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BNP Paribas STEER™ Model Summary - 11 June 2018

Core Content Overview

The document outlines the latest trading signals and market analysis from the BNP Paribas STEER™ Model as of 11 June 2018. It includes signals for various currency pairs, z-score deviations from short-term value, and the rationale behind the model's recommendations. Additionally, it provides contact details for FX strategy teams and legal disclosures regarding the nature of the document and potential conflicts of interest.

Trading Signals

New Signals

• SHORT USDILS at 3.5721, targeting 3.5314, with a stop loss at 3.5842.
• LONG USDBRL at 3.7091, targeting 3.7406, with a stop loss at 3.6934 (indicative, to be updated on market open).

Closed Signals

• SHORT USDZAR closed at 13.2257, resulting in a return of -0.74%.

Existing Signals

• LONG EURUSD at 1.1685, targeting 1.2111, with a stop loss at 1.1535. EURUSD is undervalued by around 1.8 z-scores.
• SHORT USDCAD at 1.3000, targeting 1.2835, with a stop loss at 1.3082. USDCAD is overvalued, and the model expects a correction.
• LONG EURSEK at 10.2815, targeting 10.3236, with a stop loss at 10.1782. The return is currently at -0.09%.

Z-Score Analysis

G10 Currencies

CEEMEA & APAC

Latin America

Key Insights

• EURUSD remains a long position, targeting 1.2111, with the pair currently undervalued by about 1.8 z-scores. The fair-value is supported by global equities and the re-steepening of the eurozone yield curve.
• USDCAD is overvalued, and the model suggests a move lower to 1.2835.
• USDBRL has a long signal, but the recovery in BRL appears unjustified by fundamentals.
• USDILS has a short signal due to appreciation despite strong equity performance in Israel.
• USDZAR was a short position that was stopped out, resulting in a -0.74% return.

Driving Factors

• The model considers various market factors such as yield curves, equity performance, and economic fundamentals to determine fair-values and trading signals.
• Some positions are based on the co-integration filter, which may affect the validity of the signal.
• The z-scores indicate how far the current spot rate is from the model's fair value, with positive z-scores suggesting overvaluation and negative z-scores suggesting undervaluation.

Legal and Disclosure Information

• The document is a marketing communication and not investment research.
• It is not intended for retail investors and is subject to legal restrictions.
• The content may include performance data based on back-testing, which is for illustrative purposes only.
• BNPP may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed.
• No guarantees are made regarding the accuracy or completeness of the information, and all estimates are subject to change.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London branch
• Natalie Rickard: FX Strategist, BNP Paribas London branch
• Alex Jekov & Kris Giini: Graduates, BNP Paribas London branch
• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC
• Marcelo Carvalho: Head of Emerging Markets Research, Latam
• Gabriel Gersztein & Samuel Castro & Gustavo Mendonca: FX & IR Latam Strategists
• Mirza Baig: Head of FX & IR Asia Strategy, BNP Paribas Singapore Branch
• Altaz Daga: AU/NZ IR Strategist, BNP Paribas Singapore Branch
• Kun Shan & Tianhe Ji: China Strategists
• Support Team: Barbara Consuelo, Amanda Grantham-Hill, Anna McLaughlin, Varghese Joseph

Additional Information

• The document is available on the BNP Paribas Global Markets Website and Bloomberg.
• It is important to note that the information provided is for professional clients and should not be relied upon as authoritative.
• Users are advised to consult independent advisors and ensure they understand the risks involved before making any investment decisions.