Please refer to important information at the end of the reportGlobalMarkets.bnpparibas This document has been produced by: BNP Paribas London Branch Natalie Rickard FX Strategist -44 (-/+50 scale). This is the largest short USD score since our metric began in 2007. ECB meeting, at a score of +23. start of the year, and is now flat JPY ahead of the BoJ meeting. funds appear to have cut back large GBP short positions. Chart 1 : BNP Paribas FX Positioning Analysis – Overall Positioning* Source: BNP Paribas *The positioning scores above are reported as a percentile based on the prior five years of data. These percentiles are rescaled to give a value between -50 and +50. Values above 40 and below -40 represent extreme positions. To interpret a score of -27, for example, add 50 to give 23. This tells us that 23% of observations over the past five years have been below the current observation. Client Exposure IMM Risk Reversals FX Fund Position Tracker BNPP Trending Indicator -29 -43 -50 -48 -49 USD 5 50 -7 45 22 EUR -2 -44 14 30 -15 JPY 14 42 6 -2 18 GBP -40 -39 -9 -24 -38 CHF 27 39 -46 -27 -22 CAD 1 9 32 -41 19 AUD 9 -33 18 17 -5 NZD 15 - 41 -38 44 NOK 27 - 9 -14 18 SEK The overall currency score is then calculated as the equally weighted average of the components -44 -30 -6 -341623 -50-40-30-20-1001020304050 USD CHF CAD JPY NZD AUD SEK GBP NOK EUR 22-Jan-2018 15-Jan-2018 SHORT LONG SHORT LONG SHORT LONG SHORT LONG 22 January 20182 FX Quant Insight GlobalMarkets.bnpparibas Chart 2: Absolute Total G10 Positioning 3 Year historic plot of G10 currency positioning scores Chart 3: USD Overall Positioning Chart 4: GBP Overall Positioning Chart 5: EUR Overall PositioningChart 6: JPY Overall Positioning Chart 7: AUD Overall PositioningChart 8: CAD Overall Positioning All chart sources: BNP ParibasAll chart sources: BNP Paribas 70 120 170 220 270 Apr-15Oct-15Apr-16Oct-16Apr-17Oct-17 Overall absolute FX Positioning 5y Average -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 22 January 20183 FX Quant Insight GlobalMarkets.bnpparibas Chart 9: NZD Overall PositioningChart 10: CHF Overall Positioning Chart 11: NOK Overall PositioningChart 12: SEK Overall Positioning All chart sources: BNP ParibasAll chart sources: BNP Paribas 1 Year historic plot of G10 currency positioning individual scores Chart 13: USD Overall Positioning Chart 14: GBP Overall Positioning Chart 15: EUR Overall PositioningChart 16: JPY Overall Positioning All chart sources: BNP ParibasAll chart sources: BNP Paribas -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17-50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -35 -25 -15 -515 25 35 45 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-15Aug-15Feb-16Aug-16Feb-17Aug-17 -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey 22 January 20184 FX Quant Insight GlobalMarkets.bnpparibas Chart 17: AUD Overall PositioningChart 18: CAD Overall Positioning Chart 19: NZD Overall PositioningChart 20: CHF Overall Positioning Chart 21: NOK Overall PositioningChart 22: SEK Overall Positioning All chart sources: BNP ParibasAll chart sources: BNP Paribas -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorIMMRisk ReversalsFund Position Tracker Client Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorRisk Reversals Fund Position TrackerClient Survey -50 -30 -1030 50 Feb-17May-17Aug-17Nov-17 BNPP Trending IndicatorRisk Reversals Fund Position TrackerClient Survey 22 January 20185 FX Quant Insight GlobalMarkets.bnpparibas FX Strategy Contacts Strategist Job title Legal entity Phone (i) Michael Sneyd, CFA (ii) Global Head of FX Strategy & Cross-Asset Strategist (iii) BNP Paribas London branch 44 20 7595 1307 (iv) Sam Lynton-Brown (v) FX Strategist (vi) BNP Paribas London branch 44 20 7595 8467 (vii) Natalie Rickard (viii) FX Strategist (ix) BNP Paribas London branch 44 20 7595 8270 (x) Alex Jekov (xi) Graduate (xii) BNP Paribas London branch 44 20 7595 4185 (xiii) Daniel Katzive, CFA (xiv) Head of FX Strategy North America (xv) BNP Paribas Securities Corp (New York) 1 212 841 2408 (xvi) Vasilis Koutsaftis (xvii) FX Options Strategist (xviii) BNP Paribas Securities Corp (New York) 1 212 471 7973 (xix) Wike Groenenberg (xx) Head of Emerging Markets Research, CEEMEA & APAC (xxi) BNP Paribas London branch 44 20 7595 8746 (xxii) Marcelo Carvalho (xxiii) Head of Emerging Markets Research, Latam (xxiv) Banco BNP Paribas Brasil S.A. (Sao Paulo) 55 11 3841 3418 (xxv) Piotr Chwiejczak (xxvi) FX & IR CEEMEA Strategist (xxvii) BNP Paribas London branch 44 20 7595 8715 (xxviii) Sai Ulluri (xxix) FX & IR CEEMEA Strategist (xxx) BNP Paribas London branch 44 20 7595 1872 (xxxi) Erkin Isik, CFA (xxxii) FX & IR CEEMEA Strategist (xxxiii) Turk Ekonomi Bank A.S. (Istanbul) 90 216 635 2987 (xxxiv) Mirza Baig (xxxv) Head of FX & IR Asia Strategy (xxxvi) BNP Paribas Singapore Branch 65 6210 3262 (xxxvii) Dawn Kwa (xxxviii) Graduate(xxxix) BNP Paribas Singapore Branch 65 6210 3263 (xl) Altaz Dagha (xli) AU/NZ IR Strategist (xlii) BNP Paribas Singapore Branch 65 6210 4994 (xliii) Kun Shan (xliv) China Strategist (xlv) BNP Paribas China Limited(Shanghai) 86 21 2896 2773 (xlvi) Tianhe Ji (xlvii) China Strategist (xlviii) BNP Paribas China Limited(Beijing) 86 10 6535 0836 (xlix) Gabriel Gersztein (l) Head FX & IR Latam Strategy (li) Banco BNP Paribas Brasil S.A. (Sao Paulo) 55 11 3841 3421 (lii) Samuel Castro (liii) FX & IR Latam Strategist (liv) Banco BNP Paribas Brasil S.A. (Sao Paulo) 55 11 3841 3492 (lv) Gustavo Mendonca (lvi) FX & IR Latam Strategist (lvii) Banco BNP Paribas Brasil S.A. (Sao Paulo) 55 11 3841 3445 Production Location Legal entity Phone (lviii) Barbara Consuelo (lix) London (lx) BNP Paribas London branch 44 20 7595 8486 Editorial (lxi) Amanda Grantham-Hill (lxii) London(lxiii) BNP Paribas London branch 44 20 7595 4107 (lxiv) Anna McLauchlin (lxv) London(lxvi) BNP Paribas London branch 44 20 7595 3754 (lxvii) Varghese Joseph (lxviii) New York (lxix) BNP Paribas Securities Corp (New York) 1 212 841 3698 Online i. BNP Paribas Global Fixed Income Website globalmarkets.bnpparibas BNP Paribas Strategy Website Bloomberg ii. Fixed Income ResearchBPFR iii. Emerging Markets ResearchBPFR