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FX Positioning Analysis Summary (20 September 2018)

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Kris Gjini and Michael Sneyd. It outlines the current positioning scores of major G10 currencies, based on a combination of different indicators, and includes legal and disclosure information relevant to the use of the report.

Key Currencies and Positioning Scores

The report provides a detailed analysis of the positioning of the following G10 currencies, using a scale from -50 to +50, with extreme positions defined as values above +40 or below -40:

USD: +20
EUR: -11
GBP: -8
JPY: 0
NZD: -44
AUD: -38
CAD: -40
CHF: -8
NOK: 40
SEK: 10

These scores are calculated as an equally weighted average of multiple components, including:

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, indicating market sentiment.
FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
BNPP Trending Indicator: A technical measure of currency momentum.

Main Views and Insights

The USD has seen a reduction in long positions, currently at a score of +20.
EUR and GBP remain marginally short, with EUR at -11 and GBP at -8.
JPY long positions have been completely unwound to a score of 0.
NZD and AUD maintain large short positions, though both have seen slight reductions from extreme levels.
CHF has a moderate short position at -8, while NOK has a strong long position at +40.
CAD is heavily short at -40, and SEK is at a relatively low score of 10.

Supporting Charts

The report includes the following charts:

Chart 1: Overall FX positioning score (percentile-based, rescaled from -50 to +50).
Chart 2: Absolute total G10 positioning.
Chart 3: USD overall positioning.
Chart 4: GBP positioning components.
Chart 5: EUR overall positioning.
Chart 6: JPY positioning components.
Chart 7: AUD overall positioning.
Chart 8: NZD overall positioning.
Chart 9: NOK overall positioning.
Chart 10: CHF overall positioning.
Chart 11: SEK overall positioning.
Chart 12: One-year plot of G10 currency positioning individual scores.
Chart 13: USD positioning components.
Chart 14: EUR positioning components.
Chart 15: GBP positioning components.
Chart 16: JPY positioning components.
Chart 17: AUD positioning components.
Chart 18: CAD positioning components.
Chart 19: NZD positioning components.
Chart 20: CHF positioning components.
Chart 21: NOK positioning components.
Chart 22: SEK positioning components.

All charts are sourced from BNP Paribas and provide visual representation of the positioning data across different timeframes and indicators.

Legal and Disclosure Information

The report is non-independent research and is considered a marketing communication under MiFID II.
It is not investment research and should not be relied upon for making investment decisions.
BNP Paribas may have conflicts of interest due to its interaction with sales and trading.
The document may contain back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
Options and ETFs mentioned are complex instruments with high risk, suitable only for sophisticated investors.
Convertibles securities may not be registered under US Securities Laws and are considered "restricted securities."
The document is intended for Professional Clients and Eligible Counterparties only.
Confidentiality is emphasized; the information may not be distributed without prior written consent.

FX Strategy Contacts

The report includes a list of FX strategy contacts, including:

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist (BNP Paribas London branch)
Sam Lynton-Brown: FX Strategist (BNP Paribas London branch)
Alex Jekov: FX Strategist (BNP Paribas London branch)
Daniel Katzive, CFA: Head of FX Strategy North America (BNP Paribas Securities Corp, New York)
Vasilis Koutsaftis: FX Options Strategist (BNP Paribas Securities Corp, New York)
Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC (BNP Paribas London branch)
Gabriel Gersztein: Head of Global Emerging Markets Strategy (Banco BNP Paribas Brasil S.A., Sao Paulo)
Erkin Isik, CFA: FX & IR CEEMEA Strategist (Turk Ekonomi Bank A.S., Istanbul)
Altaz Daga: APAC IR Strategist (BNP Paribas Singapore Branch)
Dawn Kwa: Asia FX & IR Strategist (BNP Paribas Singapore Branch)
Tianhe Ji: China Strategist (BNP Paribas China Limited, Beijing)
Samuel Castro and Luca Maia: FX & IR Latam Strategists (Banco BNP Paribas Brasil S.A., Sao Paulo)
Andre Diqiacomo: FX & IR Latam Strategist (Banco BNP Paribas Brasil S.A., Sao Paulo)

Additional Information

The BNP Paribas Global Markets Website is referenced for further information.
The report includes important disclosures for options, ETFs, and convertible securities, highlighting risks and limitations.
STEER™ is a trade mark of BNP Paribas.
The document may contain hypothetical or back-tested performance and should not be used as guidance for future results.
All estimates and opinions are subject to change without notice.
The information is not guaranteed in accuracy or completeness and should not be used as a substitute for professional advice.

Disclaimer

The document does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
BNP Paribas may engage in transactions inconsistent with the views expressed in the report.
The document is intended for discussion purposes only and is subject to change or discontinuation.
It is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.
BNP Paribas and its affiliates may have confidential information about the companies mentioned, which may affect ETF prices.

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