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FX Positioning Analysis Summary (6 September 2018)

Core Content

This document provides a detailed FX Positioning Analysis report by BNP Paribas London Branch, authored by Michael Sneyd and Alexander Jekov. It outlines the current market sentiment and positioning across major G10 currencies, based on various components such as client exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These components are used to generate positioning scores on a scale from -50 to +50, with extreme positions defined as scores above +40 or below -40.

Key Findings

• USD Positioning: USD long positions have increased slightly over the past week to a score of +30. This suggests a moderate bullish sentiment towards the US dollar.
• SEK Positioning: The market has reduced SEK shorts from -34 to -16, indicating a shift in sentiment, though not extreme.
• NZD Positioning: FX investors have extended short NZD positions to -38, driven primarily by the Risk Reversal component.
• EUR Positioning: EUR shorts have decreased, with a score of -44 in the Risk Reversals component, but the overall positioning score is 1.
• JPY Positioning: JPY has a score of 15 in the Risk Reversals component, suggesting a moderate positive outlook.
• GBP Positioning: GBP has a score of -39 in the FX Fund Position Tracker and -21 in Risk Reversals, indicating a bearish stance.
• CAD Positioning: CAD has a score of -5 in Risk Reversals and 19 in the FX Fund Position Tracker, showing a slight bullish trend.
• AUD Positioning: AUD has a score of -29 in the Risk Reversals component and -46 in the FX Fund Position Tracker, reflecting a bearish outlook.
• CHF Positioning: CHF has a score of 12 in Risk Reversals and 43 in the FX Fund Position Tracker, suggesting a bullish trend.
• NOK Positioning: NOK has a score of -36 in the IMM component and -16 in Risk Reversals, showing a bearish sentiment.

Positioning Score Interpretation

• The positioning scores are based on a percentile system derived from the prior five years of data, rescaled to a -50 to +50 range.
• A score of -27 would imply that 23% of historical observations were below the current level.
• The overall currency score is calculated as an equally weighted average of the different components.

Charts and Visuals

• Chart 1: Overall FX positioning score, showing the percentile-based position of G10 currencies.
• Chart 2: Absolute total G10 positioning, providing a visual of the overall sentiment.
• Chart 3: USD overall positioning, highlighting the current stance.
• Chart 4: GBP positioning components, including detailed breakdowns.
• Chart 5: EUR overall positioning.
• Chart 6: JPY positioning components.
• Chart 7: AUD overall positioning.
• Chart 8: CAD positioning components.
• Chart 9: NZD overall positioning.
• Chart 10: CHF positioning components.
• Chart 11: NOK overall positioning.
• Chart 12: SEK positioning components.
• Chart 13: One-year plot of G10 currency positioning scores, showing trends over time.

Additional Information

• The report includes a three-year plot of G10 currency positioning scores, illustrating long-term trends.
• The report is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading teams.
• It is intended for Relevant Persons as defined under MiFID II and is not investment advice.
• The report may contain back-tested performance data, which is for illustrative purposes only and not indicative of future results.
• BNP Paribas may engage in transactions in a manner inconsistent with the views expressed in the report, either for its own account or for clients.

Legal and Compliance Notes

• This document is a marketing communication and not an offer to sell or purchase any financial instrument.
• It is subject to the UK Financial Conduct Authority rules and the recast Markets in Financial Instruments Directive (MiFID II).
• The report may include Research as defined under MiFID II unbundling rules, which is only available to certain firms.
• The information is provided strictly confidential and may not be distributed without prior written consent.
• BNP Paribas may have financial interests in the issuers or instruments discussed, which could result in conflicts of interest.
• For ETFs and convertible securities mentioned, the report includes important disclosures regarding risks and eligibility.

FX Strategy Contacts

US Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, geopolitical, and credit risks.
• Restricted Securities: Certain securities may not be registered under US law and are only available to Qualified Institutional Buyers (QIBs) or non-US persons.
• Distribution: The report may be distributed only to institutional investors or specific categories of persons as defined by regulatory rules.

UK and France Disclosures

• The report is communicated by BNP Paribas London Branch in the UK and by BNPP SA and BNPP Arbitrage in France.
• It is subject to MiFID II and French regulatory frameworks.
• The report is not a prospectus and does not constitute an offer to the public.

Disclaimer

• No liability is accepted for any losses arising from the use of this document.
• Information is based on public sources and may not be independently verified.
• Indicative prices and performance data are not actual transaction terms and may vary significantly.
• The document is for information purposes only and may be subject to change or discontinuation.