15 January 2018 2GlobalMarkets.bnpparibasBNP Paribas STEER Model – G10Deviation from short-term value (z-score)Currency USDJPY EURCHF USDCAD EURNOK EURUSD EURGBP EURSEK GBPUSD AUDUSD NZDUSDSTEER 113.81 1.2200 1.2667 9.9022 1.2481 0.9114 9.8334 1.3694 0.7803 0.7032Spot 110.80 1.1800 1.2440 9.6550 1.2220 0.8890 9.8280 1.3750 0.7950 0.7270z-score -3.18(-2.74%) -3.01(-3.37%) -2.65(-1.78%) -2.34(-2.56%) -1.80(-2.14%) -1.26(-2.55%) -0.09(-0.06%) 0.44(0.40%) 1.91(1.90%) 2.30(3.28%)Upper Bound 115.2429 1.2398 1.2793 10.0606 1.2699 0.9383 9.9299 1.3880 0.7921 0.7188Lower Bound 112.3805 1.2002 1.2541 9.7437 1.2262 0.8844 9.7369 1.3509 0.7684 0.6877Note: Dotted line shows when the model does not pass the ‘co-integration filter’Chart 1: USDJPY short term value (FV=113.81) Chart 2: EURCHF short term value (FV=1.2200)Chart 3: USDCAD short term value (FV=1.2667) Chart 4: EURNOK short term value (FV=9.9022)-4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 USDJPYEURCHFUSDCADEURNOKEURUSDEURGBPEURSEKGBPUSDAUDUSDNZDUSD 08-Jan-201815-Jan-2018 109 110 111 112 113 114 115 116 18-Oct-201718-Nov-201718-Dec-2017 STEERUSDJPY 1.10 1.12 1.14 1.16 1.18 1.20 1.22 1.24 18-Oct-201718-Nov-201718-Dec-2017 STEEREURCHF 1.22 1.23 1.24 1.25 1.26 1.27 1.28 1.29 1.30 1.31 18-Oct-201718-Nov-201718-Dec-2017 STEERUSDCAD 9.08 9.18 9.28 9.38 9.48 9.58 9.68 9.78 9.88 9.98 18-Oct-201718-Nov-201718-Dec-2017 STEEREURNOK 15 January 2018 3GlobalMarkets.bnpparibasChart 5: EURUSD short term value (FV=1.2481) Chart 6: EURGBP short term value (FV=0.9114)Chart 7: EURSEK short term value (FV=9.8334) Chart 8: GBPUSD short term value (FV=1.3694)Chart 9: AUDUSD short term value (FV=0.7803) Chart 10: NZDUSD short term value (FV=0.7032)Driving Factors Behind the Moves1.11 1.13 1.15 1.17 1.19 1.21 1.23 1.25 1.27 18-Oct-201718-Nov-201718-Dec-2017 STEEREURUSD 0.83 0.85 0.87 0.89 0.91 0.93 0.95 18-Oct-201718-Nov-201718-Dec-2017 STEEREURGBP 9.43 9.53 9.63 9.73 9.83 9.93 18-Oct-201718-Nov-201718-Dec-2017 STEEREURSEK 1.29 1.31 1.33 1.35 1.37 1.39 18-Oct-201718-Nov-201718-Dec-2017 STEERGBPUSD 0.73 0.74 0.75 0.76 0.77 0.78 0.79 0.80 0.81 18-Oct-201718-Nov-201718-Dec-2017 STEERAUDUSD 0.66 0.67 0.68 0.69 0.70 0.71 0.72 0.73 18-Oct-201718-Nov-201718-Dec-2017 STEERNZDUSD -3.0% -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNOKEURSEKEURCHF % w/w contribution to change in STEEROilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in Spot 15 January 2018 4GlobalMarkets.bnpparibasBNP Paribas STEER Model - CEEMEADeviation from short-term value (z-score)Currency USDTRY USDILS EURHUF USDZAR USDRUB EURPLN EURCZK EURRONSTEER 3.8943 3.4267 309.67 12.5002 56.5545 4.1561 25.4275 4.6073Spot 3.7560 3.3970 308.80 12.3560 56.6430 4.1720 25.5200 4.6330z-score -2.80(-3.68%) -1.49(-0.87%) -0.64(-0.29%) -0.45(-1.17%) 0.18(0.16%) 0.69(0.38%) 1.04(0.36%) 2.04(0.55%)Upper Bound 3.9684 3.4564 311.7882 12.9826 57.3014 4.1907 25.5611 4.6262Lower Bound 3.8203 3.3969 307.5562 12.0178 55.8077 4.1214 25.2938 4.5884Note: Dotted line shows when the model does not pass the ‘co-integration filter’Chart 11: USDTRY short term value (FV=3.8943) Chart 12: USDILS short term value (FV=3.4267)Chart 13: EURHUF short term value (FV=309.67) Chart 14: USDZAR short term value (FV=12.5002)-4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 USDTRYUSDILSEURHUFUSDZARUSDRUBEURPLNEURCZKEURRON 08-Jan-201815-Jan-2018 3.53 3.58 3.63 3.68 3.73 3.78 3.83 3.88 3.93 3.98 18-Oct-201718-Dec-2017 STEERUSDTRY3.39 3.41 3.43 3.45 3.47 3.49 3.51 3.53 3.55 3.57 3.59 18-Oct-201718-Dec-2017 STEERUSDILS 305 307 309 311 313 315 18-Oct-201718-Nov-201718-Dec-2017 STEEREURHUF 12.01 12.51 13.01 13.51 14.01 14.51 18-Oct-201718-Nov-201718-Dec-2017 STEERUSDZAR 。。。。。。