20160901-法国巴黎银行-BNP_Paribas_STEER__Model_-_Trading_Signals_11页_399kb

BNP Paribas STEER™ Model Summary

Core Content Overview

The BNP Paribas STEER™ Model provides trading signals and analysis for various currency pairs, focusing on short-term value deviations and market positioning. The model evaluates currencies based on fair value (FV) and z-scores to determine overvaluation or undervaluation, and it issues long or short signals accordingly. The summary includes both new and recently closed signals, along with the model's performance and the factors influencing its decisions.

New Trading Signals (01-Sept-16)

• EURGBP (Long)

  • Entry Rate: 0.8480
  • Target: 0.8797
  • Stop Loss: 0.8321
  • Return: 0.00% (not yet closed)
  • Note: The recent decline in EURGBP is not justified by fundamentals, suggesting a rise in fair value.

• EURPLN (Short)

  • Entry Rate: 4.3638
  • Target: 4.3341
  • Stop Loss: 4.3787
  • Return: 0.00% (not yet closed)
  • Note: EURPLN's rise is unjustified, especially with adverse commodity price moves.

• USDCOP (Short)

  • Entry Rate: 2971.7700
  • Target: 2946.3640
  • Stop Loss: 2984.4730
  • Return: 0.00% (not yet closed)
  • Note: USDCOP's rise is not supported by short-term fundamentals.

Recently Closed Signals

• EURSEK (Short)

  • Entry Rate: 9.4843
  • Close Rate: 9.5542 (31-Aug-16)
  • Return: -0.74%
  • Note: The pair remains overvalued by 2.2 z-scores.

• USDCOP (Short)

  • Entry Rate: 2942.0900
  • Close Rate: 2917.4100 (25-Aug-16)
  • Return: 0.84%

• USDJPY (Short)

  • Entry Rate: 102.2200
  • Close Rate: 102.3800 (30-Aug-16)
  • Return: -0.16%

• USDINR (Short)

  • Entry Rate: 67.1712
  • Close Rate: 67.0975 (30-Aug-16)
  • Return: 0.11%

• USDBRL (Short)

  • Entry Rate: 3.2351
  • Close Rate: 3.1986 (29-Aug-16)
  • Return: 1.13%

• USDZAR (Short)

  • Entry Rate: 14.4397
  • Close Rate: 14.5478 (30-Aug-16)
  • Return: -0.75%

Key Currency Pairs and Z-Scores (G10)

Key Currency Pairs and Z-Scores (CEEMEA & Asia)

Key Currency Pairs and Z-Scores (Latin America)

Main Points

• The STEER™ model generates trading signals based on short-term fair value and z-score analysis.
• EURGBP is currently in a long position, with a target of 0.8797, suggesting it is undervalued.
• EURPLN and USDCOP are both in short positions, indicating they are overvalued.
• Several signals have been closed, including EURSEK, USDCOP, USDJPY, USDINR, USDBRL, and USDZAR, with mixed returns.
• The z-scores for all currency pairs indicate the degree of deviation from short-term value, with some pairs significantly overvalued or undervalued.
• The model includes a "co-integration filter" to assess the validity of signals, as indicated by the dotted lines in the charts.

Important Notes

• The document includes a disclaimer stating that the content is a marketing communication and not independent investment research.
• It may be subject to conflicts of interest due to interactions with sales and trading teams.
• BNP Paribas may have financial interests in the currencies discussed and may have acted on the information before publication.
• The report is intended for professional clients and may not be suitable for retail investors in certain regions.
• The report is subject to legal and regulatory restrictions in various jurisdictions, including the UK, France, Germany, Japan, Hong Kong, Singapore, Australia, Brazil, and South Korea.