巴黎银行-全球-量化策略-宏观量化策略-20190705.pdf

《巴黎银行-全球-量化策略-宏观量化策略-20190705.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

FLASH|GLOBAL8July2019™MACROQUANTSTRATEGY|G10FXUSDshortsreducetoascoreof-18(-/+50scale),asaresultoftheBNPParibasTrendingIndicatorandBuySellpressurecomponentsunwindingshorts.FXinvestorsreduceEURlongstoascoreof+2,astheRiskReversalcomponentturningmorebearishontheEUR.Asaresult,netEURUSDlongexposuremoderatesto+20,from+32lastweek(1July).CADlongsextendtoascoreof+37asallcomponentswiththeexceptionoftheFXFundPositiontrackerturnmorepositiveonCAD.ThisrepresentsthelongestCADpositioningscoresince11January2011.ThemarketunwindsAUDshortstoaneutralscoreof-1asaresultoftheRiskReversalcomponentsqueezingAUDshorts.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*SHORTLONGCAD37NOK25JPY15CHF708-Jul-2019NZD301-Jul-2019EUR2SEK-1AUD-1USD-18GBP-18-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasaFXFundBNPPBuySellClientRiskpercentilebasedonthepriorfiveyearsofdata.ExposureIMMReversalsPositionTrendingPressureThesepercentilesarerescaledtogiveavalueTrackerIndicatorbetween−50and+50.Valuesabove40andbelow28-28-48-14-27USD−40representextremepositions.25-2146-20-1EURTointerpretascoreof−27,forexample,add50to3126-31211430JPYgive23.Thistellsusthat23%ofobservationsover-36-296-26-327GBPthepastfiveyearshavebeenbelowthecurrentobservation.-9-9-26321342CHF171648504446CAD-9-46-640114AUD-23-4339486-7NZD37-404836NOK-27--1940-98SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemovements.TheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy|AlexJekov,FXStrategist|KrisGjini,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranchPleaserefertoimportantinformationattheendofthereport MACROQUANTSTRATEGY|G10FXFig.2:AbsolutetotalG10positioningThree-yearplotofG10currencypositioningscoresFig.3:USDoverallpositioningFig.4:GBPoverallpositioningFig.5:EURoverallpositioningFig.6:JPYoverallpositioningFig.7:AUDoverallpositioningFig.8:CADoverallpositioningAllchartsources:BNPParibasAllchartsources:BNPParibas208July2019 MACROQUANTSTRATEGY|G10FXFig.9:NZDoverallpositioningFig.10:CHFoverallpositioningFig.11:NOKoverallpositioningFig.12:SEKoverallpositioningAllchartsources:BNPParibasAllchartsources:BNPParibasOne-yearplotofG10currencypositioning–individualscoresFig.13:USDpositioningcomponentsFig.14:GBPpositioningcomponentsFig.15:EURpositioningcomponentsFig.16:JPYpositioningcomponentsAllchartsources:BNPParibasAllchartsources:BNPParibas308July2019 MACROQUANTSTRATEGY|G10FXFig.17:AUDpositioningcomponentsFig.18:CADpositioningcomponentsFig.19:NZDpositioningcomponentsFig.20:CHFpositioningcomponentsFig.21:NOKpositioningcomponentsFig.22:SEKpositioningcomponentsAllchartsources:BNPParibasAllchartsources:BNPParibas408July2019 MACROQUANTSTRATEGY|G10FXSTRATEGYCONTACTSSTRATEGISTJOBTITLELEGALENTITYPHONEMichaelSneyd,CFAHeadofMacroQuantitative&DerivativesStrategyBNPParibasLondonbranch442075951307SamLynton-Brown,CFAHeadofG10FXStrategy,EuropeBNPParibasLondonbranch442075958467ParishaSaimbiG10FXandSterlingRatesStrategistBNPParibasLondonbranch442075958351AlexJekovFXStrategistBNPParibasLondonbranch442075954185DanielKatzive,CFAHeadofFXStrategyNorthAmericaBNPParibasSecuritiesCorp(NewYork)12128412408VasilisKoutsaftisFXOptionsStrategistBNPParibasSecuritiesCorp(NewYork)12124717973(i)AltazDagha(ii)APACIRStrategist(iii)BNPParibasSingaporeBranch6562104994(iv)DawnKwa(v)AsiaFX&IRStrategist(vi)BNPParibasSingaporeBranch6562103263TianheJiHeadofFXLMStrategyforGlobalMarketsChinaBNPParibasChinaLimited(Beijing)861065350836GabrielGerszteinHeadofGlobalEmergingMarketsStrategyBancoBNPParibasBrasilS.A.(SaoPaulo)551138413421SamuelCastroFX&IRLatamStrategistBancoBNPParibasBrasilS.A.(SaoPaulo)551138413492LucaMaia(vii)FX&IRLatamStrategist(viii)BancoBNPParibasBrasilS.A.(SaoPaulo)551138413447AndreDigiacomoFX&IRLatamStrategistBancoBNPParibasBrasilS.A.(SaoPaulo)551138413445KrisGjiniMacroQuantitativeStrategistBNPParibasLondonbranch442075951603BenedicteLoweCrossAssetStrategistBNPParibasLondonbranch442075951993EDITORIALANDPRODUCTIONCOVERAGELEGALENTITYPHONEAmandaGrantham-HillMarketEconomicsandStrategyBNPParibasLondonBranch442075951687AnnaMcLauchlinMarketEconomicsandStrategyBNPParibasLondonBranch442075953754ElinaTalvitieMarketEconomicsandStrategyBNPParibasLondonBranch442075952588JessicaBakkiouiMarketEconomicsandStrategyBNPParibasLondonBranch442075958478VargheseJosephMarketEconomicsandStrategyBNPParibasSecuritiesCorp12128413698Onlinei.BNPParibasGlobalMarketswebsiteBNPParibasStrategywebsitewww.globalmarkets.bnpparibas.comBPFREmergingMarketsResearchBPFRFixedIncomeResearchG10InterestRateResearchBPBSMarketEconomicsBPEC508July2019 MACROQUANTSTRATEGY|G10FXLegalNoticeThisdocumenthasbeenwrittenbyourStrategistandEconomistteamswithintheBNPParibasgroupofcompanies(collectively“BNPP”);itdoesnotpurporttobeanexhaustiveanalysis,andmaybesubjecttoconflictsofinterestresultingfromtheirinteractionwithsalesandtradingwhichcouldaffecttheobjectivityofthisreport.Thisdocumentisnon-independentresearchforthepurposeoftheUKFinancialConductAuthorityrules.ForthepurposesoftherecastMarketsinFinancialInstrumentsDirective(2014/65/EU)(MiFIDII),non-independentresearchconstitutesamarketingcommunication.ThisdocumentisnotinvestmentresearchforthepurposesofMiFIDII.Ithasnotbeenpreparedinaccordancewithlegalrequirementsdesignedtoprovidetheindependenceofinvestmentresearch,andisnotsubjecttoanyprohibitionondealingaheadofthedisseminationofinvestmentresearch.Thecontentinthisdocument/communicationmayalsocontain“Research”asdefinedundertheMiFIDIIunbundlingrules.Ifthedocument/communicationcontainsResearch,itisintendedforthosefirmswhoareeitherinscopeoftheMiFIDIIunbundlingrulesandhavesigneduptooneoftheBNPPGlobalMarketsResearchpackages,orfirmsthatareoutofscopeoftheMiFIDIIunbundlingrulesandthereforenotrequiredtopayforResearchunderMiFIDII.Pleasenotethatitisyourfirm’sresponsibilitytoensurethatyoudonotvieworusetheResearchcontentinthisdocumentifyourfirmhasnotsigneduptooneoftheBNPPGlobalMarketsResearchpackages,exceptwhereyourfirmisoutofscopeoftheMiFIDIIunbundlingrules.STEER™isatrademarkofBNPP.MARKETS360isatrademarkofBNPParibasThisdocumentconstitutesamarketingcommunicationandhasbeenpreparedbyBNPPfor,andisdirectedat,(a)ProfessionalClientsandEligibleCounterpartiesasdefinedbytherecastMarketsinFinancialInstrumentsDirective(2014/65/EU)(MiFIDII),and(b)whererelevant,personswhohaveprofessionalexperienceinmattersrelatingtoinvestmentsfallingwithinArticle19(5)oftheFinancialServicesandMarketsAct2000(FinancialPromotion)Order2005,andatotherpersonstowhomitmaylawfullybecommunicated(together“RelevantPersons”)undertheregulationsofanyrelevantjurisdiction.AnyinvestmentorinvestmentactivitytowhichthisdocumentrelatesisavailableonlytoandwillbeengagedinonlywithRelevantPersons.AnypersonwhoisnotaRelevantPersonshouldnotactorrelyonthisdocumentoritscontent.Securitiesdescribedhereinmaynotbeeligibleforsaleinalljurisdictionsortocertaincategoriesofinvestors.Theinformationandopinionscontainedinthisdocumenthavebeenobtainedfrom,orarebasedon,publicsourcesbelievedtobereliable,butthereisnoguaranteeoftheaccuracy,completenessorfitnessforanyparticularpurposeofsuchinformationandsuchinformationmaynothavebeenindependentlyverifiedbyBNPPorbyanyperson.NoneofBNPP,anyofitssubsidiaryundertakingsoraffiliatesoritsmembers,directors,officers,agentsoremployeesacceptsanyresponsibilityorliabilitywhatsoeverormakesanyrepresentationorwarranty,expressorimplied,astotheaccuracyandcompletenessoftheinformationoranyopinionsbasedthereonandcontainedinthisdocumentanditshouldnotberelieduponassuch.Thisdocumentdoesnotconstituteorformanypartofanyoffertosellorissueandisnotasolicitationofanyoffertopurchaseanyfinancialinstrument,norshallitoranypartofitnorthefactofitsdistributionformthebasisof,orbereliedon,inconnectionwithanycontractorinvestmentdecision.TotheextentthatanytransactionissubsequentlyenteredintobetweentherecipientandBNPP,suchtransactionwillbeenteredintouponsuchtermsasmaybeagreedbythepartiesintherelevantdocumentation.Informationandopinionscontainedinthisdocumentarepublishedfortheinformationofrecipients,butarenottoberelieduponasauthoritativeortakeninsubstitutionfortheexerciseofjudgmentbyanyrecipient,aresubjecttochangewithoutnoticeandnotintendedtoprovidethesolebasisofanyevaluationoftheinstrumentsdiscussedherein.Inprovidingthisdocument,BNPPdoesnotofferinvestment,financial,legal,taxoranyothertypeofadviceto,norhasanyfiduciarydutiestowards,recipients.Anyreferencetopastperformanceisnotindicativeoffutureperformance,whichmaybebetterorworsethanpriorresults.Anyhypothetical,pastperformancesimulationsaretheresultofestimatesmadebyBNPP,asofagivenmoment,onthebasisofparameters,marketconditions,andhistoricaldataselectedbyBNPP,andshouldnotbeusedasguidance,inanyway,offutureperformance.Tothefullestextentpermittedbylaw,noBNPPgroupcompanyacceptsanyliabilitywhatsoever(includinginnegligence)foranydirectorconsequentiallossarisingfromanyuseoforrelianceonmaterialcontainedinthisdocumentevenwhereadvisedofthepossibilityofsuchlosses.Allestimatesandopinionsincludedinthisdocumentaremadeasofthedateofthisdocument.Unlessotherwiseindicatedinthisdocumentthereisnointentiontoupdatethisdocument.BNPPmaymakeamarketin,ormay,asprincipaloragent,buyorsellsecuritiesofanyissuerorpersonmentionedinthisdocumentorderivativesthereon.Prices,yieldsandothersimilarinformationincludedinthisdocumentareincludedforinformationpurposeshowevernumerousfactorswillaffectmarketpricingatanyparticulartime,suchinformationmaybesubjecttorapidchangeandthereisnocertaintythattransactionscouldbeexecutedatanyspecifiedprice.BNPPmayhaveafinancialinterestinanyissuerorpersonmentionedinthisdocument,includingalongorshortpositionintheirsecuritiesand/oroptions,futuresorotherderivativeinstrumentsbasedthereon,orviceversa.BNPP,includingitsofficersandemployeesmayserveorhaveservedasanofficer,directororinanadvisorycapacityforanypersonmentionedinthisdocument.BNPPmay,fromtimetotime,solicit,performorhaveperformedinvestmentbanking,underwritingorotherservices(includingactingasadviser,manager,underwriterorlender)withinthelast12monthsforanypersonreferredtointhisdocument.BNPPmaybeapartytoanagreementwithanypersonrelatingtotheproductionofthisdocument.BNPPmaytotheextentpermittedbylaw,haveacteduponorusedtheinformationcontainedherein,ortheanalysisonwhichitwasbased,beforethedocumentwaspublished.BNPPmayreceiveorintendtoseekcompensationforinvestmentbankingservicesinthenextthreemonthsfromorinrelationtoanypersonmentionedinthisdocument.Anypersonmentionedinthisdocumentmayhavebeenprovidedwithrelevantsectionsofthisdocumentpriortoitspublicationinordertoverifyitsfactualaccuracy.Thisdocumentisforinformationpurposesonlyandthereisnoassurancethatatransaction(s)willbeenteredintoonsuchindicativeterms.Anyindicativeprice(s)containedhereinhavebeenpreparedingoodfaithinaccordancewithBNPP’sowninternalmodelsandcalculationmethodsand/orarebasedonoruseavailablepricesourceswhereconsideredrelevant.Indicativeprice(s)basedondifferentmodelsorassumptionsmayyielddifferentresults.Numerousfactorsmayaffecttheprice(s),whichmayormaynotbetakenintoaccount.Therefore,theseindicativeprice(s)mayvarysignificantlyfromindicativeprice(s)obtainedfromothersourcesormarketparticipants.BNPPexpresslydisclaimsanyresponsibilityfortheaccuracyorcompletenessofitsowninternalmodelsorcalculationmethods,theaccuracyorreliabilityofanypricesourcesused,anyerrorsoromissionsincomputingordisseminatingtheseindicativeprice(s),andforanyuseyoumakeoftheprice(s)provided.Theindicativeprice(s)donotrepresent(i)theactualtermsonwhichanewtransactioncouldbeenteredinto,(ii)theactualtermsonwhichanyexistingtransactionscouldbeunwound,(iii)thecalculationorestimateofanamountthatwouldbepayablefollowinganearlyterminationofthetransactionsor(iv)theprice(s)giventothetransactionsbyBNPPinitsownbooksofaccountforfinancialreporting,creditorriskmanagementpurposes.Asaninvestmentbankwithawiderangeofactivities,BNPPmayfaceconflictsofinterest,whichareresolvedunderapplicablelegalprovisionsandinternalguidelines.Youshouldbeaware,however,thatBNPPmayengageintransactionsinamannerinconsistentwiththeviewsexpressedinthisdocument,eitherforitsownaccountorfortheaccountofitsclients.Thisdocumentmaycontaincertainperformancedatabasedonback-testing,i.e.simulationsofperformanceofastrategy,indexorassetsasifithadactuallyexistedduringadefinedperiodoftime.Totheextentanysuchperformancedataisincluded,thescenarios,simulations,developmentexpectationsandforecastscontainedinthisdocumentareforillustrativepurposesonly.AllestimatesandopinionsincludedinthisdocumentconstitutethejudgmentofBNPPanditsaffiliatesasofthedateofthedocumentandmaybesubjecttochangewithoutnotice.Thistypeofinformationhasinherentlimitationswhichrecipientsmustconsidercarefully.WhiletheinformationhasbeenpreparedingoodfaithinaccordancewithBNPP’sowninternalmodelsandotherrelevantsources,ananalysisbasedondifferentmodelsorassumptionsmayyielddifferentresults.Unlikeactualperformancerecords,simulatedperformancereturnsorscenariosmaynotnecessarilyreflectcertainmarketfactorssuchasliquidityconstraints,feesandtransactionscosts.Actualhistoricalorbacktestedpastperformancedoesnotconstituteanindicationoffutureresultsorperformance.Thisdocumentisonlyintendedtogeneratediscussionregardingparticularproductsandinvestmentsandissubjecttochangeormaybediscontinued.Wearewillingtodiscussitwithyouontheunderstandingthatyouhavesufficientknowledge,experienceandprofessionaladvicetounderstandandmakeyourownindependentevaluationofthemeritsandriskoftheinformationandanyproposedstructures.Theinformationcontainedhereinisnotandundernocircumstancesistobeconstruedas,aprospectus,anadvertisement,apublicoffering,anoffertosellsecuritiesdescribedherein,orsolicitationofanoffertobuysecuritiesdescribedherein,inCanada,theU.S.oranyotherprovinceorterritorynorshallitbedeemedtoprovideinvestment,tax,accountingorotheradvice.Transactionsinvolvingtheproduct(s)describedinthisdocumentmayinvolveahighdegreeofriskandthevalueofsuchtransactionsmaybehighlyvolatile.Suchrisksinclude,withoutlimitation,riskofadverseorunanticipatedmarketdevelopments,riskofcounterpartyorissuerdefault,riskofadverseeventsinvolvinganyunderlyingreferenceobligationorentityandriskofilliquidity.Incertaintransactions,counterpartiesmaylosetheirentireinvestmentorincuranunlimitedloss.Theinformationrelatingtoperformancecontainedinthisdocumentisillustrativeandnoassuranceisgiventhatanyindicatedreturns,performanceorresultswillbeachieved.Moreover,pastperformanceisnotindicativeoffutureresults.InformationhereinisbelievedreliablebutBNPPanditsaffiliatesdonotwarrantorguaranteeitscompletenessoraccuracy.Allinformation,termsandpricingsetforthhereinreflectourjudgmentatthedateandtimehereofandaresubjecttochangewithoutnotice.Intheeventthatweweretoenterintoatransactionwithyou,wewilldosoasprincipal(andnotasagentorinanyothercapacity,including,608July2019 MACROQUANTSTRATEGY|G10FXwithoutlimitation,asyourfiduciary,advisororotherwise).Onlyintheeventofapotentialtransactionwillanofferingdocumentbeprepared,inwhichcase,youshouldrefertotheprospectusorofferingdocumentrelatingtotheabovepotentialtransactionwhichincludesimportantinformation,includingriskfactorsthatrelatetoaninvestmentintheproduct(s)describedherein.Priortotransacting,youshouldensurethatyoufullyunderstand(eitheronyourownorthroughtheuseofindependentexpertadvisors)thetermsofthetransactionandanylegal,taxandaccountingconsiderationsapplicabletothem.Youshouldalsoconsultwithindependentadvisorsandconsultants(including,withoutlimitation,legalcounsel)todeterminewhetherenteringintoanysecuritiestransactionscontemplatedhereinwouldbecontrarytolocallaws.Theinformationcontainedhereinisprovidedtoyouonastrictlyconfidentialbasisandyouagreethatitmaynotbecopied,reproducedorotherwisedistributedbyyou,whetherinwholeorinpart(otherthantoyourprofessionaladvisers),withoutourpriorwrittenconsent..Neitherwe,noranyofouraffiliates,noranyoftheirrespectivedirectors,partners,officers,employeesorrepresentativesacceptsanyliabilitywhatsoeverforanydirectorconsequentiallossarisingfromanyuseofthisdocumentortheircontent;andanyoftheforegoingmayfromtimetotimeactasmanager,co-managerorunderwriterofapublicofferingorotherwise,inthecapacityofprincipaloragent,dealin,holdoractasmarketmakersoradvisors,brokersorcommercialand/orinvestmentbankersinrelationtothesecuritiesorrelatedderivativesthatarediscussedherein.BNPPanditsaffiliatesmay(ormayinthefuture)holdapositionoractasamarketmakerinthefinancialinstrumentsdiscussed,oractasanadvisor,manager,underwriterorlendertosuchissuer.InnocircumstancesshallBNPPoritsaffiliatesbeobligedtodiscloseanyinformationthatithasreceivedonaconfidentialbasisortodisclosetheexistencethereof.TheinformationpresentedhereindoesnotcompriseaprospectusofsecuritiesforthepurposesofEUDirective2003/71/EC(asamendedfromtimetotime).ThisdocumentwasproducedbyaBNPPgroupcompany.Thisdocumentisfortheuseofintendedrecipientsandmaynotbereproduced(inwholeorinpart)ordeliveredortransmittedtoanyotherpersonwithoutthepriorwrittenconsentofBNPP.Byacceptingthisdocumentyouagreetothis.UnitedStatesDisclosures:ImportantOptionDisclosures:Optionsarecomplexinstrumentsthatarenotsuitableforeveryinvestor,mayinvolveahighdegreeofrisk,andmaybeappropriateinvestmentsonlyforsophisticatedinvestorswhoarecapableofunderstandingandassumingtherisksinvolved.Supportingdocumentationforanyclaims,comparisons,recommendations,statisticsorothertechnicaldatawillbesupplieduponrequest.Anytradeinformationispreliminaryandnotintendedasanofficialtransactionconfirmation.Iftheinformationcontainedhereinregardsoptionsrelatedcontent,suchinformationisavailableonlytopersonswhohavereceivedtheproperoptionriskdisclosuredocuments.ForacopyoftheOptionClearingCorporation'sCharacteristicsandRisksofStandardizedOptions,pleasecontactyourBNPPsalesrepresentativeorvisittheOCC'swebsiteathttp://www.theocc.com/about/publications/character-risks.jspImportantETFDisclosures:ForanyETFsdiscussedinthisdocument,youshouldconsidertheinvestmentobjectives,risks,andchargesandexpensesoftheinvestmentcompanycarefullybeforeinvesting.Theprospectus,andifavailable,thesummaryprospectus,containsthisandotherimportantinformationabouttheETF.Youmayobtainaprospectusand,ifavailable,asummaryprospectusbycalling+1212841-3099.Theprospectusifavailable,andsummaryprospectusshouldbereadcarefullybeforeinvesting.Aswithanyinvestment,ETFshaverisks.Theseincludethegeneralrisksassociatedwithinvestingintheunderlyingassets,potentialtrackingerror,andthepossibilitythatparticularindicesmaylagothermarketsegmentsoractivemanagers.Inaddition,ETFsinvestingininternationalmarketsmayincludecurrencyandgeopoliticalrisks,whilefixedincomeETFrisksalsoincludecreditandinterestraterisk.BNPPanditsaffiliatesmayholdapositionoractasamarketmakerinthefinancialinstrumentsdiscussed,oractasanadvisor,manager,underwriter,orlendertosuchissuer.Asaresult,BNPPmayhavepotentialconflictsofinterestrelatingtotheETFsthatarediscussedinthismaterial.Inparticular,BNPPmayactasanAuthorizedParticipantinthepurchaseorsaleofsharesfromanETFandparticipateinthecreationandredemptionofthesecuritiescoveredinthismaterial.Inconnectionwiththeseactivities,BNPPmayreceiveafee,maybedeemedtobeanunderwriteroftheETFshares,andmayreceiveinformationaboutpendingcreationsorredemptionsoflargeblocksofETFshares.UndernocircumstancesshallBNPPoritsaffiliatesbeobligedtodiscloseanyinformationthatithasreceivedonaconfidentialbasisortodisclosetheexistenceofsuchinformation.BNPPalsomayactasamarketmakerorblockpositionerintheETFsharesdiscussedinthismaterial,orfinancialinstrumentsthatareheldbytheETFand/orarepartoftheindexwhoseperformancetheETFseekstotrack.Asaresult,BNPPmaybebuyingorsellingETFshares(ortheinstrumentsunderlyingtheETFshares)forothercustomersorforitsownaccountwhileyouaresellingorbuyingETFshares.BNPPmayhavemultipleadvisory,transactional,financialandotherinterestsinthecompanieswhosesecuritiesorotherinstrumentsmaybepurchasedorsoldbyanETFdiscussedinthismaterial.BNPPmayfromtimetotimeengageinbusinesswiththesecompanies,includingextendingloansto,makingequityinvestmentsinorprovidingadvisoryservicestothecompanies,includingmergerandacquisitionadvisoryservices.Inthecourseofthoseactivities,certainBNPPpersonnelmayacquirenon-publicinformationaboutthecompanies.SuchinformationcouldpotentiallyaffectthepricesatwhichtheETFsharestrade.BNPPwillmaintaintheconfidentialityofsuchinformationandnotdiscloseittotheETF,ETFholders,orotherunauthorizedpersonnel.ImportantDisclosuresforConvertiblesSecuritiesorotherSecuritiesnotregisteredunderUSSecuritiesLaws:CertainsecuritiesdiscussedhereinmaynotberegisteredundertheSecuritiesActof1933,asamended,andthereforeareconsidered“restrictedsecurities”pursuanttoRule144(a)(3).OnlyQualifiedInstitutionalBuyers(“QIBs”)asdefinedunderRule144Aornon-USpersons(asdefinedinRegulationSundertheSecuritiesAct)maybeeligibletopurchasesuchinstruments.Thisreportmaybedistributed(i)byBNPPSecuritiesCorp.(“BNPPSC”)toU.S.personswhoqualifyas“institutionalinvestors”underFINRARule2210(a)(4),or(ii)byasubsidiaryoraffiliateofBNPPthatisnotregisteredasaU.S.broker-dealeronlytoU.S.personswhoareconsidered“majorU.S.institutionalinvestors”(assuchtermisdefinedinRule15a-6undertheSecuritiesExchangeActof1934,asamended).BNPPSCacceptsresponsibilityforthecontentofareportpreparedbyanothernon-U.S.affiliateonlywhendistributedtoU.S.personsbyBNPPSC.U.S.personswhowishtoeffecttransactionsinsecuritiesbasedontheinformationprovidedhereinmustdosothroughBNPPSCunlessotherwiseauthorizedbylawtotransactthroughanon-U.S.affiliateofBNPP.BNPPSC,asubsidiaryofBNPP,isabrokerdealerandfuturescommissionmerchantregisteredwiththeSecuritiesandExchangeCommission(SEC),CommodityFuturesTradingCommission(CFTC),FinancialIndustryRegulatoryAuthority(FINRA),andNationalFuturesAssociation(NFA)andisamemberoftheNewYorkStockExchange(NYSE),otherprincipalexchanges,andtheSecuritiesInvestorProtectionCorporation(SIPC).SomeofthesecuritiesmentionedinthisdocumenthavenotbeenregisteredundertheU.S.SecuritiesActof1933,asamended,andmaynotbeofferedorsoldintheU.S.ortoaU.S.personabsentregistrationoranapplicableexemptionfromtheU.S.registrationrequirements.Canada:ThisparticularsectionappliestorecipientswhoarelocatedwithinorotherwiserepresentorareconnectedtoanddoingbusinesswithinCanada.Intheeventofadirectconflictorinconsistencybetweentheaboveandthissection,thissectionwillprevailtosupplementtheaboveasitappliestoCanada,andshallbeinterpretedtosupplementandnotrestricttheapplicationoftheabovetothefullestextentpossible.BNPParibasoperatesinCanadaasaScheduleIIIBank,andequallyunderInternationalDealerExemptionasapplicableinvariousCanadianprovinces,havingaQuebecofficelocatedat1981MCGILLCOLLEGEAVE,4thfloor,MONTREAL,Quebec,H3A2W8,andanOntarioofficelocatedat155WellingtonStreetWest,Suite3110,Toronto,Ontario,M5V3H1,Canada(“BNPParibas”).ForrecipientslocatedinQuébec,uponreceiptofthisdocument,eachrecipientherebyconfirmsthatithasexpresslyrequestedthatitbedrawnupintheEnglishlanguageonly.PourlesrésidentsduQuébec,parlaréceptiondecedocument,chaquedestinataireconfirmeparlesprésentesqu’ilaexpressémentexigéquecelui-cisoitrédigéenanglaisseulement.THISDOCUMENTISCONFIDENTIALANDISBEINGSUBMITTEDTOSELECTEDRECIPIENTSONLYWHOQUALIFY,ASREQUIREDUNDERAPPLICABLELAWINCANADA,ASCANADIAN“PERMITTEDCLIENTS”[asdefinedinSection1.1ofNationalInstrument31-103RegistrationRequirements,ExemptionsandOngoingRegistrantObligations,"NI31-103")],asa“QUALIFIEDPARTY”(asdefinedintheAlbertaSecuritiesCommissionBLANKETORDER91-507,oritssuccessiveblanketorderoritsequivalentasapplicabletoanotherCanadianprovinceinwhichtherecipientisresident),asan“ACCREDITEDINVESTORS”[asdefinedinSection1.1ofNationalInstrument45-106ProspectusandRegistrationExemptions,or,ifresidentinOntario,Section73.3(1)oftheSecuritiesAct(Ontario)]orasan“ACCREDITEDCOUNTERPARTY”(ifresidentinQuebecasdefinedinSection3oftheQuebecDerivativesAct,chapterI-14.01oritsequivalentasapplicabletoanotherCanadianprovinceinwhichtherecipientisresident)(alltheaboveNationalinstruments,BlanketOrderandActsspecifiedinthisparagraphcollectively,the"SpecificCanadianTexts").Theinformationcontainedhereinisnot,andundernocircumstancesistobeconstruedas,aprospectus,anadvertisement,apublicoffering,anoffertosellSecurities(asdefinedintheSpecificCanadianTexts)describedherein,orsolicitationofanoffertobuySecuritiesdescribedherein,inCanadaoranyprovinceorterritorythereof.AnyofferorsaleofanySecuritiesdescribedhereininCanadawillbemadeonlyunderanexemptionfromtherequirementstofileaprospectuswiththerelevantCanadiansecuritiesregulators,or,alternatively,pursuanttoanexemptionfromdealerregistrationrequirementsintherelevantprovinceorterritoryofCanadainwhichsuchofferorsaleismade,aspertheprovisionsoftheaboveSpecificCanadianTexts.TheinformationcontainedhereinisundernocircumstancestobeconstruedasinvestmentadviceinanyprovinceorterritoryofCanadaandisnottailoredtotheneedsoftherecipient.TotheextentthattheinformationcontainedhereinreferencesSecuritiesofanissuerincorporated,formedorcreatedunderthelawsofCanadaoraprovinceorterritoryofCanada,anytradesinsuchsecuritiesmustbeconductedthroughaninvestmentdealer(asdefinedinSection1.1ofNI31-103)registeredinCanada.NosecuritiescommissionorsimilarregulatoryauthorityinCanadahasreviewedorinanywaypassedjudgmentuponthesematerials,theinformationcontainedhereinorthemeritsoftheSecuritiesdescribedherein,andanyrepresentationtothecontraryisanoffence.Canada:BNPParibas(Canada)SecuritiesInc./BnpParibas(Canada)ValeursMobilièresInc.IsacorporationgovernedbytheCanadaBusinessCorporationsAct,andownedbyBNPParibas.Itisheadquarteredat1981MCGILLCOLLEGEAVE,4thfloor,MONTREAL,Quebec,H3A2W8,andisregisteredinAlberta,BritishColumbia,Manitoba,NewBrunswick,NewfoundlandandLabrador,NovaScotia,Ontario,PEIandSaskatchewanasanInvestmentDealer,andinQuebecasbothanInvestmentDealerandDerivatives708July2019 MACROQUANTSTRATEGY|G10FXDealer.ItisequallyregisteredasanIIROCDealerMember.AnyofferorsaleofanySecuritiesdescribedhereininCanadawillbemadeonlyunderanexemptionfromtherequirementstofileaprospectuswiththerelevantCanadiansecuritiesregulators,or,alternatively,pursuanttoanexemptionfromdealerregistrationrequirementsintherelevantprovinceorterritoryofCanadainwhichsuchofferorsaleismade,aspertheprovisionsoftheaboveSpecificCanadianTexts.TheinformationcontainedhereinisundernocircumstancestobeconstruedasinvestmentadviceinanyprovinceorterritoryofCanadaandisnottailoredtotheneedsoftherecipient.TotheextentthattheinformationcontainedhereinreferencesSecuritiesofanissuerincorporated,formedorcreatedunderthelawsofCanadaoraprovinceorterritoryofCanada,anytradesinsuchsecuritiesmustbeconductedthroughaninvestmentdealer(asdefinedinSection1.1ofNI31-103)registeredinCanada.NosecuritiescommissionorsimilarregulatoryauthorityinCanadahasreviewedorinanywaypassedjudgmentuponthesematerials,theinformationcontainedhereinorthemeritsoftheSecuritiesdescribedherein,andanyrepresentationtothecontraryisanoffence.Financialinstrumentsofthetypedescribedhereinmayinvolveahighdegreeofriskandtheirvaluemaybehighlyvolatile.Suchrisksmayinclude,withoutlimitation:(i)variationsininterestrates,exchangerates,correlation,pricesorlevelsofsecurities,commodities,fundsand/orindices,indicatorsofcreditworthinessorperceivedcreditworthinessofoneormoreunderlyingentities;(ii)defaultorinsolvencyofoneormoreunderlyingentities;(iii)adverseorunanticipatedmarketeventsordevelopments,politicaldevelopmentsoradversecorporateeventsinvolvinganunderlyingsecurityorentity;(iv)riskofilliquidity;(v)sovereignrisk;and(vi)legalrisk.Inaddition,wheretheTransactioninvolvesleverage,itmustberecognizedthatwhilstleveragepresentsopportunitiestoincreaseprofit,italsohastheeffectofpotentiallyincreasinglossesanddoingsoinarelativelyshortperiodoftime.SuchlossesmaysignificantlydiminishtheperformanceoftheTransactionorresultinlossforyou.YoumayberequiredtopostmarginorcollateralatlevelsconsistentwiththeinternalpoliciesofBNPParibas.Theriskoflossintradingderivativescanbesubstantialand,accordingly,derivativesarenotsuitableforeveryperson.UK:IntheUK,thisdocumentisbeingcommunicatedbyBNPPLondonBranch.10HarewoodAvenue,LondonNW16AA;tel:+442075952000;fax:+442075952555-www.bnpparibas.com.IncorporatedinFrancewithLimitedLiability.RegisteredOffice:16boulevarddesItaliens,75009Paris,France.662042449RCSParis.BNPPLondonBranchisleadsupervisedbytheEuropeanCentralBank(ECB)andtheAutoritédeContrôlePrudentieletdeRésolution(ACPR).BNPPLondonBranchisauthorisedbytheECB,theACPRandthePrudentialRegulationAuthorityandsubjecttolimitedregulationbytheFinancialConductAuthorityandPrudentialRegulationAuthority.DetailsabouttheextentofourauthorisationandregulationbythePrudentialRegulationAuthority,andregulationbytheFinancialConductAuthorityareavailablefromusonrequest.BNPPLondonBranchisregisteredinEnglandandWalesunderno.FC13447.France:Thisreportisproducedand/orisdistributedinFrancebyBNPPSAand/orBNPPArbitrage.BNPPSAisincorporatedinFrancewithLimitedLiability(RegisteredOffice:16boulevarddesItaliens,75009Paris,France,662042449RCSParis,www.bnpparibas.com)isauthorizedandsupervisedbyEuropeanCentralBank(ECB)andbyAutoritédeContrôlePrudentieletdeRésolution(ACPR)inrespectofsupervisionsforwhichthecompetenceremainsatnationallevel,intermsofCouncilRegulationn°1024/2013of15October2013conferringspecifictasksontheECBconcerningpoliciesrelatingtotheprudentialsupervisionofcreditinstitutions.BNPPArbitrageisanunlimitedliabilitycompany,whoseregisteredofficeis160/162boulevardMacDonald75019Paris,registeredwiththeParisTradeandCompaniesRegistryundernumber394895833.ItisauthorisedandsupervisedbytheAutoritédeContrôlePrudentieletdeRésolutionandtheAutoritédesMarchésFinanciersinFrance.Germany:ThisreportisbeingdistributedinGermanybyBNPPS.A.NiederlassungDeutschland,abranchofBNPPS.A.whoseheadofficeisinParis,France.662042449RCSParis,www.bnpparibas.com).BNPPNiederlassungDeutschlandisauthorizedandleadsupervisedbytheEuropeanCentralBank(ECB)andbyAutoritédeContrôlePrudentieletdeRésolution(ACPR)andissubjecttolimitedsupervisionandregulationbyBundesanstaltfürFinanzdienstleistungsaufsicht(BaFin)inrespectofsupervisionsforwhichthecompetenceremainsatnationallevel,intermsofCouncilRegulationn°2013/1024of15October2013conferringspecifictasksontheECBconcerningpoliciesrelatingtotheprudentialsupervisionofcreditinstitutionsaswellasCouncilDirectiven°2013/36/EUof26June,2013andSection53bGermanBankingAct(Kreditwesengesetz-KWG)providingfortheprinciplesofsharedsupervisionbetweenthenationalcompetentauthoritiesincaseofbranchesandapplicablenationalrulesandregulations.BNPPNiederlassungDeutschlandisregisteredwithlocationsatEuropaAllee12,60327Frankfurt(commercialregisterHRBFrankfurtamMain40950)andBahnhofstrasse55,90429Nuremberg(commercialregisterNurembergHRBNürnberg31129).Belgium:BNPPFortisSA/NVisauthorizedandsupervisedbyEuropeanCentralBank(ECB)andbytheNationalBankofBelgium,boulevarddeBerlaimont14,1000Brussels,andisalsounderthesupervisiononinvestorandconsumerprotectionoftheFinancialServicesandMarketsAuthority(FSMA),rueducongrès12-14,1000BrusselsandisauthorizedasinsuranceagentunderFSMAnumber25789A.Ireland:ThisreportisbeingdistributedinIrelandbyBNPPS.A.,DublinBranch.BNPPisincorporatedinFranceasaSociétéAnonymeandregulatedinFrancebytheEuropeanCentralBankandbytheAutoritédeContrôlePrudentieletdeRésolution.Italy:ThisreportisbeingdistributedbyBNPPItalianBranch(SuccursaleItalia)whichisauthorisedandleadsupervisedbytheEuropeanCentralBank(ECB)andtheAutoritédeContrôlePrudentieletdeRésolutionandregulatedbytheAutoritédesMarchésFinanciers,andthisauthorisationhasbeennotifiedtotheBankofItaly.BNPPSuccursaleItaliaistheItalianbranchofacompanyincorporatedunderthelawsofFrancehavingitsregisteredofficeat16,BoulevarddesItaliens,75009,Paris,whoseofficesarelocatedinPiazzaLinaBoBardi3,Milan,taxcodeandregistrationnumberattheCompaniesRegistryofMilanNo.04449690157,isenrolledintheregisterofthebanksheldbyBankofItalyunderNo.5482,dulyauthorisedtoprovideinItalybankingandinvestmentservicesaccordingtheprincipleofthemutualrecognition.ThebranchissubjecttolimitedregulationbytheBankofItalyandtheCONSOBrespectively.Netherlands:ThisreportisbeingdistributedintheNetherlandsbyBNPPFortisSA/NV,NetherlandsBranch,abranchofBNPPSA/NVwhoseheadofficeisinBrussels,Belgium.BNPPFortisSA/NV,NetherlandsBranch,Herengracht595,1017CEAmsterdam,isauthorisedandsupervisedbytheEuropeanCentralBank(ECB)andtheNationalBankofBelgiumandisalsosupervisedbytheBelgianFinancialServicesandMarketsAuthority(FSMA)anditissubjecttolimitedregulationbytheNetherlandsAuthorityfortheFinancialMarkets(AFM)andtheDutchCentralBank(DeNederlandscheBank).Portugal:BNPP–SucursalemPortugalAvenida5deOutubro,206,1050-065Lisboa,Portugal.www.bnpparibas.com.IncorporatedinFrancewithLimitedLiability.RegisteredOffice:16boulevarddesItaliens,75009Paris,France.662042449RCSParis.BNPP–SucursalemPortugalisleadsupervisedbytheEuropeanCentralBank(ECB)andtheAutoritédeContrôlePrudentieletdeRésolution(ACPR).BNPP-SucursalemPortugalisauthorizedbytheECB,theACPRandResolutionanditisauthorizedandsubjecttolimitedregulationbyBancodePortugalandComissãodoMercadodeValoresMobiliários.BNPP-SucursalemPortugalisregisteredinC.R.C.ofLisbonunderno.NIPC980000416.VATNumberPT980000416.”Spain:ThisreportisbeingdistributedinSpainbyBNPParibasS.A.BranchinSpain,abranchofBNPParibasS.A.whoseheadofficeisinParis,France,(RegisteredOffice:16BoulevarddesItaliens,75009,París,France).BNPParibasS.A.BranchinSpain,C/EmilioVargas4,28043MadridisauthorizedandsupervisedbytheEuropeanCentralBank(EC),andAuthoritédeContrôlePrudentieletdeRésolution(ACPR)andlocaltotheBankofSpainandtheSpanishStockExchangeCommission(CNMV).Switzerland:Thisreportisintendedsolelyforcustomerswhoare“QualifiedInvestors”asdefinedinarticle10paragraphs3and4oftheFederalActonCollectiveInvestmentSchemesof23June2006(CISA)andtherelevantprovisionsoftheFederalOrdinanceonCollectiveInvestmentSchemesof22November2006(CISO).“QualifiedInvestors”includes,amongothers,regulatedfinancialintermediariessuchasbanks,securitiestraders,fundmanagementcompaniesandassetmanagersofcollectiveinvestmentschemes,regulatedinsuranceinstitutionsaswellaspensionfundsandcompanieswithprofessionaltreasuryoperations.ThisdocumentmaynotbesuitableforcustomerswhoarenotQualifiedInvestorsandshouldonlybeusedandpassedontoQualifiedInvestors.Forspecificationpurposes,a“SwissCorporateCustomer”isaClientwhichisacorporateentity,incorporatedandexistingunderthelawsofSwitzerlandandwhichqualifiesas“QualifiedInvestor”asdefinedabove."BNPP(Suisse)SAisauthorisedasbankandassecuritiesdealerbytheSwissFinancialMarketSupervisoryAuthorityFINMA.BNPP(Suisse)SAisregisteredattheGenevacommercialregisterunderNo.CHE-102.922.193.BNPP(Suisse)SAisincorporatedinSwitzerlandwithlimitedliability.RegisteredOffice:2,placedeHollande,1204Geneva,Switzerland.Brazil:ThisreportwaspreparedbyBancoBNPPBrasilS.A.orbyitssubsidiaries,affiliatesandcontrolledcompanies,togetherreferredtoas"BNPP",forinformationpurposesonlyanddonotrepresentanofferorrequestforinvestmentordivestmentofassets.BancoBNPPBrasilS.A.isafinancialinstitutiondulyincorporatedinBrazilanddulyauthorizedbytheCentralBankofBrazilandbytheBrazilianSecuritiesCommissiontomanageinvestmentfunds.Notwithstandingthecautiontoobtainandmanagetheinformationhereinpresented,BNPPshallnotberesponsiblefortheaccidentalpublicationofincorrectinformation,norforinvestmentdecisionstakenbasedontheinformationcontainedherein,whichcanbemodifiedwithoutpriornotice.BancoBNPPBrasilS.A.shallnotberesponsibletoupdateorreviseanyinformationcontainedherein.BancoBNPPBrasilS.A.shallnotberesponsibleforanylosscausedbytheuseofanyinformationcontainedherein.Turkey:ThisreportisbeingdistributedinTurkeybyTEBInvestment(TEBYATIRIMMENKULDEĞERLERA.Ş.,TEBKampüsDBlokSarayMahallesi,KüçüksuCadddesiSokulluSokak,No:734768Ümraniye,İstanbul,Turkey,traderegisternumber:358354,www.tebyatirim.com.tr)andTEB(TÜRKEKONOMİBANKASIA.Ş.,TEBKampüsCveDBlok,SarayMahallesiKüçüksuCaddesiSokulluSokakNo:734768Ümraniye,İstanbul,Turkey,Traderegisternumber189356,www.teb.com.tr).NoticePublishedinaccordancewith“CommuniqueonPrinciplesRegardingInvestmentServices,ActivitiesandAncillaryServices”No:III-37.1issuedbytheCapitalMarketsBoardofTurkey.Theinvestmentrelatedinformation,commentaryandrecommendationscontainedhereindonotconstituteinvestmentadvisoryservices.Investmentadvisoryservicesareprovidedinaccordancewithinvestmentadvisoryagreementsexecutedbetweeninvestorsandbrokeragecompaniesorportfoliomanagementcompaniesornon-depositacceptingbanks.Thecommentaryandrecommendationscontainedhereinarebasedonthepersonalviewsofthepersonswhohavemadesuchcommentaryandrecommendations.808July2019 MACROQUANTSTRATEGY|G10FXTheseviewsmaynotconformtoyourfinancialstandingortoyourriskandreturnpreferences.Therefore,investmentdecisionsbasedsolelyontheinformationprovidedhereinmayfailtoproduceresultsinaccordancewithyourexpectations.Israel:BNPPdoesnotholdalicenceundertheInvestmentAdviceandMarketingLawofIsrael,toofferinvestmentadviceofanytype,including,butnotlimitedto,investmentadvicerelatingtoanyfinancialproducts.Bahrain:ThisdocumentisbeingdistributedinBahrainbyBNPPWholesaleBankBahrain,abranchofBNPPS.A.whoseheadofficeisinParis,France(RegisteredOffice:16boulevarddesItaliens,75009Paris,France).BNPPWholesaleBankBahrainislicensedandregulatedasaRegisteredInstitutionbytheCentralBankofBahrain–CBB.Thisdocumentdoesnot,norisitintendedto,constituteanoffertoissue,selloracquire,orsolicitanoffertoselloracquireanysecuritiesortoenterintoanytransaction.SouthAfrica:BNPPisabankincorporatedinFrancewithalocalbranchregisteredwiththeSouthAfricanReserveBankandregisteredasanexternalcompanyintermsoftheSouthAfricanCompaniesAct,2008.BNPPisanauthorisedFinancialServicesProvider(FSP44610)andsubjecttoregulationbytheFinancialServicesBoardandSouthAfricanReserveBank.ItisalsoalicensedmemberoftheJohannesburgStockExchange.BNPPdoesnotexpresslyorbyimplicationrepresent,recommendorproposethattheinformationand/orfinancialproductsreferredtointhisreportareappropriatetotheparticularinvestmentobjectives,financialsituationorparticularneedsoftherecipient.Thisdocumentfurtherdoesnotconstituteadvice(whetherfinancial,legal,taxorotherwise)ascontemplatedintheFinancialAdvisoryandIntermediaryServicesAct,2002.Australia:Thismaterial,andanyinformationinrelatedmarketingpresentations(theMaterial),isbeingdistributedinAustraliabyBNPParibasABN23000000117,abranchofBNPP662042449R.C.S.,alicensedbankwhoseheadofficeisinParis,France.BNPParibasislicensedinAustraliaasaForeignApprovedDeposit-takingInstitutionbytheAustralianPrudentialRegulationAuthority(APRA)anddeliversfinancialservicestoWholesaleclientsunderitsAustralianFinancialServicesLicence(AFSL)No.238043whichisregulatedbytheAustralianSecurities&InvestmentsCommission(ASIC).TheMaterialisdirectedtoWholesaleclientsonlyandisnotintendedforRetailclients(asbothtermsaredefinedbytheCorporationsAct2001,sections761Gand761GA).TheMaterialissubjecttochangewithoutnoticeandBNPParibasisundernoobligationtoupdatetheinformationorcorrectanyinaccuracythatmayappearatalaterdate.China:ThisdocumentisbeingdistributedinthePeople'sRepublicofChina(“PRC”,excludingtheHongKongorMacauSpecialAdministrativeRegionsorTaiwan)byBNPP(China)Limited(“BNPPChina”),asubsidiaryofBNPParibas.BNPPChinaisacommercialbankregulatedbytheChinaBankingandInsuranceRegulatoryCommission.中国：本文件为法国巴黎银行的子公司法国巴黎银行（中国）有限公司（“法巴中国”）在中华人民共和国（简称“中国”，且不包括香港特别行政区、澳门特别行政区及台湾）境内印发。法巴中国是受中国银行保险监督管理委员会监管的商业银行。HongKong-Branch:Thisdocumentispreparedand/ordistributedbyBNPParibasHongKongBranch,abranchofBNPParibaswhoseheadofficeisinParis,France.BNPParibasHongKongBranchisregisteredasaLicensedBankundertheBankingOrdinanceandregulatedbytheHongKongMonetaryAuthority.BNPParibasHongKongBranchisalsoaRegisteredInstitutionregulatedbytheSecuritiesandFuturesCommissionfortheconductofRegulatedActivityTypes1,4,6and9undertheSecuritiesandFuturesOrdinance.Furthermore,wherethecontentrelatestoregulatedproducts/activities,thisdocumentisdirectedat“professionalinvestors”asdefinedintheSecuritiesandFuturesOrdinance.HongKong-Securities:Thisdocumentispreparedand/ordistributedbyBNPParibasSecurities(Asia)Limited.BNPParibasSecurities(Asia)LimitedisaLicensedCorporationregulatedbytheSecuritiesandFuturesCommissionfortheconductofRegulatedActivityTypes1,2,4,and6undertheSecuritiesandFuturesOrdinance.ThisdocumentisintendedonlyfortheProfessionalInvestorsinHongKongSomeproductsortransactionsdescribedinthisdocumentmaynotbeauthorisedinHongKongandmaynotbeavailabletoHongKonginvestors.India-Branch:BNPParibasIndiabranchislicensedbyReserveBankofIndiatocarryonbankingbusinessinIndiaandisregulatedbytheBankingRegulationAct1949,Securities&ExchangeBoardofIndiaAct1992,andotherrelatedregulationsissuedbyGovernmentofIndiaandregulatorybodiessuchasReserveBankofIndia,SecuritiesandExchangeBoardofIndiaetc.fromtimetotime.ForthepurposeofdistributioninIndiathisdocumentisdirectedatcounterpartieswhohavefairknowledgeofriskassociatedwithforeignexchangemarket,InstitutionalInvestors&Counterparties,ExpertInvestorsandforthoseclientsandinvestorswhoseriskmanagementpoliciesareinplaceandisqualifiedinitsentiretytotheproductsandservicesaspermittedundertheextantregulations.India-Securities:InIndia,thisdocumentisbeingdistributedbyBNPPSecuritiesIndiaPvt..Ltd.("BNPPSIPL"),havingitsregisteredofficeat8thfloor,BNPParibasHouse,1NorthAvenue,MakerMaxity,BandraKurlaComplex,Bandra(East),Mumbai400051,INDIA(Tel.no.+912233704000/61964000,Faxno.+912261964363).BNPPSIPLisregisteredwiththeSecuritiesandExchangeBoardofIndia(“SEBI”)asaresearchanalystandasastockbrokerintheEquitiesandtheFutures&OptionssegmentsofNationalStockExchangeofIndiaLtd.(“NSE”)andBSELtd.andintheCurrencyDerivativessegmentofNSE(SEBIRegn.Nos.:INZ000161834,INH000000792;CIN:U74920MH2008FTC182807;Website:www.bnpparibas.co.in).Indonesia:PTBankBNPParibasIndonesiaisregulatedandsupervisedbyOtoritasJasaKeuanganasacommercialbank.TheproductsortransactionsdescribedinthisdocumentmaynotbeauthorisedinIndonesiaandmaynotbeavailabletotheIndonesianinvestorsofPTBankBNPParibasIndonesia.Theinformationinthisdocumentisnotintendedfordistributionto,oruseby,ordoesnotconstituteanyofferto,anypersonorentityinanyjurisdictionwhere(a)thedistributionoruseorofferofsuchinformationwouldbecontrarytolaworregulations,or(b)PTBankBNPParibasIndonesiawouldbecomesubjecttotheapplicablelegalorregulatoryrequirements.Japan-Branch:WherethisdocumentreferstoBankingbusiness,includingFXandrelatedactivities,thisdocumentisbeingdistributedtoJapanesebasedfirmsbyBNPParibas,TokyoBranch,orbyasubsidiaryoraffiliateofBNPParibasnotregisteredasafinancialinstrumentsfirminJapan,onlytoJapan-basedInstitutionalInvestorsandProfessionalInvestorsasdefinedbytheFinancialInstrumentsandExchangeActofJapan.BNPParibasTokyoBranchisaRegisteredFinancialInstitution,KantoFinanceBureau-Kinsho-#98,andamemberoftheJapaneseBankersAssociation(JBA),theJapanSecuritiesDealersAssociationandtheFinancialFuturesAssociationofJapan.BNPParibasTokyoBranchacceptsresponsibilityforthecontentofareportpreparedbyanothernon-JapanaffiliateonlywhendistributedtoJapan-basedfirmsbyBNPPTokyoBranch.Japan-Securities:ThisdocumentisbeingdistributedtoJapanesebasedfirmsbyBNPParibasSecurities(Japan)LimitedorbyasubsidiaryoraffiliateofBNPPnotregisteredasafinancialinstrumentsfirminJapan,tocertainfinancialinstitutionsdefinedbyarticle17-3,item1oftheFinancialInstrumentsandExchangeActEnforcementOrder.BNPParibasSecurities(Japan)LimitedisafinancialinstrumentsfirmregisteredaccordingtotheFinancialInstrumentsandExchangeActofJapanandamemberoftheJapanSecuritiesDealersAssociation,TypeⅡFinancialInstrumentsFirmsAssociationandtheFinancialFuturesAssociationofJapan.BNPParibasSecurities(Japan)Limitedacceptsresponsibilityforthecontentofareportpreparedbyanothernon-JapanaffiliateonlywhendistributedtoJapanbasedfirmsbyBNPParibasSecurities(Japan)Limited.SomeforeignsecuritiesstatedonthisreportarenotdisclosedaccordingtotheFinancialInstrumentsandExchangeActofJapan.Ifthereisanymentionofcreditratingsinthedocument,itisaJapaneseregulatoryrequirementtoincludeaprescribed“explanatorynoteonnon-registeredcreditrating”.Thefulltextiscontainedintheseparatedocumenttitled“AdditionalDisclaimerforJapan”(forbothBranchandSecurities).Malaysia–ThisdocumentisdistributedinMalaysiabyBNPParibasMalaysiaBerhad(CompanyNo.918091-T)whichisincorporatedinMalaysiaundertheCompaniesActofMalaysia,2016(firstenacted1965)andasubsidiaryofBNPParibas.ItisalicensedinstitutionundertheFinancialServicesAct2013andisregulatedbyBankNegaraMalaysia.Thisdocumentisdirectedonlytoaccreditedinvestorsandhighnet-worthentitiesasdefinedunderSchedules6and7oftheCapitalMarketsServicesAct2007.Singapore-Branch:ThisdocumentisdistributedinSingaporebyBNPParibas,SingaporeBranch,alicensedbankregulatedbytheMonetaryAuthorityofSingapore.ThisdocumentisdirectedatInstitutionalInvestorsandAccreditedInvestorswithinthemeaningoftheSecuritiesandFuturesAct,Chapter289ofSingapore.SomeproductsortransactionsdescribedinthisdocumentmaynotbeauthorisedinSingaporeandmaynotbeavailabletoSingaporeinvestors.ThisdocumentmayconstituteaproductadvertisementwithinthemeaningoftheFinancialAdvisersRegulationsortheSecuritiesandFutures(LicensingandConductofBusiness)RegulationsofSingapore,inwhichcasethisadvertisementhasnotbeenreviewedbytheMonetaryAuthorityofSingapore.908July2019 MACROQUANTSTRATEGY|G10FXSouthKorea-Branch:ThisdocumentisbeingdistributedbyBNPParibasSeoulBranchwhoisregulatedbytheFinancialServicesCommissionandFinancialSupervisoryServicefortheconductofitsfinancialinvestmentbusinessintheRepublicofKorea.SouthKorea-Securities:BNPParibasSecuritiesKoreaisregisteredasaLicensedFinancialInvestmentBusinessEntityundertheFinancialInvestmentBusinessandCapitalMarketsActandregulatedbytheFinancialSupervisoryServiceandFinancialServicesCommission.ThisdocumentisdistributedbyBNPParibasSecuritiesKoreaCo.,Ltd.intheRepublicofKoreatoProfessionalInvestorsonlyandisnotintendedforinvestorsinKoreawhoarenotProfessionalInvestorwithinthemeaningoftheArticle9(5)(professionalinvestor)oftheFinancialInvestmentBusinessandCapitalMarketsActandshouldnotbepassedontoanysuchpersons.SomeproductsortransactionsdescribedinthisdocumentmaynotbeauthorisedinKoreaandmaynotbeavailabletoKoreaninvestors.Taiwan-Branch:ThisdocumentisbeingdistributedinTaiwanbyBNPParibasTaipeiBranch,TaichungBranch,KaohsiungBranchand/orOffshoreBankingUnit,branchesofBNPParibasandareregulatedbytheFinancialSupervisoryCommission,R.O.CundertheBankingActandOffshoreBankingAct.ThisdocumentisdirectedonlyatTaiwanesecounterpartieswhoarelicensedorwhohavethecapacitiestopurchaseortransactinsuchproducts.SomeproductsortransactionsdescribedinthisdocumentmaynotbeauthorisedinTaiwanandmaynotbeavailabletoTaiwaninvestors.Taiwan-Securities:ThisdocumentisbeingdistributedinTaiwanbyBNPParibasSecurities(Taiwan)Co.LtdwhoisregulatedbytheFinancialSupervisoryCommission,R.O.C.Thisdocumentisdirectedatprofessionalinvestorsonly.Thailand:BNPParibasBangkokbranchisregulatedinThailandbytheBankofThailandandtheSecuritiesandExchangeCommission.ThisdocumentdoesnotconstituteanoffertoselltoorsolicitationofanoffertobuyfromanypersonanyfinancialproductswhereitisunlawfultomaketheofferorsolicitationinThailand.Vietnam:ThisdocumentisdistributedinVietnambyBNPParibasHoChiMinhCityBranch,registeredinVietnamunderNo.05/NH-GPandBNPParibasHanoiBranchregisteredunderNo.05/GP-NHNN.ThispublicationisdirectedatinvestorswhohavelegalstandingandisnotintendedforPrivateCustomersintheterritoryofVietnamandshouldnotbepassedontoanysuchpersons.ItisdirectedonlyatVietnamesecounterpartieswhohavethecapacityandlicenceauthorisedbySBVtopurchasefromortransactwithoffshorecounterparties.TàiliệunàyđượcphânphátbởichinhánhngânhàngBNPParibastạiThànhphốHồChíMinh,giấyphépsố05/NH-GPvàchinhánhngânhàngBNPParibasChinhánhHànội,giấpphépsố05/GP-NHNN.Ấnbảnnàydànhchonhữngđốitáccótưcáchphápnhân,khôngcóýđịnhdànhchonhữngnhàđầutưcánhântrênlãnhthổViệtnamvàkhôngđượcđưatớinhữngngườinày.TàiliệunàychỉdànhchođốitácViệtnamcókhảnăngvàcógiấyphépcủaNgânhàngNhànướcgiaodịchvớiđốitácnướcngoài.Someoralloftheinformationcontainedinthisdocumentmayalreadyhavebeenpublishedonhttps://globalmarkets.bnpparibas.com©BNPP(2019).Allrightsreserved.IMPORTANTDISCLOSURESbyproducersanddisseminatorsofinvestmentrecommendationsforthepurposesoftheMarketAbuseRegulation:Althoughthedisclosuresprovidedhereinhavebeenpreparedonthebasisofinformationwebelievetobeaccurate,wedonotguaranteetheaccuracy,completenessorreasonablenessofanysuchdisclosures.Thedisclosuresprovidedhereinhavebeenpreparedingoodfaithandarebasedoninternalcalculations,whichmayinclude,withoutlimitation,roundingandapproximations.BNPPand/oritsaffiliatesmaybeamarketmakerorliquidityproviderinfinancialinstrumentsoftheissuermentionedintherecommendation.BNPPand/oritsaffiliatesmayprovidesuchservicesasdescribedinSectionsAandBofAnnexIofMiFIDII(Directive2014/65/EU),totheIssuertowhichthisinvestmentrecommendationrelates.However,BNPPisunabletodisclosespecificrelationships/agreementsduetoclientconfidentialityobligations.SectionAandBservicesincludeA.Investmentservicesandactivities:(1)Receptionandtransmissionofordersinrelationtooneormorefinancialinstruments;(2)Executionofordersonbehalfofclients;(3)Dealingonownaccount;(4)Portfoliomanagement;(5)Investmentadvice;(6)Underwritingoffinancialinstrumentsand/orplacingoffinancialinstrumentsonafirmcommitmentbasis;(7)Placingoffinancialinstrumentswithoutafirmcommitmentbasis;(8)OperationofanMTF;and(9)OperationofanOTF.B.Ancillaryservices:(1)Safekeepingandadministrationoffinancialinstrumentsfortheaccountofclients,includingcustodianshipandrelatedservicessuchascash/collateralmanagementandexcludingmaintainingsecuritiesaccountsatthetoptierlevel;(2)Grantingcreditsorloanstoaninvestortoallowhimtocarryoutatransactioninoneormorefinancialinstruments,wherethefirmgrantingthecreditorloanisinvolvedinthetransaction;(3)Advicetoundertakingsoncapitalstructure,industrialstrategyandrelatedmattersandadviceandservicesrelatingtomergersandthepurchaseofundertakings;(4)Foreignexchangeserviceswheretheseareconnectedtotheprovisionofinvestmentservices;(5)Investmentresearchandfinancialanalysisorotherformsofgeneralrecommendationrelatingtotransactionsinfinancialinstruments;(6)Servicesrelatedtounderwriting;and(7)InvestmentservicesandactivitiesaswellasancillaryservicesofthetypeincludedunderSectionAorBofAnnex1relatedtotheunderlyingofthederivativesincludedunderpoints(5),(6),(7)and(10)ofSectionC(detailingtheMiFIDIIFinancialInstruments)wheretheseareconnectedtotheprovisionofinvestmentorancillaryservices.BNPPand/oritsaffiliatesdonot,asamatterofpolicy,permitpre-arrangementswithissuerstoproducerecommendations.BNPPand/oritsaffiliatesasamatterofpolicydonotpermitissuerstorevieworseeunpublishedrecommendations.BNPPand/oritsaffiliatesacknowledgetheimportanceofconflictsofinterestpreventionandhaveestablishedrobustpoliciesandproceduresandmaintaineffectiveorganisationalstructuretopreventandavoidconflictsofinterestthatcouldimpairtheobjectivityofthisrecommendationincluding,butnotlimitedto,informationbarriers,personalaccountdealingrestrictionsandmanagementofinsideinformation.BNPPand/oritsaffiliatesunderstandtheimportanceofprotectingconfidentialinformationandmaintaina“needtoknow”approachwhendealingwithanyconfidentialinformation.Informationbarriersareakeyarrangementwehaveinplaceinthisregard.Sucharrangements,alongwithembeddedpoliciesandprocedures,providethatinformationheldinthecourseofcarryingononepartofitsbusinesstobewithheldfromandnottobeusedinthecourseofcarryingonanotherpartofitsbusiness.Itisawayofmanagingconflictsofinterestwherebythebusinessofthebankisseparatedbyphysicalandnon-physicalinformationbarriers.TheControlRoommanagesthisinformationflowbetweendifferentareasofthebankwhereconfidentialinformationincludinginsideinformationandproprietaryinformationissafeguarded.Thereisalsoaconflictclearanceprocessbeforegettinginvolvedinadealortransaction.Inaddition,thereisamitigationmeasuretomanageconflictsofinterestforeachtransactionwithcontrolsputinplacetorestricttheinformationflow,involvementofpersonnelandhandlingofclientrelationsbetweeneachtransactioninsuchawaythatthedifferentinterestsareappropriatelyprotected.GiftsandEntertainmentpolicyistomonitorphysicalgifts,benefitsandinvitationtoeventsthatisinlinewiththefirmpolicyandAnti-Briberyregulations.BNPPmaintainsseveralpolicieswithrespecttoconflictsofinterestincludingourPersonalAccountDealingandOutsideBusinessInterestspolicieswhichsitalongsideourgeneralConflictsofInterestPolicy,alongwithseveralpoliciesthatthefirmhasinplacetopreventandavoidconflictsofinterest.TheremunerationoftheindividualproduceroftheinvestmentrecommendationmaybelinkedtotradingoranyotherfeesinrelationtotheirglobalbusinesslinereceivedbyBNPPand/oraffiliates.IMPORTANTDISCLOSURESbydisseminatorsofinvestmentrecommendationsforthepurposesoftheMarketAbuseRegulation:TheBNPPdisseminatoroftheinvestmentrecommendationisidentifiedaboveincludinginformationregardingtherelevantcompetentauthoritieswhichregulatethedisseminator.ThenameoftheindividualproducerwithinBNPPoranaffiliateandthelegalentitytheindividualproducerisassociatedwithisidentifiedaboveinthisdocument.ThedateandtimeofthefirstdisseminationofthisinvestmentrecommendationbyBNPPoranaffiliateisaddressedabove.WherethisinvestmentrecommendationiscommunicatedbyBloombergchatorbyemailbyanindividualwithinBNPPoranaffiliate,thedateandtimeofthedisseminationbytherelevantindividualiscontainedinthecommunicationbythatindividualdisseminator.Thedisseminatorandproduceroftheinvestmentrecommendationsarepartofthesamegroup,i.e.theBNPPgroup.TherelevantMarketAbuseRegulationdisclosuresrequiredtobemadebyproducersanddisseminatorsofinvestmentrecommendationsareprovidedbytheproducerforandonbehalfoftheBNPPGrouplegalentitiesdisseminatingthoserecommendationsandthesamedisclosuresalsoapplytothedisseminator.IfaninvestmentrecommendationisdisseminatedbyanindividualwithinBNPPoranaffiliateviaBloombergchatoremail,thedisseminator’sjobtitleisavailableintheirBloombergprofileorbio.IfaninvestmentrecommendationisdisseminatedbyanindividualwithinBNPPoranaffiliateviaemail,theindividualdisseminator’sjobtitleisavailableintheiremailsignature.Forfurtherdetailsonthebasisofrecommendationspecificdisclosuresavailableatthislink(e.g.valuationsormethodologies,andtheunderlyingassumptions,usedtoevaluatefinancialinstrumentsorissuers,interestsorconflictsthatcouldimpairobjectivityrecommendationsorto12monthhistoryofrecommendationshistory)areavailableat1008July2019 MACROQUANTSTRATEGY|G10FXhttps://globalmarkets.bnpparibas.com/gmportal/private/globalTradeIdea.IfyouareunabletoaccessthewebsitepleasecontactyourBNPPrepresentativeforacopyofthisdocument.1108July2019