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FX Positioning Analysis Summary - 16 October 2017

Core Content

This document provides an analysis of FX market positioning as of 16 October 2017, produced by BNP Paribas London Branch. It outlines the current sentiment and exposure of investors across major G10 currencies, based on various indicators such as client exposure, IMM (Commitment of Traders), risk reversals, and FX Fund Position Tracker. The analysis is intended to inform FX strategy decisions and is not investment research but a marketing communication.

Key Market Positions

GBP (British Pound): The market has returned to a short GBP position. Large shorts are being held, with a positioning score of -39. This indicates a significant bearish sentiment towards the GBP.
USD (US Dollar): The USD remains in a long position, with a score of 2. The positioning score is relatively low, suggesting moderate bullish sentiment.
EUR (Euro): Large long EUR positions are being held, with a score of 37. This reflects a positive outlook on the Euro.
NOK (Norwegian Krone): Large long NOK positions have been built, with a score of 9. This indicates a bullish stance on the NOK.
CAD (Canadian Dollar): The market has unwound long CAD positions ahead of the Bank of Canada meeting, with a score of 37. This suggests a shift in sentiment.
JPY (Japanese Yen): The JPY has a score of -29, indicating a bearish position.
CHF (Swiss Franc): CHF has a score of -42, reflecting a strong short position.
SEK (Swedish Krona): Long SEK positions have been cut to the smallest since June, with a score of 22. This signals a cautious approach to the SEK.
AUD (Australian Dollar): The AUD has a score of 1, suggesting a very slight long position.
NZD (New Zealand Dollar): The NZD has a score of -19, indicating a moderate short position.

Interpretation of Positioning Scores

Positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range between -50 and +50. A score above 40 or below -40 indicates extreme positions. For example, a score of -27 means that 23% of past observations were below the current level, reflecting a significant short position.

Methodology

The overall currency score is calculated as 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 vs. puts, incorporating option market sentiment.
FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum strength.

Charts

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: CAD Overall Positioning.
Chart 8: CHF Overall Positioning.
Chart 9: NZD Overall Positioning.
Chart 10: NOK Overall Positioning.
Chart 11: SEK Overall Positioning.
Chart 12: 3-Year Historic Plot of G10 Positioning Scores.

Legal and Regulatory Notice

This document is non-independent research and is a marketing communication.
It is not investment research and may not be relied upon for investment decisions.
BNP Paribas and its affiliates may have conflicts of interest due to their involvement in trading, market making, or advisory services.
The document may contain back-tested performance data, which is for illustrative purposes only and not indicative of future results.
The information is not a prospectus, public offering, or solicitation of an offer to buy or sell securities.
The document is confidential and may not be distributed without prior written consent.
It does not constitute an offer to sell or issue any financial instruments.

Key Contacts

FX Strategy Team

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Natalie Rickard: FX Strategist, London
Sam Lynton-Brown: FX Strategist, London
Clara Leonard: FX Strategist, London

Emerging Markets FX & IR Strategy Team

Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: FX & IR CEEMEA Strategist, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Dawn Kwa: Graduate, Singapore
Altaz Daghia: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
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

Distribution and Disclaimer

The document is for the use of intended recipients only.
No assurance is given that any transaction will be entered into on the terms indicated.
BNP Paribas and its affiliates may engage in transactions that are inconsistent with the views expressed.
The document may not be suitable for all investors and is not intended as a recommendation.
It is important to consult with professional advisors before making any investment decisions.

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