23 July 20182 GlobalMarkets.bnpparibas BNP Paribas STEER Model – G10Deviation from short-term value (z-score) Currency AUDUSD NZDUSD EURUSD GBPUSD EURCHF EURGBP EURNOK USDCAD USDJPY EURSEKSTEER 0.7631 0.7104 1.1880 1.3321 1.1658 0.8918 9.5285 1.3036 108.67 10.2260Spot 0.7420 0.6820 1.1730 1.3140 1.1630 0.8930 9.5900 1.3130 110.90 10.3800z-score -2.12(-2.80%) -1.76(-4.25%) -0.96(-1.26%) -0.90(-1.37%) -0.28(-0.26%) 0.05(0.10%) 0.54(0.64%) 0.86(0.73%) 1.07(2.04%) 1.45(1.49%)Upper Bound 0.7777 0.7352 1.2113 1.3621 1.1821 0.9168 9.6999 1.3204 111.8428 10.3860Lower Bound 0.7484 0.6857 1.1647 1.3022 1.1494 0.8668 9.3571 1.2867 105.4988 10.0660Note: Dotted line shows when the model does not pass the ‘co-integration filter’ Chart 1: AUDUSD short term value (FV=0.7631)Chart 2: NZDUSD short term value (FV=0.7104)Chart 3: EURUSD short term value (FV=1.1880)Chart 4: GBPUSD short term value (FV=1.3321)-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 AUDUSDNZDUSDEURUSDGBPUSDEURCHFEURGBPEURNOKUSDCADUSDJPYEURSEK 16-Jul-201823-Jul-2018 0.71 0.72 0.73 0.74 0.75 0.76 0.77 0.78 0.79 0.80 25-Apr-201825-May-201825-Jun-2018 STEERAUDUSD 0.67 0.68 0.69 0.70 0.71 0.72 0.73 0.74 0.75 0.76 25-Apr-201825-May-201825-Jun-2018 STEERNZDUSD 1.13 1.15 1.17 1.19 1.21 1.23 1.25 25-Apr-201825-May-201825-Jun-2018 STEEREURUSD 1.29 1.31 1.33 1.35 1.37 1.39 1.41 1.43 25-Apr-201825-May-201825-Jun-2018 STEERGBPUSD 23 July 20183 GlobalMarkets.bnpparibas Chart 5: EURCHF short term value (FV=1.1658)Chart 6: EURGBP short term value (FV=0.8918)Chart 7: EURNOK short term value (FV=9.5285)Chart 8: USDCAD short term value (FV=1.3036)Chart 9: USDJPY short term value (FV=108.67)Chart 10: EURSEK short term value (FV=10.2260) Driving Factors Behind the Moves 1.14 1.15 1.16 1.17 1.18 1.19 1.20 1.21 1.22 1.23 25-Apr-201825-May-201825-Jun-2018 STEEREURCHF 0.83 0.84 0.85 0.86 0.87 0.88 0.89 0.90 0.91 0.92 25-Apr-201825-May-201825-Jun-2018 STEEREURGBP 9.20 9.30 9.40 9.50 9.60 9.70 9.80 9.90 25-Apr-201825-May-201825-Jun-2018 STEEREURNOK 1.25 1.26 1.27 1.28 1.29 1.30 1.31 1.32 1.33 1.34 25-Apr-201825-May-201825-Jun-2018 STEERUSDCAD 104 105 106 107 108 109 110 111 112 113 25-Apr-201825-May-201825-Jun-2018 STEERUSDJPY 9.99 10.09 10.19 10.29 10.39 10.49 10.59 10.69 25-Apr-201825-May-201825-Jun-2018 STEEREURSEK -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNOKEURSEKEURCHF % w/w contribution to change in STEEROilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in Spot 23 July 20184 GlobalMarkets.bnpparibas BNP Paribas STEER Model - CEEMEADeviation from short-term value (z-score) Currency EURRON USDILS EURPLN EURCZK USDRUB USDTRY EURHUF USDZARSTEER 4.6585 3.6236 4.3099 25.8013 62.9962 4.7241 324.41 13.0905Spot 4.6530 3.6340 4.3230 25.8520 63.4700 4.7670 325.40 13.4290z-score -0.56(-0.11%) 0.45(0.29%) 0.55(0.31%) 0.55(0.20%) 0.65(0.75%) 0.78(0.91%) 0.79(0.29%) 2.40(2.52%)Upper Bound 4.6724 3.6589 4.3459 25.9401 64.0961 4.8074 326.2049 13.3021Lower Bound 4.6446 3.5883 4.2738 25.6625 61.8962 4.6407 322.6136 12.8788Note: Dotted line shows when the model does not pass the ‘co-integration filter’ Chart 11: EURRON short term value (FV=4.6585)Chart 12: USDILS short term value (FV=3.6236)Chart 13: EURPLN short term value (FV=4.3099)Chart 14: EURCZK short term value (FV=25.8013)-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 EURRONUSDILSEURCZKEURPLNUSDRUBUSDTRYEURHUFUSDZAR 16-Jul-201823-Jul-2018 4.61 4.62 4.63 4.64 4.65 4.66 4.67 4.68 4.69 25-Apr-201825-May-201825-Jun-2018 STEEREURRON3.49 3.54 3.59 3.64 3.69 25-Apr-201825-Jun-2018 STEERUSDILS 4.16 4.21 4.26 4.31 4.36 4.41 25-Apr-201825-May-201825-Jun-2018 STEEREURPLN 25.28 25.38 25.48 25.58 25.68 25.78 25.88 25.98 26.08 26.18 25-Apr-201825-May-201825-Jun-2018 STEEREURCZK。。。。。。