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FX Positioning Analysis Summary

Core Content

This document provides an FX positioning analysis report from BNP Paribas London Branch, dated 20 February 2017, authored by Michael Sneyd (Macro Quantitative Strategist) and Natalie Rickard (Graduate). It outlines the current market positioning of G10 currencies using a scoring system ranging from -50 to +50, based on historical percentile data from the prior five years. The report is part of a broader FX strategy and includes insights into the market sentiment and positioning of various currencies, including USD, EUR, GBP, AUD, JPY, and others.

Key Findings

• EUR is currently the largest short position among G10 currencies with a score of -24, which is the largest short EUR position since April 2015.
• GBP short positions have been reduced to -23, indicating that FX funds have built a long GBP position.
• USD remains flat with a score of +1, suggesting potential for rebuilding long USD positions.
• AUD is the largest long position in the market with a score of +32, which is the largest long AUD position since 2012.

Positioning Metrics

The report includes several metrics used to determine the positioning scores:

• 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, incorporating 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 an equally weighted average of the above components.

Currency Positioning Scores

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis (Percentile-based score)
• Chart 2: Absolute Total G10 Positioning
• Chart 3: 3-Year Historic Plot of USD 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: 1-Year Historic Plot of USD Positioning
• Chart 14: GBP Positioning
• Chart 15: EUR Positioning
• Chart 16: JPY Positioning
• Chart 17: AUD Positioning
• Chart 18: CHF Positioning
• Chart 19: CAD Positioning
• Chart 20: NZD Positioning
• Chart 21: NOK Positioning
• Chart 22: SEK Positioning

Strategy Contacts

• Michael Sneyd, CFA – Macro Quantitative Strategist, London
• Steven Saywell – Global Head of FX Strategy, London
• Sam Lynton-Brown – FX Strategist, London
• Clara Leonard – FX Strategist, London
• Natalie Rickard – Graduate, London
• Daniel Katzive, CFA – Head of FX Strategy North America, New York
• Vasilis Koutsaftis – FX Options Strategist, New York
• Wike Groenenberg – Global Head of EM Strategy, London
• Piotr Chwieczak – 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

Legal and Distribution Notice

• The document is non-independent research and is intended for Professional Clients and Eligible Counterparties.
• It is not investment research for MiFID purposes and is a marketing communication.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, or advisory services.
• The document may contain back-tested performance data, which is not indicative of future results.
• The information is not guaranteed in terms of accuracy or completeness.
• Indicative prices are based on internal models and may vary significantly from market prices.
• The document is confidential and may not be distributed without prior consent.
• It is not a prospectus and does not constitute an offer to sell or purchase any financial instrument.

US Disclosures

• Options are complex instruments with a high degree of risk.
• ETFs discussed may involve tracking error, currency, and geopolitical risks.
• BNP Paribas may have conflicts of interest and may buy or sell ETF shares for its own account or for others.
• Restricted securities may not be registered under US Securities Laws and are only available to Qualified Institutional Buyers (QIBs) or non-US persons.

Disclaimer

• No liability is accepted for any direct or consequential loss arising from reliance on the document.
• The information is for discussion purposes only and not for making investment decisions.
• The document is subject to change without notice.
• Past performance does not indicate future results.
• Simulated performance may not reflect actual market conditions.

Final Notes

• The document is produced by a BNP Paribas group company.
• It is intended for specific recipients and may not be shared without consent.
• It is not a public offering or investment advice.