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
USDCOP short term value (FV=2886)
2977 1.32 1.30 2927 1.28 2877 1.26 2827 1.24 2777 20-Dec-2017
USDCAD short term value (FV=1.2809)
20-Jan-2018 STEER
20-Feb-2018 USDCOP
1.22 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 USDCAD
BNP Paribas STEERTM Model - Trading Signals Entry Date Position Entry Rate Target Stop Loss Close Rate Return (%)
Signals Updated Today
New Signals no new signals today Closed Signals
09-Mar-18 16-Mar-18 SHORT USDZAR SHORT USDTRY 11.9223 3.8956 12.0260 (19-Mar-18) 3.9262 (19-Mar-18) -0.87 -0.79
Existing Signals
13-Mar-18 16-Mar-18 SHORT USDIDR LONG USDCOP 13774 2845.02 13674 2865.82 13824 2834.62 -0.24 0.27
Recently Closed Signals
05-Mar-18 13-Mar-18 13-Mar-18 Notes:SHORT USDCAD LONG USDCOP LONG EURUSD 1.2906 2842.50 1.2327 1.3009 (15-Mar-18) 2862.34 (15-Mar-18) 1.2317 (16-Mar-18) -0.80 0.70 -0.08
STEERTM currently has no open trading signals for the G10. The majority of pairs are either trading close to fair-value (GBPUSD) or are not cointegrated (USDJPY, EURUSD).USDCAD remains very overvalued versus its STEER. The pair is now 3.1 z-scores above fair-value, in contrast to the start of February when the pair was 3.0 z-scores below fair-value.In EM, USD appears undervalued versus COP, but overvalued versus IDR. STEER remains long USDCOP targeting 2865.82 and short USDIDR targeting 13674.STEER has closed out both its short USDZAR and USDTRY signals for an overall loss of 1.66%. See MAR disclosures here.
Please refer to important information at the end of the report
www.GlobalMarkets.bnpparibas
15+
2 3 4500+
BNP Paribas STEERTM Model G10 Deviation from short-term value (z-score)
4.0 3.0 2.0 1.0 0.0
-1.0
-2.0 -3.0
EURUSD USDJPY EURGBP AUDUSD EURNOK NZDUSD EURCHF GBPUSD EURSEK USDCAD
12-Mar-2018 Currency STEER Spot z-score Upper Bound Lower Bound EURUSD 1.2574 1.2270 1.2801 1.2348 USDJPY 108.96 105.70 111.7683 106.1429 EURGBP 0.9037 0.8810 0.9322 0.8753 AUDUSD 0.7751 0.7700 0.7891 0.7611 EURNOK 9.5641 9.4940 9.7607 9.3675 NZDUSD 0.7248 0.7210 0.7470 0.7026
19-Mar-2018 EURCHF 1.1709 1.1700 1.1966 1.1453 GBPUSD 1.3914 1.3930 1.4123 1.3705 EURSEK 9.9171 10.0720 10.0628 9.7713 USDCAD 1.2809 1.3110 1.2957 1.2661
-2.02(-2.49%) -1.72(-3.05%) -1.21(-2.61%) -0.58(-0.70%) -0.54(-0.74%) -0.28(-0.58%) -0.07(-0.10%) 0.11(0.11%) 1.60(1.54%) 3.08(2.32%)
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 1: EURUSD short term value (FV=1.2574)
117 1.28 115 1.26 1.24 1.22 1.20 1.18 20-Dec-2017 113 111 109 107 105 20-Dec-2017
Chart 2: USDJPY short term value (FV=108.96)
20-Jan-2018 STEER
20-Feb-2018 EURUSD
20-Jan-2018 STEER
20-Feb-2018 USDJPY
Chart 3: EURGBP short term value (FV=0.9037)
0.95 0.93 0.91 0.89 0.87 0.85 20-Dec-2017 0.82 0.81 0.80 0.79 0.78 0.77 0.76 0.75 20-Jan-2018 STEER 20-Feb-2018 EURGBP
Chart 4: AUDUSD short term value (FV=0.7751)
0.74 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 AUDUSD
19 March 2018 www.GlobalMarkets.bnpparibasChart 5: EURNOK short term value (FV=9.5641)
10.08 9.88 9.68 9.48 9.28 9.08 20-Dec-2017
Chart 6: NZDUSD short term value (FV=0.7248)
0.76 0.75 0.74 0.73 0.72 0.71 0.70 0.69 0.68 0.67 0.66 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 EURNOK
20-Jan-2018 STEER
20-Feb-2018 NZDUSD
Chart 7: EURCHF short term value (FV=1.1709)
1.43 1.24 1.41 1.22 1.20 1.18 1.16 1.14 1.12 20-Dec-2017 1.39 1.37 1.35 1.33
Chart 8: GBPUSD short term value (FV=1.3914)
20-Jan-2018 STEER
20-Feb-2018 EURCHF
1.31 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 GBPUSD
Chart 9: EURSEK short term value (FV=9.9171)
10.13 10.03 9.93 9.83 9.73 9.63 9.53 9.43 20-Dec-2017 20-Jan-2018 STEER 20-Feb-2018 EURSEK
Chart 10: USDCAD short term value (FV=1.2809)
1.32 1.30 1.28 1.26 1.24 1.22 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 USDCAD
Driving Factors Behind the Moves
% w/w contribution to change in STEER
2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0% -1.5% -2.0% EURUSD Oil GBPUSD Equities AUDUSD NZDUSD USDJPY Rate Diff USDCAD EURNOK EURSEK EURCHF
Relative Yield Curve
Relative Equities
w/w change in Spot 3
19 March 2018 www.GlobalMarkets.bnpparibas
BNP Paribas STEERTM Model - CEEMEA Deviation from short-term value (z-score)
3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0
USDILS EURCZK EURHUF EURPLN USDRUB EURRON USDZAR USDTRY
12-Mar-2018 Currency STEER Spot z-score Upper Bound Lower Bound USDILS 3.4615 3.4580 3.4914 3.4316 EURCZK 25.4227 25.4330 25.5429 25.3026 EURHUF 310.26 311.00 312.2994 308.2140 EURPLN 4.1926 4.2180 4.2221 4.1630
19-Mar-2018 USDRUB 56.9839 57.5850 57.6733 56.2946 EURRON 4.6364 4.6710 4.6593 4.6134 USDZAR 11.5991 12.0390 11.8865 11.3116 USDTRY 3.7924 3.9360 3.8825 3.7023
-0.20(-0.11%) 0.13(0.04%) 0.54(0.24%) 1.27(0.60%) 1.31(1.04%) 2.28(0.75%) 2.29(3.65%) 2.39(3.64%)
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 11: USDILS short term value (FV=3.4615)
3.55 3.53 3.51 3.49 3.47 3.45 3.43 3.41 3.39 3.37 20-Dec-2017 STEER 20-Feb-2018 USDILS 25.88 25.78 25.68 25.58 25.48 25.38 25.28 25.18 20-Dec-2017 20-Jan-2018 STEER 20-Feb-2018 EURCZK
Chart 12: EURCZK short term value (FV=25.4227)
Chart 13: EURHUF short term value (FV=310.26)
4.25 314 4.23 312 310 308 306 304 20-Dec-2017 4.21 4.19 4.17 4.15 4.13 20-Jan-2018 STEER 20-Feb-2018 EURHUF
Chart 14: EURPLN short term value (FV=4.1926)
4.11 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 EURPLN
19 March 2018 www.GlobalMarkets.bnpparibasChart 15: USDRUB short term value (FV=56.9839)
59.66 59.16 58.66 58.16 57.66 57.16 56.66 56.16 55.66 55.16 20-Dec-2017 20-Jan-2018 STEER 20-Feb-2018 USDRUB
Chart 16: EURRON short term value (FV=4.6364)
4.67 4.65 4.63 4.61 4.59 4.57 20-Dec-2017
20-Jan-2018 STEER
20-Feb-2018 EURRON
Chart 17: USDZAR short term value (FV=11.5991)
3.96 3.91 13.00 12.50 12.00 11.50 11.00 20-Dec-2017 3.86 3.81 3.76 3.71 3.66 20-Jan-2018 STEER 20-Feb-2018 USDZAR
Chart 18: USDTRY short term value (FV=3.7924)
13.50
3.61 20-Dec-2017 STEER
20-Feb-2018 USDTRY
Driving Factors Behind the Moves
3% 3% 2% 2% 1% 1% 0% -1% -1% EURPLN Comdty EURCZK EURHUF EURRON Rate Diff USDZAR Local Equties USDTRY USDILS Local CDS USDRUB Spot
% w/w contribution to change in CEEMEA
World Equities
19 March 2018 www.GlobalMarkets.bnpparibasBNP Paribas STEERTM Model - Asia Deviation from short-term value (z-score)
2.5 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5
USDSGD USDTHB USDTWD USDKRW USDINR USDMYR USDIDR USDPHP
12-Mar-2018 Currency STEER Spot z-score Upper Bound Lower Bound USDSGD 1.3267 1.3180 1.3377 1.3157 USDTHB 31.3101 31.2080 31.6152 31.0051 USDTWD 29.1597 29.1750 29.3149 29.0045 USDKRW 1066 1072 1077.0774 1054.6924
19-Mar-2018 USDINR 64.7615 65.0460 65.2227 64.3003 USDMYR 3.8890 3.9160 3.9327 3.8452 USDIDR 13705 13804 13839.3300 13571.1600 USDPHP 51.1828 52.0600 52.1616 50.2040
-1.17(-0.65%) -0.50(-0.33%) 0.15(0.05%) 0.76(0.53%) 0.93(0.44%) 0.94(0.70%) 1.10(0.72%) 1.34(1.68%)
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 19: USDSGD short term value (FV=1.3267)
1.36 1.35 1.34 1.33 1.32 1.31 1.30 20-Dec-2017 32.75 32.55 32.35 32.15 31.95 31.75 31.55 31.35 31.15 30.95 20-Dec-2017
Chart 20: USDTHB short term value (FV=31.3101)
20-Jan-2018 STEER
20-Feb-2018 USDSGD
20-Jan-2018 STEER
20-Feb-2018 USDTHB
Chart 21: USDTWD short term value (FV=29.1597)
30.09 29.89 29.69 29.49 29.29 29.09 28.89 20-Dec-2017 1104 1094 1084 1074 1064 1054 1044
Chart 22: USDKRW short term value (FV=1066)
20-Jan-2018 STEER
20-Feb-2018 USDTWD
1034 20-Dec-2017