20171211-法国巴黎银行-BNP_Paribas_STEER_15页_1mb

BNP Paribas FX Strategy Summary - 11 December 2017

Core Content

This document provides a summary of the BNP Paribas STEER™ Model's trading signals and short-term fair value (FV) analysis for various currency pairs as of 11 December 2017. The STEER™ model is used to identify potential trading opportunities based on deviations from fair value, represented by z-scores, and includes both open and closed signals.

Key Trading Signals

Existing Signals

• 08-Dec-17: SHORT EURSEK

  • Entry Rate: 9.9766
  • Target: 9.8746
  • Stop Loss: 10.0384
  • Return (%): -0.17

• 06-Dec-17: SHORT USDTRY

  • Entry Rate: 3.8567
  • Target: 3.8155
  • Stop Loss: 3.8773
  • Return (%): 0.68

Recently Closed Signals

• 22-Nov-17: LONG USDZAR

  • Entry Rate: 13.8872
  • Close Rate: 14.0743 (24-Nov-17)
  • Return (%): 1.35

• 28-Nov-17: LONG USDZAR

  • Entry Rate: 13.7284
  • Close Rate: 13.6338 (28-Nov-17)
  • Return (%): -0.69

• 28-Nov-17: LONG USDKRW

  • Entry Rate: 1084.2500
  • Close Rate: 1080.3100 (29-Nov-17)
  • Return (%): -0.36

• 01-Dec-17: LONG USDZAR

  • Entry Rate: 13.6796
  • Close Rate: 13.5786 (04-Dec-17)
  • Return (%): -0.74

• 05-Dec-17: SHORT EURSEK

  • Entry Rate: 9.9768
  • Close Rate: 9.9543 (07-Dec-17)
  • Return (%): 0.23

Short-Term Fair Value Analysis

G10 Currencies

CEEMEA Currencies

Latin America Currencies

Main Views and Key Information

• EURSEK: The model continues to signal a short position targeting 9.8746. The pair has shown a fair value decline due to narrowing Turkey's CDS. EURUSD is trading 0.95 z-scores below its short-term fair value, suggesting undervaluation ahead of ECB and Fed meetings. EURCHF is also undervalued relative to its STEER value.

• USDTRY: The pair has started to converge lower, but the model remains short, anticipating further decline. The fair value has fallen as a result of Turkey's CDS narrowing.

• EM Currencies: Most emerging market (EM) signals are in line with fair values. USDZAR is currently undervalued (z-score = -1.73), while EURPLN, USDRUB, and EURHUF are also undervalued.

• Other Currencies: NZDUSD is undervalued (z-score = -2.59), USDPHP is undervalued (z-score = -2.26), and USDMYR is undervalued (z-score = -1.88). USDTWD and USDTHB are slightly undervalued, while USDKRW and USDSGD are trading close to fair value.

• Market Conditions: The STEER™ model highlights potential trading opportunities based on current deviations from fair value. The model may not pass the co-integration filter, indicating possible statistical issues in some currency pairs.

Important Notes

• The STEER™ model is not independent research and is intended as a marketing communication under MiFID regulations.
• The document does not constitute investment advice and should not be relied upon as such.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.
• All estimates and opinions are subject to change and based on internal models and assumptions.
• Indicative prices are for informational purposes and may vary significantly from actual market prices.
• The information is not guaranteed to be accurate or complete and may not have been independently verified.

Strategy Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
• Natalie Rickard: FX Strategist, London
• Sam Lynton-Brown: FX Strategist, London
• Emerging Markets FX & IR Strategy Contacts:
  • Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
  • Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
  • Piotr Chwieczak: FX & IR CEEMEA Strategist, London
  • Sai Ulluri: FX & IR CEEMEA Strategist, London
  • Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
  • Mirza Baig: Head of FX & IR Asia Strategy, Singapore
  • 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 Information

• This document is not investment research and is not intended to be used for investment decisions.
• It does not constitute a prospectus or public offering.
• BNP Paribas may have financial interests in the securities discussed and may act as a market maker or advisor.
• The information is provided on a confidential basis and may not be reproduced or distributed without prior written consent.
• No liability is accepted for any use of the information, including reliance on it for trading or investment decisions.
• Past performance is not indicative of future results.
• The information may be subject to change without notice.