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FX Positioning Analysis Summary (23 August 2018)

Core Content

This document presents the FX Positioning Analysis by BNP Paribas London Branch, focusing on the positioning of major G10 currencies as of 23 August 2018. It provides insights into investor sentiment and market dynamics using various indicators, including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The analysis is based on historical data from the prior five years, with positioning scores rescaled to a range of -50 to +50.

Key Findings

• USD Positioning: FX investors have reduced their long positions in the USD to a score of +28 from +33 previously. This moderation is reflected in both the Risk Reversal and BNPP Trending Indicator components.

• EUR Positioning: The market holds EUR short positions with a score of -14. Both the Risk Reversal component and the proxy for fast money investors indicate significant short positions.

• Negative Sentiment: Negative investor sentiment persists for the NZD, SEK, and GBP, with scores of -33, -32, and -30, respectively. These scores suggest that a substantial portion of historical data shows more extreme positions than the current one.

Positioning Scores Overview

The overall positioning scores for G10 currencies are calculated as an equally weighted average of the components and are reported as percentiles based on historical data. Extreme positions are defined as scores above +40 or below -40.

Interpretation of Scores

• A score of +28 for USD means that 28% of historical observations (over the past five years) have been below the current position.
• A score of -14 for EUR indicates that 14% of historical data has been above the current observation.
• Negative scores (e.g., -33 for NZD) reflect a greater proportion of historical data being above the current position.

Charts and Visuals

• Chart 1: Overall FX positioning score, indicating the percentile of the current position relative to historical data.
• Chart 2: Absolute Total G10 positioning, showing the net exposure of the market.
• Chart 3: 3 Year historic plot of G10 currency positioning scores.
• Chart 4: Individual currency positioning scores over the past year, including USD, EUR, JPY, GBP, CAD, AUD, NZD, NOK, and SEK.

Additional Information

• The analysis is part of BNP Paribas' FX Strategy Insights.
• The document is a marketing communication and not independent research, as per MiFID II regulations.
• It is intended for Professional Clients and Eligible Counterparties and is not suitable for retail investors.
• The content may include "Research" as defined under MiFID II unbundling rules, and recipients must ensure they have appropriate access to such content.

Legal and Disclosure Information

• The document is produced by BNP Paribas and may include performance data based on back-testing.
• No guarantees are made regarding the accuracy, completeness, or fitness for purpose of the information provided.
• Options and ETFs discussed are complex and may involve high risk. They are only suitable for sophisticated investors.
• Conflicts of interest may exist due to BNP Paribas' involvement in investment banking, underwriting, or advisory services related to the securities discussed.
• US Disclosures specify that the report may only be distributed to certain investors and that it does not constitute an offer to sell or purchase securities.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch
• Alexander Jekov: Graduate, BNP Paribas London Branch
• Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York)
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch
• Other contacts include FX Options Strategists, Emerging Markets Research Heads, and Production/Editorial team members.

Useful Links

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

Disclaimer

• This document is for information purposes only and does not constitute an offer to sell or purchase any financial instrument.
• No liability is accepted for any direct or consequential loss arising from the use of this document.
• Past performance is not indicative of future results.
• Confidentiality: The information provided is strictly confidential and may not be copied or distributed without prior written consent.