20170717-法国巴黎银行-BNP_Paribas_STEER_15页_790kb

FX STRATEGY | FX QUANT INSIGHT Summary

Core Content Overview

This document provides a summary of the BNP Paribas STEER™ Model trading signals for various currency pairs across different regions. The model is used to identify overbought and oversold conditions based on short-term value (FV) and z-scores, which indicate deviation from the model's expected value. It also outlines the current positions, target levels, and stop-loss points for the latest trading signals, as well as the performance of previously closed signals.

Key Trading Signals

New Signals (17-Jul-17)

• SHORT EURCHF

  • Entry Rate: 1.1054
  • Target: 1.0919
  • Stop Loss: 1.1122
  • Return: 0.00%

• SHORT EURPLN

  • Entry Rate: 4.2060
  • Target: 4.1837
  • Stop Loss: 4.2172
  • Return: 0.00%

• LONG USDZAR

  • Entry Rate: 12.9838
  • Target: 13.2008
  • Stop Loss: 12.8753
  • Return: 0.00%

• LONG USDBRL

  • Entry Rate: 3.1800* (indicative, to be updated at market open)
  • Target: 3.2023
  • Stop Loss: 3.1689
  • Return: 0.00%

Recently Closed Signals

• SHORT EURPLN (13-Jul-17)

  • Entry Rate: 4.2328
  • Close Rate: 4.2110 (14-Jul-17)
  • Return: 0.51%

• SHORT USDTRY (06-Jul-17)

  • Entry Rate: 3.6339
  • Close Rate: 3.5978 (12-Jul-17)
  • Return: 0.99%

G10 Currency Analysis

The STEER model indicates the following deviations from short-term value (z-scores):

• Overbought Currencies: NZD, ZAR, and BRL are highlighted as overbought.
• Oversold Currency: EURPLN is noted as oversold, with a z-score of 1.61 (0.85%), indicating overvaluation.
• EURCHF: The pair is overbought, and the fair value has increased due to higher eurozone yields, but the move appears unjustified by short-term fundamentals.

CEEMEA Currency Analysis

• USDZAR: Overbought with a z-score of -1.88, indicating potential for a short position.
• EURPLN: Overbought with a z-score of 1.61, leading to a re-initiated short signal.
• EURRON, EURHUF, EURCZK: All overbought, with z-scores indicating potential for shorting.
• USDRUB, USDTRY: Slightly overbought, with minimal deviation from fair value.

Asia Currency Analysis

• USDSGD: Overbought with a z-score of -2.87, suggesting a potential short position.
• USDKRW: Overbought with a z-score of -1.06, indicating a possible short signal.
• USDTHB: Slightly overbought with a z-score of -0.06.
• USDIDR, USDTWD, USDINR, USDPHP: All show positive z-scores, suggesting they are undervalued and may be candidates for long positions.

Latin America Currency Analysis

• USDBRL: Overbought with a z-score of -2.23, suggesting a short position.
• USDPEN: Overbought with a z-score of -1.64, indicating a possible short signal.
• USDMXN: Slightly overbought with a z-score of -0.04.
• USDCLP, USDCOP: Both show positive z-scores, suggesting undervaluation and potential for long positions.

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA – Macro Quantitative Strategist, London
• Steven Saywell – Global Head of FX Strategy, London
• Sam Lynton-Brown – FX Strategist, London
• Clara Leonard – FX Strategist, London
• Natalie Rickard – Graduate, London
• Daniel Katzive, CFA – Head of FX Strategy North America, New York
• Vasilis Koutsaftis – FX Options Strategist, New York

Emerging Markets FX & IR Strategy

• Wike Groenenberg – Global Head of EM Strategy, London
• Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig – Head of FX & IR Asia Strategy, Singapore
• Altaz Daga – AU/NZ IR Strategist, Singapore
• Kun Shan – China Strategist, Shanghai
• Tianhe Ji – China Strategist, Shanghai
• Gabriel Gersztein – Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro – FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca – FX & IR Latam Strategist, Sao Paulo

Legal and Disclaimer Information

• This document is non-independent research and is intended for Relevant Persons as defined under MiFID.
• It is a marketing communication and not investment research.
• BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed in the document.
• The indicative prices and trading signals are based on internal models and may vary from other sources.
• The document is not a prospectus or public offering and should not be relied upon for investment decisions.
• The performance data is simulated and not guaranteed to reflect actual market conditions.
• The information is confidential and should not be distributed without prior consent.
• No liability is accepted for any losses arising from reliance on this document.
• Options and ETFs discussed are complex instruments and may not be suitable for all investors.

Conclusion

The STEER™ model provides strategic trading signals for various currency pairs, highlighting overbought and undervalued conditions based on z-scores and short-term value estimates. While some currencies like EURPLN and USDZAR are overbought, others such as USDTRY and USDCOP show signs of undervaluation. The model also emphasizes the importance of professional judgment and independent evaluation when considering any investment or trading strategy. The information is intended for qualified investors and should not be used as a basis for any financial decisions without proper consultation.