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FX Positioning Analysis Summary - 24 September 2018

Core Content

This document provides an FX Positioning Analysis report from BNP Paribas London Branch, authored by Alexander Jekov, an FX Strategist. It outlines the current positioning scores of major G10 currencies based on data from the prior five years, with scores rescaled to a range of -50 to +50. Extreme positions are defined as scores above 40 or below -40.

Key Information

• USD: Long positions were reduced to a score of +16 from +23 previously, indicating a decrease in long exposure due to FX funds unwinding their positions.
• JPY: Investors unwound long positions and built moderate shorts with a score of -8, reflecting a more bearish sentiment on JPY.
• SEK: The market flipped from short to slight long positions with a score of +5, driven by a shift in option market sentiment towards SEK.
• Other Currencies:
  • EUR: Score of -3
  • GBP: Score of +32
  • AUD: Score of -8
  • CAD: Score of +33
  • CHF: Score of +4
  • NZD: Score of -42
  • NOK: Score of +32

Main Views

The analysis is based on a combination of the following indicators:

• 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, indicating option market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: A technical measure of the strength of a currency's momentum.

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

Charts and Visuals

• Chart 1: Overall FX positioning 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: USD positioning components.
• Chart 14: GBP positioning components.
• Chart 15: EUR positioning components.
• Chart 16: JPY positioning components.
• Chart 17: AUD positioning components.
• Chart 18: CAD positioning components.
• Chart 19: NZD positioning components.
• Chart 20: CHF positioning components.
• Chart 21: NOK positioning components.
• Chart 22: SEK positioning components.

All charts are sourced from BNP Paribas.

Legal and Disclaimer Notes

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research for the purposes of MiFID II.
• The information may not be accurate or complete, and is not intended as an offer to sell or purchase any financial instrument.
• BNPP may make a market in, or have financial interests in, the securities or derivatives discussed.
• The document may contain back-tested performance data, which is for illustrative purposes only and not indicative of future performance.
• It does not constitute a prospectus or public offering and is for the use of intended recipients only.
• Information is provided on a strictly confidential basis and may not be distributed without prior written consent.

FX Strategy Contacts

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, Market Economics, BPEC
• Legal Notice: The document may not be eligible for sale in all jurisdictions or to certain categories of investors. It is not intended to provide investment, tax, or other advice. It may contain simulated performance data, which is not a guarantee of future results.

United States Disclosures

• Options Disclosures: Options are complex instruments with a high degree of risk and are not suitable for all investors. They are appropriate only for sophisticated investors.
• ETF Disclosures: ETFs have risks including tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest and may act as an Authorized Participant, market maker, or underwriter.
• Convertibles and Other Securities: Some securities may not be registered under US Securities Laws and are considered restricted securities.
• Distribution: This document may be distributed only to certain qualified investors and is subject to specific regulatory requirements.

UK and France Disclosures

• The document is communicated by BNP Paribas London Branch and produced/distributed in France by BNPP SA and/or BNPP Arbitrage.
• It is authorized and supervised by the ECB and ACPR in France.
• BNPP London Branch is lead supervised by ECB and ACPR, and is subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority.

Final Notes

• The document is for information purposes only and may be subject to change or discontinuation.
• It is not intended to be used as a substitute for professional advice.
• All information is provided on a confidential basis and may not be distributed without prior consent.