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FX Positioning Analysis Summary (30 August 2018)

Core Content Overview

This document provides an analysis of FX positioning across G10 currencies as of 30 August 2018, produced by BNP Paribas London Branch. It outlines the current market sentiment, positioning scores, and key factors influencing the currency outlook, with a focus on the GBP, JPY, USD, and CAD. The report also includes details on the methodology used to calculate the positioning scores and legal disclosures for the document's use.

Key Currencies and Positioning

• GBP (British Pound):

  • Positioning Score: -13 (from -30 over the past week)
  • Drivers: FX funds unwound GBP shorts and built extreme long positions.
  • Interpretation: A score of -13 means that 23% of observations over the past five years were below the current level.

• JPY (Japanese Yen):

  • Positioning Score: +16 (from +21 last week)
  • Drivers: Risk Reversal component moderated long positions.
  • Interpretation: A score of +16 indicates that 16% of observations over the past five years were above the current level.

• USD (US Dollar):

  • Positioning Score: +28
  • Status: The market continues to hold strong USD long positions.
  • Interpretation: A score of +28 suggests that 28% of observations over the past five years were above the current level.

• CAD (Canadian Dollar):

  • Positioning Score: Neutral
  • Status: Positioning remains neutral ahead of the trade negotiations.
  • Interpretation: No extreme positioning observed.

Positioning Components

The positioning scores are calculated as equally weighted averages of the following components:

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

Charts and Visuals

• Chart 1: Overall FX positioning scores (percentile-based, rescaled to -50 to +50).
• Chart 2: Absolute total G10 positioning.
• Chart 3: USD overall positioning.
• Chart 4: GBP positioning components.
• Chart 5: EUR overall positioning.
• Chart 6: JPY positioning components.
• Chart 7: AUD overall positioning.
• Chart 8: NZD positioning components.
• Chart 9: NOK positioning components.
• Chart 10: CHF positioning components.
• Chart 11: SEK positioning components.
• Chart 12: CAD positioning components.
• Chart 13: One-year plot of G10 currency positioning individual scores.

Legal and Compliance Information

• Non-Independent Research: The document is non-independent research and may be subject to conflicts of interest.
• Marketing Communication: It is a marketing communication under MiFID II and not investment research.
• Confidentiality: The document is intended for professional clients and eligible counterparties only.
• Use Restrictions: It may not be distributed to non-Relevant Persons without prior consent.
• No Investment Advice: BNPP does not provide investment, financial, legal, or tax advice.
• Past Performance Disclaimer: Past performance is not indicative of future results.
• Simulated Performance: Simulated performance data is not guaranteed and may not reflect real market conditions.

FX Strategy Contacts

Additional Information

• Online Resources:
  • BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
  • BNP Paribas Strategy Website
• Bloomberg References:
  • Fixed Income Research: BPFR
  • G10 Interest Rate Research: BPBS
  • Emerging Markets Research: BPFR
  • Market Economics: BPEC

Important Disclosures

• Options: Complex instruments with high risk; only suitable for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks.
• Securities: Some may be "restricted securities" and only available to QIBs or non-US persons.
• Conflicts of Interest: BNPP may engage in transactions that are inconsistent with the views expressed.
• Confidentiality: Information is provided on a confidential basis and must not be distributed without consent.

Final Notes

• The document is for informational purposes only.
• It may be subject to change or discontinued.
• No assurance is given that any transactions will be entered into on the terms indicated.