20161212-法国巴黎银行-BNP_Paribas_STEER_14页_782kb

BNP Paribas FX Strategy Summary - 12 December 2016

Core Content

This document is a report from BNP Paribas FX Strategy, outlining the performance of the STEER™ model and providing trading signals for various currency pairs. The report is produced by Michael Sneyd, CFA, a Macro Quantitative Strategist, and Natalie Rickard, Graduate.

Trading Signals

Signals Updated Today

• No new signals were generated today.

Closed Signals

• 09-Dec-16: SHORT USDTRY

  • Entry Rate: 3.4541
  • Close Rate: 3.4874
  • Return: -0.96%

• 09-Dec-16: LONG USDBRL

  • Entry Rate: 3.3750
  • Close Rate: 3.4031
  • Return: 0.83%

• 05-Dec-16: SHORT USDPEN

  • Entry Rate: 3.4180
  • Close Rate: 3.3969
  • Return: 0.62%

Recently Closed Signals

• 06-Dec-16: SHORT USDKRW

  • Entry Rate: 1171.43
  • Close Rate: 1158.83
  • Return: 1.08%

• 05-Dec-16: LONG EURCHF

  • Entry Rate: 1.0744
  • Close Rate: 1.0863
  • Return: 1.10%

• 07-Dec-16: SHORT EURHUF

  • Entry Rate: 313.40
  • Close Rate: 314.30
  • Return: -0.29%

• 08-Dec-16: LONG USDZAR

  • Entry Rate: 13.4935
  • Close Rate: 13.7504
  • Return: 1.90%

• 05-Dec-16: SHORT USDSGD

  • Entry Rate: 1.4249
  • Close Rate: 1.4243
  • Return: 0.04%

Performance Overview

• STEER™ delivered a strong performance last week, with a return of 7.4% from its recommendations.
• Year-to-Date (YTD) returns are currently at 15.8%.
• The model has closed all three open Emerging Markets (EM) trades:
  • Long USDBRL and short USDPEN reached their targets.
  • Short USDTRY triggered its stop-loss.

Currency Valuation Insights

G10 Currencies

• USDJPY is overvalued with a fair value of 111.19, showing a z-score of 2.42 (3.90%).
• USDCAD appears fairly valued at 1.3187, with a z-score of -0.59 (-0.52%).
• The USD is considered overvalued against JPY, EUR, and GBP, but fairly valued against most other G10 and EM currencies.

CEEMEA Region

• The z-scores for various currencies suggest a mix of overvaluation and undervaluation.
• USDTRY is overvalued, with a z-score of 2.33 (4.38%).
• EURHUF is overvalued, with a z-score of 1.75 (1.03%).

Latin America

• USDBRL is slightly overvalued, with a z-score of -1.28 (-1.07%).
• USDPEN is undervalued, with a z-score of 1.25 (0.81%).
• USDCOP is fairly valued, with a z-score of 0.51 (0.52%).

Asia

• USDINR is overvalued, with a z-score of -1.26 (-0.53%).
• USDTHB is overvalued, with a z-score of 1.97 (0.79%).
• USDSGD is overvalued, with a z-score of 2.55 (2.74%).

Key Information

• The STEER™ model evaluates currency valuations based on short-term fair value and z-scores, which indicate deviation from these values.
• The z-score is used to measure the deviation from the short-term fair value, with higher values indicating overvaluation and lower values indicating undervaluation.
• The report includes charts for each currency pair, showing the short-term fair value and current spot rates.
• The document includes disclaimers and regulatory information for various jurisdictions, emphasizing that it is not investment research and may not be suitable for all investors.

Contacts

Cross Asset Strategy

• Michael Sneyd, CFA - Macro Quantitative Strategist, London

  • Email: michael.sneyd@uk.bnpparibas.com
  • Tel: 44 20 7595 1307

• Steven Saywell - Global Head of FX Strategy, London

  • Email: steven.saywell@uk.bnpparibas.com
  • Tel: 44 20 7595 8487

• Sam Lynton-Brown - FX Strategist, London

  • Email: sam.lynton-brown@uk.bnpparibas.com
  • Tel: 44 20 7595 8467

• Clara Leonard - FX Strategist, London

  • Email: clara.leonard@uk.bnpparibas.com
  • Tel: 44 20 7595 1424

• Daniel Katzive, CFA - Head of FX Strategy North America, New York

  • Email: daniel.katzive@us.bnpparibas.com
  • Tel: 1 212 841 2408

• Vasilis Koutsaftis - FX Options Strategist, New York

  • Email: vasilis.koutsaftis@americas.bnpparibas.com
  • Tel: 1 212 471 7973

Emerging Markets FX & IR Strategy

• Wike Groenenberg - Global Head of EM Strategy, London

  • Email: wike.groenenberg@uk.bnpparibas.com
  • Tel: 44 20 7595 8746

• Piotr Chwieczak - FX & IR CEEMEA Strategist, London

  • Email: piotr.chwieczak@uk.bnpparibas.com
  • Tel: 44 20 7595 8715

• Erkin Isik, CFA - FX & IR CEEMEA Strategist, Istanbul

  • Email: erkin.isik@teb.com.tr
  • Tel: 90 216 635 2987

• Mirza Baig - Head of FX & IR Asia Strategy, Singapore

  • Email: mirza.s.baig@asia.bnpparibas.com
  • Tel: 65 6210 3262

• Jennifer Kusuma - FX & IR Asia Strategist, Singapore

  • Email: jennifer.kusuma@asia.bnpparibas.com
  • Tel: 65 6210 3263

• Altaz Daga - AU/NZ IR Strategist, Singapore

  • Email: altaz.dagha@asia.bnpparibas.com
  • Tel: 65 6210 4994

• Kun Shan - China Strategist, Shanghai

  • Email: kun.shan@asia.bnpparibas.com
  • Tel: 86 21 2896 2773

• Tianhe Ji - China Strategist, Shanghai

  • Email: tianhe.ji@asia.bnpparibas.com
  • Tel: 86 21 2896 2785

• Gabriel Gersztein - Head FX & IR Latam Strategy, Sao Paulo

  • Email: gabriel.gersztein@br.bnpparibas.com
  • Tel: 55 11 3841 3421

• Samuel Castro - FX & IR Latam Strategist, Sao Paulo

  • Email: samuel.castro@br.bnpparibas.com
  • Tel: 55 11 3841 3492

• Gustavo Mendonca - FX & IR Latam Strategist, Sao Paulo

  • Email: gustavo.mendonca@br.bnpparibas.com
  • Tel: 55 11 3841 3445

Disclaimer

• This document is not investment research and is for marketing purposes.
• It may be subject to conflicts of interest due to interactions with sales and trading teams.
• It is not intended for retail investors and is only directed at Relevant Persons.
• No liability is accepted for any loss arising from reliance on the information.
• Past performance is not an indicator of future results.
• The document is not a prospectus and does not constitute an offer to buy or sell securities.