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FX Positioning Analysis Summary - 28 August 2018

Core Content

This document provides an FX Positioning Analysis by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov. It outlines the current market positioning for G10 currencies based on multiple data sources, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The analysis is based on historical data over the past five years and is scaled between -50 and +50, with extreme positions defined as scores above +40 or below -40.

Key Findings

• Overall G10 FX Positioning: At a 1-year high, indicating a significant shift in market sentiment.
• USD Positioning: FX investors have reduced USD long positions to +29 from +31 previously.
• EUR Positioning: EUR short positioning has decreased to -12.
• GBP Positioning: The market maintains a pessimistic outlook on GBP, with a positioning score of -32. All five components are in negative territory, and FX funds have sharply increased short exposure in GBP over the past week.
• Other Currencies:
  • JPY: Positive positioning score of +4.
  • CHF: Positive score of +2.
  • CAD: Negative score of -41.
  • AUD: Negative score of -41.
  • NZD: Negative score of -43.
  • NOK: Negative score of -27.
  • SEK: Negative score of -27.

Interpretation of Positioning Scores

• Positioning scores are reported as percentiles based on historical data over the past five years.
• The scores are rescaled to a range between -50 and +50.
• A score of -27, for example, means that 23% of past observations were below the current level.

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: Indicate the relative price of calls versus puts, incorporating option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Charts and Data

• Chart 1: BNP Paribas FX Positioning Analysis – overall positioning.
• 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: 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.
• Chart 13: USD positioning components.
• Chart 14: GBP positioning components.
• Chart 15: EUR 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.

Legal and Disclosure Information

• The document is non-independent research and constitutes a marketing communication under MiFID II.
• It is not investment research and is not subject to any prohibition on dealing ahead of dissemination.
• It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
• The document may contain performance data based on back-testing and is for illustrative purposes only.
• BNPP may have conflicts of interest due to its involvement in transactions, advisory roles, and market-making activities.
• It is not intended for retail investors and is only for "Relevant Persons" as defined by applicable regulations.
• The information is provided on a strictly confidential basis and should not be copied or distributed without prior written consent.

FX Strategy Contacts

Additional Information

• The document is produced by a BNPP group company and is for the use of intended recipients only.
• It is not a prospectus or public offering and may not be distributed to non-intended recipients.
• The document may include performance data based on back-testing, which is for illustrative purposes only.
• BNPP may engage in transactions in a manner inconsistent with the views expressed in this document.
• The document contains important disclosures regarding options, ETFs, and convertible securities.
• It is not intended to provide investment, financial, legal, or tax advice.
• The information is subject to change and not guaranteed to be accurate or complete.