20170213-法国巴黎银行-BNP_Paribas_STEER_15页_836kb

BNP Paribas FX Strategy Summary - 13 February 2017

Core Content

This document outlines the BNP Paribas STEER™ FX Strategy for 13 February 2017, including current trading signals, fair value estimates, and z-score deviations for various currency pairs. The strategy is based on quantitative models and market positioning analysis.

Key Trading Signals

New Signals

• 13-Feb-17: SHORT USDBRL
  • Entry Rate: 3.1154
  • Target: 3.0871
  • Stop Loss: 3.1295
  • Return (%): 0.00

Closed Signals (Today)

• No closed signals today

Existing Signals

• 03-Feb-17: SHORT AUDUSD

  • Entry Rate: 0.7654
  • Target: 0.7522
  • Stop Loss: 0.7734
  • Return (%): -0.27

• 02-Feb-17: LONG EURONOK

  • Entry Rate: 8.8578
  • Target: 8.9660
  • Stop Loss: 8.7948
  • Return (%): 0.61

• 10-Feb-17: LONG USDMXN

  • Entry Rate: 20.3209
  • Target: 20.4962
  • Stop Loss: 20.2332
  • Return (%): -0.05

Recently Closed Signals

• 03-Feb-17: LONG USDTWD

  • Entry Rate: 31.0320
  • Close Rate: 30.9361 (06-Feb-17)
  • Return (%): -0.31

• 03-Feb-17: LONG USDPEN

  • Entry Rate: 3.2485
  • Close Rate: 3.2729 (03-Feb-17)
  • Return (%): 0.75

• 06-Feb-17: LONG USDPEN

  • Entry Rate: 3.2600
  • Close Rate: 3.2845 (06-Feb-17)
  • Return (%): 0.75

Fair Value and Z-Score Analysis

G10 Pairs

Key Observations

• AUDUSD is overvalued with a z-score of 1.64 (1.94%), indicating a significant deviation from its fair value.
• EURNOK is approaching its fair value, within 0.7 z-scores, and remains a long position.
• USDJPY and EURUSD are close to fair value.
• STEER™ continues to suggest short USDBRL due to a decline in the fair value following a narrowing of Brazil's CDS.

Latam & CEEMEA Currency Pairs

Latam Pairs

• USDBRL is overvalued, with a z-score of 1.51 (1.37%), prompting a short signal.
• USDMXN remains a long position, targeting 20.4962.
• USDCOP and USDCLP are slightly undervalued, with negative z-scores.

CEEMEA Pairs

• USDRUB and USDILS are significantly undervalued, with z-scores of -1.97 and -1.62, respectively.
• EURPLN and USDZAR are also undervalued.
• EURHUF, EURCZK, and USDTRY are slightly overvalued or undervalued, with small z-scores.
• EURRON is slightly overvalued with a z-score of 0.57 (0.19%).

Asia Currency Pairs

• USDINR, USDTHB, and USDTWD are undervalued, with negative z-scores.
• USDSGD is slightly undervalued.
• USDKRW, USDPHP, USDIDR, and USDMYR are overvalued, with positive z-scores.

Key Views and Drivers

• AUDUSD is overvalued against short-term fundamentals, and STEER™ maintains a short position.
• EURNOK is approaching fair value, with a long position still in place.
• USDBRL is overvalued, leading to a short signal.
• USDMXN remains a long position, as it is close to fair value.
• The USD is close to fair value against most G10 currencies.
• The fair value of USDBRL has decreased due to a narrowing of Brazil's CDS.
• STEER™ uses a co-integration filter to identify deviations from fair value, with dotted lines indicating where the model does not pass the filter.

Global Strategy Contacts

Legal Notice

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• It is intended for professional clients and eligible counterparties.
• No guarantee of accuracy or reliability is provided.
• Indicative prices are based on internal models and may not reflect actual transaction terms.
• Back-testing and simulated performance are provided for illustrative purposes only.
• No advice is given on investment, tax, or legal matters.
• Confidentiality is required; the document may not be distributed without consent.