEK: A score of +24 indicates a moderate long position.

Positioning Score Interpretation

• The scores are reported as a percentile based on historical data.
• A score of -27 means that 23% of historical observations were below the current level.
• The overall currency score is calculated as an equally weighted average of the components: Client Exposure, IMM, Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

FX Strategy Contacts

Legal and Regulatory Disclaimer

• The document is non-independent research and is a marketing communication.
• It is not intended as investment research and may be subject to conflicts of interest due to interactions with sales and trading.
• No liability is accepted for any reliance on the information or opinions contained in this document.
• Performance data may be based on back-testing and simulations, which are for illustrative purposes only.
• Indicative prices are not actual transaction terms and are subject to change.
• Confidentiality: The document is provided on a strictly confidential basis and cannot be distributed without prior written consent.
• Regulatory Compliance: The document is subject to legal and regulatory requirements in the UK, France, Germany, Belgium, and Ireland.

Distribution and Production

• The document is produced by BNP Paribas and is intended for Professional Clients and Eligible Counterparties.
• It may be subject to change or discontinuation.
• Recipients are advised to consult independent professional advice before making any investment decisions.

Summary

The analysis highlights the significant shift in FX positioning at the start of 2018, with a notable increase in short USD positions and a rebuilding of long CAD positions. EUR and NOK show long bias, while JPY and CHF remain heavily shorted. The document provides a comprehensive overview of the market sentiment and positions using various indicators, but it is important to note that it is a marketing communication and not investment advice. Recipients are cautioned to consider the inherent risks and limitations of the data and to seek independent professional guidance.