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FX Positioning Analysis Summary (30 August 2018)

Core Content

This document provides an analysis of the positioning of G10 currencies as of 30 August 2018, based on data from BNP Paribas. The analysis includes various components such as client exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These components are used to assess the market sentiment and positioning of different currencies, with the overall score calculated as an equally weighted average.

Key Currencies and Positioning

• GBP (British Pound):

  • Positioning score decreased from -30 to -13 over the past week.
  • This was driven by FX funds unwinding short positions and building long positions, resulting in a score of +41.
  • The score is reported as a percentile based on the prior five years of data, rescaled between -50 and +50.
  • A score of -27 indicates that 23% of historical observations were below the current level.

• JPY (Japanese Yen):

  • Long positioning reduced from +21 to +16 due to a moderation in the Risk Reversal component.
  • The score reflects the relative price of calls versus puts, indicating market sentiment.

• USD (US Dollar):

  • The market continues to hold long positions with a score of +28.
  • This suggests sustained positive sentiment towards the USD.

• CAD (Canadian Dollar):

  • Positioning remains neutral, with the market awaiting the outcome of trade negotiations.
  • No extreme positions are currently observed.

Additional Currencies

• CHF (Swiss Franc):

  • Positioning score of +2, indicating a slight positive bias.
  • FX Fund Position Tracker shows a score of +50, suggesting strong long positioning.

• EUR (Euro):

  • Positioning score of +13, with FX Fund Position Tracker at -45, indicating a strong short bias.

• AUD (Australian Dollar):

  • Positioning score of +4, with FX Fund Position Tracker at +41, showing a positive outlook.

• NZD (New Zealand Dollar):

  • Positioning score of -43, with FX Fund Position Tracker at -46, indicating a strong short position.

• NOK (Norwegian Krone):

  • Positioning score of +22, with FX Fund Position Tracker at -46, suggesting a moderate long bias.

• SEK (Swedish Krona):

  • Positioning score of -27, with FX Fund Position Tracker at -48, indicating a strong short bias.

Charts and Data

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute total G10 positioning
• Chart 3: USD overall positioning
• Chart 4: GBP positioning components
• Chart 5: EUR overall positioning
• Chart 6: JPY positioning components
• Chart 7: AUD overall positioning
• Chart 8: CAD positioning components
• Chart 9: NZD overall positioning
• Chart 10: CHF overall positioning
• Chart 11: NOK positioning components
• Chart 12: SEK positioning components
• Chart 13: One-year plot of G10 positioning scores

All charts are sourced from BNP Paribas and provide visual insights into the positioning dynamics across different currencies and time frames.

Legal and Regulatory Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• The content is not investment research and is not subject to independence requirements.
• It does not constitute an offer to sell or issue securities and is not a solicitation of an offer to buy.
• The document is for informational purposes only and may not be relied upon as authoritative.

Disclaimer

• The information is based on public sources and may not be independently verified.
• No guarantees are made regarding the accuracy or completeness of the data.
• BNPP and its affiliates may have financial interests in the securities discussed.
• There may be conflicts of interest, and BNPP may engage in transactions inconsistent with the views expressed.
• The document may include simulated performance data and is not indicative of future results.
• Past performance does not guarantee future performance.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch
• Alexander 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
• Shaun Daly: FX & IR CEEMEA Graduate, BNP Paribas London Branch
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul)
• Altaz Daga: APAC IR Strategist, BNP Paribas Singapore Branch
• Dawn Kwa: Asia FX & IR Strategist, BNP Paribas Singapore Branch
• 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)

Additional Information

• The document may include performance data based on back-testing and simulations.
• It is subject to change and may be discontinued.
• The information is confidential and must not be distributed without prior written consent.
• BNPP may act as a market maker, advisor, or underwriter in relation to the discussed financial instruments.
• The document does not constitute a prospectus or public offering and is not intended to provide investment, tax, or legal advice.