BNP Paribas STEER™ Model Summary - 2 July 2018
Core Content Overview
This document provides an update on the BNP Paribas STEER™ FX strategy model, highlighting trading signals, currency valuations, and market factors influencing the FX pairs. The model uses a z-score deviation from short-term value to identify overvalued and undervalued pairs, and it includes positions taken and closed by the model.
Trading Signals
| Entry Date |
Position |
Entry Rate |
Target |
Stop Loss |
Close Rate |
Return (%) |
| 25-Jun-18 |
SHORT USDCAD |
1.3303 |
- |
- |
1.3136 (29-Jun-18) |
1.25 |
| 29-Jun-18 |
LONG USDTRY |
4.5713 |
- |
- |
4.6221 (02-Jul-18) |
1.11 |
- USDCAD: The model has taken profit on its short position, as the pair converged back to fair value.
- USDTRY: The model has taken profit on its long position, and remains short on USDTWD and USDPHP.
- EURCHF: The model remains long EURCHF, which is still undervalued by 1.7 z-scores, suggesting potential for an upward move towards the target of 1.1751.
- USDTWD and USDPHP: Both are overvalued by 1.7 z-scores, and the model remains short on these pairs.
G10 Currency Analysis
The following G10 currencies are analyzed for their deviation from short-term value (z-score):
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| NZDUSD |
0.7024 |
0.6750 |
-1.69(-3.99%) |
0.7263 |
0.6784 |
| EURCHF |
1.1751 |
1.1550 |
-1.67(-1.77%) |
1.1933 |
1.1568 |
| GBPUSD |
1.3453 |
1.3170 |
-1.49(-2.16%) |
1.3739 |
1.3168 |
| EURUSD |
1.1676 |
1.1640 |
-0.21(-0.30%) |
1.1928 |
1.1423 |
| AUDUSD |
0.7337 |
0.7380 |
0.40(0.52%) |
0.7484 |
0.7191 |
| EURNOK |
9.4610 |
9.5180 |
0.49(0.59%) |
9.6324 |
9.2897 |
| EURSEK |
10.3960 |
10.4500 |
0.50(0.52%) |
10.5567 |
10.2353 |
| EURGBP |
0.8679 |
0.8840 |
0.97(1.82%) |
0.8927 |
0.8430 |
| USDCAD |
1.3033 |
1.3160 |
1.16(1.00%) |
1.3203 |
1.2862 |
| USDJPY |
108.09 |
110.80 |
1.38(2.45%) |
108.09 |
105.1365 |
- EURCHF, NZDUSD, GBPUSD are all undervalued, while USDJPY is overvalued.
- The model does not pass the co-integration filter for some currencies, as indicated by the dotted line in the charts.
CEEMEA and Asia Currency Analysis
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| USDTRY |
4.6753 |
4.6250 |
-0.98(-1.09%) |
4.7524 |
4.5981 |
| USDILS |
3.6754 |
3.6610 |
-0.56(-0.39%) |
3.7136 |
3.6371 |
| USDINR |
69.0129 |
68.6580 |
-0.51(-0.52%) |
70.0532 |
67.9726 |
| USDTHB |
33.1976 |
33.1350 |
-0.31(-0.19%) |
33.4982 |
32.8970 |
| USDMYR |
4.0460 |
4.0400 |
-0.24(-0.14%) |
4.0831 |
4.0090 |
| USDIDR |
14450 |
14495 |
0.49(0.31%) |
14587.6675 |
14311.3675 |
| USDSGD |
1.3602 |
1.3670 |
0.84(0.51%) |
1.3728 |
1.3476 |
| USDPHP |
52.7648 |
53.4300 |
1.68(1.25%) |
53.3592 |
52.1703 |
| USDTWD |
30.1398 |
30.5450 |
1.75(1.33%) |
30.4871 |
29.7925 |
- USDTRY, USDTWD, and USDPHP are overvalued, while USDINR, USDTHB, and USDMYR are slightly undervalued.
- The model remains short on USDTWD and USDPHP, which are overvalued by 1.7 z-scores.
Latin America Currency Analysis
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| USDPEN |
3.2771 |
3.2760 |
-0.05(-0.02%) |
3.2952 |
3.2590 |
| USDBRL |
3.8440 |
3.8760 |
0.75(0.84%) |
3.9094 |
3.7787 |
| USDCLP |
650.86 |
654.40 |
0.75(0.53%) |
657.8177 |
643.8941 |
| USDCOP |
2899 |
2930 |
1.16(1.06%) |
2939.4965 |
2859.3075 |
| USDMXN |
19.7272 |
19.9970 |
1.54(1.35%) |
19.9895 |
19.4649 |
- USDBRL, USDCLP, and USDMXN are slightly overvalued, while USDPEN is undervalued.
- The model has closed a long USDILS position with a return of 0.70%.
Key Market Drivers
- USDCAD: The pair was overvalued, but has since converged to fair value, leading to a profit-taking decision.
- USDTRY: The model took a profit on the long position, and the pair is now overvalued.
- EURCHF: The model remains long, and the pair is undervalued by 1.7 z-scores.
- USDTWD and USDPHP: Both are overvalued by 1.7 z-scores, and the model is short on these.
- USDILS: The model is short on this pair, which is slightly undervalued.
Contact Information
| Strategist |
Job Title |
Legal Entity |
Phone |
| Michael Sneyd, CFA |
Global Head of FX Strategy & Cross-Asset Strategist |
BNP Paribas London branch |
44 20 7595 1307 |
| Natalie Rickard |
FX Strategist |
BNP Paribas London branch |
44 20 7595 8270 |
| Alex Jekov |
Graduate |
BNP Paribas London branch |
44 20 7595 4185 |
| Kris Giini |
Graduate |
BNP Paribas London branch |
- |
| Sam Lynton-Brown |
FX Strategist |
BNP Paribas London branch |
44 20 7595 8467 |
| Daniel Katzive, CFA |
Head of FX Strategy North America |
BNP Paribas Securities Corp (New York) |
1 212 841 2408 |
| Vasilis Koutsaftis |
FX Options Strategist |
BNP Paribas Securities Corp (New York) |
1 212 471 7973 |
| Wike Groenenberg |
Head of Emerging Markets Research, CEEMEA & APAC |
BNP Paribas London branch |
44 20 7595 8746 |
| Marcelo Carvalho |
Head of Emerging Markets Research, Latam |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3421 |
| Sai Ulluri |
FX & IR CEEMEA Strategist |
BNP Paribas London branch |
44 20 7595 1872 |
| Shaun Daly |
FX & IR CEEMEA Graduate |
BNP Paribas London branch |
44 20 7595 1870 |
| Erkin Isik, CFA |
FX & IR CEEMEA Strategist |
Turk Ekonomi Bank A.S. (Istanbul) |
90 216 635 2987 |
| Altaz Dagha |
APAC IR Strategist |
BNP Paribas Singapore Branch |
65 6210 4994 |
| Dawn Kwa |
Asia FX & IR Strategist |
BNP Paribas Singapore Branch |
65 6210 3263 |
| Kun Shan |
China Strategist |
BNP Paribas China Limited (Shanghai) |
86 21 2896 2773 |
| Tianhe Ji |
China Strategist |
BNP Paribas China Limited (Beijing) |
86 10 6535 0836 |
| Gabriel Gersztein |
Head FX & IR Latam Strategy |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3421 |
| Samuel Castro |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3492 |
| Luca Maia |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3447 |
| Andre Digiacomo |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3445 |
Legal and Disclaimer Notes
- This document is non-independent research and may be subject to conflicts of interest.
- It is a marketing communication and not investment research.
- The model may have acted on the information before publication and may receive compensation for investment banking services.
- The information is for informational purposes only and does not constitute a prospectus or public offering.
- There is no assurance that any transaction will be entered into on the indicated terms.
- The document may not be reproduced or distributed without prior written consent.
- Past performance is not indicative of future results.
