BNP Paribas STEER™ Model Summary - 19 June 2017
Core Content
BNP Paribas STEER™ is a quantitative model used to determine the fair value (FV) of currency pairs based on short-term valuation and z-score deviations. This document outlines the current state of the model, its fair value estimates, and the deviation from these values for various currency pairs across different regions.
Main Trading Signals
- New Signals: None
- Closed Signals: None
- Existing Signals: None
Recently Closed Signals (Historical Data)
| Entry Date |
Position |
Entry Rate |
Target |
Stop Loss |
Close Rate |
Return (%) |
| 07-Jun-17 |
SHORT EURNOK |
9.5413 |
- |
- |
9.4130 |
1.35 |
| 06-Jun-17 |
LONG USDZAR |
12.7424 |
- |
- |
12.6325 |
-0.86 |
| 14-Jun-17 |
LONG USDMXN |
18.0258 |
- |
- |
17.9373 |
-0.49 |
| 15-Jun-17 |
SHORT USDJPY |
109.6800 |
- |
- |
110.9300 |
-1.14 |
| 30-May-17 |
SHORT USDTWD |
30.2160 |
- |
- |
30.3204 |
-0.35 |
G10 Currency Pairs
| Currency |
STEER Value |
Spot Rate |
Z-Score |
Upper Bound |
Lower Bound |
| GBPUSD |
1.2938 |
1.2770 |
-0.76(-1.30%) |
1.3268 |
1.2609 |
| AUDUSD |
0.7622 |
0.7610 |
-0.10(-0.15%) |
0.7786 |
0.7459 |
| EURUSD |
1.1164 |
1.1200 |
0.32(0.27%) |
1.1306 |
1.1023 |
| USDCAD |
1.3180 |
1.3220 |
0.37(0.32%) |
1.3354 |
1.3006 |
| EURNOK |
9.4276 |
9.4580 |
0.42(0.32%) |
9.5345 |
9.3208 |
| EURCHF |
1.0873 |
1.0900 |
0.42(0.29%) |
1.0986 |
1.0760 |
| EURGBP |
0.8629 |
0.8770 |
0.82(1.55%) |
0.8878 |
0.8380 |
| EURSEK |
9.6254 |
9.7430 |
1.27(1.21%) |
9.7637 |
9.4871 |
| NZDUSD |
0.7085 |
0.7270 |
1.88(2.54%) |
0.7233 |
0.6938 |
| USDJPY |
107.19 |
111.00 |
2.75(3.47%) |
109.2884 |
105.0896 |
- Key Observations:
- USDJPY is overvalued by 2.75 z-scores (3.47%).
- NZDUSD is overvalued by 1.88 z-scores (2.54%).
- GBPUSD fair value has risen to 1.2938 due to the increase in UK 2y yields.
- USDTWD is overvalued by 2.01 z-scores (1.43%).
Emerging Markets and CEEMEA Currency Pairs
| Currency |
STEER Value |
Spot Rate |
Z-Score |
Upper Bound |
Lower Bound |
| USDILS |
3.5395 |
3.5240 |
-0.79(-0.43%) |
3.5685 |
3.5105 |
| USDZAR |
12.9443 |
12.8050 |
-0.64(-1.09%) |
13.2716 |
12.6169 |
| EURSEK |
9.6254 |
9.7430 |
1.27(1.21%) |
9.7637 |
9.4871 |
| EURCZK |
26.4183 |
26.1800 |
-1.55(-0.91%) |
26.6491 |
26.1876 |
| USDTWD |
29.9150 |
30.3500 |
2.01(1.43%) |
30.2399 |
29.5901 |
- Key Observations:
- USDTWD is overvalued by 2.01 z-scores (1.43%) due to the sharp rally in Taiwan's equity markets.
- EURSEK is overvalued by 1.27 z-scores (1.21%).
Latin America Currency Pairs
| Currency |
STEER Value |
Spot Rate |
Z-Score |
Upper Bound |
Lower Bound |
| USDMXN |
18.1789 |
17.9190 |
-1.48(-1.45%) |
18.4419 |
17.9159 |
| USDCLP |
670.07 |
664.40 |
-0.95(-0.85%) |
678.9322 |
661.2048 |
| USDBRL |
3.2894 |
3.2930 |
0.15(0.11%) |
3.3246 |
3.2542 |
| USDPEN |
3.2618 |
3.2730 |
0.60(0.34%) |
3.2897 |
3.2339 |
| USDCOP |
2932 |
2960 |
1.03(0.96%) |
2973.2864 |
2890.9204 |
- Key Observations:
- USDMXN is overvalued by 1.48 z-scores (1.45%).
- USDCOP is overvalued by 1.03 z-scores (0.96%).
Driving Factors
- GBPUSD: Fair value increased due to the rise in UK 2y yields after the Bank of England meeting.
- NZDUSD: Overvalued ahead of the RBNZ meeting, vulnerable to a correction.
- USDJPY: Overvalued by 2.75 z-scores, possibly due to market sentiment.
- USDTWD: Overvalued due to a sharp rally in Taiwan's equity markets.
- USDZAR: Fair value declined, indicating potential undervaluation.
- USDCOP: Overvalued, likely due to market dynamics in the region.
Global Strategy Contacts
Legal Notice
- This document is a marketing communication and not investment research.
- It is not intended for retail investors and is subject to legal disclaimers.
- BNP Paribas may have conflicts of interest and may engage in transactions that may conflict with the views expressed.
- No guarantees are made regarding the accuracy or completeness of the information.
- Performance data is based on back-testing and may not reflect actual market conditions.
United States Disclosures
- Options are complex and not suitable for all investors.
- ETFs discussed involve risks such as tracking error, currency risk, and credit risk.
- BNP Paribas may act as a market maker or advisor in the ETFs and related instruments.
- The information provided is for informational purposes only and does not constitute a prospectus or public offering.
Additional Notes
- The model does not pass the co-integration filter in some cases, as indicated by dotted lines.
- All data and opinions are based on internal models and may vary depending on different assumptions.
- The document is for intended recipients only and may not be distributed without consent.
