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FLASH | GLOBAL - MACRO QUANT STRATEGY | G10 FX Summary

Core Content

This document presents the BNP Paribas FX Positioning Analysis for the G10 currencies as of 5 August 2019. It provides a detailed overview of the positioning scores of various currencies based on different indicators and methodologies. The positioning scores are derived from a percentile analysis of the prior five years of data, rescaled between -50 and +50 to represent the relative positioning of investors in each currency.

Key Currency Positioning Scores

• GBP: Shorts extend to a score of -37, indicating an extreme short position, driven by the Buy Sell Pressure component.
• USD: Shorts unwind to a score of -5, with the IMM and BNPP Trending Indicator components turning positive.
• JPY: Longs extend to a score of +28, showing strong investor demand.
• CHF: Longs extend to a score of +19, indicating a positive positioning.
• AUD: Shorts build to a score of -27, suggesting increased short selling.
• NZD: Positioning shifts from a moderate long to a negative score of -9, indicating a reversal in sentiment.
• SEK: Shorts continue to extend, while NOK is now net short with a score of -8.

Positioning Components

The positioning scores are calculated as an equally-weighted average of several components:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM: Commitment of traders (COT) as a proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflects the relative price of calls versus puts, incorporating option market sentiment.
• FX Fund Position Tracker: Regression-based decomposition of currency fund positioning.
• BNPP Trending Indicator: Technical measure of currency momentum.
• Buy Sell Pressure: Uses tick data, aggressor information, and price movements to indicate momentum and direction.

Methodology Note

The BTOP FX Index has been discontinued, and the Parker Global Currency Manager Index is now used in the FX Fund Position Tracker. For more details, contact BNP Paribas.

Visual Representations

The document includes multiple charts and figures illustrating the positioning scores and components for each G10 currency. These visual aids are sourced from BNP Paribas and provide insights into the absolute total positioning, one-year plot of individual scores, and three-year positioning trends.

Strategy Contacts

The following are the key contacts for the strategy team and editorial production:

Legal and Regulatory Information

• This document is a marketing communication and not investment research under MiFID II.
• It is intended for Relevant Persons as defined by MiFID II and other jurisdictions.
• The content may include Research as defined under MiFID II unbundling rules, and is available only to those who have signed up for BNPP Global Markets Research packages or are out of scope of MiFID II.
• The document may contain back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
• There may be conflicts of interest due to BNPP's involvement in trading, underwriting, or advisory services related to the instruments discussed.
• The information is not intended as financial, legal, or tax advice.
• Securities mentioned may not be eligible for sale in all jurisdictions or to certain investors.

Additional Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy Website: Fixed Income Research, Emerging Markets Research, G10 Interest Rate Research, Market Economics

U.S. Disclosures

• Options Disclosures: Options are complex instruments with a high degree of risk. Only sophisticated investors should consider them.
• ETF Disclosures: ETFs have associated risks, including tracking error and market exposure. BNPP may have conflicts of interest related to ETFs.
• Convertibles and Unregistered Securities: Certain securities may not be registered and are considered restricted. Only QIBs or non-US persons may be eligible to purchase.
• The report is distributed only to institutional investors or major U.S. institutional investors as defined by FINRA and SEC regulations.

Canada

• BNP Paribas operates in Canada as a Schedule III Bank and under the International Dealer Exemption.
• The document is confidential and intended for selected recipients only.
• For recipients in Quebec, the document is provided in English only upon request.