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FX Positioning Analysis Summary (16 August 2018)

Core Content

This document provides an FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Kris Gjini, detailing the current market positioning of major G10 currencies as of 16 August 2018. The analysis is based on a combination of different metrics, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and the BNPP Trending Indicator, all of which are scaled between -50 and +50.

The overall positioning scores reflect the percentile ranking of current market positions relative to the past five years of data, with extreme positions defined as scores above +40 or below -40.

Main Points

USD Positioning

• The USD maintains a long exposure with a score of +32.
• This indicates that 32% of historical observations have been below the current level.

EUR Positioning

• EUR has seen a slight extension of short positions to -19.
• This suggests that 19% of historical observations have been below the current level.

JPY Positioning

• JPY has extended long positions to +23 from a short position.
• This means that 23% of historical observations have been below the current level.

CHF Positioning

• CHF has turned long with a score of +4, moving from a short position of -15.
• 4% of historical observations have been below the current level.

GBP Positioning

• GBP has a short position of -27, indicating that 27% of historical observations have been below the current level.

AUD Positioning

• AUD has a short position of -46, the most extreme among the G10 currencies.
• 46% of historical observations have been below the current level.

NZD Positioning

• NZD has a short position of -41, indicating that 41% of historical observations have been below the current level.

SEK Positioning

• SEK has a short position of -44, suggesting that 44% of historical observations have been below the current level.

NOK Positioning

• NOK has completely unwound its long position, moving from +16 to -1.
• 1% of historical observations have been below the current level.

Key Information

• The overall currency score is calculated as an equally weighted average of the components.
• The positioning data is presented in a series of charts, including:
  • Chart 1: Overall FX positioning
  • Chart 2: Absolute total G10 positioning
  • Chart 3: USD positioning
  • Chart 4: GBP positioning
  • Chart 5: EUR positioning
  • Chart 6: JPY positioning
  • Chart 7: AUD positioning
  • Chart 8: CAD positioning
  • Chart 9: CHF positioning
  • Chart 10: NZD positioning
  • Chart 11: NOK positioning
  • Chart 12: SEK positioning
  • Chart 13: One-year plot of G10 positioning
• The analysis includes various components:
  • Client Exposure: Internal sales desks' estimate of FX investor exposure.
  • IMM: Commitment of Traders (COT), a 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: Regression-based decomposition of currency fund positioning.
  • BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

Legal and Disclaimer Information

• This document is non-independent research and is not investment research under MiFID II.
• It is not intended for retail investors and is directed at Relevant Persons as defined under MiFID II.
• The document may contain performance data based on back-testing and is for illustrative purposes only.
• No guarantees are made regarding the accuracy, completeness, or reliability of the data.
• No liability is accepted for any loss or damage arising from the use of this document.
• Confidentiality is emphasized; the document may not be shared without prior consent.
• Options and ETFs discussed in the document may involve significant risks and are not suitable for all investors.
• The document is a marketing communication and may be subject to conflicts of interest.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist
• Kris Gjini: Graduate
• Sam Lynton-Brown, Natalie Rickard, Alex Jekov, Daniel Katzive, CFA, Vasilis Koutsaftis, Wike Groenenberg, Marcelo Carvalho, Shaun Daly, Erkin Isik, CFA, Altaz Daga, Dawn Kwa, Tianhe Ji, Gabriel Gersztein, Samuel Castro, Luca Maia, Andre Digiacomo: FX Strategists and related professionals across different branches and locations.

Additional Information

• The document is available on BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• Bloomberg references include:
  • Fixed Income Research BPFR
  • G10 Interest Rate Research BPBS
  • BNP Paribas Strategy Website
  • Emerging Markets Research
  • Market Economics
• Important Disclosures:
  • Options and ETFs are complex and may not be suitable for all investors.
  • Certain securities may be restricted and only available to Qualified Institutional Buyers (QIBs) or non-US persons.
  • BNPP may be involved in transactions with the issuers or have conflicts of interest.
  • The document is not a prospectus and is for general information only.

Summary

This report provides a detailed analysis of the FX market positioning for the G10 currencies, highlighting the USD's strong long exposure, the extreme short positions in AUD, NZD, SEK, and GBP, and the moderate shifts in EUR, JPY, and CHF. It serves as a market sentiment tool based on historical data and multiple indicators, and is intended for professional clients and Relevant Persons. The report also includes legal disclaimers and important disclosures related to the complexity and risk of the instruments discussed.