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FX Positioning Analysis Summary | G10 Currencies

Overview

This document provides a comprehensive analysis of the positioning of G10 currencies as of 18 October 2018, based on data from the prior five years. The positioning scores are reported as a percentile, rescaled to a range of -50 to +50, where values above 40 or below -40 indicate extreme positions. The analysis is divided into several components including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator.

Key Findings

• USD Positioning:

  • Long positioning has decreased from +24 to +14.
  • The FX funds component has increased its short exposure, contributing to this change.

• GBP Positioning:

  • Short positions have been extended, indicating a more bearish stance.
  • The BNPP Trending Indicator shows a score of 3, suggesting a moderate positive momentum.

• EUR Positioning:

  • Short positions have been extended, with a score of 9 on the BNPP Trending Indicator.
  • This suggests a slightly bearish sentiment, though not extreme.

• JPY Positioning:

  • Short positions have been extended, with a score of -21 on the FX Fund Position Tracker.
  • The BNPP Trending Indicator is at -21, indicating a negative momentum.

• CHF Positioning:

  • Short positions have been extended, with a score of -21 on the BNPP Trending Indicator.
  • The FX Fund Position Tracker shows a score of -3, suggesting a slight bearish stance.

• AUD Positioning:

  • Short positions have been squeezed from extended levels.
  • The FX Fund Position Tracker indicates a score of 2, suggesting a moderate bullish stance.

• NZD Positioning:

  • Short positions have been squeezed from extended levels.
  • The FX Fund Position Tracker shows a score of -38, indicating a strong bearish stance.

• CAD Positioning:

  • Long positioning remains firm at +23.
  • FX funds are particularly long CAD, indicating strong bullish sentiment.

• SEK Positioning:

  • Most of the short positioning has been unwound, reducing the score from -29 to -8.
  • This suggests a shift from bearish to more neutral sentiment.

• NOK Positioning:

  • The score has improved from -41 to +33, indicating a significant shift from bearish to bullish.

Components of Positioning Analysis

Interpretation

A score of +14 for USD indicates that it is in the upper half of the historical distribution, but not extreme. For example, a score of -27 means that 23% of historical observations were below the current level, suggesting a bearish position. The scores for other currencies reflect similar interpretations.

Charts

• Fig. 1: Overall positioning of G10 currencies.
• Fig. 2: Absolute total G10 positioning.
• Fig. 3 & 5: USD and EUR positioning over three years.
• Fig. 4 & 6: GBP and JPY positioning over three years.
• Fig. 7 & 9: AUD and NZD positioning over three years.
• Fig. 8 & 10: CAD and CHF positioning over three years.
• Fig. 11 & 12: NOK and SEK positioning over three years.
• Fig. 13 & 15: USD and EUR positioning components over one year.
• Fig. 14 & 16: GBP and JPY positioning components over one year.
• Fig. 17 & 19: AUD and NZD positioning components over one year.
• Fig. 18 & 20: CAD and CHF positioning components over one year.
• Fig. 21 & 22: NOK and SEK positioning components over one year.

Strategy Contacts

Legal & Regulatory Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication under MiFID II and not investment research.
• It is not intended to provide investment, financial, legal, or tax advice.
• The information is for informational purposes only and not guaranteed to be accurate or complete.
• It may contain back-tested performance data and is not indicative of future results.
• The document may be used only by professional clients and eligible counterparties.
• BNPP may have financial interests in the securities or entities discussed and may engage in transactions inconsistent with the views expressed.

Disclaimer

BNPP disclaims all liability for any use of the information or reliance on it. The indicative prices and terms are based on internal models and may not reflect actual transaction terms. The document may be distributed only to certain qualified recipients and must not be copied or distributed without prior written consent.