20150714-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER__11页_665kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the fair value of currency pairs and identify potential trading opportunities based on deviations from this fair value. The model uses a z-score to measure misvaluation, with deviations greater than 1.5 z-scores indicating significant potential for exchange rate movements. It also incorporates a cointegration filter to ensure the model's predictive power is maintained.

Key Currency Pairs Analysis

G10 Currencies

• GBPUSD: The STEER fair value has declined to 1.6950 from a high of 1.7120, indicating the pair is currently overvalued by 1.2 z-scores (1.00%). The decline is due to a narrowing interest rate differential and a pullback in global equities and oil prices.

• NZDUSD: Overvalued by 2.76 z-scores (3.28%), with a fair value of 0.8530. The overvaluation is driven by declining global risk appetite and underperformance of New Zealand equities.

• AUDUSD: Remains expensive, trading at the top of the ±1.5 z-score corridor, with a fair value of 0.9153.

• USDSGD: Undervalued by 2.12 z-scores (0.80%), suggesting potential for a price increase.

• USDMYR: Undervalued by 1.78 z-scores (0.84%), also indicating potential for upward movement.

• USDZAR: Close to the top of its ±1.5 z-score corridor, with a fair value of 10.5760. It is close to triggering a bearish signal.

• EURSEK: Overvalued by 2.28 z-scores (1.81%), with a fair value of 9.0822. The pair did not pass the cointegration filter, so no bearish signal is currently triggered.

• EURRON: Overvalued by 1.67 z-scores (0.87%), but it also did not pass the cointegration filter.

• EURUSD: Fair value at 1.3550, with a spot rate of 1.3600, indicating a minor overvaluation of 0.61 (0.37%).

• EURCHF: Fair value at 1.2200, with a spot rate of 1.2140, indicating a minor undervaluation of 1.31 (-0.49%).

• EURNOK: Fair value at 8.2830, with a spot rate of 8.4060, indicating a minor overvaluation of 0.96 (1.48%).

CEEMEA

• EURPLN: Spot at 4.1420, fair value at 4.1450, indicating a minor undervaluation of 0.17 (-0.07%).

• EURCZK: Spot at 27.4320, fair value at 27.3960, indicating a minor overvaluation of 0.72 (0.13%).

• EURHUF: Spot at 310.20, fair value at 309.60, indicating a minor overvaluation of 0.43 (0.19%).

• USDZAR: Spot at 10.7480, fair value at 10.5760, indicating a overvaluation of 1.46 (1.63%).

• USDTRY: Spot at 2.1220, fair value at 2.1030, indicating a overvaluation of 1.14 (0.90%).

• USDILS: Spot at 3.4300, fair value at 3.4340, indicating a minor undervaluation of 0.32 (-0.12%).

• USDRUB: Spot at 34.3240, fair value at 34.2210, indicating a overvaluation of 0.31 (0.30%).

Asia

• USDKRW: Spot at 1018, fair value at 1021, indicating a minor undervaluation of 0.20 (-0.29%).

• USDIDR: Spot at 11727, fair value at 11507, indicating a overvaluation of 1.14 (1.91%).

• USDTHB: Spot at 32.1430, fair value at 32.2240, indicating a minor undervaluation of 0.56 (-0.25%).

• USDPHP: Spot at 43.5300, fair value at 43.8350, indicating a minor undervaluation of 1.19 (-0.70%).

• USDTWD: Spot at 29.9430, fair value at 29.8900, indicating a minor overvaluation of 0.61 (0.18%).

Latin America

• USDBRL: Spot at 2.2210, fair value at 2.2170, indicating a minor overvaluation of 0.28 (0.18%).

• USDMXN: Spot at 12.9920, fair value at 12.9480, indicating a minor overvaluation of 0.54 (0.34%).

• USDCOP: Spot at 1857, fair value at 1875, indicating a minor undervaluation of 0.86 (-0.96%).

• USDCLP: Spot at 554.40, fair value at 546.80, indicating a overvaluation of 1.75 (1.39%), but it did not pass the cointegration filter, so no signal is currently active.

Trading Signals and Performance

• GBPUSD: No signal.
• NZDUSD: Bearish signal with a target of 0.8532 and a stop loss at 0.8903, entered on 09-Jul-14.
• AUDUSD: No signal.
• USDSGD: No signal due to potential profit being less than the minimum gain.
• USDMYR: No signal due to potential profit being less than the minimum gain.
• USDZAR: No signal, but close to the top of its ±1.5 z-score corridor.
• EURSEK: No signal due to not passing the cointegration filter.
• USDCLP: No signal due to not passing the cointegration filter.

Trade History (Last 15 trades)

Regime Monitor

• The Regime Monitor assesses four variables to determine the stability of the STEER model.
• No currencies currently have a score above 80, the threshold for trading signals.
• EURNOK score increased to 75 from 60 last week, but it is within its ±1.5 z-score corridor.
• EURSEK score increased to 66 from 55 last week, but it is still overvalued and the model is locked out from establishing a position.
• USDCLP has the highest score at 70, but it also failed the cointegration filter.

Key Themes

• The GBPUSD fair value has declined due to a narrowing interest rate differential and a pullback in global equities and oil prices.
• The USDJPY fair value has declined due to a drop in US Treasury yields, reducing its overvaluation.
• NZDUSD and EURISK continue to show significant overvaluation, with NZDUSD at 2.76 z-scores.
• USDSGD and USDMYR are considered undervalued, with potential for upward movement.
• EURSEK and USDCLP remain overvalued but are not currently generating bearish signals due to the cointegration filter.
• The STEER model is currently not triggering any signals due to instability or filter failures.

Contacts

• Steven Saywell – Global Head of FX Strategy, London
• James Hellawell – Quantitative Strategist, London
• Kiran Kowshik – FX Strategist, London
• Phyllis Papadavid – Senior Global FX Strategist, London
• Michael Sneyd – FX Strategist & Lead Quant Strategist, London
• Daniel Katzive – Head of FX Strategy North America, New York
• Vasilis Koutsaftis – FX Options Strategist, New York
• Vassili Serebriakov – FX Strategist, New York
• Piotr Chwieczak – FX & IR CEEMEA Strategist, London
• Dina Ahmad – FX & IR CEEMEA Strategist, London
• Erkin Isik – FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig – Head of FX & IR Asia Strategy, Singapore
• Jasmine Poh – FX & IR Asia Strategy, Singapore
• Yii Hui Wong – FX & IR Asia Strategy, Singapore
• Jennifer Kusuma – FX & IR Asia Strategy, Singapore
• Gabriel Gersztein – Head FX & IR Latam Strategy, Sao Paulo
• Thiago Alday – FX & IR Latam Strategist, Sao Paulo
• James Z Hao – FX & IR Latam Strategist, New York

Disclaimer

• This document is a marketing communication and not independent investment research.
• It is not intended to be relied upon as an independent analysis.
• No liability is accepted for any losses arising from the use of this document.
• The information is based on public sources and may not be accurate, complete, or up to date.
• The report is subject to change without notice and should not be taken as an indication of future performance.