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
USDCAD short term value (FV=1.2703)
1.30 1.29 1.28 1.27 1.26 1.25 1.24 1.23 1.22 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 USDCAD 2877 2827 2977 2927 3027
USDCOP short term value (FV=2921)
2777 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 USDCOP
BNP Paribas STEERTM Model - Trading Signals Entry Date
New Signals
05-Mar-18 05-Mar-18 05-Mar-18 SHORT USDCAD SHORT USDIDR LONG USDCOP* 1.2906 13826 2879.77 1.2703 13720 2898.10 1.3009 13879 2870.61 0.00 0.00 0.00
Position
Entry Rate
Target
Stop Loss
Close Rate
Return (%)
Signals Updated Today
Closed Signals
01-Mar-18 02-Mar-18 SHORT EURSEK LONG USDILS 10.1074 3.4639 10.1938 (02-Mar-18) 3.4545 (02-Mar-18) -0.85 -0.27
Existing Signals no existing signals Recently Closed Signals
26-Feb-18 27-Feb-18 Notes: After the Italian election, EURUSD appears undervalued by 1.0 z-score vs it's STEER of 1.2420. This is smaller than the size of the undervaluation reached last week when the pair turned as cheap as 1.5 z-scores. STEERTM signals short USDCAD targeting 1.2703 as the pair appears overvalued by 2.1 z-scores. This bearish USDCAD signal follows a previous bullish signal triggered in mid-February when the pair had appeared oversold. Friday's long USDCOP trading signal was not entered by the trading strategy as the pair opened within STEER's -/+1.5 z-score corridor. However, following a lower close on Friday, USDCOP again appears undervalued relative to STEER. STEER suggests entering long USDCOP if the pair opens outside the fair-value corridor (below 2948.60). STEER also enters a short USDIDR signal as the pair has again become cointegrated with its STEER. LONG USDSGD SHORT EURHUF 1.3172 313.6400 1.3256 (28-Feb-18) 314.4200 (28-Feb-18) 0.64 -0.25
* Provisional signal, to be updated on market open. If USDCOP opens within STEER's +/-1.5 z-score corridor (above 2948.60), signal will be cancelled.
Please 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
USDJPY EURUSD EURCHF AUDUSD EURGBP GBPUSD NZDUSD EURNOK USDCAD EURSEK
26-Feb-2018 Currency STEER Spot z-score USDJPY 109.87 105.40 EURUSD 1.2420 1.2280 1.2640 1.2200 EURCHF 1.1627 1.1510 1.1889 1.1365 AUDUSD 0.7791 0.7740 0.7938 0.7645 EURGBP 0.9009 0.8910 0.9292 0.8726 GBPUSD 1.3787 1.3780 1.3999 1.3575
05-Mar-2018 NZDUSD 0.7148 0.7210 0.7368 0.6927 EURNOK 9.4972 9.6010 9.6945 9.3000 USDCAD 1.2703 1.2910 1.2853 1.2554 EURSEK 9.9026 10.1690 10.0337 9.7714
-2.54(-4.20%) -0.98(-1.17%) -0.65(-0.99%) -0.57(-0.72%) -0.52(-1.10%) -0.06(-0.06%) 0.44(0.89%) 0.79(1.08%) 2.05(1.58%) 3.05(2.62%)
Upper Bound 112.4852 Lower Bound 107.2566
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 1: USDJPY short term value (FV=109.87)
117 115 113 111 109 107 105 06-Dec-2017 1.28 1.26 1.24 1.22 1.20 1.18 1.16 06-Dec-2017
Chart 2: EURUSD short term value (FV=1.2420)
06-Jan-2018 STEER
06-Feb-2018 USDJPY
06-Jan-2018 STEER
06-Feb-2018 EURUSD
Chart 3: EURCHF short term value (FV=1.1627)
0.82 1.24 1.22 1.20 1.18 1.16 1.14 1.12 06-Dec-2017 0.81 0.80 0.79 0.78 0.77 0.76 0.75 06-Jan-2018 STEER 06-Feb-2018 EURCHF
Chart 4: AUDUSD short term value (FV=0.7791)
0.74 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 AUDUSD 2
05 March 2018 www.GlobalMarkets.bnpparibas
Chart 5: EURGBP short term value (FV=0.9009)
0.95 0.93 0.91 1.37 0.89 1.35 0.87 0.85 06-Dec-2017 1.33 1.43 1.41 1.39
Chart 6: GBPUSD short term value (FV=1.3787)
06-Jan-2018 STEER
06-Feb-2018 EURGBP
1.31 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 GBPUSD
Chart 7: NZDUSD short term value (FV=0.7148)
0.75 0.74 0.73 0.72 0.71 0.70 0.69 0.68 0.67 0.66 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 NZDUSD 9.28 9.68 9.48 9.88 10.08
Chart 8: EURNOK short term value (FV=9.4972)
9.08 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 EURNOK
Chart 9: USDCAD short term value (FV=1.2703)
1.30 1.29 1.28 9.93 1.27 1.26 1.25 1.24 1.23 1.22 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 USDCAD 9.83 9.73 9.63 9.53 10.13 10.03
Chart 10: EURSEK short term value (FV=9.9026)
9.43 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 EURSEK
Driving Factors Behind the Moves
05 March 2018 www.GlobalMarkets.bnpparibas% 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% EURUSD Oil GBPUSD Equities AUDUSD NZDUSD USDJPY Rate Diff USDCAD EURNOK EURSEK EURCHF
Relative Yield Curve
Relative Equities
w/w change in Spot
05 March 2018 www.GlobalMarkets.bnpparibasBNP Paribas STEERTM Model - CEEMEA Deviation from short-term value (z-score)
2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0
USDILS EURCZK EURPLN EURHUF USDRUB USDZAR USDTRY EURRON
26-Feb-2018 Currency STEER Spot z-score Upper Bound Lower Bound USDILS 3.4975 3.4520 3.5269 3.4681 EURCZK 25.4044 25.4070 25.5254 25.2834 EURPLN 4.1895 4.1930 4.2208 4.1583 EURHUF 313.30 313.60 315.5460 311.0589
05-Mar-2018 USDRUB 57.0564 57.2700 57.7639 56.3488 USDZAR 11.8094 12.0150 12.1963 11.4225 USDTRY 3.7715 3.8240 3.8608 3.6822 EURRON 4.6389 4.6610 4.6619 4.6159
-2.34(-1.33%) 0.03(0.01%) 0.15(0.07%) 0.21(0.10%) 0.45(0.37%) 0.80(1.71%) 0.89(1.38%) 1.42(0.47%)
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 11: USDILS short term value (FV=3.4975)
3.57 25.88 3.52 25.78 25.68 3.47 25.58 25.48 3.42 25.38 25.28 3.37 06-Dec-2017 STEER 25.18 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 EURCZK
Chart 12: EURCZK short term value (FV=25.4044)
06-Feb-2018 USDILS
Chart 13: EURPLN short term value (FV=4.1895)
4.27 4.25 4.23 4.21 4.19 4.17 4.15 4.13 4.11 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 EURPLN
Chart 14: EURHUF short term value (FV=313.30)
316 314 312 310 308 306 304 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 EURHUF
05 March 2018 www.GlobalMarkets.bnpparibasChart 15: USDRUB short term value (FV=57.0564)
60.16
Chart 16: USDZAR short term value (FV=11.8094)
14.00
59.16 58.16 57.16
13.50 13.00 12.50 12.00
56.16 55.16 06-Dec-2017
11.50 11.00 06-Dec-2017 06-Jan-2018 STEER 06-Feb-2018 USDZAR
06-Jan-2018 STEER
06-Feb-2018 USDRUB
Chart 17: USDTRY short term value (FV=3.7715)
3.96 3.91 3.86 3.81 3.76 3.71 3.66 3.61 06-Dec-2017 STEER 06-Feb-2018 USDTRY
Chart 18: EURRON short term value (FV=4.6389)
4.67 4.65 4.63 4.61 4.59 4.57 06-Dec-2017
06-Jan-2018 STEER
06-Feb-2018 EURRON
Driving Factors Behind the Moves
4% 3% 2% 1% 0% -1% -2% -3% 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
05 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
USDSGD USDTWD USDMYR USDTHB USDKRW USDINR USDIDR USDPHP
26-Feb-2018 Currency STEER Spot z-score Upper Bound Lower Bound USDSGD 1.3251 1.3210 1.3367 1.3135 USDTWD 29.3410 29.2790 29.5725 29.1094 USDMYR 3.9097 3.9050 3.9638 3.8556 USDTHB 31.4641 31.4380 31.7932 31.1350
05-Mar-2018 USDKRW 1078 1082 1090.0208 1066.2188 USDINR 64.8129 65.1040 65.3774 64.2483 USDIDR 13665 13825 13824.1745 13504.8545 USDPHP 50.9458 52.0000 51.8171 50.0746
-0.50(-0.29%) -0.40(-0.21%) -0.13(-0.12%) -0.12(-0.08%) 0.49(0.36%) 0.77(0.45%) 1.51(1.16%) 1.81(2.03%)
Note: Dotted line shows when the model does not pass the `co-integration filter' Chart 19: USDSGD short term value (FV=1.3251)