20160912-法国巴黎银行-BNP_Paribas_STEER_Model_-_Trading_Signals_11页_400kb

报告摘要

BNP Paribas STEER™ Model Summary - Trading Signals

Core Content

The BNP Paribas STEER™ Model provides trading signals for various currency pairs based on short-term value analysis and deviation from fair value. The signals are categorized into New Signals, Closed Signals, and Existing Signals, with additional data on z-scores and deviation from short-term value. The model also includes notes on the rationale behind the signals and details on the production and distribution of the report.

Main Trading Signals

New Signals

12-Sep-16: LONG USDIDR at 13099, Target: 13188, Stop Loss: 13055, Return: 0.00%

Closed Signals

09-Sep-16: LONG USDIDR at 13088, Closed at 13178, Return: 0.69%
07-Sep-16: SHORT USDPEN at 3.3625, Closed at 3.3759, Return: -0.40%

Existing Signals

05-Sep-16: SHORT GBPUSD at 1.3305, Target: 1.2936, Stop Loss: 1.3495, Return: 0.27%
09-Sep-16: SHORT EURSEK at 9.5142, Target: 9.3577, Stop Loss: 9.5901, Return: -0.30%
01-Sep-16: LONG EURGBP at 0.8480, Target: 0.8717, Stop Loss: 0.8321, Return: -0.03%

Recently Closed Signals

06-Sep-16: SHORT USDBRL at 3.2832, Closed at 3.2481, Return: 1.07%
02-Sep-16: SHORT USDPEN at 3.3945, Closed at 3.3678, Return: 0.79%
01-Sep-16: SHORT USDCOP at 2971.7700, Closed at 2946.3600, Return: 0.85%

Key Currency Pair Analysis (G10)

Currency	STEER	Spot	z-score
EURGBP	0.8480	0.8470	-1.31(-2.87%)
AUDUSD	0.7665	0.7530	-1.20(-1.84%)
EURUSD	1.1277	1.1250	-0.20(-0.25%)
EURNOK	9.2907	9.2920	0.02(0.02%)
NZDUSD	0.7286	0.7320	0.29(0.44%)
USDCAD	1.3030	1.3070	0.29(0.28%)
USDJPY	100.32	102.50	1.01(2.13%)
EURCHF	1.0885	1.0970	1.11(0.76%)
GBPUSD	1.2936	1.3270	1.39(2.54%)
EURSEK	9.3577	9.5440	1.88(1.95%)

EURGBP: STEER is at 0.8480, spot at 0.8470, z-score -1.31. STEER signals a short EURGBP.
GBPUSD: STEER targets 1.2936, spot at 1.3270, z-score 1.39. STEER signals a short GBPUSD.
EURSEK: STEER targets 9.3577, spot at 9.5440, z-score 1.88. STEER signals a short EURSEK.

Key Currency Pair Analysis (CEEMEA)

Currency	STEER	Spot	z-score
USDILS	3.8137	3.7630	-1.70(-1.34%)
EURRON	4.4570	4.4460	-1.00(-0.24%)
EURHUF	310.40	309.50	-0.63(-0.29%)
EURCZK	27.0264	27.0210	-0.29(-0.02%)
EURPLN	4.3426	4.3350	-0.25(-0.18%)
USDRUB	64.4190	64.8190	0.84(0.62%)
USDTRY	2.9476	2.9760	0.47(0.41%)
USDZAR	14.1701	13.8408	1.22(1.86%)

USDILS: STEER is at 3.8137, spot at 3.7630, z-score -1.70. STEER signals a short USDILS.
USDRUB: STEER is at 64.4190, spot at 64.8190, z-score 0.84. STEER signals a short USDRUB.
USDTRY: STEER is at 2.9476, spot at 2.9760, z-score 0.47. STEER signals a short USDTRY.
USDZAR: STEER is at 14.1701, spot at 13.8408, z-score 1.22. STEER signals a short USDZAR.

Key Currency Pair Analysis (Asia)

Currency	STEER	Spot	z-score
USDTWD	31.9321	31.7350	-1.13(-0.62%)
USDIDR	13377	13279	-1.10(-0.74%)
USDSGD	1.3619	1.3610	-0.14(-0.09%)
USDTHB	34.9060	34.9020	-0.03(-0.01%)
USDINR	66.8409	66.8940	0.18(0.08%)
USDKRW	1109	1113	0.47(0.41%)
USDMYR	4.0375	4.0680	0.76(0.76%)
USDPHP	46.6813	47.1600	1.36(1.02%)

USDTWD: STEER is at 31.9321, spot at 31.7350, z-score -1.13. STEER signals a long USDTWD.
USDIDR: STEER is at 13377, spot at 13279, z-score -1.10. STEER signals a long USDIDR.
USDMYR: STEER is at 4.0375, spot at 4.0680, z-score 0.76. STEER signals a short USDMYR.
USDPHP: STEER is at 46.6813, spot at 47.1600, z-score 1.36. STEER signals a short USDPHP.

Key Currency Pair Analysis (Latin America)

Currency	STEER	Spot	z-score
USDCLP	675.04	670.60	-1.24(-0.67%)
USDMXN	18.9173	18.9480	0.19(0.16%)
USDPEN	3.3851	3.3960	0.39(0.31%)
USDCOP	2886	2919	1.25(1.11%)
USDBRL	3.2264	3.2730	1.32(1.43%)

USDCLP: STEER is at 675.04, spot at 670.60, z-score -1.24. STEER signals a short USDCLP.
USDPEN: STEER is at 3.3851, spot at 3.3960, z-score 0.39. STEER signals a short USDPEN.
USDCOP: STEER is at 2886, spot at 2919, z-score 1.25. STEER signals a long USDCOP.
USDBRL: STEER is at 3.2264, spot at 3.2730, z-score 1.32. STEER signals a long USDBRL.

Notes on the Model

STEER took profit on the long USDIDR signal, but the pair still looks undervalued.
STEER continues to see GBP as overvalued against USD and EUR, and signals short GBPUSD and long EURGBP.
EURSEK is overvalued, so STEER signals a short EURSEK.
The dotted line in the charts indicates when the model does not pass the 'co-integration filter'.

Strategy Contacts

Cross Asset Strategy

Michael Sneyd, CFA - Macro Quantitative Strategist, London
Steven Saywell - Global Head of FX Strategy, London
Sam Lynton-Brown - FX Strategist, London
Clara Leonard - FX Strategist, London
Daniel Katzive, CFA - Head of FX Strategy North America, New York
Vasilis Koutsaftis - FX Options Strategist, New York

Emerging Markets FX & IR Strategy

Wike Groenenberg - Global Head of EM Strategy, London
Piotr Chwieczak - FX & IR CEEMEA Strategist, London
Erkin Isik, CFA - FX & IR CEEMEA Strategist, Istanbul
Mirza Baig - Head of FX & IR Asia Strategy, Singapore
Jennifer Kusuma - FX & IR Asia Strategist, Singapore
Altaz Daghla - AU/NZ IR Strategist, Singapore
Kun Shan - China Strategist, Shanghai
Tianhe Ji - China Strategist, Shanghai
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

Production and Distribution

Barbara Consuelo - Foreign Exchange, London
Amanda Grantham-Hill - London
Anna McLauchlin - London
Louise Bylicki - New York

The report is subject to legal disclaimers and is intended for professional clients only. It is not intended for retail clients and may not be reproduced or distributed without prior written consent.

Legal Disclaimer

This document is not independent investment research and may be subject to conflicts of interest. BNP Paribas may have a financial interest in the currencies mentioned and may be involved in related transactions. The information is for informational purposes only and should not be relied upon as an indication of future performance. No liability is accepted for any losses arising from the use of the information.