20170522-法国巴黎银行-BNP_Paribas_STEER_15页_810kb

报告摘要

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER

Core Content Summary

This document outlines the latest trading signals and market analysis generated by the BNP Paribas STEER™ model, which is a quantitative macro strategy used for foreign exchange (FX) trading. It includes signals for various currency pairs across different regions, along with the model's current valuation levels and z-scores indicating deviations from short-term fair value.

Key Trading Signals

New Signals (22 May 2017)

Short EURUSD at 1.1190, targeting 1.1034, with a stop-loss at 1.1269
Long USDTHB at 34.3680, targeting 34.5415, with a stop-loss at 34.2812

Closed Signals

Long USDMXN closed at 18.6847 (19 May 2017), resulting in a return of -0.49%
Long EURPLN (17 May 2017) closed at 4.1973, resulting in a return of 0.51%
Long EURPLN (18 May 2017) closed at 4.2211, resulting in a return of 0.51%

Existing Signals

Long NZDUSD at 0.6914, targeting 0.6984, with a stop-loss at 0.6802

Market Analysis Overview

EURUSD

EURUSD appears overvalued by 1.59 z-scores, suggesting a potential short trade.
The pair has risen despite weak fundamentals in the US equity and bond markets.
Long positioning is at a stretched level, making it vulnerable to unwinding.

USDTHB

USDTHB appears undervalued, with the recent decline seen as overdone.
Thailand's CDS has widened, indicating increased risk, which has pushed the fair value higher.

NZDUSD & AUDUSD

Both pairs appear undervalued.
NZDUSD has a fair value of 0.6984, while AUDUSD has a fair value of 0.7595.

Other Currency Pairs

USDCAD is slightly overvalued with a z-score of 0.17
GBPUSD is overvalued with a z-score of 0.93
USDJPY is overvalued with a z-score of 1.77
EURCHF is overvalued with a z-score of 2.17

CEEMEA Region

EURPLN is at 4.2175, with a z-score of -1.06
USDTRY is at 3.6723, with a z-score of -1.24
EURCZK is at 26.8073, with a z-score of -2.66
EURRON is at 4.5414, with a z-score of 1.45
USDRUB is at 55.6601, with a z-score of 1.64

Asia Region

USDMYR is at 4.3534, with a z-score of -2.21
USDTHB is at 34.6682, with a z-score of -1.69
USDSGD is at 1.3944, with a z-score of -0.85
USDPHP is at 49.8522, with a z-score of -0.54
USDKRW is at 1118, with a z-score of 0.04
USDTWD is at 29.9648, with a z-score of 0.31
USDIDR is at 13294, with a z-score of 0.74

Latin America Region

USDBRL is at 3.3097, with a z-score of -1.90
USDMXN is at 18.8717, with a z-score of -0.90
USDCLP is at 665.48, with a z-score of 0.44
USDPEN is at 3.2525, with a z-score of 0.76
USDCOP is at 2849, with a z-score of 1.52

Key Observations

The model uses z-scores to identify overvaluation or undervaluation of currency pairs relative to their short-term fair value.
EURUSD is the primary focus of the short signal, driven by its overvaluation and stretched long positioning.
The USDTHB signal is based on the fair value rising due to Thailand's CDS widening.
The NZDUSD position remains long, with the pair still considered undervalued.
Several other pairs are highlighted as either overvalued or undervalued, with varying degrees of deviation from fair value.

Legal and Disclaimer Notes

This document is non-independent research and is for marketing purposes only.
It is not investment research and does not constitute an offer to sell or issue any financial instruments.
The STEER™ model is a trademark of BNP Paribas.
BNP Paribas may have conflicts of interest due to its involvement in market-making, advisory, or investment banking activities.
All estimates and opinions are based on the model's internal calculations and may change without notice.
Simulated performance is not a guarantee of future results and may not reflect real-world conditions such as liquidity, transaction costs, or fees.

Distribution and Contact Information

Global Strategy Contacts

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 Contacts

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

Production and Distribution

Barbara Consuelo – Foreign Exchange, London
Amanda Grantham-Hill – London
Anna McLaughlin – London
Louise Bylicki – New York

Important Disclosures

The document may contain performance data based on back-testing.
Indicative prices are not guaranteed and may vary significantly from other sources.
Options and ETFs discussed involve high risk and are not suitable for all investors.
Confidentiality is required for the information provided.
No assurance is given regarding the accuracy or completeness of the information.

Conclusion

The BNP Paribas STEER™ model provides short-term trading signals based on fair value deviations and z-scores. It highlights EURUSD as overvalued and suggests a short trade, while USDTHB and NZDUSD are considered undervalued. The model also includes analysis for CEEMEA, Asia, and Latin America currencies, with varying levels of overvaluation or undervaluation. The document is intended for professional clients and Relevant Persons, and it is important to note the legal disclaimers and conflict of interest statements provided by BNP Paribas.