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G10 FX Positioning Summary

Core Content Overview

This document provides a detailed analysis of the positioning of G10 currencies (USD, GBP, EUR, JPY, CHF, CAD, AUD, NZD, NOK, SEK) by BNP Paribas based on multiple components, including Risk Reversals, Client Exposure, IMM, FX Fund Position Tracker, BNPP Trending Indicator, and Buy Sell Pressure. The positioning scores are calculated as a percentile based on the prior five years of data, rescaled to a range of -50 to +50. Extreme positions are indicated by scores above +40 or below -40.

Key Positioning Scores

• USD: Longs have been reduced from +14 to +9 due to negative signals from the Risk Reversal and Client Survey components.
• GBP: Longs are reduced to +17 as both Risk Reversal and BNPP Trending Indicator components show negative trends.
• JPY: Longs have been extended to +14, driven by all components turning more positive.
• AUD: Shorts have extended to -22.
• NZD: Shorts have extended to -18.

Positioning Components

Interpretation of Positioning Scores

• A score of +9 for USD means that 23% of the observations over the past five years have been below the current level.
• A score of +17 for GBP indicates that 17% of the observations have been below the current level.
• A score of +14 for JPY means that 14% of the observations have been below the current level.
• A score of -22 for AUD implies that 78% of the observations have been below the current level.
• A score of -18 for NZD suggests that 82% of the observations have been below the current level.

Key Insights

• USD has seen a reduction in long positions, indicating a shift in market sentiment.
• GBP has also experienced a decrease in longs, reflecting a more bearish outlook.
• JPY has seen increased long positions, driven by positive signals across all components.
• AUD and NZD are under significant short positions, suggesting a bearish bias in the market for these currencies.

Visual Representations

• Fig. 1: Overall G10 FX positioning score.
• Fig. 2: Absolute total G10 positioning.
• Fig. 3–6: One-year plots of individual currency positioning scores.
• Fig. 7–22: Additional charts for individual currencies.

Strategy Team

The report is authored by the BNP Paribas Macro Quantitative and FX Strategy teams, with key strategists including:

• Michael Sneyd, CFA – Head of Macro Quantitative & Derivatives Strategy
• Sam Lynton-Brown, CFA – Head of G10 FX Strategy, Europe
• Parisha Saimbi – G10 FX and Sterling Rates Strategist
• Alex Jekov – FX Strategist
• Daniel Katzive, CFA – Head of FX Strategy North America
• Vasilis Koutsaftis – FX Options Strategist
• Altaz Daga – APAC IR Strategist
• Dawn Kwa – Asia FX & IR Strategist
• Tianhe Ji – China Strategist
• Gabriel Gersztein – Head of Global Emerging Markets Strategy
• Samuel Castro, Luca Maia, Andre Digiacomo – FX & IR Latam Strategists

Disclaimer

This document is non-independent research and may be subject to conflicts of interest. It is intended for Professional Clients and Eligible Counterparties and does not constitute investment advice. The information is based on public sources and may not be accurate or complete. It is not intended to be used as a basis for investment decisions.

Legal and Regulatory Notes

• This document is a marketing communication and not investment research.
• It is subject to the UK Financial Conduct Authority rules and EU MiFID II regulations.
• It may contain performance data based on back-testing and is not indicative of future results.
• The document is confidential and intended for selected recipients only.
• Certain securities may not be eligible for sale in all jurisdictions or to certain investors.

United States Disclosures

• Options and ETFs discussed may involve high risk and are not suitable for all investors.
• BNPP and its affiliates may have financial interests in the companies discussed.
• The document is only for Qualified Institutional Buyers or non-US persons.
• U.S. persons must transact through BNPPSC unless otherwise authorized.
• BNPPSC is a registered broker-dealer and futures commission merchant.

Canada Disclosures

• The document is intended for Canadian "Permitted Clients" or "Qualified Parties" and "Accredited Investors."
• It is not a prospectus or public offering in Canada.
• BNPP operates in Canada under Schedule III Bank and International Dealer Exemption.
• The document is confidential and only for selected recipients.