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FX Positioning Analysis Summary (30 October 2017)

Core Content

This document provides an analysis of the FX positioning of major currencies (G10) as of 30 October 2017, produced by BNP Paribas London Branch. It outlines the current sentiment and exposure levels of FX investors across various currencies, based on a combination of different indicators and data sources.

Key Findings

• USD Positioning: Short USD positions have been completely unwound, with the current score at -2 (on a -/+50 scale), which is the highest since May. This indicates a significant shift in sentiment towards USD.

• EUR Positioning: Long EUR positions have been moderated to the smallest level since May. This suggests a more neutral stance on EUR compared to previous months.

• JPY Positioning: Short JPY positions have been cut to a score of -3, while FX funds have been building large long JPY positions. This indicates a growing bullish sentiment on JPY.

• Overall FX Investor Positioning: The overall positioning appears very light, suggesting that investors are generally neutral or cautious in their exposure to foreign exchange markets.

Positioning Indicators

The following indicators were used to assess FX positioning:

• 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 the strength of a currency's momentum.

Currency Positioning Scores

Chart Highlights

• Chart 1: Overall FX positioning score, with USD at -2 (highest since May).
• Chart 2: Absolute total G10 positioning, indicating light overall exposure.
• 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: CAD overall positioning.
• Chart 9: NZD overall positioning.
• Chart 10: CHF overall positioning.
• Chart 11: NOK overall positioning.
• Chart 12: SEK overall positioning.
• Chart 13: 1 Year historic plot of G10 currency positioning scores.

Legal and Distribution Notice

• This document is a marketing communication and not independent research.
• It is intended for Professional Clients and Eligible Counterparties under MiFID and for individuals with professional investment experience.
• It is not an offer to sell or purchase any financial instrument.
• BNP Paribas may have conflicts of interest due to its involvement in market-making, advisory, or underwriting activities.
• The document is non-independent research and is subject to the UK Financial Conduct Authority rules.
• No guarantees are made regarding the accuracy, completeness, or fitness for purpose of the information provided.
• Performance data is based on back-testing and simulations and does not reflect actual market conditions or future results.
• Confidentiality is maintained, and the document may not be reproduced or distributed without prior consent.

Contact Information

FX Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Distribution and Legal Disclaimer

• The document is produced by a BNP Paribas group company.
• It is intended for intended recipients only and may not be reproduced or transmitted without prior written consent.
• BNP Paribas and its affiliates may be involved in transactions, market-making, or advisory roles related to the discussed instruments, which could lead to conflicts of interest.
• The information is not investment advice, and no assurance is given that any indicated returns or performance will be achieved.
• Back-tested performance is not indicative of future results.
• The document may contain restricted securities and is only available to Qualified Institutional Buyers or non-US persons under Regulation S.
• ETFs discussed may involve tracking error, currency, geopolitical, credit, and interest rate risks.
• BNP Paribas may act as Authorized Participant, market maker, or underwriter in relation to ETFs, which could affect pricing and trading.