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FX Positioning Analysis Summary

Core Content

This document is a report on the FX Positioning Analysis published by BNP Paribas London Branch on 6 March 2017. It provides an overview of the positioning scores for major currencies, based on data from the prior five years, and includes insights from various indicators and sources. The report is intended for professional clients and relevant persons, and is not investment research or a prospectus.

Main Currencies and Positioning Scores

The report highlights the following key positioning scores for major currencies:

• USD: The score has risen to +13, indicating the market remains long on USD.
• EUR: EUR short positions have been cut back, with the score moderating from -26 to -7.
• GBP: Short GBP positions have extended to a score of -30, suggesting increased shorting activity by FX funds.
• NZD: The market has built up a short NZD position, with the score falling to -20 as all five components declined.
• AUD: The score is at +13, indicating a long position.
• CAD: The score is -27, showing a moderate short position.
• CHF: The score is -17, indicating a short position.
• JPY: The score is -12, suggesting a short position.
• NOK: The score is +15, indicating a long position.
• SEK: The score is -28, showing a short position.

Key Indicators and Components

The positioning scores are derived from a combination 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: Indicates the relative price of calls vs. puts, reflecting option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.

These components are equally weighted to calculate the overall positioning score for each currency, which is rescaled to a range of -50 to +50.

Interpretation of Positioning Scores

• Scores above +40 or below -40 are considered extreme.
• A score of -27 for CAD, for example, means that 23% of observations over the past five years have been below the current observation (after adding 50 to the score).

Charts and Visuals

• Chart 1: Overall FX Positioning score, showing the rescaled percentile values.
• Chart 2: Absolute total G10 positioning.
• Charts 3-22: Individual currency positioning scores over different time frames (3-year and 1-year historic plots), including USD, GBP, EUR, JPY, AUD, CAD, CHF, NZD, NOK, and SEK.

Distribution and Legal Notice

• The document is a marketing communication and is intended for Relevant Persons as defined under MiFID.
• It is non-independent research and may be subject to conflicts of interest.
• BNP Paribas may have a financial interest in the securities or issuers discussed, including acting as a market maker or advisor.
• The document is not investment research and should not be relied upon as such.
• There is no guarantee of accuracy or completeness of the information provided.
• All estimates and opinions are subject to change without notice.
• The document may include back-tested performance data, which is for illustrative purposes only.

Legal Disclaimer

• The document is not an offer to sell or solicitation of an offer to buy any financial instrument.
• No liability is accepted for any direct or consequential loss arising from reliance on the document.
• Confidentiality is maintained, and the document may not be distributed without prior written consent.
• ETF and option disclosures are included, emphasizing the risks involved in such investments.
• U.S. Securities Laws: Certain securities may not be registered and are available only to Qualified Institutional Buyers or non-U.S. persons.

Contact Information

• Cross Asset Strategy Team:

  • Michael Sneyd, CFA: Macro Quantitative Strategist, London
  • Steven Saywell: Global Head of FX Strategy, London
  • Sam Lytton-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

• Emerging Markets FX & IR Strategy Team:

  • 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

• Production and Distribution:

  • Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, and Louise Bylicki are responsible for production and distribution.

Jurisdictional Information

• UK: The document is communicated by BNP Paribas London Branch, authorized by ECB, ACPR, and FCA.
• France: Produced and/or distributed by BNP Paribas SA and BNP Paribas Arbitrage, authorized by ECB and ACPR.
• Germany: Distributed by BNP Paribas Niederlassung Deutschland, subject to limited supervision by BaFin.
• Belgium: BNP Paribas Fortis SA/NV is authorized and supervised by ECB and National Bank of Belgium.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch.
• Italy: Distributed by BNP Paribas Succursale Italia, authorized by ECB and ACPR.

Final Notes

• The report is for information purposes only and may be subject to change or discontinuation.
• Readers are advised to consult independent advisors and to understand the risks involved in the transactions described.
• No assurance is given that any transaction will be entered into on the terms indicated.