Short-term fair value table

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1 Macro & FICC Research Short-term fair values Tuesday 12 February 2019 Time for some Scandie strength? NOK with correction signal EUR/SEK correcting lower ahead of Rix. EUR/SEK has been trading in overbought territory for quite some time now. The pull from the lower valuation has been greatly mitigated as its STFV has been heading higher. However, the past two days have seen a mild correction lower which has gained speed today when also an intraday update of the STFV indicates that the drivers motivate a lower STFV. One reason may be positioning adjustments ahead of the Riksbank rate decision which will be announced tomorrow which we at least feels the market have been a bit too dovish ahead of. EUR/USD far more oversold than what tends to be sustainable longer-term. However, with also its STFV heading lower there seems to be need of an external event to trigger a correction higher. EUR/NOK time to correct lower. Yesterday the late sharp rise in EUR/NOK brought it above its major signal band (1.6 St dev) which is a signal in our systematic framework to short EUR/NOK targeting a correction back to its STFV. Since inception of the systematic framework in 2014 its trades have been successful 64% of the time and generated an accumulated return of 5.3%. Karl Steiner Chief Quantitative Strategist Short-term fair value table Ccy StDev STFV Y-day close 12-Feb Correction potential Trend EUR/SEK % EUR/NOK % EUR/USD % GBP/USD % NZD/USD % AUD/USD % USD/JPY % USD/CAD % EUR/CHF % EUR/PLN % NOK/SEK % USD/SEK % USD/NOK % Correction potential: Change in spot in order to reach STFV Date 12-Feb Time 11:57 EUR/SEK versus STFV Deviation from short-term fair value EUR/PLN USD/SEK USD/NOK EUR/SEK EUR/NOK USD/JPY USD/CAD NZD/USD NOK/SEK GBP/USD AUD/USD EUR/CHF EUR/USD -3.7 EUR/NOK versus STFV Upside deviation today Upside deviation y-day You can also find our research materials at our website: This report is produced by Skandinaviska Enskilda Banken AB (publ) for institutional investors only. Information and opinions contained within this document are given in good faith and are based on sources believed to be reliable, we do not represent that they are accurate or complete. No liability is accepted for any direct or consequential loss resulting from reliance on this document. Changes may be made to opinions or information contained herein without notice.

2 Macro & FICC Research: FX Ringside Tuesday 12 February EUR/USD NOK/SEK (cross between EUR/SEK and EUR/NOK STFV) EUR/CHF EUR/PLN USD/CAD USD/JPY

3 Macro & FICC Research: FX Ringside Tuesday 12 February GBP/USD AUD/USD NZD/USD Absolute average deviation (cross models not included) USD/SEK (cross between EUR/SEK and EUR/USD STFV) USD/NOK (cross between EUR/NOK and EUR/USD STFV)

4 Macro & FICC Research: FX Ringside Tuesday 12 February EUR/SEK vs Rate spread factor EUR/NOK vs Rate spread factor EUR/SEK vs Equity ratio factor EUR/NOK vs Equity ratio factor EUR/SEK vs Risk factor EUR/NOK vs Oil factor

5 Macro & FICC Research: FX Ringside Tuesday 12 February EUR/SEK model power and factor impact EUR/NOK model power and factor impact

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