20180416-法国巴黎银行-FX_QUANT_INSIGHT__BNP_PARIBAS_STEER_18页_923kb

BNP Paribas FX Strategy Summary (16 April 2018)

Core Content Overview

This document outlines the BNP Paribas STEER™ Model trading signals and insights for the FX market as of 16 April 2018. The model provides strategic recommendations based on a combination of yield curve dynamics, global equity trends, and other macroeconomic factors. It also includes a list of contacts for the FX strategy team and legal disclosures regarding the nature of the document and potential conflicts of interest.

Trading Signals

New Signals

• 16-Apr-18: Short USDKRW
  • Entry Rate: 1072.46
  • Target: 1065.26
  • Stop Loss: 1076.06
  • Return: 0.00% (not yet realized)

Closed Signals

• 13-Apr-18: Short USDBRL

  • Closed Rate: 3.4154
  • Return: -0.28% (loss)

• 10-Apr-18: Long USDCAD

  • Closed Rate: 1.2595
  • Return: -0.77%

• 09-Apr-18: Short USDCLP

  • Closed Rate: 601.42
  • Return: 0.74%

• 09-Apr-18: Short USDBRL

  • Closed Rate: 3.4168
  • Return: -0.28%

Existing Signals

• 06-Apr-18: Long EURUSD

  • Entry Rate: 1.2227
  • Target: 1.2437
  • Stop Loss: 1.2110
  • Return: 0.88%

• 11-Apr-18: Short USDZAR

  • Entry Rate: 12.0546
  • Target: 11.8748
  • Stop Loss: 12.1445
  • Return: -0.18%

STEER Model Insights

G10 Currencies

CEEMEA Currencies

Latin America Currencies

Key Insights

• EURUSD: The model remains long EURUSD, targeting 1.2437. The flattening US yield curve and global equities are key drivers. EURUSD is currently at 1.2330, showing a slight deviation from the short-term value, suggesting potential for further gains.

• USDKRW: A short USDKRW signal was initiated today. The model suggests that the recent rise in USDKRW appears overdone, and a trade may be initiated with a target at 1065.26 and a stop loss at 1076.06.

• USDZAR: The model remains short USDZAR. Although USDZAR's STEER increased due to South Africa's CDS widening, the model still indicates that the spot rally has gone too far.

• USDBRL: The short USDBRL signal was stopped out at a loss of -0.28% on 13-Apr-18.

• G10 Currencies: Most G10 currencies are showing deviations from the short-term value, with some exhibiting significant z-scores indicating overvaluation or undervaluation. For example, USDJPY and GBPUSD are above their short-term value, while EURGBP and EURUSD are below.

• CEEMEA Currencies: EURPLN and USDZAR are showing notable deviations, with USDZAR having a z-score of 2.43 (3.77%), suggesting a strong overvaluation.

• Asia Currencies: USDKRW is at 1061, with a z-score of 1.79 (1.20%), indicating overvaluation. USDINR and USDTWD are also overvalued according to the model.

• Latin America Currencies: USDBRL and USDMXN are showing positive z-scores, suggesting they may be overvalued. USDCLP is slightly undervalued, while USDCOP is below its STEER value.

Driving Factors

• EURUSD: The US yield curve steepness and global equity performance are the main drivers.
• USDKRW: The model indicates that the recent rise in USDKRW appears overdone.
• USDZAR: The wider CDS spreads in South Africa have contributed to the rise in USDZAR, but the model suggests the rally is excessive.
• G10, CEEMEA, and Latin America: The model uses co-integration filters to determine overvaluation or undervaluation. Currencies like USDJPY, GBPUSD, USDZAR, and USDBRL are highlighted as being overvalued, while others like EURUSD, EURGBP, and EURPLN are undervalued.

Legal and Disclosure Notes

• This document is non-independent research and is intended for Professional Clients and Eligible Counterparties.
• It may be subject to conflicts of interest due to the interaction between the strategy team and sales/trading.
• STEER™ is a trademark of BNP Paribas.
• The information is for informational purposes only and should not be relied upon as authoritative.
• Past performance is not indicative of future results.
• The document may include hypothetical or back-tested performance data, which may not reflect real-world conditions like liquidity constraints or transaction costs.
• Options and ETFs discussed are complex instruments and may not be suitable for all investors. Risk disclosures are required for those involved in such transactions.
• The document may be subject to legal restrictions depending on the jurisdiction, and confidentiality is required when distributing it.

Contacts

Online Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg:
  • Fixed Income Research: BPFR
  • G10 Interest Rate Research: BPBS
  • Emerging Markets Research: BPFR
  • Market Economics: BPEC

Disclaimer

• This document is not investment research and is not subject to the independence requirements of MiFID II.
• It may contain "Research" as defined under MiFID II unbundling rules and is only available to Relevant Persons.
• No liability is accepted for any loss arising from the use of the document.
• Performance data may be based on back-testing and may not reflect actual market conditions.
• Indicative prices are based on internal models and may vary from other sources.