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FX Positioning Analysis Summary - 2 August 2018

Core Content Overview

This document provides an FX positioning analysis report from BNP Paribas London Branch, authored by Michael Sneyd and Kris Gjini, summarizing the current market sentiment and positioning across major G10 currencies. The report is based on historical data over the past five years and is presented as a percentile score rescaled between -50 and +50, where values above 40 or below -40 indicate extreme positions.

Key Market Insights

• USD Positioning: The market remains long USD at a score of +17, but FX funds have unwound long USD positions, indicating a shift in sentiment.
• SEK Positioning: Short positions have been reduced to -6, showing a significant shift from short to long positioning. Risk reversals reflect this change.
• GBP Positioning: Sentiment remains subdued with large short positions at -30, suggesting continued bearish outlook.
• NZD Positioning: Remains short at -29, indicating ongoing negative sentiment.
• AUD Positioning: Short positions have been moderately pared back to -8, showing a slight improvement in sentiment.

Positioning Components

The report includes several components used to assess market positioning:

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

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

Chart Highlights

• Chart 1: Overall FX Positioning Analysis (percentile-based scores)
• 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
• Chart 13: One-year historic plot of G10 individual currency positioning scores

All charts are sourced from BNP Paribas and illustrate the positioning trends and historical context.

FX Strategy Contacts

Legal & Disclaimer Notes

• This document is non-independent research and is intended for Relevant Persons (Professional Clients and Eligible Counterparties).
• It is not investment research for the purposes of MiFID II.
• It is not a prospectus, advertisement, or public offering in the UK or EU.
• It may contain back-tested performance data, which is not indicative of future results.
• BNP Paribas may have conflicts of interest, including financial interests or advisory roles, related to the securities or ETFs discussed.
• Options and ETFs discussed are complex instruments with high risk, suitable only for sophisticated investors.
• Important disclosures are provided for US and UK regulations, including confidentiality, no liability, and restriction on distribution.

Additional Information

• Online Resources:

  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, BNP Paribas Strategy Website, Emerging Markets Research BPFR, Market Economics BPEC

• Document Restrictions:

  • Not to be reproduced or distributed without prior written consent.
  • Only for the use of intended recipients.

• Confidentiality:

  • The information is provided strictly confidential.
  • No liability is accepted for any loss arising from the use of the document or its content.

• Legal Disclaimer:

  • Information is based on public sources and not independently verified.
  • No guarantee of accuracy, completeness, or fitness for purpose.
  • BNP Paribas may have acted on confidential information before publication.

This summary provides a concise overview of the FX positioning analysis, key insights, and important legal disclaimers.