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BNP Paribas FX Strategy Summary (28 November 2016)

Core Content Overview

This document outlines the BNP Paribas STEER™ model's FX trading signals and analysis for the week of 28 November 2016. It includes short-term fair value estimates for multiple currency pairs, trading positions, and performance metrics, as well as details on the model's deviation from fair value, represented by z-scores. The report also provides contact information for FX strategy teams across different regions and includes disclaimers regarding the nature of the document as non-independent research and its legal implications.

Key Trading Signals

New Signals

• 28-Nov-16: SHORT USDRUB
  • Entry Rate: 64.8790
  • Target: 64.2943
  • Stop Loss: 65.1713
  • Return: 0.00%

Closed Signals

• 24-Nov-16: SHORT USDIDR
  • Entry Rate: 13697
  • Close Rate: 13586
  • Return: 0.81%

Existing Signals

• 10-Nov-16: LONG GBPUSD

  • Entry Rate: 1.2429
  • Target: 1.2924
  • Stop Loss: 1.2164
  • Return: 0.60%

• 24-Nov-16: SHORT USDJPY

  • Entry Rate: 113.23
  • Target: 110.64
  • Stop Loss: 114.68
  • Return: 1.22%

• 10-Nov-16: LONG EURNOK

  • Entry Rate: 9.0564
  • Target: 9.1588
  • Stop Loss: 8.9608
  • Return: 0.34%

Recently Closed Signals

• 23-Nov-16: SHORT USDRUB

  • Entry Rate: 63.9920
  • Close Rate: 64.2651
  • Return: -0.43%

• 22-Nov-16: SHORT USDTWD

  • Entry Rate: 31.9390
  • Close Rate: 32.0208
  • Return: -0.26%

• 23-Nov-16: SHORT USDKRW

  • Entry Rate: 1176.3500
  • Close Rate: 1182.4000
  • Return: -0.51%

Fair Value and Deviation Analysis

G10 Currencies

CEEMEA & Asia Currencies

Latin America Currencies

Main Views and Key Insights

• USDJPY is currently overbought, with the model indicating it has overshot its fair value of 110.64. It is expected to correct lower.
• USDRUB has also overshot its fair value, suggesting a short position with a target of 64.2943 and a stop loss at 65.1713.
• The GBPUSD and EURNOK pairs are in long positions, with targets at 1.2924 and 9.1588, respectively.
• The z-scores for most currency pairs are above 0, indicating they are overbought, while some are below 0, suggesting oversold conditions.
• The STEER™ model is used to assess fair value and deviation, and the dotted lines in the charts indicate when the model fails the co-integration filter, suggesting less confidence in the signal.
• The model highlights that the USD has gained value in the short term, while non-USD currencies have seen varying degrees of overvaluation or undervaluation.

Driving Factors Behind the Moves

• The US election had a significant impact on USD-related currencies, driving USDJPY higher.
• Local equity market weakness in Russia and other regions contributed to the overvaluation of USDRUB.
• Macroeconomic indicators, interest rate differentials, and market sentiment are key drivers for the STEER™ model's signals.
• The model also incorporates quantitative analysis to determine fair value and trading opportunities.

FX Strategy Contacts

Disclaimers and Legal Notes

• This document is non-independent research and is not investment research for MiFID purposes.
• It is intended for professional clients and eligible counterparties.
• The STEER™ model is a trademark of BNP Paribas.
• The information and opinions are based on public sources and are not guaranteed for accuracy or completeness.
• BNP Paribas may have financial interests in the securities or entities mentioned.
• The document is not a prospectus and not intended for retail investors.
• No liability is accepted for any losses arising from reliance on the document.
• The document is for internal use and not to be reproduced without prior consent.

Conclusion

The BNP Paribas STEER™ model provides short-term fair value estimates and trading signals for a wide range of currency pairs. The report highlights that USDJPY and USDRUB are currently overbought, with short positions suggested, while GBPUSD and EURNOK are in long positions. The model's z-scores indicate varying degrees of deviation from fair value, with some pairs showing significant overvaluation. The document serves as a trading guide for professional clients and includes disclaimers and legal information regarding the use and distribution of the content.