20180806-法国巴黎银行-BNP_Paribas_STEER_18页_1mb

BNP Paribas STEER™ Model Summary - 6 August 2018

Core Content

BNP Paribas STEER™ is a proprietary model used to generate FX trading signals. The report provides an overview of the model's current positions, closed signals, and the deviation of various currency pairs from their short-term values, represented by z-scores. The model also includes insights on the driving factors behind currency movements and details on the legal and regulatory context of the report.

Trading Signals

Signals Updated Today

• No new signals were generated today.

Closed Signals

• 03-Aug-18: SHORT USDILS at 3.6917, closed at 3.7031 with a return of -0.31%
• 03-Aug-18: LONG USDMXN at 18.6654, closed at 18.5851 with a return of -0.43%
• 18-Jul-18: LONG EURUSD at 1.1631, closed at 1.1555 with a return of -0.65%

Existing Signals

• 20-Jul-18: SHORT EURSEK at 10.3786, targeting 10.1471, with a stop loss at 10.4665, return of 0.66%
• 03-Aug-18: SHORT USDTHB at 33.3400, targeting 33.0952, with a stop loss at 33.4624, return of 0.17%
• 30-Jul-18: SHORT USDTWD at 30.6340, targeting 30.3821, with a stop loss at 30.7599, return of 0.05%
• 02-Aug-18: SHORT USDCOP at 2904.92, targeting 2878.58, with a stop loss at 2918.09, return of 0.52%

Recently Closed Signals

• 02-Aug-18: SHORT USDSGD at 1.3654, closed at 1.3696 with a return of -0.31%

Key Insights from the Model

• EURSEK is identified as the most overvalued pair in the G10, with a short position targeting 10.1471.
• The model's z-scores indicate the deviation of currency pairs from their short-term values, with EURSEK showing a z-score of 1.52 (1.58%), suggesting it is significantly overvalued.
• EURUSD failed the cointegration test, leading to the closure of its long position with a loss of -0.65%.
• In Emerging Markets (EM), the model continues to be short USD against THB, TWD, and COP.
• The long USDMXN and short USDILS signals were closed, resulting in a combined loss of -0.74%.

Currency Pair Deviations from Short-Term Value (z-scores)

G10 Currencies

CEEMEA Currencies

Latin America Currencies

Driving Factors Behind the Moves

• The model highlights the influence of front-end rate differentials and oil prices on EURSEK.
• It also references the impact of market conditions, historical data, and parameters on the z-scores and short-term values of the currency pairs.
• The model may not always pass the co-integration filter, indicating reduced statistical confidence in certain positions.

Legal and Regulatory Information

• This document is non-independent research and is intended for Professional Clients and Eligible Counterparties under MiFID II.
• It does not constitute an offer to sell or an advertisement and is not investment research.
• The report may contain Research as defined under MiFID II unbundling rules and is only available to firms that have signed up for BNPP's Global Markets Research packages or are out of scope.
• BNPP may have conflicts of interest due to its involvement in investment banking, underwriting, and advisory services.
• Indicative prices and performance data are based on BNPP's internal models and historical data, and are not guarantees of future performance.
• Past performance is not indicative of future results.
• The information provided is confidential and may not be copied or distributed without prior written consent.

FX Strategy Contacts

Online Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy Website: www.baogaoba.xyz

Bloomberg

• Fixed Income Research: BPFR
• Emerging Markets Research: BPFR
• G10 Interest Rate Research: BPBS
• Market Economics: BPEC

Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It does not constitute an offer to sell or solicitation.
• Indicative prices and performance data are based on simulations and historical data.
• No guarantees are made regarding accuracy, completeness, or future performance.
• No liability is accepted for any use of the information.
• The information is provided confidentially and may not be distributed without consent.
• Options are complex and not suitable for all investors.
• ETFs discussed should be evaluated for investment objectives, risks, and costs.