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MACRO QUANT STRATEGY | G10 FX Summary

Core Content

This document provides an analysis of the positioning of G10 currencies using various quantitative and macroeconomic indicators. The analysis is conducted by BNP Paribas and outlines the current and recent changes in market sentiment and exposure for the major G10 currencies (USD, EUR, JPY, GBP, CAD, AUD, NZD, NOK, SEK).

The positioning scores are calculated based on a percentile ranking derived from the prior five years of data, and are rescaled to a range of -50 to +50. Scores above 40 or below -40 indicate extreme positions. The overall positioning score is the equally weighted average of several components, including:

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

Key Changes in Positioning

• USD: Shorts have reduced to -18, down from a previous score of -50. This is attributed to the unwinding of shorts by the BNP Paribas Trending Indicator and Buy Sell Pressure components.
• EUR: Longs have reduced to +2, from +32 the previous week. This is due to the Risk Reversal component turning more bearish.
• Net EUR/USD Exposure: Moderated to +20 from +32 last week.
• CAD: Longs have increased to +37, which is the highest since January 2011. All components except the FX Fund Position Tracker have turned more positive.
• AUD: Shorts have been unwound to a neutral score of -1, as the Risk Reversal component squeezed AUD shorts.

Positioning Score Interpretation

A score of -27, for example, translates to 23% of historical observations being below the current level (after adding 50). This provides insight into the relative positioning of the currency in the context of the past five years.

Supporting Information

• Fig. 1: Overall positioning of G10 currencies.
• Fig. 2–12: Individual currency positioning scores and components.
• Table: Summary of the strategists and their roles involved in the analysis.
• Table: Editorial and production team details.

Disclaimer and Legal Information

• The document is non-independent research and may be subject to conflicts of interest due to the interaction with sales and trading.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II and is not investment research.
• The information is for informational purposes only and should not be relied upon as an authoritative source.
• No guarantees are made regarding the accuracy or completeness of the data.
• The document is not intended to be used by individuals who are not Relevant Persons, and may contain performance data based on back-testing, which is not indicative of future results.
• BNPP may have financial interests in the securities or may act as a market maker, advisor, or underwriter, which could lead to potential conflicts of interest.
• The document is confidential and may only be distributed to selected recipients who qualify under Canadian law as Permitted Clients.

Additional Information

• The document is available on the BNP Paribas Global Markets website and Strategy website.
• It includes important disclosures regarding options, ETFs, and convertible securities, emphasizing that they are complex instruments and may not be suitable for all investors.
• The document is intended for use by U.S. persons who are institutional investors or major U.S. institutional investors, and is subject to specific distribution rules.
• The document may include restricted securities and is only available to Qualified Institutional Buyers or non-U.S. persons under Regulation S.

Conclusion

The analysis highlights the shifting dynamics in G10 currency positioning, with USD shorts reducing, EUR longs decreasing, and CAD longs reaching a significant level. The report is a comprehensive but non-independent assessment of market sentiment, intended for professional investors and subject to legal and regulatory constraints.