22 January 2018 2GlobalMarkets.bnpparibasBNP Paribas STEER Model – G10Deviation from short-term value (z-score)Currency USDJPY EURCHF USDCAD EURNOK EURGBP EURUSD EURSEK GBPUSD NZDUSD AUDUSDSTEER 114.46 1.2183 1.2700 9.8348 0.9035 1.2345 9.8364 1.3663 0.7099 0.7837Spot 110.90 1.1770 1.2480 9.6110 0.8820 1.2220 9.8330 1.3860 0.7280 0.7990z-score -3.42(-3.23%) -2.90(-3.53%) -2.41(-1.73%) -2.05(-2.33%) -1.19(-2.47%) -0.84(-0.99%) -0.05(-0.03%) 1.59(1.44%) 1.65(2.44%) 1.86(1.92%)Upper Bound 116.0290 1.2398 1.2834 9.9985 0.9310 1.2561 9.9322 1.3852 0.7260 0.7960Lower Bound 112.8817 1.1968 1.2565 9.6711 0.8761 1.2129 9.7406 1.3474 0.6938 0.7714Note: Dotted line shows when the model does not pass the ‘co-integration filter’Chart 1: USDJPY short term value (FV=114.46) Chart 2: EURCHF short term value (FV=1.2183)Chart 3: USDCAD short term value (FV=1.2700) Chart 4: EURNOK short term value (FV=9.8348)-4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 USDJPYEURCHFUSDCADEURNOKEURGBPEURUSDEURSEKGBPUSDNZDUSDAUDUSD 15-Jan-201822-Jan-2018 109 110 111 112 113 114 115 116 117 25-Oct-201725-Nov-201725-Dec-2017 STEERUSDJPY 1.11 1.13 1.15 1.17 1.19 1.21 1.23 1.25 25-Oct-201725-Nov-201725-Dec-2017 STEEREURCHF 1.24 1.25 1.26 1.27 1.28 1.29 1.30 1.31 25-Oct-201725-Nov-201725-Dec-2017 STEERUSDCAD 9.08 9.18 9.28 9.38 9.48 9.58 9.68 9.78 9.88 9.98 25-Oct-201725-Nov-201725-Dec-2017 STEEREURNOK 22 January 20183 GlobalMarkets.bnpparibas Chart 5: EURGBP short term value (FV=0.9035)Chart 6: EURUSD short term value (FV=1.2345)Chart 7: EURSEK short term value (FV=9.8364)Chart 8: GBPUSD short term value (FV=1.3663)Chart 9: NZDUSD short term value (FV=0.7099)Chart 10: AUDUSD short term value (FV=0.7837) Driving Factors Behind the Moves 0.83 0.85 0.87 0.89 0.91 0.93 0.95 25-Oct-201725-Nov-201725-Dec-2017 STEEREURGBP 1.11 1.13 1.15 1.17 1.19 1.21 1.23 1.25 1.27 25-Oct-201725-Nov-201725-Dec-2017 STEEREURUSD 9.43 9.53 9.63 9.73 9.83 9.93 25-Oct-201725-Nov-201725-Dec-2017 STEEREURSEK 1.29 1.31 1.33 1.35 1.37 1.39 25-Oct-201725-Nov-201725-Dec-2017 STEERGBPUSD 0.66 0.67 0.68 0.69 0.70 0.71 0.72 0.73 0.74 25-Oct-201725-Nov-201725-Dec-2017 STEERNZDUSD 0.73 0.74 0.75 0.76 0.77 0.78 0.79 0.80 0.81 25-Oct-201725-Nov-201725-Dec-2017 STEERAUDUSD -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 22 January 20184 GlobalMarkets.bnpparibas BNP Paribas STEER Model - CEEMEADeviation from short-term value (z-score) Currency USDZAR USDTRY EURCZK USDRUB USDILS EURPLN EURHUF EURRONSTEER 12.9337 3.9143 25.4296 56.7575 3.4219 4.1578 306.14 4.6296Spot 12.0870 3.8180 25.3940 56.7170 3.4220 4.1720 309.20 4.6620z-score -2.85(-7.00%) -1.80(-2.54%) -0.43(-0.14%) -0.08(-0.07%) 0.01(0.01%) 0.64(0.35%) 2.14(1.00%) 2.34(0.69%)Upper Bound 13.3788 3.9950 25.5530 57.4917 3.4518 4.1924 308.2937 4.6502Lower Bound 12.4886 3.8337 25.3062 56.0234 3.3920 4.1233 303.9825 4.6090Note: Dotted line shows when the model does not pass the ‘co-integration filter’ Chart 11: USDZAR short term value (FV=12.9337)Chart 12: USDTRY short term value (FV=3.9143)Chart 13: EURCZK short term value (FV=25.4296)Chart 14: USDRUB short term value (FV=56.7575)-4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 USDZARUSDTRYEURCZKUSDRUBUSDILSEURPLNEURHUFEURRON 15-Jan-201822-Jan-2018 12.03 12.53 13.03 13.53 14.03 14.53 25-Oct-201725-Nov-201725-Dec-2017 STEERUSDZAR 3.58 3.63 3.68 3.73 3.78 3.83 3.88 3.93 3.98 25-Oct-201725-Dec-2017 STEERUSDTRY 25.28 25.38 25.48 25.58 25.68 25.78 25.88 25-Oct-201725-Nov-201725-Dec-2017 STEEREURCZK 55.80 56.30 56.80 57.30 57.80 58.30 58.80 59.30 59.80 60.30 25-Oct-201725-Nov-201725-Dec-2017 STEERUSDRUB。。。。。。