20170327-法国巴黎银行-FX_Positioning_Analysis_11页_621kb

FX Positioning Analysis Summary

Core Content

This document provides a comprehensive analysis of the positioning of G10 currencies by various market participants as of 27 March 2017, produced by BNP Paribas London Branch. It includes insights from different sources such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are based on historical data from the prior five years and are rescaled to a range of -50 to +50, with extreme positions defined as scores above 40 or below -40.

Main Points

• USD Positioning: USD remains short at a score of -5. FX funds have built a substantial short USD position, indicating a bearish outlook on the US dollar.
• EUR Positioning: EUR has a slight long position at +5, marking the first time since the US election that the market has taken a long stance on the euro.
• AUD Positioning: AUD is the largest long in the market, though its score has decreased from +36 to +18, suggesting a moderation in bullish sentiment.
• JPY Positioning: JPY short positions have been cut to neutral over the week, indicating a shift in market sentiment towards the Japanese yen.
• GBP Positioning: GBP has a score of -39, showing a strong short position, which is considered extreme given the scale.
• CHF Positioning: CHF has a score of +27, indicating a moderate long position.
• CAD Positioning: CAD has a score of -22, reflecting a moderate short position.
• NZD Positioning: NZD has a score of +28, indicating a moderate long position.
• NOK Positioning: NOK has a score of -36, showing a strong short position.
• SEK Positioning: SEK has a score of +44, indicating a strong long position.

Key Information

The overall currency score is calculated as an equally weighted average of the different components. This approach ensures that no single indicator dominates the assessment, and provides a balanced view of market positioning across multiple sources.

The document also includes a series of charts that illustrate the positioning scores for each currency, providing visual insights into the trends and shifts in market sentiment. These charts are essential for understanding the dynamics of each currency's positioning over time.

Summary of FX Fund Position Tracker Components

• Client Exposure: Indicates the internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): A widely used proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflect the relative price of calls versus puts, incorporating an option "market sentiment."
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Strategy Contacts

The document lists key contacts for the FX and Global Strategy teams at BNP Paribas, including:

• Michael Sneyd, CFA – Macro Quantitative Strategist, London
• Steven Saywell – Global Head of FX Strategy, London
• Sam Lynton-Brown – FX Strategist, London
• Clara Leonard – FX Strategist, London
• Natalie Rickard – Graduate, London
• Daniel Katzive, CFA – Head of FX Strategy North America, New York
• Vasilis Koutsaftis – FX Options Strategist, New York
• Wike Groenenberg – Global Head of EM Strategy, London
• Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig – Head of FX & IR Asia Strategy, Singapore
• Altaz Daga – AU/NZ IR Strategist, Singapore
• Kun Shan – China Strategist, Shanghai
• Tianhe Ji – China Strategist, Shanghai
• 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

Legal and Distribution Notice

• The document is a marketing communication and is not investment research.
• It is directed at professional clients and eligible counterparties under MiFID.
• It is not intended for retail investors and may not be suitable for them.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.
• The information is for informational purposes only and should not be relied upon as authoritative.
• No guarantees are made regarding the accuracy or completeness of the information, and BNP Paribas does not provide investment, financial, legal, or tax advice.
• The document may contain performance data based on back-testing, which is for illustrative purposes only and does not guarantee future results.
• The document may not be reproduced or distributed without prior written consent from BNP Paribas.

US Disclosures

• Options discussed may involve a high degree of risk and are not suitable for all investors.
• ETFs and other securities may not be registered under US securities laws and are restricted to Qualified Institutional Buyers or non-US persons.
• BNP Paribas may have potential conflicts of interest due to its involvement in the ETFs or related securities.

Regulatory Information

• The document is produced and distributed by BNP Paribas in compliance with the regulations of various jurisdictions, including the UK, France, Germany, Belgium, and Ireland.
• It is subject to supervision and regulation by relevant authorities such as the ECB, ACPR, BaFin, and FSMA.