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FX Positioning Analysis Summary - 25 June 2018

Core Content Overview

This document provides a detailed analysis of FX positioning scores as of 25 June 2018, produced by BNP Paribas London Branch. It outlines the current market sentiment and positions across major G10 currencies using various metrics, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These scores are reported on a percentile scale based on the prior five years of data, rescaled to a range of -50 to +50, with extreme positions defined as scores above +40 or below -40.

Key Findings

Currency Positioning Scores

• USD: Long positioning has increased to +16, up from +9 last week.
• JPY: Long exposure has risen to +25, indicating continued strong demand from FX funds.
• CAD: Short positioning has extended to -26, driven by increased FX fund short positions.
• SEK: Short positioning has reached -28, the largest G10 short position.

Positioning Metrics

Interpretation of Scores

• Scores above +40 or below -40 are considered extreme.
• A score of -27 indicates that 23% of past observations were below the current level (after adding 50).

Charts and Visuals

• Chart 1: Overall FX Positioning (percentile-based).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: USD Overall Positioning.
• Chart 4: GBP Overall Positioning.
• Chart 5: JPY Overall Positioning.
• Chart 6: EUR Overall Positioning.
• Chart 7: AUD Overall Positioning.
• Chart 8: NZD Overall Positioning.
• Chart 9: CAD Overall Positioning.
• Chart 10: CHF Overall Positioning.
• Chart 11: NOK Overall Positioning.
• Chart 12: SEK Overall Positioning.

All charts are sourced from BNP Paribas and illustrate the positioning across G10 currencies, providing insights into market sentiment and investor behavior.

Additional Context

• The overall currency score is calculated as an equally weighted average of the components.
• The document serves as a non-independent research report for marketing purposes under MiFID II and is not intended for retail investors.
• It is important to note that the information is for Relevant Persons only, including Professional Clients and Eligible Counterparties.

Legal and Disclosure Information

• This document may contain back-tested performance data and is not an offer to sell or a solicitation to buy.
• BNPP may have conflicts of interest due to its involvement in trading, underwriting, and advisory services.
• It is not a prospectus or public offering document and may not be suitable for all investors.
• Options and ETFs discussed are complex and may involve high risk, suitable only for sophisticated investors.
• The document is subject to legal restrictions and is intended for use by institutional clients only.

Contact Information

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Nathalie Rickard: FX Strategist, BNP Paribas London Branch
• Sam Lynton-Brown: 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
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Sai Ulluri, Shaun Daly, Erkin Isik, CFA: FX & IR CEEMEA Strategists and Graduates, BNP Paribas London Branch
• Kun Shan, Tianhe Ji: China Strategists, BNP Paribas China Limited
• Altaz Daga: AU/NZ IR Strategist, BNP Paribas Singapore Branch

Useful Resources

• BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• Bloomberg: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), FX Strategy Website, Emerging Markets Research (BPFR), Market Economics (BPEC)

Disclaimer

• The document is non-independent research and may be subject to conflicts of interest.
• No guarantees are made regarding the accuracy or completeness of the data.
• Past performance is not indicative of future results.
• Simulated performance may not reflect actual market conditions or transaction costs.
• Confidentiality: The document is provided on a strictly confidential basis and may not be distributed without prior written consent.