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FX Positioning Analysis Summary | G10 Currencies

Core Content Overview

This document presents the BNP Paribas FX Positioning Analysis for G10 currencies as of 28 February 2019, offering insights into the current market positioning and sentiment. The analysis is based on a variety of indicators and provides a percentile-based score for each currency, rescaled between -50 and +50. Extreme positions are defined as scores above +40 or below -40.

Key Positioning Scores

Main Indicators and Their Implications

• 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 fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum.
• Buy Sell Pressure: An indicator using tick data, aggressor information, and price movements to show price momentum and direction.

Key Observations

• USD: Long positions have been reduced, indicating a more bearish sentiment.
• GBP: Positive sentiment has emerged, with long positions increasing significantly.
• JPY: Long positions have been reduced, possibly due to market conditions affecting the Buy Sell Pressure component.
• SEK: Short positions have increased, suggesting a bearish outlook.
• EUR, CHF, CAD, AUD, NZD, NOK: The positioning scores for these currencies are not detailed in the summary, but the overall analysis includes their positions in the broader context of G10 FX positioning.

Figures and Charts

• Fig. 1: Overall positioning scores for G10 currencies, based on five-year data.
• Fig. 2: Absolute total G10 positioning.
• Figs. 3–22: One-year plots for individual currencies, showing the positioning components over time.

These charts help visualize the shifting dynamics of each currency's positioning in the FX market, highlighting the relative strength and sentiment across different indicators.

Strategy Contacts

• Michael Sneyd, CFA: Head of Macro Quantitative & Derivatives Strategy, BNP Paribas London branch.
• Sam Lynton-Brown, CFA: Head of G10 FX Strategy, Europe, BNP Paribas London branch.
• Parisha Saimbi: G10 FX and Sterling Rates 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.
• 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).
• Gabriel Gersztein: Head of Global Emerging Markets Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo).
• Samuel Castro, Luca Maia, Andre Digiacomo: FX & IR Latam Strategists, Banco BNP Paribas Brasil S.A. (Sao Paulo).
• Kris Gjini, Benedicte Lowe: Additional strategists involved in the analysis.

Legal and Disclaimer Information

• The document is a marketing communication and not investment research under MiFID II.
• It may contain Research as defined under MiFID II unbundling rules, which is only available to certain clients.
• BNP Paribas may have conflicts of interest due to its role in trading, market making, and advisory services.
• The information is based on public sources and historical data, and not independently verified.
• No liability is accepted for any loss arising from the use of this document.
• The indicated prices are for informational purposes only and do not represent actual transaction terms.
• Back-tested performance data is provided for illustration and not a guarantee of future results.
• ETFs and options discussed may involve significant risk and are not suitable for all investors.
• The document is for professional clients and eligible counterparties only and is not intended for retail investors.

Additional Information

• The document is available on BNP Paribas Global Markets website and Strategy website.
• It is subject to confidentiality, and recipients are not allowed to reproduce or distribute it without prior written consent.
• US Disclosures emphasize that the report is a general solicitation of derivatives business and not an official transaction confirmation.
• Canadian Disclosures state that BNP Paribas operates in Canada as a Schedule III Bank and under the International Dealer Exemption.

Conclusion

The FX Positioning Analysis provides a comprehensive overview of market sentiment and positioning for G10 currencies, highlighting shifts in USD, GBP, JPY, and SEK. The report serves as a tool for professional clients and is subject to various legal and regulatory considerations, including potential conflicts of interest and the need for independent evaluation.