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FX Positioning Analysis Summary (6 November 2017)

Core Content

This document provides an FX positioning analysis report by BNP Paribas London Branch, authored by Natalie Rickard, FX Strategist. It outlines the current market sentiment and positions for G10 currencies based on various indicators and reports.

Key Findings

• JPY: Short positions have been rebuilt over the week, with the overall score now at -8 (on a -/+ 50 scale). This suggests a moderate short bias.
• CAD: FX investors have rebuilt a long CAD position, with the score at +15, making it the largest long in the G10.
• SEK: The market has increased its short SEK position to -12, the largest since April. FX funds are particularly short on SEK.
• USD: Positioning remains neutral, as the market has pared back large shorts.
• EUR: Long EUR positions continue to be held.

Positioning Indicators

The following are the key indicators used in the analysis:

Note: Positioning scores are reported as a percentile based on the prior five years of data, rescaled to a -50 to +50 range. Values above 40 or below -40 represent extreme positions.

Interpretation of Scores

• A score of -27 implies that 23% of historical observations were below the current level.
• The overall currency score is calculated as the equally weighted average of the components.

Charts

• Chart 1: Overall FX 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: CAD Overall Positioning
• Chart 8: AUD Overall Positioning
• Chart 9: NZD Overall Positioning
• Chart 10: CHF Overall Positioning
• Chart 11: NOK Overall Positioning
• Chart 12: SEK Overall Positioning

All charts are sourced from BNP Paribas.

Legal and Distribution Notice

• This document is a marketing communication and not investment research.
• It is intended for Relevant Persons as defined under MiFID and other jurisdictions.
• It may not be suitable for all investors and should not be relied upon as authoritative.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, and advisory roles.
• The document is non-independent research and may be subject to conflicts of interest.

Distribution and Contact Information

• Production: Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, Louise Bylicki
• Strategy Contacts:
  • Michael Sneyd, CFA - Global Head of FX Strategy & Cross-Asset Strategist, London
  • Sam Lynton-Brown - FX Strategist, London
  • Clara Leonard - FX Strategist, London
  • Natalie Rickard - FX Strategist, London
  • Daniel Katzive, CFA - Head of FX Strategy North America, New York
  • Vasilis Koutsaftis - FX Options Strategist, New York

Emerging Markets FX & IR Strategy Contacts

• Wike Groenenberg - Head of Emerging Markets Research, CEEMEA & APAC, London
• Marcelo Carvalho - Head of Emerging Markets Research, Latam, Sao Paulo
• Piotr Chwiejczak - FX & IR CEEMEA Strategist, London
• Sai Ulluri - FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA - FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig - Head of FX & IR Asia Strategy, Singapore
• Dawn Kwa - Graduate, Singapore
• Altaz Daghia - AU/NZ IR Strategist, Singapore
• Kun Shan - China Strategist, Shanghai
• Tianhe Ji - China Strategist, Beijing
• Gabriel Gersztein - Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro - FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca - FX & IR Latam Strategist, Sao Paulo

Disclaimer

• The information and opinions are based on public sources and may not be independently verified.
• BNP Paribas does not offer investment, financial, legal, or tax advice.
• Performance data is based on back-testing and is not indicative of future results.
• Indicative prices are based on internal models and may vary from other sources.
• This document may contain restricted securities and is only available to Qualified Institutional Buyers or non-US persons under Regulation S.