20180813-法国巴黎银行-BNP_Paribas_STEER_18页_978kb
报告摘要
BNP Paribas STEER™ Model Summary - 13 August 2018
Core Content
BNP Paribas STEER™ is a proprietary FX strategy model that provides trading signals based on short-term fundamental analysis and statistical models. The model evaluates currencies across various regions including G10, CEEMEA, and Latin America, using z-scores to indicate deviation from fair value. It also includes notes on closed signals, new signals, and the rationale behind trading decisions.
Trading Signals
New Signals
- 13-Aug-18: SHORT USDSGD at 1.3755, targeting 1.3674, with a stop loss at 1.3796.
Closed Signals
- 08-Aug-18: SHORT USDCAD at 1.3070, closed at 1.3148 with a return of -0.60%.
- 10-Aug-18: LONG EURCHF at 1.1399, closed at 1.1301 with a return of -0.86%.
- 30-Jul-18: SHORT USDTWD at 30.6340, closed at 30.7599 with a return of -0.41%.
- 07-Aug-18: SHORT USDIDR at 14535, closed at 14595 with a return of -0.41%.
Existing Signals
- 20-Jul-18: SHORT EURSEK at 10.3786, targeting 10.2287.
- 03-Aug-18: SHORT USDTHB at 33.3400, targeting 33.0952.
Key Currency Analysis
G10 Currencies
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURCHF | 1.1603 | 1.1340 | -2.45(-2.34%) | 1.1766 | 1.1440 |
| AUDUSD | 0.7543 | 0.7290 | -2.40(-3.51%) | 0.7703 | 0.7383 |
| EURUSD | 1.1780 | 1.1400 | -2.34(-3.32%) | 1.2022 | 1.1538 |
| GBPUSD | 1.3225 | 1.2760 | -2.15(-3.61%) | 1.3546 | 1.2904 |
| NZDUSD | 0.6936 | 0.6580 | -2.02(-5.37%) | 0.7199 | 0.6673 |
| EURGBP | 0.8908 | 0.8930 | 0.16(0.29%) | 0.9148 | 0.8667 |
| EURNOK | 9.4905 | 9.5600 | 0.61(0.73%) | 9.6624 | 9.3186 |
| USDJPY | 108.93 | 110.40 | 0.66(1.28%) | 112.1451 | 105.7194 |
| EURSEK | 10.2287 | 10.4360 | 1.90(1.98%) | 10.3922 | 10.0652 |
Notes:
- EURSEK is overvalued by 1.9 z-scores.
- USDSGD is overvalued due to rising spot and fair-value driven by global and local equity markets.
- STEER has closed some signals due to failure of cointegration tests, indicating reduced statistical confidence.
CEEMEA Currencies
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURCZK | 25.7990 | 25.7050 | -1.00(-0.37%) | 25.9402 | 25.6578 |
| EURRON | 4.6527 | 4.6580 | 0.51(0.12%) | 4.6693 | 4.6362 |
| EURHUF | 323.30 | 323.90 | 0.52(0.19%) | 325.0505 | 321.5469 |
| EURPLN | 4.2778 | 4.3070 | 1.23(0.68%) | 4.3133 | 4.2423 |
| USDRUB | 65.9849 | 67.6910 | 2.21(2.52%) | 67.1423 | 64.8275 |
| USDILS | 3.6434 | 3.7140 | 2.68(1.89%) | 3.6827 | 3.6042 |
| USDZAR | 13.4986 | 14.3830 | 5.84(6.15%) | 13.7259 | 13.2713 |
| USDTRY | 5.6181 | 6.6510 | 9.75(15.53%) | 5.7770 | 5.4592 |
Notes:
- USDTRY is significantly overvalued (9.75 z-scores).
- STEER maintains a short USDTHB signal.
- STEER closed out short USDTWD and USDIDR signals with a combined loss of 0.82%.
Latin America Currencies
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDMXN | 19.1922 | 19.1250 | -0.40(-0.35%) | 19.4466 | 18.9378 |
| USDCLP | 652.05 | 654.90 | 0.74(0.44%) | 657.8927 | 646.2172 |
| USDPEN | 3.2689 | 3.2810 | 1.10(0.36%) | 3.2848 | 3.2531 |
| USDCOP | 2905 | 2941 | 1.50(1.23%) | 2940.8034 | 2868.4904 |
| USDBRL | 3.7576 | 3.8620 | 2.11(2.70%) | 3.8316 | 3.6837 |
Notes:
- USDBRL is overvalued by 2.11 z-scores.
- STEER has closed some signals due to failure of cointegration tests.
Driving Factors Behind the Moves
- The model uses short-term fundamentals and statistical analysis to determine overvaluation or undervaluation.
- Factors include global and local equity markets, macroeconomic data, and currency dynamics.
- Some signals are closed due to reduced statistical confidence.
Contacts and Legal Notice
FX Strategy Contacts
| Strategist | Job Title | Legal Entity | Phone |
|---|---|---|---|
| Michael Sneyd, CFA | Global Head of FX Strategy & Cross-Asset Strategist | BNP Paribas London branch | 44 20 7595 1307 |
| Natalie Rickard | FX Strategist | BNP Paribas London branch | 44 20 7595 8270 |
| Alex Jekov | Graduate | BNP Paribas London branch | 44 20 7595 4185 |
| Kris Gini | Graduate | BNP Paribas London branch | - |
| Daniel Katzive, CFA | Head of FX Strategy North America | BNP Paribas Securities Corp (New York) | 1 212 841 2408 |
| Wike Groenenberg | Head of Emerging Markets Research, CEEMEA & APAC | BNP Paribas London branch | 44 20 7595 8746 |
| Marcelo Carvalho | Head of Emerging Markets Research, Latam | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Sai Ulluri | FX & IR CEEMEA Strategist | BNP Paribas London branch | 44 20 7595 1872 |
| Shaun Daly | FX & IR CEEMEA Graduate | BNP Paribas London branch | 44 20 7595 1870 |
| Erkin Isik, CFA | FX & IR CEEMEA Strategist | Turk Ekonomi Bank A.S. (Istanbul) | 90 216 635 2987 |
| Altaz Dagha | APAC IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Dawn Kwa | Asia FX & IR Strategist | BNP Paribas Singapore Branch | 65 6210 3263 |
| Kun Shan | China Strategist | BNP Paribas China Limited (Shanghai) | 86 21 2896 2773 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head FX & IR Latam Strategy | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Samuel Castro | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3492 |
| Luca Maia | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3447 |
| Andre Digiacomo | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3445 |
Production and Editorial
| Name | Location | Legal Entity | Phone |
|---|---|---|---|
| Barbara Consuelo | London | BNP Paribas London branch | 44 20 7595 8486 |
| Amanda Grantham-Hill | London | BNP Paribas London branch | 44 20 7595 4107 |
| Anna McLaughlin | London | BNP Paribas London branch | 44 20 7595 3754 |
| Varghese Joseph | New York | BNP Paribas Securities Corp (New York) | 1 212 841 3698 |
Legal and Regulatory Notice
- This document is non-independent research and may be subject to conflicts of interest.
- It is intended for professional clients and eligible counterparties.
- It is not investment research and does not constitute an offer to sell or purchase any financial instruments.
- No liability is accepted for any losses resulting from reliance on the document.
- The information is based on public sources and may not be accurate or complete.
- Past performance is not indicative of future performance.
- This document is for information purposes only and may not be reproduced or distributed without prior consent.
Online Resources
- BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
- BNP Paribas Strategy Website
- Bloomberg:
- Fixed Income Research: BPFR
- Emerging Markets Research: BPFR
- G10 Interest Rate Research: BPBS
- Market Economics: BPEC
Important Disclosures
- Options and ETFs discussed are complex and may not be suitable for all investors.
- Supporting documentation is available upon request.
- This document is for educational and discussion purposes only.
- It is not a prospectus or public offering document.
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