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FX Positioning Analysis Summary - 24 September 2018

Core Content

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

Main Views

• USD Positioning: USD long positions were reduced to a score of +16 from +23 previously, indicating a decrease in long exposure by FX funds. This suggests a more neutral or slightly bearish sentiment towards USD.

• JPY Positioning: FX investors have unwound long positions in JPY and built moderate shorts, resulting in a score of -8. This shift reflects a turning point towards a more bearish outlook on JPY.

• SEK Positioning: The market flipped from short to slight long positions in SEK, with a score of +5, driven by a bullish option market sentiment.

• Other Currencies:

  • GBP: Score of +32, indicating strong long positioning.
  • EUR: Score of -3, suggesting a bearish stance.
  • CAD: Score of +33, showing a bullish position.
  • CHF: Score of +40, indicating strong bullish sentiment.
  • AUD: Score of +4, showing a slightly bullish stance.
  • NZD: Score of -42, indicating a strongly bearish position.
  • NOK: Score of +32, showing a moderate bullish stance.

The overall currency score is calculated as an equally weighted average of the various components, providing a comprehensive view of market positioning.

Key Information

• The positioning scores are reported as percentiles based on the prior five years of data, rescaled to a range of -50 to +50.
• A score of +16 for USD implies that 16% of historical observations were below the current level.
• The report includes multiple charts (Chart 1 to Chart 22) that illustrate the positioning of each G10 currency, with the majority of the charts sourced from BNP Paribas.
• The report also contains details on FX Strategy contacts, production and editorial teams, and legal disclaimers, emphasizing that this is non-independent research and may involve conflicts of interest.

Legal and Disclaimers

• This document is non-independent research for UK FCA rules and is considered a marketing communication under MiFID II.
• It is not investment research and should not be relied upon for making investment decisions.
• BNPP does not provide investment, financial, legal, or tax advice and disclaims any liability for reliance on the information provided.
• The document may include performance data based on back-testing, which is for illustrative purposes only and does not guarantee future results.
• The information may not be suitable for all investors and is intended only for those who qualify as professional clients or have relevant professional experience.
• BNPP may have financial interests in the securities or entities discussed, including acting as a market maker, advisor, or underwriter.
• The document may contain "Research" as defined under MiFID II unbundling rules, which is only available to certain firms that have signed up for BNPP Global Markets Research packages.

Additional Notes

• The report includes a section on United States disclosures, highlighting the risks associated with options and ETFs.
• It also includes important disclosures regarding the distribution of the report and the legal status of the information.
• The document is intended for internal use and may not be distributed to third parties without prior written consent from BNP Paribas.

Summary of Components

This summary encapsulates the key findings and structure of the FX Positioning Analysis report, providing a clear overview of the current market sentiment and positioning across G10 currencies.