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MACRO QUANT STRATEGY | G10 FX Summary

Core Content Overview

This document provides a detailed analysis of the positioning of G10 currencies based on macro quantitative strategies and various market indicators. The analysis is conducted by BNP Paribas and includes insights into the current market sentiment, investment exposure, and risk factors associated with these currencies.

Key Findings

• Overall G10 FX Positioning:
  The overall positioning of G10 currencies has declined close to the year's low and is well below its five-year average, indicating a bearish sentiment across the board.

• JPY Positioning:
  The most crowded position is in the Japanese Yen (JPY), where the market is long with a score of +30 (ranging from -50 to +50). This score reflects the market's extreme bullish stance on JPY.

• USD Positioning:
  The market has added USD shorts with a score of -7, which is the shortest USD score since April 2018. This suggests a growing bearish sentiment towards the US Dollar.

• NOK Positioning:
  FX investors have unwound NOK longs from a score of +13 to 0, indicating a shift in sentiment and reduced exposure to the Norwegian Krone.

• Positioning Components:
  The overall currency score is calculated as an equally weighted average of the following components:

  • Client Exposure
  • IMM (Commitment of Traders)
  • Risk Reversals
  • FX Fund Position Tracker
  • BNPP Trending Indicator
  • Buy Sell Pressure

Currency-Specific Positioning Scores

Interpretation of Positioning Scores

• The positioning scores are reported as a percentile based on the prior five years of data, rescaled to a range between -50 and +50.
• Values above +40 or below -40 indicate extreme positions.
• For example, a score of -27 means that 23% of observations over the past five years have been below the current observation.

Strategic Team

• The report is authored by BNP Paribas' macro quantitative and FX strategy teams, including:
  • Michael Sneyd, CFA: Head of Macro Quantitative & Derivatives Strategy
  • Alex Jekov: FX Strategist
  • Kris Gjini: Macro Quant Strategist
  • Benedicte Lowe: Cross Asset Strategist

Disclaimer and Legal Information

• This document is non-independent research and is intended for marketing purposes under MiFID II.
• It does not constitute investment research and is not subject to any prohibition on dealing ahead of dissemination.
• The document may contain Research as defined under MiFID II unbundling rules, which is only intended for firms that have signed up to BNPP's research packages or are out of scope of the unbundling rules.
• BNPP may have financial interests in the issuers or persons mentioned in the document, including positions in their securities, options, futures, or other derivatives.
• The document may also include hypothetical or back-tested performance data, which is for illustrative purposes only and may not reflect actual market conditions or future results.
• The information is not guaranteed for accuracy or completeness and is provided for informational purposes only.

Additional Information

• The report includes charts and figures from BNP Paribas, which illustrate the positioning of various G10 currencies.
• It is important to note that transactions involving the products discussed may involve a high degree of risk, including market, credit, and liquidity risk.
• The document is confidential and intended for selected recipients only.
• It is not a prospectus, advertisement, or public offering for the purpose of EU Directive 2003/71/EC or any other jurisdiction.

Regulatory and Distribution Information

• The document is produced by a BNPP group company and is for the use of intended recipients.
• It may only be distributed to Qualified Institutional Buyers (QIBs) or non-US persons under Regulation S.
• In Canada, the document is only for Permitted Clients, Qualified Parties, Accredited Investors, or Accredited Counterparties, depending on the province of residence.

This summary captures the essential elements of the report, including the current positioning of G10 currencies, the methodology used, the strategic team involved, and the necessary legal and regulatory disclaimers.