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FX Positioning Analysis Summary - 9 August 2018

Core Content

This document provides a detailed analysis of the positioning of G10 currencies by FX investors, based on data from BNP Paribas. The analysis includes various indicators such as client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. These indicators are used to evaluate the market sentiment and overall positioning of currencies on a scale from -50 to +50.

Key Findings

Currency Positioning Scores

• USD: The market maintains a long USD exposure at a score of +19, indicating a positive stance.
• GBP: GBP shorts have been extended further, reaching a score of -36, which is the shortest position in over a year.
• EUR: FX investors remain moderately short the EUR at -7.
• AUD: Positioning remains neutral at -2.
• CAD: Positioning is neutral at +2.
• JPY: Positioning is neutral at +4.
• SEK: Short positions have been re-extended to -21.
• NZD: Short positions have been reduced to -26 from -33 earlier in the week.
• NOK: Positioning is -21, indicating a short position.
• CHF: Positioning is -1.

Interpretation of Scores

The positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range of -50 to +50. Values above 40 or below -40 represent extreme positions.

For example:

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

Chart References

• Chart 1: Overall FX positioning.
• 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: NZD overall positioning.
• Chart 9: NOK overall positioning.
• Chart 10: CHF overall positioning.
• Chart 11: SEK overall positioning.
• Chart 12: 3-year plot of G10 currency positioning scores.
• Chart 13: 1-year plot of G10 currency positioning individual scores.

Methodology

• 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: Indicate 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 components mentioned above.

Legal and Disclosure Information

• This document is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading.
• It is a marketing communication under MiFID II and not investment research.
• It is intended for Relevant Persons, including Professional Clients and Eligible Counterparties.
• It does not constitute a prospectus, advertisement, or public offering.
• The information is subject to change and not intended to be the sole basis for investment decisions.
• No assurance is given that any indicated returns or results will be achieved.
• Simulated performance may not reflect real market factors such as liquidity constraints or transaction costs.

Contacts

FX Strategists

Production Team

Additional Information

• The document is available on BNP Paribas Global Fixed Income Website: www.globalmarkets.bnpparibas.com
• The Bloomberg references include:
  • Fixed Income Research BPFR
  • G10 Interest Rate Research BPBS
  • BNP Paribas Strategy Website
  • Emerging Markets Research
  • Market Economics
• The document contains performance data based on back-testing and is illustrative only.
• It may include options and ETFs, which are complex instruments with high risk and are not suitable for all investors.
• The report may be distributed only to qualified institutional buyers or non-US persons under Regulation S.

Disclaimer

• This document is for information purposes only.
• It does not constitute an offer to sell or solicitation of an offer to buy.
• It is not investment advice and does not guarantee any returns.
• No liability is accepted for any losses arising from the use of the document.
• The information may be confidential and not be copied or distributed without prior written consent.

US Disclosures

• Options are complex instruments and may be appropriate only for sophisticated investors.
• ETFs involve tracking error, currency risk, and geopolitical risk.
• Convertibles or other securities may be unregistered and restricted under US law.
• The report is distributed only to institutional investors under specific rules.

UK and France Disclosures

• In the UK, the document is communicated by BNP Paribas London Branch.
• In France, it is produced and/or distributed by BNPP SA and/or BNPP Arbitrage.
• The report is authorized and supervised by the ECB and ACPR.

This summary encapsulates the key aspects of the FX positioning analysis as outlined in the document.