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BNP Paribas STEER™ Model Summary - 11 June 2018

Core Content Overview

This document outlines the BNP Paribas STEER™ Model trading signals and analysis for various currency pairs as of 11 June 2018. The model provides insights into short-term fair values and z-scores, indicating whether currencies are overvalued or undervalued relative to their fair value. It also highlights key factors influencing currency movements and includes contact details for the FX strategy team.

Trading Signals

New Signals

• SHORT USDILS

  • Entry Rate: 3.5721
  • Target: 3.5314
  • Stop Loss: 3.5842
  • Return: 0.00%

• LONG USDBRL (Indicative, to be updated on market open)

  • Entry Rate: 3.7091
  • Target: 3.7406
  • Stop Loss: 3.6934
  • Return: 0.00%
  • Note: If USDBRL opens within STEER's +/-1.5 z-score corridor (above 3.8455), the signal will be cancelled.

Closed Signals

• SHORT USDZAR
  • Entry Rate: 13.1283
  • Close Rate: 13.2257 (08-Jun-18)
  • Return: -0.74%

Existing Signals

• LONG EURUSD

  • Entry Rate: 1.1685
  • Target: 1.2111
  • Stop Loss: 1.1535
  • Return: 1.02%

• SHORT USDCAD

  • Entry Rate: 1.3000
  • Target: 1.2835
  • Stop Loss: 1.3082
  • Return: 0.21%

• LONG EURSEK

  • Entry Rate: 10.2815
  • Target: 10.3236
  • Stop Loss: 10.1782
  • Return: -0.09%

Key Currency Analysis

G10 Currencies

• EURUSD:

  • Fair Value: 1.2111
  • Z-Score: -1.79 (-2.60%)
  • Still undervalued by around 1.8 z-scores.
  • Fair value supported by global equities and the re-steepening of the eurozone yield curve.

• USDCAD:

  • Fair Value: 1.2835
  • Z-Score: 1.33 (1.08%)
  • The pair is overvalued, with STEER targeting a move lower.

• EURSEK:

  • Fair Value: 10.3236
  • Z-Score: -0.48 (-0.51%)
  • STEER remains long EURSEK.

• USDILS:

  • Fair Value: 3.5314
  • Z-Score: 1.69 (1.15%)
  • STEER has initiated a short USDILS signal, as the currency has appreciated despite strong equity performance in Israel.

• USDBRL:

  • Fair Value: 3.8927
  • Z-Score: -5.84 (-4.95%)
  • STEER has initiated a long USDBRL signal, though the recovery in BRL appears unjustified by fundamentals.

EM Currencies

• USDTRY:

  • Fair Value: 4.5629
  • Z-Score: -1.66 (-1.76%)
  • Undervalued.

• USDRUB:

  • Fair Value: 62.6991
  • Z-Score: -0.26 (-0.28%)
  • Slightly undervalued.

• USDZAR:

  • Fair Value: 12.9163
  • Z-Score: 0.95 (1.38%)
  • STEER has stopped out of the short USDZAR signal.

• USDILS:

  • Fair Value: 3.5314
  • Z-Score: 1.69 (1.15%)
  • STEER has entered a short USDILS signal.

Asia Currencies

• USDIDR:

  • Fair Value: 14116
  • Z-Score: -0.68 (-0.44%)
  • Undervalued.

• USDTWD:

  • Fair Value: 29.3571
  • Z-Score: 2.05 (1.57%)
  • Overvalued.

• USDINR:

  • Fair Value: 65.5235
  • Z-Score: 2.73 (2.67%)
  • Overvalued.

Key Observations

• EURUSD is considered undervalued and remains a long position.
• USDCAD is overvalued, with a target to move lower.
• USDILS is overvalued, leading to a short signal.
• USDBRL is overvalued, but a long signal was initiated due to market conditions.
• USDZAR was previously short but has been closed.
• The model uses z-scores to assess deviation from fair value and identifies potential trades accordingly.
• Some signals are indicative and may change based on market conditions.

Driving Factors

• EURUSD: Supported by global equities and the re-steepening of the eurozone yield curve.
• USDCAD: Influenced by rising US front-end yields.
• USDBRL: Recovery in BRL appears unjustified by fundamentals.
• USDILS: Appreciated despite strong equity performance in Israel.
• USDZAR: Overvalued, leading to the closure of the short position.

Legal and Disclaimer Information

• This document is non-independent research and is for marketing purposes.
• It may contain "Research" as defined under MiFID II unbundling rules.
• It is not investment research and is not subject to independence requirements.
• It is intended for Relevant Persons only, such as Professional Clients and Eligible Counterparties.
• The information is for informational purposes only and should not be relied upon as authoritative.
• No guarantee is made regarding the accuracy or completeness of the data.
• All indicative prices and signals are based on internal models and may vary.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No advice or recommendations are given, and all decisions should be made independently.
• Past performance is not indicative of future results.
• The document is confidential and may not be distributed without prior written consent.

FX Strategy Contacts

Additional Information

• Online: BNP Paribas Global Markets Website

• Bloomberg:

  • Fixed Income Research: BPFR
  • G10 Interest Rate Research: BPBS
  • Emerging Markets Research: BPFR
  • Market Economics: BPEC

• Legal Notice:

  • This document is a marketing communication and may not be used by non-Relevant Persons.
  • It is not intended to be a prospectus or public offering.
  • It may contain performance data based on back-testing, which is for illustrative purposes only.
  • All information is subject to change and not guaranteed.
  • BNPP may have acted on the information before publication.
  • No liability is accepted for any losses arising from reliance on this document.