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FX Positioning Analysis Summary - 11 June 2018

Core Content

This report provides an analysis of FX positioning as of 11 June 2018, produced by BNP Paribas London Branch. The analysis is based on a percentile scale derived from the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are defined as scores above +40 or below -40.

Key Positioning Insights

• USD: Long USD positions were reduced to a score of +6 from previous levels. Both client exposure and Fund Tracker continue to show long USD positions.
• EUR: The market holds large short EUR positions, with a score of -18, ahead of the ECB meeting.
• NOK: Long NOK positions have increased significantly to +20 from +4 last week.
• SEK: Short SEK positions were reduced to -20.
• CAD: Positioning has turned short from a neutral score, with FX funds currently holding extreme CAD shorts.
• GBP: Short GBP positions have a score of -29.
• JPY: JPY positioning is neutral with a score of -2.
• AUD: Long AUD positions have a score of +12.
• NZD: Short NZD positions have a score of -44.
• CHF: CHF positioning is neutral with a score of -6.
• NOK: Long NOK positions have a score of +43.
• SEK: Short SEK positions have a score of -9.

Positioning Components

The overall currency score is calculated as an equally weighted average of the following components:

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

Charts and Data Sources

• Chart 1: Overall FX Positioning (percentile-based)
• Chart 2: Absolute Total G10 Positioning
• Chart 3-22: Individual currency positioning scores for USD, EUR, GBP, JPY, AUD, CAD, NZD, CHF, NOK, and SEK
• All chart sources: BNP Paribas

Legal and Regulatory Information

• The document is non-independent research and constitutes a marketing communication under MiFID II.
• It does not provide investment research and is not subject to independence requirements.
• It may contain "Research" as defined under MiFID II unbundling rules, intended for firms that have signed up to BNP Paribas Global Markets Research packages or are out of scope of the unbundling rules.
• The document may include performance data based on back-testing, which is for illustrative purposes only and does not guarantee future results.
• BNP Paribas may have conflicts of interest due to its interactions with sales and trading, and may engage in transactions inconsistent with the views expressed.
• It is not a prospectus, advertisement, or public offering and is not intended to provide investment, tax, or legal advice.
• The document is for the use of intended recipients and may not be reproduced or distributed without prior written consent.

United States Disclosures

• Options discussed are complex and may involve high risk, suitable only for sophisticated investors.
• ETFs may involve tracking error, currency, geopolitical, credit, and interest rate risks.
• BNPP and its affiliates may act as market makers, advisors, or underwriters for ETFs and may have potential conflicts of interest.
• Certain securities may be "restricted securities" under Rule 144A and are not registered under the U.S. Securities Act of 1933.

UK Disclosures

• The document is communicated by BNP Paribas London Branch, authorized and supervised by the ECB, ACPR, and the Prudential Regulation Authority.
• It is subject to limited regulation by the Financial Conduct Authority.

Contact Information

Additional Information

• Online Resources: BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, FX Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC
• STEER™: A trade mark of BNP Paribas
• Confidentiality: The information is provided on a strictly confidential basis and must not be copied or distributed without prior written consent.

Disclaimer

• This document is for informational purposes only and does not constitute an offer to sell or issue securities.
• No guarantees are made regarding the accuracy or completeness of the information.
• Indicative prices are based on internal models and may differ from other sources.
• Past performance is not indicative of future results.
• BNPP disclaims all liability for any loss arising from the use of this document.