30 July 20182
GlobalMarkets.bnpparibas
BNP Paribas STEER Model – G10
Deviation from short-term value (z-score)
Currency AUDUSD NZDUSD GBPUSD EURUSD EURCHF EURGBP EURNOK USDJPY USDCAD EURSEK
STEER 0.7569 0.7052 1.3350 1.1824 1.1678 0.8857 9.4763 109.03 1.2933 10.1694
Spot 0.7390 0.6800 1.3110 1.1660 1.1600 0.8890 9.5480 111.10 1.3070 10.3050
z-score -1.77(-2.39%) -1.52(-3.71%) -1.21(-1.84%) -1.07(-1.43%) -0.71(-0.66%) 0.22(0.40%) 0.63(0.75%) 0.97(1.85%) 1.17(1.02%) 1.28(1.31%)
Upper Bound 0.7718 0.7302 1.3648 1.2058 1.1840 0.9105 9.6480 112.2161 1.3104 10.3274
Lower Bound 0.7419 0.6803 1.3052 1.1590 1.1515 0.8608 9.3046 105.8417 1.2762 10.0113
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 1: AUDUSD short term value (FV=0.7569)Chart 2: NZDUSD short term value (FV=0.7052)
Chart 3: GBPUSD short term value (FV=1.3350)Chart 4: EURUSD short term value (FV=1.1824)
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
AUDUSDNZDUSDGBPUSDEURUSDEURCHFEURGBPEURNOKUSDJPYUSDCADEURSEK
23-Jul-201830-Jul-2018
0.71
0.72
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.80
02-May-201802-Jun-201802-Jul-2018
STEERAUDUSD
0.67
0.68
0.69
0.70
0.71
0.72
0.73
0.74
0.75
0.76
02-May-201802-Jun-201802-Jul-2018
STEERNZDUSD
1.29
1.31
1.33
1.35
1.37
1.39
1.41
1.43
02-May-201802-Jun-201802-Jul-2018
STEERGBPUSD
1.13
1.15
1.17
1.19
1.21
1.23
1.25
02-May-201802-Jun-201802-Jul-2018
STEEREURUSD
30 July 20183
GlobalMarkets.bnpparibas
Chart 5: EURCHF short term value (FV=1.1678)Chart 6: EURGBP short term value (FV=0.8857)
Chart 7: EURNOK short term value (FV=9.4763)Chart 8: USDJPY short term value (FV=109.03)
Chart 9: USDCAD short term value (FV=1.2933)Chart 10: EURSEK short term value (FV=10.1694)
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
02-May-201802-Jun-201802-Jul-2018
STEEREURCHF
0.83
0.84
0.85
0.86
0.87
0.88
0.89
0.90
0.91
0.92
02-May-201802-Jun-201802-Jul-2018
STEEREURGBP
9.20
9.30
9.40
9.50
9.60
9.70
9.80
9.90
02-May-201802-Jun-201802-Jul-2018
STEEREURNOK
104
105
106
107
108
109
110
111
112
113
02-May-201802-Jun-201802-Jul-2018
STEERUSDJPY
1.25
1.26
1.27
1.28
1.29
1.30
1.31
1.32
1.33
1.34
02-May-201802-Jun-201802-Jul-2018
STEERUSDCAD
9.99
10.09
10.19
10.29
10.39
10.49
10.59
10.69
02-May-201802-Jun-201802-Jul-2018
STEEREURSEK
-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
30 July 20184
GlobalMarkets.bnpparibas
BNP Paribas STEER Model - CEEMEA
Deviation from short-term value (z-score)
Currency EURRON EURCZK EURHUF EURPLN USDRUB USDZAR USDILS USDTRY
STEER 4.6503 25.8438 322.69 4.2850 62.5031 13.1210 3.6253 4.7704
Spot 4.6260 25.6350 322.70 4.2880 62.7840 13.2020 3.6590 4.8710
z-score -2.45(-0.53%) -2.15(-0.81%) 0.04(0.01%) 0.10(0.06%) 0.40(0.45%) 0.56(0.61%) 1.53(0.92%) 1.80(2.06%)
Upper Bound 4.6655 25.9894 324.5050 4.3209 63.5613 13.3380 3.6581 4.8541
Lower Bound 4.6352 25.6981 320.8667 4.2491 61.4450 12.9040 3.5925 4.6866
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 11: EURRON short term value (FV=4.6503)Chart 12: EURCZK short term value (FV=25.8438)
Chart 13: EURHUF short term value (FV=322.69)Chart 14: EURPLN short term value (FV=4.2850)
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
EURRONEURCZKEURHUFEURPLNUSDRUBUSDZARUSDILSUSDTRY
23-Jul-201830-Jul-2018
4.61
4.62
4.63
4.64
4.65
4.66
4.67
4.68
02-May-201802-Jun-201802-Jul-2018
STEEREURRON
25.32
25.42
25.52
25.62
25.72
25.82
25.92
26.02
26.12
26.22
02-May-201802-Jun-201802-Jul-2018
STEEREURCZK
310
312
314
316
318
320
322
324
326
328
02-May-201802-Jun-201802-Jul-2018
STEEREURHUF
4.17
4.22
4.27
4.32
4.37
02-May-201802-Jun-201802-Jul-2018
STEEREURPLN。。。。。。。。。