20150901-法国巴黎银行-BNP_Paribas_STEER__11页_788kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a model used to assess the over- or under-valuation of currency pairs against their fair value. It provides trading signals based on deviations measured by z-scores and is used to guide investment decisions in the foreign exchange market. The report highlights current market conditions and trading signals for various regions, including G10, CEEMEA, Asia, and Latin America, as well as mentions the performance of the trading strategy and important legal disclaimers.

Main Points and Key Information

G10 Currency Pairs

• AUDUSD: Appears undervalued, with a z-score deviation of -2.42 (-3.92%). A bullish signal was triggered on 1 Sept 2015, targeting 0.7408.
• EURGBP: Overvalued by 0.60 (0.96%), with a z-score deviation.
• EURCHF: Overvalued by -1.55 (-5.83%), with a bullish signal targeting 1.1499.
• EURNOK: Overvalued by 1.77 (2.60%), with a bearish signal targeting 9.1382 and a stop loss at 9.5825.
• EURSEK: Trading 1.4 z-scores above its STEER, indicating overextension but not enough to trigger a bearish signal.
• GBPUSD: Moved back in line with its STEER of 1.5460, with a bearish signal that achieved a 1.98% return.
• USDJPY: Overvalued by 0.54 (0.84%), with a z-score deviation.
• USDCAD: Slightly overvalued by 0.17 (0.15%), with a z-score deviation.
• NZDUSD: Overvalued by -1.03 (-2.60%), with a z-score deviation.

CEEMEA Currency Pairs

• EURPLN: Slightly overvalued by 0.65 (0.47%), with a z-score deviation.
• EURCZK: Undervalued by -1.34 (-0.63%), with a z-score deviation.
• EURHUF: Slightly undervalued by -0.16 (-0.10%), with a z-score deviation.
• EURRON: Undervalued by -1.97 (-0.65%), with a bearish signal but potential profit less than minimum gain.
• USDZAR: Overvalued by 1.78 (1.71%), with a bearish signal targeting a stop loss at 13.1957.
• USDTRY: Overvalued by 1.79 (1.85%), with a bearish signal targeting 2.8879.
• USDILS: Overvalued by 2.13 (1.60%), with a bearish signal targeting 3.8935.
• USDRUB: Overvalued by 2.97 (4.05%), with a bearish signal targeting 64.2911.

Asia Currency Pairs

• USDKRW: Slightly overvalued by 0.65 (0.51%), with a z-score deviation.
• USDMYR: Overvalued by 2.04 (1.84%), with a bearish signal targeting 4.1196.
• USDIDR: Overvalued by 1.65 (0.92%), with a bearish signal targeting 14181.
• USDTHB: Most overvalued, with a z-score deviation of 2.91 (2.24%), bearish signal targeting 35.6188.
• USDSGD: Overvalued by 2.60 (1.59%), with a bearish signal targeting 1.3978.
• USDPHP: Overvalued by 2.45 (1.53%), with a bearish signal targeting 46.3868.
• USDTWD: Overvalued by 1.56 (0.85%), with a z-score deviation.

Latin America Currency Pairs

• USDBRL: Overvalued by 1.31 (1.46%), with a bearish signal that was locked out due to previous stop loss.
• USDCLP: Overvalued by 1.87 (1.11%), with a bearish signal that did not meet the cointegration filter.
• USDMXN: Overvalued by 1.50 (1.46%), with a z-score deviation.
• USDPEN: Slightly undervalued by -0.48 (-0.40%), with a z-score deviation.
• USDCOP: Overvalued by 1.26 (1.33%), with a z-score deviation.

STEER™ Model Notes

• A z-score deviation greater than 1.5 is considered a significant predictor of exchange rate movements.
• The "cointegration filter" is used to assess the reliability of signals. Pairs that do not pass this filter are considered less reliable.
• The STEER™ Regime Monitor is used to identify instability in the model. A score above 80 indicates that the signals are unstable and not recommended for trading.

Recent Trade Performance

• The last 15 trades have resulted in a 2015 YTD return of 11.83%.
• Some trades have shown positive returns, while others have resulted in losses. For example, a short GBPUSD trade achieved a 1.98% return, and a short USDTRY trade achieved a 0.96% return.

Key Themes

• AUDUSD is currently undervalued and presents a bullish opportunity.
• EURNOK is overvalued and has potential for further decline.
• USD-EM pairs are generally overvalued, with several showing z-scores above 1.5.
• USDTHB is the most overvalued in Asia.
• EURSEK is showing signs of overextension, but not enough to trigger a bearish signal.
• GBPUSD has moved back in line with its STEER, indicating a potential stabilization.
• USDBRL is overvalued, but the trading strategy is locked out due to previous trades.
• USDINR is overvalued but does not pass the cointegration filter, indicating low conviction.

Disclaimer

This document is a marketing communication and not independent investment research. It is not subject to legal requirements for independent investment research and may not be relied upon as such. The views expressed are based on the signals from BNP Paribas' models and do not represent the overall view of the FX Strategy team.

Contacts

For further information or assistance, contact the following FX Strategy team members:

• Steven Saywell – Global Head of FX Strategy, London
• James Hellawell – Quantitative Strategist, London
• Michael Sneyd – FX Strategist & Lead Quant Strategist, London
• Sam Lynton-Brown – Graduate, London
• Daniel Katzive – Head of FX Strategy North America, New York
• Vasilis Koutsaftis – FX Options Strategist, New York
• Vassili Serebriakov – FX Strategist, New York

Distribution and Legal Notes

This report is distributed for the use of intended recipients only and may not be reproduced or transmitted without prior written consent. It is not for retail clients and is solely prepared for professional clients in the European Economic Area. The report is subject to change and should not be relied upon as an offer or solicitation to buy or sell any securities. BNP Paribas may have a financial interest in the issuers or persons mentioned and may have acted upon the information before its publication.