20170731-法国巴黎银行-BNP_Paribas_STEER_16页_774kb

BNP Paribas STEER™ Model Summary (31 July 2017)

Core Content

The BNP Paribas STEER™ Model provides trading signals for various currency pairs based on short-term value analysis and deviation from fair value. The model evaluates the relative value of currencies using z-scores to determine if they are overbought or oversold. These signals are used to inform trading decisions and are subject to the co-integration filter, which is indicated by dotted lines.

Main Trading Signals

New Signals

• 31-Jul-17: Short GBPUSD at 1.3129, targeting 1.2764 with a stop loss at 1.3317.

Existing Signals

• 21-Jul-17: Short EURUSD at 1.1665, targeting 1.1441.
• 27-Jul-17: Long USDBRL at 3.1427, targeting 3.1617.

Recently Closed Signals

• 24-Jul-17: Long USDBRL at 3.1410, closed at 3.1668 with a return of 0.82%.
• 17-Jul-17: Short EURCHF at 1.1054, closed at 1.1122 with a return of -0.62%.
• 24-Jul-17: Long USDTHB at 33.4300, closed at 33.3370 with a return of -0.28%.
• 25-Jul-17: Short USDMXN at 17.7337, closed at 17.5827 with a return of 0.85%.
• 27-Jul-17: Short AUDUSD at 0.8044, closed at 0.7981 with a return of 0.78%.

G10 Currency Analysis

The STEER™ model indicates that the USD is currently undervalued relative to several G10 currencies, with the most notable deviation being against EUR, GBP, NZD, and AUD.

Z-Score Analysis (31 July 2017)

The model suggests that EURUSD and GBPUSD are overbought, while USDJPY, EURSEK, and USDCAD are close to fair value. The z-scores indicate the degree of deviation from fair value.

Emerging Markets (EM) Strategy

• USDBRL: Long position at 3.1427, targeting 3.1617.
• Other EM pairs: Most are trading in line with STEER™ values, suggesting no significant overvaluation or undervaluation.

Asia Strategy

• USDTHB: Long position at 33.4300, closed at 33.3370 with a return of -0.28%.
• USDSGD: STEER™ at 1.3636, spot at 1.3570, z-score of -0.99(-0.46%).
• USDINR: STEER™ at 64.1714, spot at 64.0790, z-score of -0.31(-0.14%).
• USDKRW: STEER™ at 1120, spot at 1120, z-score of -0.02(-0.02%).
• USDMYR: STEER™ at 4.2764, spot at 4.2780, z-score of 0.11(0.05%).
• USDTWD: STEER™ at 30.1595, spot at 30.2090, z-score of 0.23(0.16%).
• USDPHP: STEER™ at 50.3927, spot at 50.5200, z-score of 0.55(0.25%).
• USDIDR: STEER™ at 13331, spot at 13360, z-score of 0.85(0.21%).

Latin America Strategy

• USDBRL: Long position at 3.1427, targeting 3.1617.
• USDCOP: STEER™ at 2987, spot at 2999, z-score of 0.52(0.41%).
• USDMXN: STEER™ at 17.6733, spot at 17.7630, z-score of 0.60(0.50%).
• USDCLP: STEER™ at 648.75, spot at 654.00, z-score of 0.92(0.80%).
• USDPEN: STEER™ at 3.2410, spot at 3.2750, z-score of 2.72(1.04%).

Key Factors Influencing the Model

• GBPUSD: The fair value has declined due to falling UK 2y yields and recovery in oil prices, which are negatively correlated with GBPUSD.
• EURUSD: The model remains short EURUSD, indicating the rally may not be justified by relative rate movements.
• USDBRL: The model is long USDBRL, suggesting the pair is undervalued.
• Other pairs: Deviations are minimal, indicating alignment with fair value.

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA: Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
• Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
• Sam Lynton-Brown: FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
• Clara Leonard: FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
• Natalie Rickard: Graduate, London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
• Daniel Katzive, CFA: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
• Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo, Tel: 55 11 3841 3418, Email: marcelo.carvalho@br.bnpparibas.com
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
• Sai Ulluri: CEEMEA Graduate, London, Tel: 44 20 7595 1872, Email: sai.ulluri@uk.bnpparibas.com
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
• Dawn Kwa: Graduate, Singapore, Tel: 65 6210 3263, Email: dawn.kwa@asia.bnpparibas.com
• Altaz Dagha: AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.dagha@asia.bnpparibas.com
• Kun Shan: China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
• Tianhe Ji: China Strategist, Shanghai, Tel: 86 21 2896 2785, Email: tianhe.ji@asia.bnpparibas.com
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com

Production and Distribution

• Barbara Consuelo: Foreign Exchange, London, Tel: 44 20 7595 8486, Email: Barbara.Consuelo@uk.bnpparibas.com
• Amanda Grantham-Hill: London, Tel: 44 20 7595 4107, Email: amanda.grantham-hill@uk.bnpparibas.com
• Anna McLauchlin: London, Tel: 44 20 7595 3754, Email: anna.mclauchlin@uk.bnpparibas.com
• Louise Bylicki: New York, Tel: 1 212 471 6479, Email: louise.bylicki@us.bnpparibas.com

Legal Notice

• This document is a marketing communication and not independent research.
• It is not intended as investment advice and is not a prospectus or public offering.
• BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No liability is accepted for any use of the information or for any losses incurred.
• The information is based on public sources and may not be accurate or complete.
• This document is for intended recipients only and may not be distributed without prior consent.
• The indicative prices and terms are based on internal models and may vary from other sources.