20170110-法国巴黎银行-BNP_Paribas_STEER_15页_855kb

报告摘要

BNP Paribas FX Strategy Summary - 10 January 2017

Core Content

This document provides a summary of the BNP Paribas STEER™ model's FX trading signals and fair-value assessments for various currency pairs as of 10 January 2017. It outlines the current market positions, targets, and stop-loss levels, along with the model's updated methodology and key factors influencing the current market conditions.

Main Trading Signals

New Signals

SHORT USDJPY: Entry at 115.77, Target at 112.02, Stop Loss at 117.71
SHORT USDTRY: Entry at 3.7605, Target at 3.7007, Stop Loss at 3.7904
LONG USDRUB: Entry at 60.0468, Target at 60.7047, Stop Loss at 59.7179

Existing Signals

SHORT EURSEK: Target at 9.4747
LONG EURCHF: Target at 1.0806

Recently Closed Signals

SHORT USDTWD: Closed at 32.2615 (27-Dec-16), Return: -0.30%
SHORT USDKRW: Closed at 1206.6900 (28-Dec-16), Return: -0.63%
SHORT USDMXN: Closed at 20.6215 (27-Dec-16), Return: 0.57%

Key Currency Pair Assessments

G10 Currencies

USDJPY: Overvalued, trading 1.9 z-scores above its STEER value of 112.02. The decline in US 10yr yields has contributed to this fair-value adjustment.
EURUSD: Trading in line with STEER value of 1.0624
GBPUSD: Trading in line with STEER value of 1.2135
USDTRY: Overvalued vs Turkish assets, triggering a bearish signal
USDRUB: Overvalued following a decline in Russian equity prices, triggering a short signal
EURSEK: Still short, targeting 9.4747
EURCHF: Still long, targeting 1.0806

CEEMEA

USDRUB: Overvalued, z-score: -1.78 (-1.95%)
EURPLN: z-score: -0.95 (-1.09%)
EURCZK: z-score: -0.81 (-0.03%)
USDZAR: z-score: -0.79 (-1.47%)
USDILS: z-score: -0.48 (-0.50%)
EURHUF: z-score: 0.11 (0.06%)
EURRON: z-score: 0.47 (0.16%)

Asia

USDSGD: z-score: -0.79 (-0.99%)
USDIDR: z-score: -0.63 (-0.55%)
USDTHB: z-score: -0.50 (-0.22%)
USDTWD: z-score: 0.26 (0.16%)
USDKRW: z-score: 0.79 (1.19%)
USDINR: z-score: 1.17 (0.48%)
USDMYR: z-score: 2.39 (2.33%)

Latin America

USDCOP: z-score: -0.38 (-0.39%)
USDCLP: z-score: -0.11 (-0.08%)
USDBRL: z-score: 0.18 (0.17%)
USDPEN: z-score: 0.85 (0.57%)
USDMXN: z-score: 1.23 (0.84%)

Key Notes

The STEER™ model has been updated to better incorporate negative and low 2y interest rates.
The 'cointegration filter' has been extended to cover G10 currencies, providing warnings when conviction in a trading signal is low.
The z-score deviation from short-term value indicates whether a currency is overvalued or undervalued relative to its fair value.

Legal Disclaimer

This document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication and not investment research for MiFID purposes.
BNP Paribas does not provide investment, financial, legal, or tax advice.
No assurance is given that the indicated returns or performance will be achieved.
All information is based on public sources and may not be accurate or complete.
Indicative prices and terms are for reference only and not actual transaction terms.
BNP Paribas may have acted on the information or have financial interests in the securities mentioned.
This document is for the use of intended recipients only and may not be distributed without prior written consent.

Strategy Contacts

Cross Asset Strategy

Michael Sneyd, CFA: Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com

Emerging Markets FX & IR Strategy

Wike Groenenberg: Global Head of EM Strategy, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@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
Altaz Daga: 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 McLaughlin: 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

United States Disclosures

Options: Complex instruments with high risk, suitable only for sophisticated investors.
ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest.
Investment Considerations: You should consult independent advisors before making any investment decisions.
Confidentiality: The information provided is confidential and must not be distributed without prior written consent.

Additional Information

The document contains performance data based on back-testing and is for illustrative purposes only.
Simulated performance does not reflect real-world factors like liquidity constraints and transaction costs.
All information is subject to change without notice.

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