巴黎银行-全球-外汇策略-巴黎银行外汇指南-20180924-18页_1mb

报告摘要

BNP Paribas STEER™ Model Summary - 24 September 2018

Core Content

BNP Paribas STEER™ Model provides trading signals and insights for various currency pairs, based on short-term value and z-score deviation analysis. The report includes updated signals, closed signals, and recent performance data, along with driving factors behind the moves in the currency markets.

Trading Signals

New Signals (Updated Today)

24-Sep-18: LONG EURCHF at 1.1260, targeting 1.1457, with a stop loss at 1.1162. Return: 0.00%

Existing Signals

20-Sep-18: LONG EURPLN at 4.2901, targeting 4.3140, with a stop loss at 4.2782. Return: 0.30%
21-Sep-18: LONG USDTWD at 30.6790, targeting 30.9425, with a stop loss at 30.5472. Return: 0.07%
21-Sep-18: LONG USDPHP at 53.9910, targeting 54.3529, with a stop loss at 53.8100. Return: 0.40%
21-Sep-18: LONG USDCOP at 3014.50, targeting 3043.59, with a stop loss at 2999.95. Return: -0.23%

Recently Closed Signals

17-Sep-18: SHORT USDZAR at 15.0076, closed at 14.8976 (18-Sep-18). Return: 0.73%
12-Sep-18: LONG EURCHF at 1.1282, closed at 1.1267 (19-Sep-18). Return: -0.14%
14-Sep-18: LONG USDSGD at 1.3690, closed at 1.3646 (20-Sep-18). Return: -0.32%

Key Insights

EURCHF: STEER™ initiates a long EURCHF signal, targeting 1.1457. EURCHF is sensitive to relative yield-curve steepness and equity market performance.
EURPLN: STEER™ remains long EURPLN. The rise in 2y EUR swap yields relative to 2y PLN swap yields has adjusted fair-value higher from its recent down-trend. Spot should continue to rise in line with short-term fundamentals.
USDCOP: USDCOP appears undervalued by 2.5 z-scores.
USDTWD: USDTWD appears undervalued by 1.7 z-scores.
USDPHP: USDPHP appears undervalued by 0.12 z-scores.
USDZAR: USDZAR was previously shorted and closed with a positive return.

Z-Score Deviations (G10 Currencies)

Currency	STEER	Spot	z-score (%)	Upper Bound	Lower Bound
EURCHF	1.1457	1.1260	-1.55(-1.74%)	1.1646	1.1268
AUDUSD	0.7442	0.7260	-1.43(-2.55%)	0.7636	0.7247
GBPUSD	1.3252	1.3070	-0.77(-1.41%)	1.3609	1.2894
NZDUSD	0.6745	0.6660	-0.45(-1.27%)	0.7026	0.6463
EURNOK	9.5890	9.5660	-0.21(-0.24%)	9.7517	9.4262
USDCAD	1.2919	1.2940	0.17(0.16%)	1.3110	1.2727
EURSEK	10.2922	10.3340	0.31(0.40%)	10.4915	10.0929
EURUSD	1.1597	1.1730	0.84(1.12%)	1.1832	1.1362
USDJPY	109.67	112.50	1.30(2.51%)	112.9309	106.4065
EURGBP	0.8752	0.8980	1.48(2.49%)	0.8978	0.8526

Z-Score Deviations (CEEMEA & APAC Currencies)

Currency	STEER	Spot	z-score (%)	Upper Bound	Lower Bound
USDILS	3.6285	3.5760	-1.66(-1.48%)	3.6764	3.5806
EURPLN	4.3211	4.3040	-0.70(-0.39%)	4.3568	4.2853
EURHUF	324.76	324.00	-0.52(-0.22%)	326.8457	322.6780
USDRUB	66.4621	66.4500	-0.02(-0.02%)	67.5422	65.3820
EURCZK	25.5797	25.6010	0.18(0.08%)	25.7570	25.4024
USDZAR	14.0690	14.3900	1.58(2.23%)	14.3735	13.7644
USDTRY	6.0547	6.3230	1.65(4.25%)	6.2985	5.8109
EURRON	4.6302	4.6570	2.31(0.57%)	4.6475	4.6128

Z-Score Deviations (Latin America Currencies)

Currency	STEER	Spot	z-score (%)	Upper Bound	Lower Bound
USDCOP	3077	3008	-2.45(-2.30%)	3119.2230	3034.5590
USDMXN	19.0652	18.8680	-1.31(-1.05%)	19.2911	18.8393
USDBRL	4.0589	4.0490	-0.14(-0.25%)	4.1631	3.9548
USDPEN	3.2863	3.2940	0.74(0.22%)	3.3010	3.2715
USDCLP	655.56	664.10	1.50(1.29%)	664.1586	646.9530

Driving Factors

EURCHF: Sensitive to relative yield-curve steepness and equity market performance.
EURPLN: Fair value adjusted higher due to yield-curve changes.
USDCOP: Undervalued by 2.5 z-scores.
USDTWD: Undervalued by 1.7 z-scores.
USDPHP: Undervalued by 0.12 z-scores.
USDZAR: Previously shorted and closed with a positive return.
USDSGD: Undervalued by 1.75 z-scores.
USDTWD: Undervalued by 1.68 z-scores.
USDKRW: Undervalued by 0.36 z-scores.
USDMYR: Undervalued by 0.14 z-scores.
USDIDR: Overvalued by 1.25 z-scores.
USDTHB: Overvalued by 1.90 z-scores.
USDINR: Overvalued by 4.27 z-scores.
USDBRL: Slightly undervalued.
USDPEN: Slightly overvalued.
USDCLP: Slightly overvalued.

Legal & 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.
No liability is accepted for the accuracy or completeness of the information.
Indicative prices are not actual transaction terms and are based on internal models.
Performance data may be based on back-testing and not reflect actual market conditions.
The document may not be suitable for all investors and carries significant risk.
Information is confidential and not to be distributed without prior consent.
It does not constitute a prospectus or public offering and is not intended for retail investors.

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