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BNP Paribas FX STRATEGY | FX QUANT DAILY Summary (6 November 2017)

Core Content Overview

This document outlines the FX trading signals and fair value estimates from the BNP Paribas STEER™ Model for various currency pairs across different regions, including G10, CEEMEA, Latin America, and Asia. It also includes notes on the model's current views, driving factors, and legal disclaimers.

Key Trading Signals

New Signals

06-Nov-17: Short USDCAD at 1.2769, targeting 1.2590, with a stop loss at 1.2864. Return: 0.00%

Closed Signals

27-Oct-17: Long AUDUSD closed, with a return of 0.13%
27-Oct-17: Short USDZAR closed at 14.3366, return: -0.72%
01-Nov-17: Short USDZAR closed at 13.9309, return: 1.48%
01-Nov-17: Short USDTRY closed at 3.8184, return: -0.56%

FX Pair Analysis

G10 Currencies

AUDUSD: STEER at 0.7754, spot at 0.7650, z-score -0.93 (-1.35%). Still undervalued despite lower Australian 10-year yields.
GBPUSD: STEER at 1.3168, spot at 1.3070, z-score -0.67 (-0.73%). Trading below fair value, with fair value declining due to UK 2-year yields.
NZDUSD: STEER at 0.6902, spot at 0.6880, z-score -0.22 (-0.36%). Slightly undervalued.
EURUSD: STEER at 1.1723, spot at 1.1610, z-score -0.69 (-0.96%). Fair value has declined.
EURGBP: STEER at 0.8903, spot at 0.8880, z-score -0.12 (-0.23%). Fair value slightly undervalued.
EURCHF: STEER at 1.1604, spot at 1.1630, z-score 0.18 (0.25%). Slightly overvalued.
USDCAD: STEER at 1.2590, spot at 1.2770, z-score 1.52 (1.41%). Overvalued, with STEER rising due to Canadian 2y yields declining and US 2y yields rising.
USDJPY: STEER at 112.18, spot at 114.40, z-score 1.57 (1.92%). Overvalued, with fair value falling as US 10y yields declined.
EURSEK: STEER at 9.6662, spot at 9.7940, z-score 1.98 (1.30%). Overvalued.
EURNOK: STEER at 9.2743, spot at 9.4860, z-score 2.43 (2.24%). Overvalued.

CEEMEA and Asia

USDTRY: STEER at 3.8676, spot at 3.8820, z-score 0.34 (0.36%). Slightly overvalued.
USDZAR: STEER at 14.0728, spot at 14.2590, z-score 0.95 (1.31%). Overvalued.
USDMYR: STEER at 4.2263, spot at 4.2270, z-score 0.04 (0.02%). Slightly overvalued.
USDSGD: STEER at 1.3478, spot at 1.3580, z-score 1.05 (0.77%). Overvalued.
USDIDR: STEER at 13543, spot at 13585, z-score 0.55 (0.31%). Slightly overvalued.

Latin America

USDMXN: STEER at 19.3540, spot at 19.0330, z-score -2.35 (-1.69%). Undervalued.
USDCOP: STEER at 3073, spot at 3057, z-score -0.66 (-0.52%). Slightly undervalued.
USDBRL: STEER at 3.2390, spot at 3.3140, z-score 1.98 (2.27%). Overvalued.
USDPEN: STEER at 3.2426, spot at 3.2500, z-score 0.94 (0.24%). Slightly overvalued.
USDCLP: STEER at 629.02, spot at 634.60, z-score 1.13 (0.88%). Overvalued.

Driving Factors

USDCAD: Overvalued due to declining Canadian 2y yields and rising US 2y yields.
AUDUSD: Undervalued, with STEER targeting 0.7754.
USDJPY: Overvalued, with fair value falling as US 10y yields declined.
GBPUSD: Trading below fair value of 1.3168, which has declined due to UK 2y yields.
CZK and PLN: Both appear overvalued.
Other EM pairs: Most are in line with their STEERs, except for USDTRY, USDZAR, and USDSGD.

Key Takeaways

The STEER™ model provides fair value estimates and trading signals for various currency pairs.
USDCAD and USDJPY are overvalued, while AUDUSD remains undervalued.
Several EM pairs such as USDTRY, USDZAR, and USDSGD are overvalued.
The model uses z-scores to measure deviation from fair value, with values above 1 or below -1 indicating significant deviation.
The model may not pass the 'co-integration filter' in certain cases, indicating potential instability or lack of statistical significance in the data.
The report includes legal disclaimers and warnings about the risks involved in trading based on the model's recommendations.

Strategy Contacts

FX Strategy Team

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Sam Lynton-Brown: FX Strategist, London
Clara Leonard: FX Strategist, London
Natalie Rickard: FX Strategist, London
Daniel Katzive, CFA: Head of FX Strategy North America, New York
Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets Strategy Team

Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: CEEMEA Graduate, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Dawn Kwa: Graduate, Singapore
Altaz Dagna: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
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

Legal Disclaimer

This document is non-independent research and may be subject to conflicts of interest.
It is intended for Professional Clients and Eligible Counterparties.
No guarantees are made regarding the accuracy or completeness of the information.
Indicative prices are not actual transaction terms and are based on internal models or external sources.
BNP Paribas may have financial interests in the securities mentioned and may engage in transactions inconsistent with the views expressed.
This document is for informational purposes only and should not be relied upon for investment decisions.
It does not constitute a prospectus or public offering and is not intended to provide financial, legal, or tax advice.
Past performance is not indicative of future results.

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