BNP Paribas summary of G10 deviations

23 November,, London – For the start of a new week BNP Paribas has shared the latest quant findings, which take into an account complex mathematical and statistical models, measurements and research. The following is an enhanced model of BNP Paribas “STEER” summary of G10 deviations.

Summary of G10 deviations

BNP Paribas summery of G10 deviations

Analysis and trades

The recently seen softness in USD appears to be at odds with fundamentals and cross-market movements.

The last week’s Philly Fed survey was released better than expected, jobless claims are being held near record lows, commodity prices devalued further and US 2-year yields trade near their recent highs of approximately 91bp.

BNP Paribas therefore sees the inverse relationship between the data and the price action of the USD as reflective of long US dollar profit taking.

BNP Paribas summery of G10 deviations

Nevertheless, “given our view that the overall level of FX market positioning is currently very low (see the chart above), we do not think this is likely to persist and we do not think the fundamental picture has changed for the USD,” BNP Paribas concluded.


According to the “STEER” model, the USD remains undervalued by 1.97 z-scores against the NZD.

Historically, NZDUSD has been the most sensitive currency pair to moves in US front-end yields among the G10. Therefore, fuelled by moves in relative yields, BNP Paribas remains shorting NZDUSD towards a revised target at 0.6176.


Having the 2-year US treasury yield trading at new highs above 91bp, rate differentials continue moving in the USD’s favor.

“We expect the dollar to extend gains heading into December, with EURUSD likely to challenge 1.05,” BNPP projects.

BNP Paribas summery of G10 deviations

However, heading into the ECB and Fed meetings during the month, BNP Paribas recommends to unwind any USD positions due to uncertain outcomes from the events, especially the ECB meeting.

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