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G10 FX Macro Quantitative Strategy Summary

Core Content Overview

This document provides a comprehensive analysis of the current positioning of G10 currencies (USD, EUR, GBP, JPY, CHF, CAD, AUD, NZD, NOK, SEK) from a macro quantitative perspective, using various indicators and models. The report highlights the relative positioning of each currency based on a percentile scale (-50 to +50), derived from historical data over the past five years. The overall positioning scores are calculated as an equally weighted average of multiple components, including FX Fund Position Tracker, Risk Reversals, Client Exposure, IMM, BNPP Trending Indicator, and Buy Sell Pressure.

Key Positioning Scores

• USD: Short position with a score of -18, representing the shortest positioning since April 2018.
• GBP: Short position with a score of -20, influenced by unwinding longs from the FX Fund Position Tracker and Risk Reversal components.
• JPY: Long position with a score of +19, due to the Risk Reversal component building shorts.
• NOK: Long position with a score of +25, having turned neutral in June.
• Other Currencies:
  • EUR: Score of +8
  • CHF: Score of -31
  • CAD: Score of -10
  • AUD: Score of -30
  • NZD: Score of -31
  • SEK: Score of -38

Interpretation of Positioning Scores

Positioning scores are derived from a percentile ranking of the past five years of data, rescaled to a -50 to +50 range. A score above +40 or below -40 indicates an extreme position. For example, a score of -27 means that 23% of historical observations were below the current level.

Methodology

The overall positioning score for each currency is calculated as an equally weighted average of the following components:

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): Proxy for US-based hedge-fund/CTA activity.
• Risk Reversals: Reflect the relative price of calls vs. puts, indicating market sentiment.
• FX Fund Position Tracker: Regression-based decomposition of fund positioning.
• BNPP Trending Indicator: Technical measure of currency momentum.
• Buy Sell Pressure: Indicator based on tick data, aggressor information, and price movements.

Strategy Team

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

• London Branch:

  • 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
  • Kris Gjini – Macro Quantitative Strategist
  • Benedicte Lowe – Cross Asset Strategist

• Singapore Branch:

  • Altaz Daga – APAC IR Strategist
  • Dawn Kwa – Asia FX & IR Strategist

• Brazil Branch:

  • Gabriel Gersztein – Head of Global Emerging Markets Strategy
  • Samuel Castro – FX & IR Latam Strategist
  • Luca Maia – FX & IR Latam Strategist
  • Andre Digiacomo – FX & IR Latam Strategist

Disclaimer and Legal Information

• This document is non-independent research and is a marketing communication under MiFID II.
• It is not investment research and should not be used as a basis for investment decisions.
• The information may contain "Research" as defined under MiFID II unbundling rules, which is only available to certain clients.
• The document is intended for Relevant Persons, including Professional Clients and Eligible Counterparties.
• It is not a prospectus, advertisement, or public offering, and does not provide investment, tax, or legal advice.
• The content is confidential and may not be distributed without prior written consent.
• BNPP and its affiliates may have conflicts of interest due to their involvement in trading, underwriting, or advisory services related to the instruments discussed.

Additional Notes

• The report includes charts and graphs for visual representation of the positioning data.
• The document is available through the BNP Paribas Global Markets website and Strategy website.
• The report includes important disclosures for options, ETFs, and convertible securities, highlighting risks and suitability.
• In Canada, the document is only available to Permitted Clients, Qualified Parties, and Accredited Investors as defined by Canadian securities laws.