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FX Positioning Analysis Summary - 6 August 2018

Core Content

This document provides a comprehensive FX positioning analysis from BNP Paribas London Branch, authored by Michael Sneyd (Global Head of FX Strategy & Cross) and Kris Gjini (Graduate). It outlines the current market positioning for G10 currencies based on various indicators and includes a range of charts and disclosures relevant to the FX strategy and investment research.

Key Findings

• USD Positioning: Long exposure remains stable at +18 on a -/+50 scale, indicating a moderate bullish stance.
• GBP Positioning: The shortest among G10 currencies, with shorts at -34, reflecting a strong bearish sentiment.
• EUR Positioning: Moderate short at -9, showing a cautious bearish stance.
• NZD Positioning: FX investors continue to hold large short positions at -33.
• SEK Positioning: Short positioning is rebuilding at -18.
• NOK Positioning: The market remains long at +13.
• CAD Positioning: Short at -23.
• CHF Positioning: Short at -19.
• AUD Positioning: Long at +25.
• JPY Positioning: Long at +41.

Positioning Indicators

The analysis uses the following indicators to evaluate market sentiment and positioning:

• 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: Indicates the relative price of calls versus puts, incorporating market sentiment.
• FX Fund Position Tracker: Regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Overall Positioning Score

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

Charts

• Chart 1: Overall FX Positioning Analysis (percentile-based scores).
• Chart 2: Absolute Total G10 Positioning.
• Chart 3: 3-Year historic plot of G10 currency positioning scores.
• Chart 4: Individual currency positioning scores over time.

FX Strategy Contacts

Legal and Disclosure Information

• This document is a marketing communication and not investment research.
• It may contain "Research" under MiFID II unbundling rules, which is intended for specific firms.
• The information is for informational purposes only and does not constitute an offer to sell or issue securities.
• No assurance is given that any transaction will be entered into on the terms indicated.
• BNPP may have conflicts of interest due to its involvement in transactions, advisory roles, or market-making activities.
• The document may contain simulated performance data based on back-testing, which is not indicative of future results.
• It does not constitute a prospectus and is not intended to provide investment, tax, or legal advice.
• It is subject to change and may be discontinued at any time.

Additional Information

• The document is produced by a BNP Paribas group company.
• It is intended for the use of specific recipients and may not be reproduced or distributed without prior consent.
• It is for the general information of BNPP's clients and is a general solicitation of derivatives business.

United States Disclosures

• Options discussed are complex and may involve high risk, suitable only for sophisticated investors.
• ETFs may carry risks including tracking error, currency, and geopolitical risks.
• BNPP and its affiliates may have conflicts of interest due to their involvement with ETFs.
• Certain securities may be "restricted" and only available to Qualified Institutional Buyers or non-U.S. persons.

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

Legal Notice

• The document may contain information that is not independently verified.
• BNPP disclaims any liability for errors, omissions, or reliance on the information.
• It is not a public offering or advertisement and is not intended for retail investors.
• The information is provided on a confidential basis and must not be copied or distributed without prior consent.