13 August 20182
GlobalMarkets.bnpparibas
BNP Paribas STEER Model – G10
Deviation from short-term value (z-score)
Currency EURCHF AUDUSD EURUSD GBPUSD NZDUSD EURGBP EURNOK USDJPY EURSEK USDCAD
STEER 1.1603 0.7543 1.1780 1.3225 0.6936 0.8908 9.4905 108.93 10.2287 1.2800
Spot 1.1340 0.7290 1.1400 1.2760 0.6580 0.8930 9.5600 110.40 10.4360 1.3150
z-score -2.45(-2.34%) -2.40(-3.51%) -2.34(-3.32%) -2.15(-3.61%) -2.02(-5.37%) 0.16(0.29%) 0.61(0.73%) 0.66(1.28%) 1.90(1.98%) 2.96(2.65%)
Upper Bound 1.1766 0.7703 1.2022 1.3546 0.7199 0.9148 9.6624 112.1451 10.3922 1.2976
Lower Bound 1.1440 0.7383 1.1538 1.2904 0.6673 0.8667 9.3186 105.7194 10.0652 1.2623
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 1: EURCHF short term value (FV=1.1603)Chart 2: AUDUSD short term value (FV=0.7543)
Chart 3: EURUSD short term value (FV=1.1780)Chart 4: GBPUSD short term value (FV=1.3225)
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
EURCHFAUDUSDEURUSDGBPUSDNZDUSDEURGBPEURNOKUSDJPYEURSEKUSDCAD
06-Aug-201813-Aug-2018
1.13
1.14
1.15
1.16
1.17
1.18
1.19
1.20
1.21
1.22
1.23
16-May-201816-Jun-201816-Jul-2018
STEEREURCHF
0.71
0.72
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.80
16-May-201816-Jun-201816-Jul-2018
STEERAUDUSD
1.13
1.15
1.17
1.19
1.21
1.23
1.25
16-May-201816-Jun-201816-Jul-2018
STEEREURUSD
1.27
1.29
1.31
1.33
1.35
1.37
1.39
1.41
1.43
16-May-201816-Jun-201816-Jul-2018
STEERGBPUSD
13 August 20183
GlobalMarkets.bnpparibas
Chart 5: NZDUSD short term value (FV=0.6936)Chart 6: EURGBP short term value (FV=0.8908)
Chart 7: EURNOK short term value (FV=9.4905)Chart 8: USDJPY short term value (FV=108.93)
Chart 9: EURSEK short term value (FV=10.2287)Chart 10: USDCAD short term value (FV=1.2800)
Driving Factors Behind the Moves
0.65
0.67
0.69
0.71
0.73
0.75
16-May-201816-Jun-201816-Jul-2018
STEERNZDUSD
0.83
0.84
0.85
0.86
0.87
0.88
0.89
0.90
0.91
0.92
16-May-201816-Jun-201816-Jul-2018
STEEREURGBP
9.20
9.30
9.40
9.50
9.60
9.70
9.80
9.90
16-May-201816-Jun-201816-Jul-2018
STEEREURNOK
104
105
106
107
108
109
110
111
112
113
16-May-201816-Jun-201816-Jul-2018
STEERUSDJPY
9.93
10.03
10.13
10.23
10.33
10.43
10.53
10.63
10.73
16-May-201816-Jun-201816-Jul-2018
STEEREURSEK
1.25
1.26
1.27
1.28
1.29
1.30
1.31
1.32
1.33
1.34
16-May-201816-Jun-201816-Jul-2018
STEERUSDCAD
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNOKEURSEKEURCHF
% w/w contribution to change in STEER
OilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in Spot
13 August 20184
GlobalMarkets.bnpparibas
BNP Paribas STEER Model - CEEMEA
Deviation from short-term value (z-score)
Currency EURCZK EURRON EURHUF EURPLN USDRUB USDILS USDZAR USDTRY
STEER 25.7990 4.6527 323.30 4.2778 65.9849 3.6434 13.4986 5.6181
Spot 25.7050 4.6580 323.90 4.3070 67.6910 3.7140 14.3830 6.6510
z-score -1.00(-0.37%) 0.51(0.12%) 0.52(0.19%) 1.23(0.68%) 2.21(2.52%) 2.68(1.89%) 5.84(6.15%) 9.75(15.53%)
Upper Bound 25.9402 4.6693 325.0505 4.3133 67.1423 3.6827 13.7259 5.7770
Lower Bound 25.6578 4.6362 321.5469 4.2423 64.8275 3.6042 13.2713 5.4592
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 11: EURCZK short term value (FV=25.7990)Chart 12: EURRON short term value (FV=4.6527)
Chart 13: EURHUF short term value (FV=323.30)Chart 14: EURPLN short term value (FV=4.2778)
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
EURCZKEURRONEURHUFEURPLNUSDRUBUSDILSUSDZARUSDTRY
06-Aug-201813-Aug-2018
25.36
25.46
25.56
25.66
25.76
25.86
25.96
26.06
26.16
16-May-201816-Jun-201816-Jul-2018
STEEREURCZK
4.61
4.62
4.63
4.64
4.65
4.66
4.67
4.68
16-May-201816-Jun-201816-Jul-2018
STEEREURRON
313
315
317
319
321
323
325
327
329
16-May-201816-Jun-201816-Jul-2018
STEEREURHUF
4.21
4.26
4.31
4.36
4.41
16-May-201816-Jun-201816-Jul-2018
STEEREURPLN。。。