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FX Positioning Analysis Summary - 4 June 2018

Core Content Overview

This document provides an FX Positioning Analysis report from BNP Paribas London Branch, authored by Natalie Rickard, an 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 scores are percentile-based and rescaled between -50 and +50, with extreme positions defined as values above 40 or below -40.

Key Currency Positioning Insights

• EUR (Euro): FX investors hold large short positions, with a score of -21, indicating the largest EUR short since the French election in 2017.
• JPY (Japanese Yen): The largest long exposure in the G10, with a score of +20.
• USD (US Dollar): Long USD positions have increased to +16, with fast money investors showing particular enthusiasm for USD.
• SEK (Swedish Krona): The largest short in the G10, with a score of -32.

Positioning Score Interpretation

The positioning scores are calculated based on historical data over the past five years and are equally weighted averages of the following components:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM: Commitment of Traders (COT) as a proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Indicate the relative price of calls vs. puts, reflecting market sentiment.
• FX Fund Position Tracker: Regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

For example, a score of -27 means that 23% of observations over the past five years have been below the current level (after adding 50).

Summary of Positioning Scores

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute Total G10 Positioning
• Chart 3: 3-Year Historic Plot of G10 Currency Positioning Scores
• Chart 4-22: Individual currency positioning charts (USD, EUR, JPY, GBP, CHF, CAD, AUD, NZD, NOK, SEK)

All charts are sourced from BNP Paribas and provide visual insights into the positioning of G10 currencies.

FX Strategy Contacts

Legal and Disclaimer Information

• The document is non-independent research and is a marketing communication under MiFID II.
• It is not intended for use by retail investors and is not investment research.
• BNPP may have conflicts of interest due to its involvement with sales and trading.
• The information is based on public sources and may not be independently verified.
• No guarantees are made regarding accuracy, completeness, or fitness for a particular purpose.
• Indicative prices and performance data are for informational purposes only and not actual transaction terms.
• The document does not constitute a prospectus or public offering and is for professional clients only.
• It may contain back-tested performance data, which is for illustrative purposes only.
• No liability is accepted for any use or reliance on the information contained in this document.

Additional Information

• Online Resources: BNP Paribas Global Fixed Income Website (www.globalmarkets.bnpparibas.com)
• Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, BNP Paribas Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC
• Legal Notice: This document is for the use of intended recipients only and may not be reproduced or distributed without prior written consent.
• United States Disclosures: The report may be distributed only to certain qualified investors and includes important disclosures regarding options, ETFs, and securities not registered under US law.