20170109-法国巴黎银行-FX_Positioning_Analysis_11页_666kb

FX Positioning Analysis Summary

Core Content

This document provides an analysis of FX positioning as of 9 January 2017, produced by BNP Paribas London Branch. It outlines the current market sentiment and positioning scores for major currencies, using a combination of indicators such as Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are based on historical data over the prior five years and are scaled between -50 and +50, where values above 40 or below -40 are considered extreme.

Main Points

• USD Positioning:
  USD long positions have been slightly scaled back this week, from +20 to +18. This change is attributed to a decrease in Risk Reversals and BNPP Trending Indicator, which were offset by an increase in the FX fund tracker.

• JPY Positioning:
  JPY short positions have extended to a score of -19, the largest short position since January 2015. This indicates strong short bias in the JPY market.

• GBP Positioning:
  GBP short positions have reached -29, reflecting a significant increase in short positions by FX funds. This suggests a bearish outlook on the GBP.

• NZD Positioning:
  Short NZD positioning has increased to -26, indicating an extreme short position in the NZD, possibly due to rapid shifts in market sentiment.

• Other Currencies:

  • CHF: A score of +2 (mild long position)
  • CAD: Score of -39 (strong short position)
  • AUD: Score of +45 (strong long position)
  • NOK: Score of +17 (mild long position)
  • SEK: Score of -37 (moderate short position)

The overall positioning score for each currency is calculated as an equally weighted average of the individual components. Charts are provided to visualize the positioning scores and historical trends for G10 currencies.

Key Information

• Positioning Interpretation:
  A score of -27 means that 23% of observations over the past five years have been below the current observation. This helps in understanding the relative positioning in the context of historical data.

• Indicators Used:

  • Client Exposure: An internal estimate of FX investor exposure.
  • IMM: 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.

• Visual Aids:
  The document includes several charts:

  • 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: NZD Positioning
  • Chart 9: CAD Positioning
  • Chart 10: CHF Positioning
  • Chart 11: NOK Positioning
  • Chart 12: SEK Positioning
  • 3-Year and 1-Year historic plots of G10 currency positioning scores.

• Strategy Contacts:
  The document lists key contacts for the FX strategy team, including:

  • Michael Sneyd, CFA: Macro Quantitative Strategist
  • Steven Saywell: Global Head of FX Strategy
  • Sam Lynton-Brown, Clara Leonard, Natalie Rickard: FX Strategists
  • Daniel Katzive, CFA: Head of FX Strategy North America
  • Vasilis Koutsaftis: FX Options Strategist
  • Wike Groenenberg, Piotr Chwieczak, Erkin Isik, CFA, Mirza Baig, Altaz Daga, Kun Shan, Tianhe Ji, Gabriel Gersztein, Samuel Castro, Gustavo Mendonca: Strategists for various regions.

Legal and Disclaimers

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for marketing purposes and not for investment research.
• No liability is accepted for any losses arising from reliance on the document.
• Indicative prices are not actual transaction terms and may vary significantly.
• Performance data may be based on back-testing and is not indicative of future results.
• The document may contain restricted securities and is only available to Qualified Institutional Buyers (QIB) or non-US persons under Regulation S.

US Disclosures

• Options: Complex instruments with high risk; only suitable for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest due to its involvement in ETFs.
• Unregistered Securities: Some securities may not be registered under US law and are only available to certain investors.

Distribution and Jurisdiction

• The document is distributed in various jurisdictions, including the UK, France, Germany, Belgium, and Ireland, with specific legal notices for each.
• It is intended for professional clients and may not be suitable for retail investors.
• Confidentiality: The document is provided on a confidential basis and must not be distributed without prior consent.

Conclusion

The report offers a comprehensive view of FX market sentiment and positioning, highlighting extreme short positions in JPY, GBP, and NZD. It serves as a reference for professional clients and investors, with important legal disclaimers and disclosures regarding conflicts of interest and the nature of the information provided.