20151005-法国巴黎银行-BNP_Paribas_STEER_11页_728kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a model used to assess the fair value of currency pairs based on interest rate differentials and macroeconomic factors. The report outlines the current fair values, deviations, and trading signals for various currency pairs across different regions.

Main Views and Key Information

G10 Currencies

• EURUSD: EUR is overvalued at 1.1230, with a fair value of 1.0770. Deviation is 2.28 (4.27%). Trading signal: ↓. Target: 1.0765. Stop Loss: 1.1482. Entry Date: 05-Oct-15.
• GBPUSD: GBP is undervalued at 1.5210, with a fair value of 1.5450. Deviation is -1.02 (-1.55%). Trading signal: -.
• USDJPY: USD is overvalued at 120.00, with a fair value of 118.70. Deviation is -8.04 (1.10%). Trading signal: -.
• USDCAD: CAD is overvalued at 1.3140, with a fair value of 1.2910. Deviation is 1.83 (1.78%). Trading signal: ↓. Target: 1.2910. Stop Loss: 1.3361.
• AUDUSD: AUD is undervalued at 0.7070, with a fair value of 0.7300. Deviation is -1.81 (-3.15%). Trading signal: ↑. Target: 0.7299. Stop Loss: 0.6908. Entry Date: 23-Sep-15.
• EURGBP: GBP is overvalued at 0.7380, with a fair value of 0.6970. Deviation is 3.17 (5.88%). Trading signal: ↓. Target: 0.6967. Stop Loss: 0.7482. Entry Date: 01-Oct-15.
• EURCHF: CHF is overvalued at 1.0910, with a fair value of 1.1170. Deviation is -0.60 (-2.33%). Trading signal: -.
• EURNOK: NOK is overvalued at 9.3960, with a fair value of 9.1270. Deviation is 1.97 (2.95%). Trading signal: ↓. Stop Loss: 9.3614.
• EURSEK: SEK is slightly overvalued at 9.3840, with a fair value of 9.3680. Deviation is 0.19 (0.17%). Trading signal: -.

CEEMEA Currencies

• EURPLN: PLN is overvalued at 4.2500, with a fair value of 4.1920. Deviation is 2.05 (1.38%). Trading signal: ↓. Target: 4.2207. Stop Loss: 4.2633. Entry Date: 05-Oct-15.
• EURCZK: CZK is undervalued at 27.1530, with a fair value of 27.3390. Deviation is -2.40 (-0.68%). Trading signal: ↑. Potential profit less than min. gain.
• EURHUF: HUF is overvalued at 311.80, with a fair value of 307.30. Deviation is 2.38 (1.46%). Trading signal: ↓. Target: 309.88. Stop Loss: 312.72. Entry Date: 05-Oct-15.
• EURRON: RON is slightly overvalued at 4.4200, with a fair value of 4.4070. Deviation is 0.99 (0.29%). Trading signal: -.
• USDZAR: ZAR is slightly overvalued at 13.6830, with a fair value of 13.5900. Deviation is 0.70 (0.68%). Trading signal: -.
• USDTRY: TRY is undervalued at 2.9900, with a fair value of 3.0440. Deviation is -2.01 (-1.77%). Trading signal: ↑. Target: 3.0169. Stop Loss: 2.9761. Entry Date: 05-Oct-15.
• USDILS: ILS is slightly undervalued at 3.9180, with a fair value of 3.9210. Deviation is -0.13 (-0.08%). Trading signal: -.
• USDRUB: RUB is slightly undervalued at 65.9340, with a fair value of 66.3670. Deviation is -0.44 (-0.65%). Trading signal: -.

Asia Currencies

• USDKRW: KRW is slightly overvalued at 1172, with a fair value of 1165. Deviation is 0.82 (0.60%). Trading signal: -.
• USDMYR: MYR is slightly overvalued at 4.3940, with a fair value of 4.3540. Deviation is 0.83 (0.92%). Trading signal: -.
• USDIDR: IDR is slightly overvalued at 14740, with a fair value of 14706. Deviation is 0.28 (0.23%). Trading signal: -.
• USDINR: INR is slightly undervalued at 65.2850, with a fair value of 65.4830. Deviation is -0.60 (-0.30%). Trading signal: -.
• USDTHB: THB is overvalued at 36.4060, with a fair value of 35.9700. Deviation is 1.50 (1.21%). Trading signal: -.
• USDSGD: SGD is slightly overvalued at 1.4320, with a fair value of 1.4180. Deviation is 1.51 (0.99%). Trading signal: -.
• USDPHP: PHP is slightly overvalued at 46.5750, with a fair value of 46.3470. Deviation is 1.10 (0.49%). Trading signal: -.
• USDTWD: TWD is slightly overvalued at 32.7760, with a fair value of 32.5550. Deviation is 1.09 (0.68%). Trading signal: -.

Latin America Currencies

• USDBRL: BRL is slightly undervalued at 3.9330, with a fair value of 3.9500. Deviation is -0.37 (-0.43%). Trading signal: -.
• USDCLP: CLP is undervalued at 689.30, with a fair value of 701.40. Deviation is -2.64 (-1.73%). Trading signal: ↑. Does not pass ‘cointegration filter’.
• USDMXN: MXN is slightly undervalued at 16.7500, with a fair value of 16.7880. Deviation is -0.39 (-0.23%). Trading signal: -.
• USDPEN: PEN is slightly undervalued at 3.2240, with a fair value of 3.2280. Deviation is -0.24 (-0.12%). Trading signal: -.
• USDCOP: COP is slightly undervalued at 3019, with a fair value of 3037. Deviation is -0.65 (-0.59%). Trading signal: -.

Key Themes

• EUR Overbought: EUR is overbought against USD, GBP, NOK, PLN, and HUF. The EUR is seen as overvalued due to interest rate differentials and the EUR 2yr interest rate swap moving towards zero.
• AUD and CAD Undervalued: AUD and CAD have room to recover. The AUD is undervalued at 0.7070, and CAD is overvalued at 1.3140.
• EM Overshoot: STEER™ captured an overshoot in EM equity and credit rather than FX. The USD-EM pairs such as USDTRY, USDRUB, USDCLP, USDMXN, and USDBRL have seen their fair values decline due to corrections in local equities and credit.
• USDTHB Opportunity: USDTHB is considered an opportunity as it is overvalued by 1.5 z-scores, despite the decline in US yields.
• Regime Monitor: The Regime Monitor indicates increased uncertainty in USDCOP and USDMXN, with scores above 75. These signals are not recommended for trading due to instability.

Trading Signals and Performance

• The report includes a trade history of the last 15 trades, with some positive and negative returns.
• The overall performance for 2015 YTD is 10.82%.

Contacts

• FX Strategy Team:
  • Steven Saywell: Global Head of FX Strategy, London
  • Michael Sneyd: FX Strategist & Lead Quant Strategist, London
  • James Hellawell: Quantitative Strategist, London
  • Sam Lynton-Brown: FX Strategist, London
  • Charlotte Puhringer: Graduate, London
• EM FX & IR Strategy Team:
  • Wike Groenenberg: Global Head of EM Strategy, London
  • Piotr Chwiejczak: 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
  • Jennifer Kusuma: FX & IR Asia Strategy, Singapore
  • Altaz Daga: AU/NZ IR Strategist, 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

Disclaimer

• This document is a marketing communication and not independent investment research.
• No liability is accepted for any loss arising from reliance on the information.
• The report is subject to change and not intended as a sole basis for investment decisions.
• It is for professional clients only and not for retail clients.