20140609-巴黎银行证券-BNP_Paribas_STEER_11页_1mb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the fair value of currency pairs and identify potential trading signals based on deviations from that fair value. The model measures misvaluation using a z-score and considers the "cointegration filter" to determine the validity of trading signals.

Key Views and Information

G10 Currency Pairs

• EURUSD: Trading close to its STEER of 1.3700 (within 0.5 z-score). Previously appeared cheap, but recent price movements have aligned it with the fair value.
• GBPUSD: Bullish signal with fair value at 1.6950, current spot at 1.6820 (deviation -0.77%). Target is 1.6953 with a stop loss at 1.6578. Entry date: 29-May-14.
• USDJPY: Spot at 1.0920, fair value at 1.1100 (deviation -1.62%). No trading signal.
• USDCAD: Spot at 1.0920, fair value at 1.1100 (deviation -1.62%). No trading signal.
• AUDUSD: Bearish signal with fair value at 0.9040, current spot at 0.9360 (deviation +3.54%). Target is 0.9039 with a stop loss at 0.9490. Entry date: 06-Jun-14.
• NZDUSD: Spot at 0.8520, fair value at 0.8530 (deviation -0.12%). No trading signal.
• EURGBP: Spot at 0.8110, fair value at 0.8080 (deviation +0.37%). No trading signal.
• EURCHF: Spot at 1.2190, fair value at 1.2200 (deviation -0.08%). No trading signal.
• EURNOK: Spot at 8.1130, fair value at 8.2110 (deviation -1.19%). No trading signal.
• EURSEK: Spot at 9.0600, fair value at 8.9960 (deviation +0.71%). No trading signal.

CEEMEA Currency Pairs

• EURPLN: Spot at 4.0950, fair value at 4.1540 (deviation -1.42%). Bullish signal, but the model does not pass the "cointegration filter". Stop-loss triggered on 09-Mar-14.
• EURCZK: Spot at 27.4570, fair value at 27.3640 (deviation +0.34%). No trading signal.
• EURHUF: Spot at 302.70, fair value at 305.50 (deviation -0.92%). No trading signal.
• EURRON: Spot at 4.3910, fair value at 4.3560 (deviation +0.80%). No trading signal.
• USDZAR: Bearish signal with fair value at 10.3320, spot at 10.5780 (deviation +2.38%). Target is 10.43 with a stop loss at 10.6455. Entry date: 09-Jun-14.
• USDTRY: Spot at 2.0760, fair value at 2.0440 (deviation +1.57%). No trading signal.
• USDILS: Spot at 3.4630, fair value at 3.4550 (deviation +0.23%). No trading signal.
• USDRUB: Spot at 34.2800, fair value at 34.1330 (deviation +0.43%). No trading signal.

Asia Currency Pairs

• USDKRW: Spot at 1016, fair value at 1016 (deviation 0.00%). No trading signal.
• USDMYR: Spot at 3.1960, fair value at 3.2190 (deviation -0.71%). Close to triggering a bullish signal.
• USDIDR: Spot at 11801, fair value at 11533 (deviation +2.32%). Bearish signal, target at 11624.70, stop loss at 11870.40. Entry date: 09-Jun-14.
• USDINR: Spot at 59.0580, fair value at 58.1430 (deviation +1.57%). Bearish signal, but does not pass the "cointegration filter".
• USDTHB: Spot at 32.4510, fair value at 32.3980 (deviation +0.16%). No trading signal.
• USDPHP: Spot at 43.5640, fair value at 43.6240 (deviation -0.14%). No trading signal.
• USDTWD: Spot at 30.0030, fair value at 30.2180 (deviation -0.71%). Close to triggering a bullish signal.

Latin America Currency Pairs

• USDBRL: Spot at 2.2470, fair value at 2.2250 (deviation +0.99%). No trading signal.
• USDCLP: Spot at 549.70, fair value at 561.40 (deviation -2.08%). Bullish signal. Does not pass the "cointegration filter".
• USDMXN: Spot at 12.9140, fair value at 12.7240 (deviation +1.49%). Bearish signal, target not specified. Potential profit less than minimum gain.
• USDPEN: Spot at 2.7840, fair value at 2.7770 (deviation +0.25%). No trading signal.
• USDCOP: Spot at 1883, fair value at 1919 (deviation -1.88%). No trading signal, but regime monitor score is rising.

STEER Regime Monitor

• The Regime Monitor tracks four variables to assess the stability of the STEER model.
• No currency currently has a score above 80, which is the threshold for considering trading signals.
• USDIDR and USDINR have high scores but remain below the threshold.
• USDCOP and USDPHP scores have increased following recent price movements.

Trading Signals

• Bullish signals: GBPUSD, USDMYR, USDZAR, EURPLN, USDTWD
• Bearish signals: AUDUSD, USDIDR, USDINR, USDMXN
• No signals: EURUSD, EURGBP, EURCHF, EURNOK, EURSEK, USDTRY, USDKRW, USDTHB, USDPHP, USDBRL, USDCOP, USDPEN

Trade History (Last 15 trades)

Key Themes

• EURUSD has returned to its STEER after being undervalued.
• GBPUSD remains undervalued, with a bullish signal.
• AUDUSD is overvalued, with a bearish signal.
• USDCAD is undervalued, but not enough to trigger a signal.
• USDZAR is overvalued, with a bearish signal.
• EURPLN and EURHUF are oversold, but not passing the "cointegration filter".
• USDIDR and USDTWD are close to triggering bullish signals.
• USDMXN is overvalued, with a bearish signal.
• The regime monitor is used to support discretionary decisions, not as an automatic filter.
• No signals are currently considered valid due to the "cointegration filter" in certain pairs.

Disclaimer

• This document is a marketing communication and not independent investment research.
• No representation or warranty is made regarding the accuracy or completeness of the information.
• Past performance is not indicative of future results.
• BNP Paribas may have financial interests in the currencies mentioned and may have acted on the information before publication.
• The document is subject to change and not to be relied upon as an authoritative source.
• It is intended for professional clients only and not for retail clients.