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FX Positioning Analysis Summary (13 February 2017)

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Natalie Rickard. It outlines the current positioning of major currencies based on various indicators and offers insights into market sentiment and potential trading opportunities.

The analysis is based on a scoring system that uses historical data from the past five years, rescaled to a range of -50 to +50. Scores above 40 or below -40 are considered extreme. The overall positioning score is calculated as an equally weighted average of several components: Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Main Views and Key Information

Currency Positioning Overview

• USD: The market remains short USD, but the size of the short position has moderated to a score of -4.
• EUR: EUR short positions have extended substantially to a score of -17, following a decline in the risk reversals component.
• Commodity Bloc Currencies: The market is long all the commodity bloc FX. AUD long positions have reached a score of +32, the longest since 2012. NZD long positions have been cut to a score of +3, while SEK has seen short positions added to a score of -17.

Positioning Components

Interpretation of Positioning Scores

• A score of -27 indicates that 23% of past observations were below the current one.
• The scores reflect the relative positioning of currencies in the market, incorporating sentiment and momentum data.

Charts and Data

• Chart 1: Overall FX Positioning (percentile-based)
• Chart 2: Absolute Total G10 Positioning
• Chart 3: 3 Year historic plot of G10 currency positioning scores
• Chart 4 to Chart 22: Individual currency positioning scores (USD, EUR, JPY, GBP, CHF, CAD, AUD, NZD, NOK, SEK)

These charts provide visual insights into the positioning trends and historical data of each currency.

Strategy Contacts

The report includes contact details for key members of the FX Strategy team, both in London and New York, covering various regions and strategies, including Emerging Markets FX & IR Strategy, FX & IR Latam Strategy, and FX & IR Asia Strategy.

Legal and Distribution Notice

• The document is non-independent research and is a marketing communication.
• It is intended for Professional Clients and Eligible Counterparties under MiFID.
• It is not investment research and should not be relied upon as such.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the report.
• The document is confidential and may not be distributed without prior written consent.
• It is subject to legal disclosures in the UK, US, France, Germany, Belgium, and Ireland.

Disclaimer

• The information and opinions are based on public sources and may not be independently verified.
• No responsibility or liability is accepted for the accuracy or completeness of the information.
• Performance data may be based on back-testing and is for illustrative purposes only.
• Indicative prices are based on internal models and may vary significantly from other sources.
• The document is not a prospectus, advertisement, or public offering.
• Transactions involving the products discussed may involve high risk and significant volatility.