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BNP Paribas STEER™ FX Strategy Summary (5 June 2017)

Core Content Overview

This document outlines the latest trading signals and market analysis from the BNP Paribas STEER™ model, which provides short-term value estimates and z-score deviations for various currency pairs. It also includes notes on recent trades and driving factors behind market movements in G10, Emerging Markets (EM), and Latin America (Latam) currencies.

Trading Signals Overview

New Signals (5 June 2017)

• LONG USDTRY: The fair value of USDTRY has increased over the week, indicating the recent decline in the spot rate is overdone.
• LONG USDMXN: MXN appears to have potential for further weakening, in line with the decline in Mexican equity markets.

Closed Signals (5 June 2017)

• SHORT EURUSD: The EURUSD short position was closed with a $0.71%$ loss following a weaker NFP print and USD weakening.
• LONG USDMXN: The long USDMXN signal was closed with a $0.94%$ profit.

Existing Signals (as of 5 June 2017)

• LONG USDTHB: The USDTHB long position is still active, with the spot rate slightly below the fair value.
• SHORT USDTWD: The USDTWD short position remains open, with the spot rate above the fair value.

Recently Closed Signals (5 June 2017)

• LONG USDILS: Closed with a $-0.30%$ loss.
• SHORT EURNOK: Closed with a $-0.66%$ loss.

Z-Score Analysis for G10 Currencies (5 June 2017)

Key Observations:

• EURUSD remains 1.6 z-scores overvalued relative to its fair value.
• USDJPY is 1.87 z-scores overvalued.
• NZDUSD and EURGBP are overvalued by 1.23 and 0.86 z-scores respectively.
• AUDUSD and GBPUSD are slightly undervalued.

Key Trading Signals and Positions

• USDTRY: Triggered a long signal as the spot rate appears to have declined excessively relative to the fair value.
• USDMXN: Reinitiated a long signal as MXN is expected to weaken further.
• USDTHB: Still in a long position, with the spot rate slightly below the fair value.
• USDTWD: Still in a short position, with the spot rate above the fair value.

Driving Factors Behind the Moves

The document highlights that market movements are influenced by macroeconomic data, yield changes, and equity market trends. For example:

• The USD weakening after a weaker NFP print affected the EURUSD signal.
• The decline in Mexican equity markets supports the reinitiation of the USDMXN long signal.
• The fair value of USDTRY has increased, suggesting the spot rate is undervalued.

Global Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA: Macro Quantitative Strategist, London
• Steven Saywell: Global Head of FX Strategy, London
• Sam Lynton-Brown: FX Strategist, London
• Clara Leonard: FX Strategist, London
• Natalie Rickard: Graduate, London
• Daniel Katzive, CFA: Head of FX Strategy North America, New York
• Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy

• Wike Groenenberg: Global Head of EM Strategy, London
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore
• Altaz Daga: AU/NZ IR Strategist, Singapore
• Kun Shan: China Strategist, Shanghai
• Tianhe Ji: China Strategist, Shanghai
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Legal and Disclaimer Information

• This document is a marketing communication and not investment research.
• It may contain back-tested performance data, which is for illustrative purposes only.
• The information is not guaranteed to be accurate or complete.
• Conflicts of interest may exist due to BNP Paribas' involvement in trading or advisory roles.
• No liability is accepted for any loss arising from the use of the information.
• The indicative prices are not actual transaction terms and may vary significantly.
• The document is intended for Professional Clients and Eligible Counterparties only.
• Options and ETFs discussed are complex instruments and may not be suitable for all investors.

Distribution and Confidentiality

• This document is for intended recipients only.
• It may not be reproduced or distributed without prior written consent.
• The information is provided strictly confidential and should not be shared without authorization.

Summary of Key Points

• EURUSD remains overvalued, with a z-score of 1.6.
• USDJPY is the most overvalued G10 currency.
• USDMXN and USDTRY have new long signals based on market conditions.
• USDTWD is still short, and USDTHB remains long.
• Legal disclaimers emphasize that this is not investment advice and may involve conflicts of interest.
• Confidentiality and non-independent research status are clearly stated.