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BNP Paribas FX Strategy Summary - January 2, 2018

Core Content

BNP Paribas STEER™ Model provides FX trading signals based on a co-integration analysis. The model assesses the deviation of currency pairs from their short-term value using z-scores and identifies potential entry and exit points for trades. It is used across various regions, including G10 currencies, CEEMEA, Asia, and Latin America.

Main Trading Signals

New Signals (02-Jan-18)

• SHORT USDTRY

  • Entry Rate: 3.7673
  • Target: 3.7294
  • Stop Loss: 3.7931
  • Status: Open

• LONG USDSGD

  • Entry Rate: 1.3303
  • Target: 1.3381
  • Stop Loss: 1.3276
  • Status: Open

• LONG USDKRW

  • Entry Rate: 1061.20
  • Target: 1067.79
  • Stop Loss: 1057.90
  • Status: Open

Closed Signals

• LONG EURUSD

  • Entry Rate: 1.1787
  • Close Rate: 1.2036
  • Return: 2.11%

• SHORT EURSEK

  • Entry Rate: 9.9842
  • Close Rate: 9.8180
  • Return: 1.66%

• SHORT USDTRY

  • Entry Rate: 3.8436
  • Close Rate: 3.7996
  • Return: 1.14%

• SHORT USDCOP

  • Entry Rate: 2967.11
  • Close Rate: 2974.01
  • Return: -0.23%

• LONG USDCLP

  • Entry Rate: 620.67
  • Close Rate: 618.75
  • Return: -0.23%

Existing Signals

• LONG EURCHF
  • Entry Rate: 1.1623
  • Target: 1.1932
  • Stop Loss: 1.1505
  • Status: Open

Key Information

G10 Currencies

CEEMEA Currencies

Asia Currencies

Latin America Currencies

Key Observations

• The model closed several long and short positions, including EURUSD, EURSEK, and USDTRY, with positive returns.
• The EURCHF position remains open, targeting a rise to 1.1932.
• The USDTRY pair is under pressure due to tightening Turkish CDS, indicating potential for further decline.
• In the EM region, USDTRY is still under a short signal, while the model reinitiated long positions on USDSGD and USDKRW.
• The USDCOP and USDCLP positions had small losses, suggesting market volatility in these pairs.
• The model is observing the broad weakness in USD against Asian currencies, initiating long signals on USDSGD and USDKRW.
• The z-scores for various currency pairs indicate whether the pair is overbought or oversold relative to its short-term value.

Driving Factors

• EURUSD: No longer passing co-integration test, leading to closure.
• EURSEK: Converged back towards STEER's value, leading to profit-taking.
• USDTRY: Continued decline due to Turkey's CDS tightening.
• USDCOP: Slight increase, resulting in a small loss.
• USDCLP: Slight decrease, resulting in a small loss.
• USDSGD and USDKRW: Long positions initiated due to USD weakness against Asian currencies.

Strategy Contacts

Legal Notice

• This document is non-independent research and is a marketing communication.
• It does not constitute investment research and is not subject to independence requirements.
• BNP Paribas may have financial interests in the mentioned currencies and may engage in transactions that may conflict with the views expressed.
• The document is for informational purposes only and may not be relied upon as a basis for investment decisions.
• No assurance is given that any transactions will be entered into on the terms indicated.
• The information may be subject to rapid change and is not guaranteed to be accurate or complete.
• The document is not a prospectus and does not constitute an offer to sell or issue any financial instruments.