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BNP Paribas STEER™ Model Summary - 26 March 2018

Core Content Overview

The document provides an update on the BNP Paribas STEER™ Model, which generates FX trading signals based on fair value (FV) and z-score deviations. It outlines the current state of various currency pairs, including their STEER values, spot rates, and z-scores, and highlights the model's trading signals and their performance.

Trading Signals

• New Signals: No new signals were issued on 26 March 2018.
• Closed Signals:
  • LONG USDIDR: Closed at 13787 on 23-Mar-18, resulting in a return of -0.27%.
• Existing Signals:
  • LONG USDRUB: Open on 23-Mar-18 with an entry rate of 57.1056, a target of 57.5175, and a stop loss at 56.8996. Currently undervalued by 2.26 z-scores.
• Recently Closed Signals:
  • SHORT USDKRW: Closed at 1064.77 on 22-Mar-18, resulting in a return of 0.58%.
  • SHORT EURSEK: Closed at 10.1704 on 23-Mar-18, resulting in a return of -0.90%.
  • SHORT USDKRW: Closed at 1074.03 on 23-Mar-18, resulting in a return of -0.36%.

FX Pairs Analysis

G10 Pairs

CEEMEA Pairs

Latin America Pairs

Key Insights

• Fair Value Alignment: Most G10 pairs are trading close to their fair values. EURUSD is fairly valued at 1.2319.
• Undervalued Pairs: USDRUB is undervalued by 2.26 z-scores, indicating potential for spot to rise.
• USDTRY: The pair is undervalued, but not enough to trigger a signal.
• USDIDR: The long position was closed with a small loss.
• EURSEK: The pair is significantly undervalued with a z-score of 2.63.
• Z-Scores: These indicate how far the spot rate is from the model's fair value, with higher z-scores suggesting more deviation.

Driving Factors

• Global Equity Markets: Declines in equity markets have influenced the STEER values of several pairs, particularly EURUSD.
• CDS Widening: Increased credit default swap spreads for Turkey and Russia have affected USDTRY and USDRUB, contributing to their undervaluation.
• Market Conditions: The model's signals are based on a combination of fair value and co-integration analysis.

Contacts

• Strategists:
  • Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London branch, +44 20 7595 1307
  • Natalie Rickard: FX Strategist, BNP Paribas London branch, +44 20 7595 8270
  • Alex Jekov: Graduate, BNP Paribas London branch, +44 20 7595 4185
  • Kris Giini: Graduate, BNP Paribas London branch
• Other Contacts:
  • Sam Lynton-Brown: FX Strategist, BNP Paribas London branch, +44 20 7595 8467
  • Daniel Katzive, CFA: Head of FX Strategy North America, BNP Paribas Securities Corp (New York), +1 212 841 2408
  • Vasilis Koutsaftis: FX Options Strategist, BNP Paribas Securities Corp (New York), +1 212 471 7973
  • Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, BNP Paribas London branch, +44 20 7595 8746
  • Marcelo Carvalho: Head of Emerging Markets Research, Latam, Banco BNP Paribas Brasil S.A. (Sao Paulo), +55 11 3841 3421
  • Piotr Chwiejczak: FX & IR CEEMEA Strategist, BNP Paribas London branch, +44 20 7595 8715
  • Sai Ulluri: FX & IR CEEMEA Strategist, BNP Paribas London branch, +44 20 7595 1872
  • Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul), +90 216 635 2987
  • Mirza Baig: Head of FX & IR Asia Strategy, BNP Paribas Singapore Branch
  • Dawn Kwa: Graduate, BNP Paribas Singapore Branch
  • Altaz Daga: AU/NZ IR Strategist, BNP Paribas Singapore Branch
  • Kun Shan: China Strategist, BNP Paribas China Limited (Shanghai)
  • Tianhe Ji: China Strategist, BNP Paribas China Limited (Beijing)
  • Gabriel Gersztein: Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Samuel Castro: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)
  • Gustavo Mendonca: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo)

Legal and Disclaimer Notes

• The document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties.
• It may contain "Research" under MiFID II and is not intended for use by non-Relevant Persons.
• No liability is accepted for any losses arising from the use of the document.
• Information is based on public sources and may not be independently verified.
• Simulated performance data is for illustrative purposes and not indicative of future results.
• This document is for information purposes only and does not constitute an offer to sell or issue securities.
• All information is subject to change without notice and is not intended to provide investment advice.