20170123-法国巴黎银行-FX_Positioning_Analysis_11页_674kb

FX Positioning Analysis Summary

Core Content

This document is a report from BNP Paribas London Branch on the FX positioning analysis as of 23 January 2017. It provides an overview of the positioning scores for major G10 currencies based on a percentile scale of -50 to +50, derived from historical data over the past five years. The scores reflect the market sentiment and positioning of various investors, including hedge funds, options traders, and FX funds.

Key Information

• USD long positions have been significantly reduced, with the score falling to +5 from +22 at the beginning of the year.
• CAD has seen a sharp increase in short positions, with the score dropping to -19 from -1 last week due to a sharp decline in the BNPP Trending Indicator.
• AUD long positions have extended to +26, the largest among the G10 currencies.
• GBP short positions have increased to -35, following a decline in the FX Fund Position Tracker.

Interpretation of Positioning Scores

Positioning scores are calculated as a percentile of historical data and then rescaled to the range of -50 to +50. A score above 40 or below -40 indicates extreme positions. For example:

• A score of -27 indicates that 23% of historical observations were below the current position.
• A score of +26 means that 46% of historical observations were below the current position.

Positioning Components

The overall positioning score is an equally weighted average of the following components:

• 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, incorporating option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of a currency's momentum strength.

Positioning Table

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• 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

Key Views and Insights

• USD has seen a significant reduction in long positions, suggesting a shift in market sentiment.
• CAD has experienced a notable increase in short positions, indicating a bearish outlook.
• AUD is the most longed G10 currency, reflecting strong investor confidence.
• GBP has extended its short positions, indicating a more pessimistic view of the British pound.
• The BNPP Trending Indicator plays a critical role in assessing the momentum of each currency.

Global Strategy Contacts

• 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 Chwieczak: 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 non-independent research and is intended for marketing purposes.
• It is not investment research and may not be relied upon for making investment decisions.
• BNP Paribas may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed.
• The document may not be reproduced or distributed without prior written consent.
• It is provided on a strictly confidential basis.

US Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks.
• Securities: Certain instruments may not be registered and are restricted to Qualified Institutional Buyers or non-US persons.

Jurisdictional Information

• UK: Produced by BNP Paribas London Branch, authorized and supervised by ECB, ACPR, and FCA.
• France: Distributed by BNP Paribas SA and BNP Paribas Arbitrage, supervised by ECB and ACPR.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland, supervised by ECB, ACPR, and BaFin.
• Belgium: Distributed by BNP Paribas Fortis SA/NV, supervised by ECB, National Bank of Belgium, and FSMA.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France.
• Italy: Distributed by BNP Paribas Italian Branch, supervised by ECB, ACPR, and AMF.