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BNP Paribas STEER™ Model Summary - 20 March 2017

Core Content Overview

This document provides a summary of the BNP Paribas STEER™ model's current trading signals and fair value assessments for various currency pairs, focusing on short-term value deviations and z-scores. It outlines the model's positions, targets, stop losses, and returns for active trades, as well as the fair value estimates and market conditions for different currency pairs across the G10, CEEMEA, Asia, and Latin America regions.

Trading Signals

• No new signals were added today.
• No closed signals were reported today.
• Existing signals include:

Fair Value and Deviations (Z-Scores)

G10 Currencies

CEEMEA Currencies

Asia Currencies

Latin America Currencies

Key Insights

• The USD appears fairly valued against most G10 currencies after the post-FOMC sell-off.
• EURUSD is trading close to its STEER value of 1.0788, with the eurozone currency bloc also appearing fairly valued.
• The USDJPY is the most misaligned currency pair, appearing undervalued by 1.2 z-scores versus its STEER of 114.07. The model suggests the sell-off in USDJPY has been overdone relative to the fall in US 2y and 10y yields.
• EURNOK remains a short position, targeting 9.0160. The pair has been overvalued in March due to oil price weakness but is beginning to converge back towards its STEER.
• The STEER™ model continues to monitor deviations from fair value using z-scores and provides insights into the relative value of currency pairs.

Driving Factors

• The model highlights the relationship between interest rate differentials and currency valuation, particularly in the context of market movements and economic data such as yields and oil prices.
• It uses co-integration filters to determine the validity of the fair value estimates, with dotted lines indicating when the model does not pass the filter.

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 Notes

• The document is non-independent research and is intended for marketing purposes.
• It does not constitute investment research and is not subject to MiFID independence rules.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, and advisory services.
• Indicative prices and performance data are provided for information purposes and not for trading.
• The information is subject to change and not guaranteed in accuracy or completeness.
• Back-tested performance is not indicative of future results and is not an offer to sell or solicitation to buy any financial instrument.
• The document is confidential and not to be distributed without prior written consent.

Distribution

• The document was produced by BNP Paribas London Branch.
• It is distributed to Professional Clients and Eligible Counterparties under MiFID regulations.
• Confidentiality is emphasized, and the document is only for the intended recipients.

Additional Notes

• The document contains performance data based on simulations and back-testing.
• It is not a prospectus or advertisement and does not provide investment, tax, or legal advice.
• Users are advised to consult independent advisors before making any investment decisions based on the information provided.