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FX Positioning Analysis Summary - 16 October 2017

Core Content

This document is a FX Positioning Analysis report from BNP Paribas, focusing on the positioning of major currencies in the foreign exchange market. It is authored by Michael Sneyd and Natalie Rickard, with additional contributions from other FX strategists across different regions.

The report highlights the current sentiment and positioning of various currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These scores are based on historical data over the past five years and are rescaled to a range of -50 to +50. Values above 40 or below -40 are considered extreme.

Key Findings

• GBP: The market has returned to a short GBP position after long positions were cut in the previous two weeks. The GBP score is at -39, indicating a significant short position. The BNPP Trending Indicator for GBP is at -45, showing a strong bearish trend.

• USD: Large long USD positions are being held. The IMM score for USD is at -49, suggesting a bearish sentiment from US-based hedge funds and CTAs. The FX Fund Position Tracker score is at 28, indicating a moderate long position.

• EUR: Large long EUR positions continue to be held. The IMM score for EUR is at 50, which is an extreme bullish position. The BNPP Trending Indicator for EUR is at 19, showing a positive momentum.

• NOK: Large long NOK positions have been built over the week. The Risk Reversals score is at -21, and the BNPP Trending Indicator is at 23, indicating a strong bullish sentiment.

• CAD: FX investors have substantially unwound their long CAD positions ahead of the Bank of Canada meeting. The IMM score for CAD is at 50, and the FX Fund Position Tracker score is at -50, showing an extreme short position.

• SEK: Long SEK positions have been cut to the smallest since June. The FX Fund Position Tracker score for SEK is at -43, and the BNPP Trending Indicator is at 24, indicating a weak bullish trend.

• JPY: The FX Fund Position Tracker score for JPY is at -18, and the BNPP Trending Indicator is at -8, suggesting a bearish sentiment.

• CHF: The FX Fund Position Tracker score for CHF is at 9, and the BNPP Trending Indicator is at -45, indicating a moderate bullish position.

• AUD: The FX Fund Position Tracker score for AUD is at -37, and the BNPP Trending Indicator is at 7, suggesting a moderate bullish trend.

• NZD: The FX Fund Position Tracker score for NZD is at -39, and the BNPP Trending Indicator is at -33, indicating a bearish sentiment.

Main Points

• The report provides an overview of the current positioning of G10 currencies, indicating market sentiment and potential future movements based on various indicators.
• The positioning scores are calculated as an equally weighted average of the components and are rescaled to a -50 to +50 range.
• Extreme positions are defined as values above 40 or below -40, indicating significant market bias.
• The report includes charts and data from BNP Paribas, illustrating the positioning of each currency over different time periods.
• The analysis is non-independent research and is intended for marketing purposes, not for investment advice.

Key Information

• The report is produced by BNP Paribas London Branch.
• It includes detailed contact information for FX strategists across various regions, including London, New York, Singapore, and São Paulo.
• Legal disclaimers and disclosures are provided, emphasizing that the information is for informational purposes only and not for investment advice.
• The document also includes important disclosures regarding options, ETFs, and convertible securities, highlighting potential risks and conflicts of interest.

Summary Table

Legal and Distribution Notice

• This document is non-independent research and is intended for marketing purposes.
• It is subject to legal regulations and is only for the use of professional clients and eligible counterparties.
• BNP Paribas and its affiliates may have financial interests in the securities mentioned and may engage in transactions that could conflict with the views expressed in the report.
• The information provided is not investment advice and should not be relied upon as such.
• The document includes important disclosures for options, ETFs, and convertible securities, highlighting potential risks and the nature of the research.