06 August 20182
GlobalMarkets.bnpparibas
BNP Paribas STEER Model – G10
Deviation from short-term value (z-score)
Currency AUDUSD GBPUSD NZDUSD EURUSD EURCHF EURGBP EURNOK USDJPY USDCAD EURSEK
STEER 0.7644 1.3438 0.7064 1.1855 1.1625 0.8822 9.4838 109.05 1.2841 10.1471
Spot 0.7390 1.3000 0.6740 1.1560 1.1510 0.8890 9.5470 111.30 1.3010 10.3100
z-score -2.45(-3.39%) -2.17(-3.39%) -1.91(-4.80%) -1.90(-2.58%) -1.08(-1.02%) 0.43(0.79%) 0.55(0.66%) 1.04(2.00%) 1.45(1.27%) 1.52(1.58%)
Upper Bound 0.7797 1.3743 0.7318 1.2091 1.1787 0.9068 9.6559 112.2658 1.3012 10.3072
Lower Bound 0.7490 1.3133 0.6811 1.1619 1.1463 0.8576 9.3117 105.8438 1.2670 9.9871
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 1: AUDUSD short term value (FV=0.7644)Chart 2: GBPUSD short term value (FV=1.3438)
Chart 3: NZDUSD short term value (FV=0.7064)Chart 4: EURUSD short term value (FV=1.1855)
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
AUDUSDGBPUSDNZDUSDEURUSDEURCHFEURGBPEURNOKUSDJPYUSDCADEURSEK
30-Jul-201806-Aug-2018
0.71
0.72
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.80
09-May-201809-Jun-201809-Jul-2018
STEERAUDUSD
1.29
1.31
1.33
1.35
1.37
1.39
1.41
1.43
09-May-201809-Jun-201809-Jul-2018
STEERGBPUSD
0.67
0.68
0.69
0.70
0.71
0.72
0.73
0.74
0.75
0.76
09-May-201809-Jun-201809-Jul-2018
STEERNZDUSD
1.13
1.15
1.17
1.19
1.21
1.23
1.25
09-May-201809-Jun-201809-Jul-2018
STEEREURUSD
06 August 20183
GlobalMarkets.bnpparibas
Chart 5: EURCHF short term value (FV=1.1625)Chart 6: EURGBP short term value (FV=0.8822)
Chart 7: EURNOK short term value (FV=9.4838)Chart 8: USDJPY short term value (FV=109.05)
Chart 9: USDCAD short term value (FV=1.2841)Chart 10: EURSEK short term value (FV=10.1471)
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
09-May-201809-Jun-201809-Jul-2018
STEEREURCHF
0.83
0.84
0.85
0.86
0.87
0.88
0.89
0.90
0.91
0.92
09-May-201809-Jun-201809-Jul-2018
STEEREURGBP
9.20
9.30
9.40
9.50
9.60
9.70
9.80
9.90
09-May-201809-Jun-201809-Jul-2018
STEEREURNOK
104
105
106
107
108
109
110
111
112
113
09-May-201809-Jun-201809-Jul-2018
STEERUSDJPY
1.25
1.26
1.27
1.28
1.29
1.30
1.31
1.32
1.33
1.34
09-May-201809-Jun-201809-Jul-2018
STEERUSDCAD
9.93
10.03
10.13
10.23
10.33
10.43
10.53
10.63
10.73
09-May-201809-Jun-201809-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
06 August 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 4.6471 25.7778 321.86 4.2694 62.4712 13.1781 3.6463 4.9202
Spot 4.6140 25.6240 320.10 4.2620 63.3420 13.3790 3.6840 5.1080
z-score -2.88(-0.71%) -1.69(-0.60%) -1.50(-0.54%) -0.32(-0.18%) 1.23(1.37%) 1.46(1.50%) 1.61(1.01%) 3.09(3.67%)
Upper Bound 4.6640 25.9144 323.5795 4.3047 63.5351 13.3843 3.6811 5.0115
Lower Bound 4.6301 25.6411 320.1314 4.2341 61.4073 12.9720 3.6116 4.8290
Note: Dotted line shows when the model does not pass the ‘co-integration filter’
Chart 11: EURRON short term value (FV=4.6471)Chart 12: EURCZK short term value (FV=25.7778)
Chart 13: EURHUF short term value (FV=321.86)Chart 14: EURPLN short term value (FV=4.2694)
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
EURRONEURCZKEURHUFEURPLNUSDRUBUSDZARUSDILSUSDTRY
30-Jul-201806-Aug-2018
4.61
4.62
4.63
4.64
4.65
4.66
4.67
4.68
09-May-201809-Jun-201809-Jul-2018
STEEREURRON
25.32
25.42
25.52
25.62
25.72
25.82
25.92
26.02
26.12
26.22
09-May-201809-Jun-201809-Jul-2018
STEEREURCZK
310
312
314
316
318
320
322
324
326
328
09-May-201809-Jun-201809-Jul-2018
STEEREURHUF
4.18
4.23
4.28
4.33
4.38
09-May-201809-Jun-201809-Jul-2018
STEEREURPLN。。。