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FX Positioning Analysis Summary

Core Content

This document provides an analysis of the current and historical positioning of G10 currencies in the foreign exchange market as of 6 February 2017. It is produced by BNP Paribas London Branch and authored by Michael Sneyd (Macro Quantitative Strategist) and Natalie Rickard (Graduate). The report outlines the market sentiment and positions of major currencies based on multiple indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These scores are based on historical data from the prior five years and are rescaled to a range of -50 to +50.

Key Market Positions

• USD: The market has moved to a moderate short position with a score of -14. This reflects a shift away from long USD positions seen earlier in the year.
• EUR: EUR short positions have been cut, moving to -3, indicating a more neutral or slightly bearish stance.
• JPY: JPY short positions have also been cut, moving to -11, suggesting a less bearish outlook.
• Commodity Currencies: NOK, AUD, and NZD are the largest longs in the market, indicating increased demand for these currencies. CAD short positions have been reduced, showing a shift in market sentiment.

Positioning Indicators

Interpretation of Positioning Scores

The positioning scores are reported as a percentile based on historical data, with values above 40 or below -40 considered extreme. For example:

• A score of -27 implies that 23% of observations over the past five years have been below the current observation.
• A score of 29 indicates that 71% of observations have been below the current observation.

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute Total G10 Positioning
• Chart 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22: Historic plots of G10 currency positioning scores for various time frames, including 3-year and 1-year trends.

Strategic Contacts

• Cross Asset Strategy:

  • Michael Sneyd, CFA – Macro Quantitative Strategist, London
  • Natalie Rickard – Graduate, London

• Foreign Exchange:

  • Steven Saywell – Global Head of FX Strategy, London
  • Sam Lynton-Brown – FX Strategist, London
  • Clara Leonard – FX Strategist, London

• Emerging Markets FX & IR Strategy:

  • Wike Groenenberg – Global Head of EM Strategy, London
  • Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
  • Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
  • Mirza Baig – Head of FX & IR Asia Strategy, Singapore
  • Altaz Daga – AU/NZ IR Strategist, Singapore
  • Kun Shan – China Strategist, Shanghai
  • Tianhe Ji – China Strategist, Shanghai
  • Gabriel Gersztein – Head FX & IR Latam Strategy, Sao Paulo
  • Samuel Castro – FX & IR Latam Strategist, Sao Paulo
  • Gustavo Mendonca – FX & IR Latam Strategist, Sao Paulo

Distribution and Legal Notice

• Distribution: The document is produced by BNP Paribas and distributed by various contacts in London, New York, and other regions.
• Legal Disclaimer:
  • This document is non-independent research and may be subject to conflicts of interest.
  • It is a marketing communication and not investment research.
  • It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
  • BNP Paribas may engage in transactions that are inconsistent with the views expressed in this document.
  • The information is not guaranteed to be accurate or complete and should not be relied upon as such.
  • No liability is accepted for any loss arising from the use of this document.

US Disclosures

• Options: Complex instruments suitable only for sophisticated investors.
• ETFs: May involve risks such as tracking error, currency, and geopolitical risks.
• Securities: Some may not be registered under US Securities Laws and are restricted to QIBs or non-US persons.

Jurisdictional Information

• UK: Document is communicated by BNP Paribas London Branch.
• France: Report is produced and distributed by BNP Paribas SA and/or BNP Paribas Arbitrage.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland.
• Belgium: Distributed by BNP Paribas Fortis SA/NV.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch.
• Italy: Distributed by BNP Paribas Italian Branch (Succursale Italia).

Summary

The report highlights a shift in FX market positioning, with USD moving to a moderate short position and commodity currencies (NOK, AUD, NZD) showing strong long positions. It also provides detailed positioning scores for each currency and includes legal disclaimers and jurisdictional information, emphasizing that the document is for informational purposes only and not intended as investment advice.