20 August 20182
GlobalMarkets.bnpparibas
BNP Paribas STEER Model – G10
Deviation from short-term value (z-score)
Currency GBPUSD EURCHF EURUSD AUDUSD NZDUSD USDJPY EURGBP EURNOK USDCAD EURSEK
STEER 1.3191 1.1562 1.1693 0.7485 0.6887 109.16 0.8864 9.5160 1.2846 10.1471
Spot 1.2740 1.1360 1.1420 0.7300 0.6620 110.60 0.8970 9.6520 1.3070 10.4660
z-score -2.06(-3.57%) -1.77(-1.78%) -1.65(-2.40%) -1.61(-2.47%) -1.49(-4.07%) 0.65(1.27%) 0.66(1.14%) 1.18(1.41%) 1.79(1.68%) 2.80(3.05%)
Upper Bound 1.3523 1.1733 1.1941 0.7653 0.7159 112.3713 0.9095 9.6887 1.3030 10.3183
Lower Bound 1.2860 1.1391 1.1444 0.7316 0.6616 105.9455 0.8632 9.3432 1.2662 9.9758
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 1: GBPUSD short term value (FV=1.3191)Chart 2: EURCHF short term value (FV=1.1562)
Chart 3: EURUSD short term value (FV=1.1693)Chart 4: AUDUSD short term value (FV=0.7485)
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
GBPUSDEURCHFEURUSDAUDUSDNZDUSDUSDJPYEURGBPEURNOKUSDCADEURSEK
13-Aug-201820-Aug-2018
1.26
1.28
1.30
1.32
1.34
1.36
1.38
1.40
1.42
23-May-201823-Jun-201823-Jul-2018
STEERGBPUSD
1.12
1.14
1.16
1.18
1.20
1.22
23-May-201823-Jun-201823-Jul-2018
STEEREURCHF
1.13
1.15
1.17
1.19
1.21
1.23
1.25
23-May-201823-Jun-201823-Jul-2018
STEEREURUSD
0.71
0.72
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.80
23-May-201823-Jun-201823-Jul-2018
STEERAUDUSD
20 August 20183
GlobalMarkets.bnpparibas
Chart 5: NZDUSD short term value (FV=0.6887)Chart 6: USDJPY short term value (FV=109.16)
Chart 7: EURGBP short term value (FV=0.8864)Chart 8: EURNOK short term value (FV=9.5160)
Chart 9: USDCAD short term value (FV=1.2846)Chart 10: EURSEK short term value (FV=10.1471)
Driving Factors Behind the Moves
0.65
0.67
0.69
0.71
0.73
0.75
23-May-201823-Jun-201823-Jul-2018
STEERNZDUSD
104
105
106
107
108
109
110
111
112
113
23-May-201823-Jun-201823-Jul-2018
STEERUSDJPY
0.83
0.84
0.85
0.86
0.87
0.88
0.89
0.90
0.91
0.92
23-May-201823-Jun-201823-Jul-2018
STEEREURGBP
9.20
9.30
9.40
9.50
9.60
9.70
9.80
23-May-201823-Jun-201823-Jul-2018
STEEREURNOK
1.25
1.26
1.27
1.28
1.29
1.30
1.31
1.32
1.33
1.34
23-May-201823-Jun-201823-Jul-2018
STEERUSDCAD
9.93
10.03
10.13
10.23
10.33
10.43
10.53
10.63
23-May-201823-Jun-201823-Jul-2018
STEEREURSEK
-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
20 August 20184
GlobalMarkets.bnpparibas
BNP Paribas STEER Model - CEEMEA
Deviation from short-term value (z-score)
Currency EURCZK EURRON USDTRY USDRUB EURHUF EURPLN USDZAR USDILS
STEER 25.8065 4.6543 6.0477 66.6795 322.76 4.2863 14.2265 3.5991
Spot 25.7360 4.6560 6.0670 67.0080 323.60 4.3030 14.6680 3.6700
z-score -0.76(-0.27%) 0.12(0.03%) 0.15(0.32%) 0.43(0.49%) 0.69(0.25%) 0.71(0.39%) 2.39(3.01%) 2.53(1.94%)
Upper Bound 25.9464 4.6708 6.2381 67.8262 324.5127 4.3220 14.5037 3.6412
Lower Bound 25.6667 4.6378 5.8574 65.5327 321.0080 4.2505 13.9494 3.5569
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 11: EURCZK short term value (FV=25.8065)Chart 12: EURRON short term value (FV=4.6543)
Chart 13: USDTRY short term value (FV=6.0477)Chart 14: USDRUB short term value (FV=66.6795)
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
EURCZKEURRONUSDTRYUSDRUBEURHUFEURPLNUSDZARUSDILS
13-Aug-201820-Aug-2018
25.41
25.51
25.61
25.71
25.81
25.91
26.01
26.11
26.21
23-May-201823-Jun-201823-Jul-2018
STEEREURCZK
4.61
4.62
4.63
4.64
4.65
4.66
4.67
4.68
23-May-201823-Jun-201823-Jul-2018
STEEREURRON
4.36
4.86
5.36
5.86
6.36
6.86
23-May-201823-Jul-2018
STEERUSDTRY
59.62
60.62
61.62
62.62
63.62
64.62
65.62
66.62
67.62
23-May-201823-Jun-201823-Jul-2018
STEERUSDRUB。。。