BNP Paribas STEER™ Model Summary
Core Content
The document outlines the latest trading signals and insights from the BNP Paribas STEER™ model as of 4 June 2018. The model provides short-term value estimates and z-score deviations for various currency pairs across different regions, including G10, CEEMEA, Asia, and Latin America. It also includes details on the performance of existing and closed signals, along with the rationale behind the model's decisions.
Trading Signals
New Signals (04-Jun-18)
- LONG EURUSD: Target at 1.1985, with a stop loss at 1.1535.
- SHORT USDINR: Target at 66.4489, with a stop loss at 67.3673.
- LONG USDBRL*: Target at 3.7927, stop loss at 3.7528. This is an indicative signal, which may be cancelled if USDBRL opens within the +/-1.5 z-score corridor (above 3.7820).
Closed Signals
- LONG AUDUSD (29-May-18): Closed at 0.7608, with a return of 0.98%.
- LONG USDIDR (31-May-18): Closed at 13869 (01-Jun-18), with a return of -0.29%.
Existing Signal
- LONG EURSEK (16-May-18): Target at 10.3709, stop loss at 10.1782, with a return of 0.07%.
Key Currency Pairs and Their Analysis
G10 Currencies
| Currency |
STEER Value |
Spot Value |
Z-Score |
Upper Bound |
Lower Bound |
| EURCHF |
1.1885 |
1.1540 |
-2.65 |
1.2078 |
1.1692 |
| EURUSD |
1.1985 |
1.1680 |
-1.72 |
1.2247 |
1.1724 |
| GBPUSD |
1.3523 |
1.3360 |
-0.97 |
1.3770 |
1.3275 |
| EURSEK |
10.3709 |
10.2880 |
-0.72 |
10.5431 |
10.1988 |
| EURGBP |
0.8863 |
0.8740 |
-0.70 |
0.9117 |
0.8609 |
| NZDUSD |
0.7087 |
0.7620 |
-0.57 |
0.7306 |
0.6869 |
| AUDUSD |
0.7652 |
0.7620 |
-0.36 |
0.7799 |
0.7505 |
| EURNOK |
9.5759 |
9.5350 |
-0.32 |
9.7645 |
9.3872 |
| USDCAD |
1.2874 |
1.2940 |
0.62 |
1.3033 |
1.2715 |
| USDJPY |
108.31 |
109.60 |
0.70 |
111.1741 |
105.4386 |
CEEMEA Currencies
| Currency |
STEER Value |
Spot Value |
Z-Score |
Upper Bound |
Lower Bound |
| USDRUB |
62.2677 |
62.2060 |
-0.09 |
63.2860 |
61.2494 |
| EURPLN |
4.2898 |
4.3000 |
0.46 |
4.3247 |
4.2548 |
| USDZAR |
12.5573 |
12.6550 |
0.48 |
12.8603 |
12.2542 |
| USDILS |
3.5461 |
3.5590 |
0.55 |
3.5816 |
3.5106 |
| EURHUF |
318.82 |
320.00 |
0.99 |
320.5590 |
317.0736 |
| USDTRY |
4.5854 |
4.6630 |
1.61 |
4.6572 |
4.5135 |
| EURRON |
4.6366 |
4.6600 |
1.91 |
4.6546 |
4.6186 |
| EURCZK |
25.5954 |
25.8140 |
2.37 |
25.7340 |
25.4568 |
Asia Currencies
| Currency |
STEER Value |
Spot Value |
Z-Score |
Upper Bound |
Lower Bound |
| USDIDR |
14142 |
13947 |
-2.23 |
14272.5120 |
14010.8620 |
| USDMYR |
3.9965 |
3.9780 |
-0.63 |
4.0399 |
3.9531 |
| USDKRW |
1070 |
1072 |
0.19 |
1080.9642 |
1060.0272 |
| USDTHB |
31.9192 |
32.0200 |
0.46 |
32.2471 |
31.5912 |
| USDSGD |
1.3320 |
1.3380 |
0.69 |
1.3446 |
1.3193 |
| USDPHP |
52.0607 |
52.6000 |
0.93 |
52.9349 |
51.1865 |
| USDINR |
65.8134 |
67.0800 |
2.07 |
66.7318 |
64.8950 |
| USDTWD |
29.2755 |
29.8040 |
2.47 |
29.5970 |
28.9541 |
Latin America Currencies
| Currency |
STEER Value |
Spot Value |
Z-Score |
Upper Bound |
Lower Bound |
| USDBRL |
3.8220 |
3.7660 |
-2.10 |
3.8620 |
3.7820 |
| USDCLP |
637.31 |
631.10 |
-1.21 |
644.9852 |
629.6331 |
| USDCOP |
2895 |
2865 |
-1.11 |
2935.4996 |
2854.2266 |
| USDPEN |
3.2822 |
3.2730 |
-0.71 |
3.3018 |
3.2625 |
| USDMXN |
19.8979 |
19.9270 |
0.16 |
20.1668 |
19.6290 |
Key Insights
- EURUSD: The model believes EURUSD has declined over the past month, but fair value has also declined due to the flattening eurozone yield curve. STEER™ has now initiated a long position targeting 1.1985.
- AUDUSD: The long AUDUSD signal has been closed with a return of 0.98%, as the currency is now trading in line with its fair value.
- USDINR: A short signal has been initiated due to a decline in USDINR over the past fortnight, linked to falling oil prices.
- USDIDR: The long USDIDR signal was closed with a return of -0.29%.
- USDBRL: A long signal has been added, as fair value continues to rise with the decline in Brazilian equities, suggesting potential for BRL to weaken further.
Driving Factors
- The model's decisions are based on short-term value estimates and z-scores, which indicate the deviation from fair value.
- The co-integration filter is used to assess the statistical robustness of the signals.
- Key factors influencing the model's signals include changes in yield curves, oil prices, and equity market performance.
Contacts
- Strategist: Michael Sneyd, CFA (Global Head of FX Strategy & Cross-Asset Strategist) - BNP Paribas London branch - 44 20 7595 1307
- FX Strategist: Natalie Rickard - BNP Paribas London branch - 44 20 7595 8270
- FX Options Strategist: Vasilis Koutsaftis - BNP Paribas Securities Corp (New York) - 1 212 471 7973
- China Strategist: Kun Shan - BNP Paribas China Limited (Shanghai) - 86 21 2896 2773
- Head of FX & IR Latam Strategy: Gabriel Gersztein - Banco BNP Paribas Brasil S.A. (Sao Paulo) - 55 11 3841 3421
Legal and Disclosure Information
- This document is non-independent research and is intended for Professional Clients and Eligible Counterparties under MiFID II.
- It does not constitute investment research and may not be used for investment decisions.
- The document may contain performance data based on back-testing and is for illustrative purposes only.
- The information is not guaranteed for accuracy or completeness and is subject to change.
- BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.
- This document is for informational purposes only and may not be used by non-Relevant Persons.
