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FX Positioning Analysis Summary - 5 March 2018

Core Content Overview

This report provides an analysis of the positioning of G10 currencies by investors, using multiple indicators to assess market sentiment and exposure. The positioning scores are based on historical data over the past five years and are rescaled to a -50 to +50 scale. Extreme positions are indicated when scores are above +40 or below -40.

Key Positioning Insights

• USD Short Positioning: Continues to moderate but remains the largest G10 short position with a score of -30. This suggests that a significant portion of investors are still short USD, though the trend is less extreme than before.
• NOK Long Positioning: Investors are increasing their long positions in the Norwegian Krone (NOK), with a score of +20, indicating a more positive sentiment as per the client survey.
• EUR Positioning: The positioning score has slightly increased to +19, with all five components remaining positive, suggesting continued bullish sentiment towards the Euro.
• JPY Long Exposure: Continues to rise, with a score of +17, indicating growing demand for Japanese Yen in the market.

Positioning Indicators

The report uses the following indicators to assess currency positioning:

• 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, incorporating market sentiment.
• FX Fund Position Tracker: A regression-based decomposition of fund positioning.
• BNPP Trending Indicator: A technical measure of currency momentum strength.

Positioning Score Calculation

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

Charts and Data Sources

• Chart 1: Overall FX Positioning Analysis
• 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: CAD Overall Positioning
• Chart 10: CHF Overall Positioning
• Chart 11: NOK Overall Positioning
• Chart 12: SEK Overall Positioning

All charts are sourced from BNP Paribas.

Key Contact Information

Legal and Regulatory Information

• This document is non-independent research and is intended as a marketing communication under MiFID II.
• It is not investment research and should not be relied upon as such.
• The document is intended for Professional Clients and Eligible Counterparties.
• It does not constitute a prospectus or public offering.
• BNPP may have conflicts of interest due to its role in trading, market making, and advisory services.
• The document may contain back-tested performance data, which is illustrative and not indicative of future results.
• The information is subject to change and not guaranteed in accuracy or completeness.
• No liability is accepted for any reliance on the information provided.

Additional Resources

• Online: BNP Paribas Global Fixed Income Website
• Bloomberg:
  • Fixed Income Research: BPFR
  • G10 Interest Rate Research: BPBS
  • FX Strategy Website: BNP Paribas Strategy Website
  • Emerging Markets Research: BPFR
  • Market Economics: BPEC