Please refer to important information at the end of the report GlobalMarkets.bnpparibas
This document has been produced by:
BNP Paribas London Branch
Michael Sneyd, CFA, Global Head of FX Strategy
& Cross-Asset Strategist Natalie Rickard, FX Strategist Alex Jekov , Graduate
Kris Gjini, Graduate
Entry Date Position Entry Rate Target Stop Loss Close Rate Return (%)
Signals Updated Today
New Signals – no new signals today
Closed Signals
23-Mar-18 LONG USDIDR 13824 - - 13787 (23-Mar-18) -0.27
Existing Signals
23-Mar-18 LONG USDRUB 57.1056 57.5175 56.8996 - 0.22
Recently Closed Signals
21-Mar-18 SHORT USDKRW 1070.98 - - 1064.77 (22-Mar-18) 0.58
20-Mar-18 SHORT EURSEK 10.080 - - 10.1704 (23-Mar-18) -0.90
22-Mar-18 SHORT USDKRW 1070.23 - - 1074.03 (23-Mar-18) -0.36
Notes:
?Most G10 pairs appear to be trading broadly in line with their respective fair values. The decline in global equity markets has led
to EURUSD’s STEER declining over the past week and EURUSD is now fairly valued versus its STEER of 1.2319.
?STEER remains long USDRUB. The pair’s STEER has risen over the past week in line with global equity markets declining as well
as widening CDS, leaving room for spot to move higher. The pair currently appears 2.26 z-scores undervalued.
?USDTRY’s STEER has risen to 4.0372 as Turkey’s CDS widened, leaving spot undervalued at current levels – though not yet
enough to trigger a trading signal.
?STEER? closed its long USDIDR signal for a loss of -0.27%.
See MAR disclosures here.
USDRUB short term value (FV=58.1680) USDTRY short term value (FV=4.0372)
BNP Paribas STEER? Model - Trading Signals
55.16
55.66
56.16
56.66
57.16
57.66
58.16
58.66
59.16
59.66
27-Dec-201727-Jan-201827-Feb-2018
STEERUSDRUB
3.61
3.71
3.81
3.91
4.01
4.11
27-Dec-201727-Feb-2018
STEERUSDTRY
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26 March 2018 2
GlobalMarkets.bnpparibas
BNP Paribas STEER? Model – G10
Deviation from short-term value (z-score)
Currency AUDUSD EURGBP USDJPY EURUSD GBPUSD EURNOK EURCHF NZDUSD USDCAD EURSEK
STEER 0.7757 0.8769 105.18 1.2319 1.4048 9.4613 1.1555 0.7120 1.2764 9.9191
Spot 0.7720 0.8740 105.00 1.2370 1.4160 9.5800 1.1720 0.7270 1.2870 10.1880
z-score -0.38(-0.46%) -0.17(-0.37%) -0.10(-0.18%) 0.33(0.41%) 0.81(0.78%) 0.91(1.24%) 0.96(1.38%) 1.00(2.03%) 1.03(0.82%) 2.63(2.64%)
Upper Bound 0.7896 0.9053 108.0002 1.2549 1.4253 9.6573 1.1808 0.7342 1.2918 10.0724
Lower Bound 0.7619 0.8486 102.3510 1.2090 1.3843 9.2654 1.1303 0.6898 1.2610 9.7658
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 1: AUDUSD short term value (FV=0.7757) Chart 2: EURGBP short term value (FV=0.8769)
Chart 3: USDJPY short term value (FV=105.18) Chart 4: EURUSD short term value (FV=1.2319)
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
AUDUSDEURGBPUSDJPYEURUSDGBPUSDEURNOKEURCHFNZDUSDUSDCADEURSEK
19-Mar-201826-Mar-2018
0.74
0.75
0.76
0.77
0.78
0.79
0.80
0.81
0.82
27-Dec-201727-Jan-201827-Feb-2018
STEERAUDUSD
0.84
0.86
0.88
0.90
0.92
0.94
27-Dec-201727-Jan-201827-Feb-2018
STEEREURGBP
102
104
106
108
110
112
114
116
27-Dec-201727-Jan-201827-Feb-2018
STEERUSDJPY
1.18
1.20
1.22
1.24
1.26
1.28
27-Dec-201727-Jan-201827-Feb-2018
STEEREURUSD
26 March 2018 3
GlobalMarkets.bnpparibas
Chart 5: GBPUSD short term value (FV=1.4048) Chart 6: EURNOK short term value (FV=9.4613)
Chart 7: EURCHF short term value (FV=1.1555) Chart 8: NZDUSD short term value (FV=0.7120)
Chart 9: USDCAD short term value (FV=1.2764) Chart 10: EURSEK short term value (FV=9.9191)
Driving Factors Behind the Moves
1.32
1.34
1.36
1.38
1.40
1.42
1.44
27-Dec-201727-Jan-201827-Feb-2018
STEERGBPUSD
9.08
9.28
9.48
9.68
9.88
10.08
27-Dec-201727-Jan-201827-Feb-2018
STEEREURNOK
1.12
1.14
1.16
1.18
1.20
1.22
1.24
27-Dec-201727-Jan-201827-Feb-2018
STEEREURCHF
0.66
0.67
0.68
0.69
0.70
0.71
0.72
0.73
0.74
0.75
0.76
27-Dec-201727-Jan-201827-Feb-2018
STEERNZDUSD
1.22
1.23
1.24
1.25
1.26
1.27
1.28
1.29
1.30
1.31
27-Dec-201727-Jan-201827-Feb-2018
STEERUSDCAD
9.43
9.53
9.63
9.73
9.83
9.93
10.03
10.13
27-Dec-201727-Jan-201827-Feb-2018
STEEREURSEK
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNOKEURSEKEURCHF
% w/w contribution to change in STEER
OilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in Spot