20180129-法国巴黎银行-FX_QUANT_INSIGHT_15页_777kb

FX Strategy | FX Quant Insight - BNP Paribas STEER Summary

Core Content Overview

This document outlines the latest trading signals and insights from the BNP Paribas STEER™ model as of 29 January 2018. It includes short-term value assessments, z-scores, and position recommendations for various FX pairs across different regions, including G10, Emerging Markets (EM), Asia, and Latin America. Additionally, it provides legal and compliance information regarding the use and distribution of the document.

Key Trading Signals

• New Signal:

  • Currency Pair: EURSEK
  • Position: Long
  • Entry Rate: 9.7860
  • Target: 9.9434
  • Stop Loss: 9.7073
  • Return: 0.00%

• No Closed Signals: No signals were closed on 29 January 2018.

• Recently Closed Signals:

  • 15-Jan-18: Long USDSGD (Entry: 1.3220, Close: 1.3186, Return: -0.26%)
  • 15-Jan-18: Short USDKRW (Entry: 1062.7, Close: 1066.6, Return: -0.36%)
  • 08-Jan-18: Long EURNOK (Entry: 9.6854, Close: 9.5804, Return: -1.08%)
  • 19-Jan-18: Long USDZAR (Entry: 12.1366, Close: 12.087, Return: -0.41%)
  • 19-Jan-18: Short GBPUSD (Entry: 1.3895, Close: 1.4028, Return: -0.96%)

STEER Model Insights

• Model Status: The co-integration filter has turned off many models, with half of both the G10 and EM models no longer active, indicating reduced statistical confidence in the model's signals.

• EURSEK:

  • Short-term Value (FV): 9.9434
  • Z-Score: -2.41 (indicating it is 2.4 z-scores undervalued)
  • Strongly correlated with global equities, suggesting a potential rebound as equities rally.

• EM FX:

  • Overall, EM currency pairs that remain cointegrated are broadly fairly valued.

• G10 Currency Pairs:

  • EURCHF: Z-score -3.86 (undervalued)
  • USDJPY: Z-score -3.73 (undervalued)
  • USDCAD: Z-score -3.21 (undervalued)
  • EURNOK: Z-score -2.92 (undervalued)
  • EURSEK: Z-score -2.41 (undervalued)
  • GBPUSD: Z-score 1.57 (overvalued)
  • AUDUSD: Z-score 2.46 (overvalued)

• Asia and Latin America:

  • USDTHB: Z-score -2.41 (undervalued)
  • USDTWD: Z-score -1.62 (undervalued)
  • USDSGD: Z-score -1.32 (undervalued)
  • USDIDR: Z-score -1.21 (undervalued)
  • USDMYR: Z-score -0.54 (fairly valued)
  • USDINR: Z-score 0.16 (fairly valued)
  • USDPHP: Z-score 1.52 (overvalued)
  • USDCLP: Z-score -0.74 (undervalued)
  • USDMXN: Z-score -0.20 (fairly valued)
  • USDBRL: Z-score -0.17 (fairly valued)
  • USDCOP: Z-score 0.15 (slightly overvalued)
  • USDPEN: Z-score 0.84 (overvalued)

Driving Factors

• The STEER model highlights that fundamental relationships in FX are breaking down.
• EURSEK is seen as undervalued due to its strong correlation with global equities, which have been rallying.
• EM FX pairs are broadly fairly valued, as per the model's current status.
• The model uses z-scores to measure deviation from short-term fair value, with negative values indicating undervaluation and positive values indicating overvaluation.

FX Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal and Distribution Notice

• This document is non-independent research and is intended for Professional Clients and Eligible Counterparties under MiFID.
• It is not investment research and is not subject to any prohibition on dealing ahead of dissemination.
• The information is not verified by BNP Paribas and may be subject to conflicts of interest due to the bank's activities in sales and trading.
• The document is for information purposes only and not a prospectus, advertisement, or public offering.
• Indicative prices are provided for reference and do not represent actual transaction terms.
• Confidentiality: The document is strictly confidential and not to be distributed without prior written consent.

United States Disclosures

• Options: Complex instruments not suitable for every investor. Risk of loss is possible.
• ETFs: Involve risks including tracking error, currency, geopolitical, and credit risks.
• Conflicts of Interest: BNP Paribas may act as an advisor, manager, underwriter, or market maker for the referenced securities.

This summary provides a structured overview of the key elements and insights from the BNP Paribas STEER™ model as of 29 January 2018.