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FX Positioning Analysis Summary (18 June 2018)

Core Content Overview

This document provides an FX Positioning Analysis report from BNP Paribas, focusing on the positioning of major G10 currencies in the foreign exchange market. The analysis is based on data from the prior five years, with positioning scores rescaled to a range of -50 to +50. Scores above 40 or below -40 indicate extreme positions.

Key Findings

• USD: The market has extended its long USD positions slightly, with a score of +9. Both the Client Exposure and FX Fund Tracker components show moderately large long USD positions.
• EUR: FX investors continue to hold EUR shorts with a score of -15.
• CAD: Short positions in CAD have increased over the past week from -9 to -20, and the market has been building short CAD positions for the past three weeks.
• AUD: Positioning in AUD has turned short with a score of -10, and FX funds hold large AUD short positions with a score of -50.

Positioning Metrics

The following metrics are used to assess the market 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: Indicates the relative price of calls vs. puts, reflecting 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.

Positioning Scores

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute Total G10 Positioning
• Chart 3: 1 Year historic plot of G10 currency positioning individual scores
• Chart 4: USD, EUR, JPY, GBP, CHF, CAD, AUD, NZD, NOK, SEK positioning charts

Contacts

The report is produced by the following FX strategists and economists:

• Michael Sneyd, CFA – Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Sam Lynton-Brown – FX Strategist, BNP Paribas London Branch
• Natalie Rickard – FX Strategist, BNP Paribas London Branch
• Alex Jekov – Graduate, 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 – FX & IR CEEMEA Strategist, BNP Paribas London Branch
• Shaun Daly – FX & IR CEEMEA Graduate, BNP Paribas London Branch
• Erkin Isik, CFA – FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul)
• Dawn Kwa – Graduate, BNP Paribas Singapore Branch
• Altaz Daga – AU/NZ IR Strategist, BNP Paribas Singapore Branch
• Kun Shan – China Strategist, BNP Paribas China Limited (Shanghai)
• Tianhe Ji – China Strategist, BNP Paribas China Limited (Beijing)
• Gabriel Gersztein – Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Samuel Castro – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Luca Maia – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
• Andre Digiacomo – FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)

Legal and Regulatory Information

• This document is non-independent research and is considered a marketing communication under MiFID II.
• It is not intended as investment research and should not be relied upon for investment decisions.
• It may contain Research as defined under MiFID II unbundling rules, which is only for firms that have signed up to BNPP's Global Markets Research packages or are out of scope of MiFID II unbundling rules.
• STEER™ is a trademark of BNP Paribas.
• The information is not a prospectus and is for information purposes only.
• No liability is accepted for any reliance on the information contained in this document.
• Confidentiality is maintained, and the document may not be reproduced or distributed without prior written consent.

US Disclosures

• Options and ETFs discussed may involve high risk and are not suitable for all investors.
• Certain securities may be unregistered and are considered restricted securities under US Securities Laws.
• This document may be distributed only to qualified institutional buyers or non-US persons under Regulation S.
• Transactions must be conducted through BNPP Securities Corp (BNPPSC), which is a registered broker-dealer and futures commission merchant.
• This report may be considered a general solicitation for derivatives business.

UK Disclosures

• This document is communicated by BNP Paribas London Branch.
• It is subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority.
• The report is not a prospectus under EU Directive 2003/71/EC.

Disclaimer

• All information and opinions are based on public sources and may not be independently verified.
• The document is not intended to provide investment advice.
• Past performance is not indicative of future results.
• The indicative prices are based on internal models and may vary significantly from other sources.
• No liability is accepted for any use or reliance on the information provided.