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FX Positioning Analysis Summary - 9 August 2018

Core Content

This document provides an analysis of FX market positioning as of 9 August 2018, produced by BNP Paribas London Branch. It outlines the current exposure levels of various currencies based on different metrics, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These metrics are scaled to a -50 to +50 range, where values above 40 or below -40 indicate extreme positions.

Key Metrics and Currency Positioning

The following is a summary of the positioning scores for major G10 currencies:

• USD: Maintains a long exposure at +19.
• GBP: Shorts have extended further, reaching -36, the shortest level in over a year.
• EUR: FX investors remain moderately short at -7.
• AUD: Positioning remains neutral at -2.
• CAD: Positioning is slightly positive at +2.
• JPY: Positioning is slightly positive at +4.
• SEK: Short positions have been re-extended to -21.
• NZD: Shorts have been reduced to -26 from -33 earlier in the week.
• CHF: Positioning is at -16.

Interpretation of Positioning Scores

The positioning scores are based on a percentile ranking of the prior five years of data, rescaled to a -50 to +50 range. For example, a score of -27 indicates that 23% of past observations were below the current level.

Charts and Visuals

• Chart 1: Overall FX positioning score.
• Chart 2: Absolute total G10 positioning.
• Chart 3: USD overall positioning.
• Chart 4: GBP overall positioning.
• Chart 5: EUR overall positioning.
• Chart 6: JPY overall positioning.
• Chart 7: AUD overall positioning.
• Chart 8: CAD overall positioning.
• Chart 9: NZD overall positioning.
• Chart 10: CHF overall positioning.
• Chart 11: NOK overall positioning.
• Chart 12: SEK overall positioning.

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

FX Strategy Contacts

Production and Editorial Team

Legal and Disclaimer Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is not investment research and is not subject to independence of investment research.
• The document is for marketing purposes and is directed at Professional Clients and Eligible Counterparties.
• The information is based on public sources and may not be independently verified.
• BNPP does not offer investment, financial, legal, or tax advice.
• Performance data is illustrative and not indicative of future results.
• All information is provided on a strictly confidential basis and may not be distributed without prior consent.
• The document may contain simulated performance data and is not a prospectus or public offering.

Additional Information

• Online Resources: BNP Paribas Global Fixed Income Website
• Bloomberg: Fixed Income Research (BPFR), G10 Interest Rate Research (BPBS), BNP Paribas Strategy Website, Emerging Markets Research (BPFR), Market Economics (BPEC)
• United States Disclosures:
  • Options and ETFs discussed may involve high risk.
  • BNPP may have conflicts of interest and may act as a market maker, advisor, or underwriter.
  • Certain securities may not be registered and are restricted to Qualified Institutional Buyers (QIBs) or non-U.S. persons.

Conclusion

The document provides an overview of the current FX positioning across G10 currencies, highlighting the long USD exposure and the extended GBP shorts. It serves as a reference for investors and is accompanied by detailed contact information for the FX strategy team, as well as important legal and disclosure information. The analysis is based on various indicators and is intended for informational and discussion purposes only.