20140506-巴黎银行证券-BNP_Paribas_STEER_11页_1mb

BNP Paribas STEER™ Summary (06 May 2014)

Core Content

BNP Paribas STEER™ is a quantitative model used to identify over- or under-valuation of currency pairs relative to their fair value, based on statistical deviations measured by z-scores. The model provides trading signals and targets for potential trades, but it also includes a 'cointegration filter' that assesses the model's forecasting power before issuing trade recommendations.

Key Views

• USD remains undervalued against the EUR and GBP.
• AUDUSD is overvalued, but the trading rule closed its short position for a 0.35% profit.
• USDTWD has a bullish signal, suggesting potential for a rise.
• USDBRL is overvalued, with a bearish signal issued, targeting a decline.
• EURRON is undervalued, and a long signal has been re-entered.
• USDRUB appears cheap, but the 'cointegration filter' prevents trading.

Currency Pair Analysis

G10 Currencies

CEEMEA Currencies

Asia Currencies

Latin America Currencies

Key Themes

• EURUSD is overvalued with a z-score of 1.84, indicating a potential decline.
• AUDUSD was overvalued but the short position was closed with a 0.35% profit due to reaching the maximum trade duration.
• EURRON is undervalued, with a long signal re-entered.
• USDBRL is overvalued, and a bearish signal has been triggered.
• USDRUB appears cheap, but the 'cointegration filter' prevents trading.
• USDTWD is undervalued and a long signal has been issued.
• USDKRW is undervalued by 3 z-scores, but the model does not pass the 'cointegration filter'.

Regime Monitor

• The regime monitor evaluates four parameters to determine the stability of STEER™ signals.
• No currency currently has a score above the 80 threshold for trading.
• EURCZK has the highest score at 64, but still below the threshold.
• USDIDR and AUDUSD also have high scores but are not traded due to the filter.
• USDRUB has started to decline in score but remains relatively high.

Trade History (Last 15 Trades)

Important Notes

• STEER™ is a trade mark of BNP Paribas.
• The report is non-independent and is a marketing communication.
• It is not investment research and not subject to legal independence requirements.
• Information is based on public sources, and no guarantees are made regarding its accuracy or completeness.
• Trading decisions should not be based solely on this report.
• The report is not suitable for retail clients and is intended for professional clients only in certain jurisdictions.
• Disclosures are provided for legal compliance in various countries, including the UK, France, Germany, the US, Israel, Japan, Hong Kong, Australia, and Singapore.

Disclaimer

This document is a marketing communication and not independent investment research. It may be subject to conflicts of interest due to interactions with sales and trading teams. It is not intended to provide the sole basis for investment decisions. The report is not a recommendation to buy or sell any securities and is not a substitute for professional advice.