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FX Positioning Analysis Summary - 6 September 2018

Core Content

This document provides an analysis of FX positioning as of 6 September 2018, produced by BNP Paribas London Branch. It outlines the current positioning scores across major G10 currencies, based on multiple components including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are calculated on a -50 to +50 scale, based on a percentile of the prior five years of data, where values above +40 or below -40 are considered extreme.

Key Positioning Changes

• USD long positions have increased slightly to +30.
• SEK shorts have decreased from -34 to -16; all components except the client survey component have reduced shorts.
• NZD shorts have extended to -38, driven by the Risk Reversal component.
• EUR shorts have decreased from -44 to -40.
• GBP shorts have increased from -21 to -29.
• CHF shorts have increased from -36 to -48.
• CAD shorts have increased from -5 to -45.
• AUD shorts have increased from -29 to -42.
• NOK shorts have decreased from -34 to -29.
• SEK shorts have decreased from -44 to -16.

Components of Positioning Analysis

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

The overall currency score is calculated as the equally weighted average of the components.

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: CAD overall positioning.
• Chart 8: CHF overall positioning.
• Chart 9: NZD overall positioning.
• Chart 10: AUD overall positioning.
• Chart 11: NOK overall positioning.
• Chart 12: SEK overall positioning.

Additional Charts

• Chart 13: USD positioning components.
• Chart 14: GBP positioning components.
• Chart 15: EUR positioning components.
• Chart 16: JPY positioning components.
• Chart 17: AUD positioning components.
• Chart 18: CAD positioning components.
• Chart 19: NZD positioning components.
• Chart 20: CHF positioning components.
• Chart 21: NOK positioning components.
• Chart 22: SEK positioning components.

All charts are sourced from BNP Paribas.

Key Insights

• The positioning scores reflect the collective sentiment and exposure of FX investors.
• USD is currently in a long position, while NZD, CAD, and AUD are in short positions.
• The Risk Reversals component is a significant driver of short positions in some currencies.
• GBP and CHF have seen increased short positions, while EUR and SEK have seen reduced short positions.

Legal and Disclaimer Information

• This document is non-independent research and is a marketing communication.
• It is not investment research and may not be relied upon as an independent analysis.
• It does not constitute an offer to sell or purchase any financial instruments.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document contains hypothetical and back-tested performance data which is for illustrative purposes only and does not guarantee future results.
• Securities may not be eligible for sale in all jurisdictions or to certain investors.
• The document is intended for professional clients and eligible counterparties only.

FX Strategy Contacts

Additional Information

• Online Resources:

  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • BNP Paribas Strategy Website: www.bnpparibas.com

• Bloomberg Sources:

  • Fixed Income Research: BPFR
  • G10 Interest Rate Research: BPBS
  • Emerging Markets Research: BPFR
  • Market Economics: BPEC

• Important Disclosures:

  • Options: Complex instruments with high risk, suitable only for sophisticated investors.
  • ETFs: May involve tracking error, currency, and geopolitical risks.
  • Restricted Securities: May not be registered under US Securities Laws, available only to QIBs or non-US persons.
  • Conflicts of Interest: BNPP may have financial interests in the mentioned entities and may engage in transactions inconsistent with the document's views.

• Legal Disclaimer:

  • This document is not a prospectus, advertisement, or public offering.
  • It is for informational purposes only and does not guarantee future results.
  • No liability is accepted for any reliance on the document's content.