巴黎银行-全球-外汇策略-巴黎银行外汇指南-20180219-15页_1mb

BNP Paribas FX Strategy Summary - 19 February 2018

Core Content Overview

This document provides FX trading signals and insights from BNP Paribas STEER™ model for various currency pairs, focusing on short-term value (FV) and z-scores. It also includes details on the model's recent trades and the contact information for the FX strategy team.

Trading Signals

New Signals (19-Feb-18)

• LONG USDSGD

  • Entry Rate: 1.3119
  • Target: 1.3205
  • Stop Loss: 1.3076
  • Return: 0.00%

• LONG USDKRW

  • Entry Rate: 1067.60
  • Target: 1075.38
  • Stop Loss: 1063.71
  • Return: 0.00%

Closed Signals (No new signals today)

• SHORT AUDUSD (15-Feb-18)

  • Entry Rate: 0.7965
  • Target: 0.7797
  • Stop Loss: 0.8060
  • Return: 0.59%

• LONG USDCAD (15-Feb-18)

  • Entry Rate: 1.2468
  • Target: 1.2706
  • Stop Loss: 1.2366
  • Return: 0.60%

Recently Closed Signals

• SHORT USDCOP (12-Feb-18)

  • Entry Rate: 2941.77
  • Close Rate: 2923.80
  • Return: 0.61%

• SHORT EURHUF (13-Feb-18)

  • Entry Rate: 311.99
  • Close Rate: 312.80
  • Return: -0.26%

• LONG USDSGD (14-Feb-18)

  • Entry Rate: 1.3190
  • Close Rate: 1.3148
  • Return: -0.32%

• LONG USDRUB (15-Feb-18)

  • Entry Rate: 56.6512
  • Close Rate: 56.4119
  • Return: -0.42%

Key Insights from STEER™ Model

G10 Currencies

• USDJPY: FV = 111.84, z-score = -3.36 (-4.99%)
• USDCAD: FV = 1.2706, z-score = -1.65 (-1.31%)
• EURCHF: FV = 1.1782, z-score = -1.49 (-2.23%)
• EURGBP: FV = 0.8884, z-score = -0.17 (-0.36%)
• EURNOK: FV = 9.5466, z-score = 0.79 (1.07%)
• EURSEK: FV = 9.8094, z-score = 0.92 (0.78%)
• EURUSD: FV = 1.2275, z-score = 0.95 (1.11%)
• AUDUSD: FV = 0.7797, z-score = 1.26 (1.57%)
• GBPUSD: FV = 1.3817, z-score = 1.42 (1.47%)
• NZDUSD: FV = 0.7028, z-score = 2.62 (4.95%)

Notes:

• STEER™ has initiated long positions in USDKRW and USDSGD.
• AUDUSD is still in a short position targeting 0.7797.
• USDCAD is undervalued by 1.7 z-scores, and its fair value has increased due to a wider US-Canadian 2y swap rate spread.
• The fair value of AUDUSD is no longer driven by global equities but by interest rates.

CEEMEA Currencies

• USDRUB: FV = 57.0677, z-score = -1.35 (-1.17%)
• EURCZK: FV = 25.4589, z-score = -1.22 (-0.41%)
• EURPLN: FV = 4.1825, z-score = -1.05 (-0.61%)
• USDZAR: FV = 11.6046, z-score = 0.16 (0.46%)
• USDTRY: FV = 3.7211, z-score = 0.54 (0.85%)
• EURHUF: FV = 309.72, z-score = 1.08 (0.55%)
• EURRON: FV = 4.6383, z-score = 1.62 (0.54%)
• USDILS: FV = 3.4747, z-score = 3.64 (1.91%)

Notes:

• USDRUB is undervalued by 1.35 z-scores.
• USDILS is overvalued by 3.64 z-scores.
• The fair value of USDKRW and USDSGD has fallen due to narrowing Korean CDS spreads and undervaluation according to STEER™.

Latin America Currencies

• USDCLP: FV = 604.08, z-score = -1.56 (-1.82%)
• USDCOP: FV = 2869, z-score = -1.38 (-0.84%)
• USDBRL: FV = 3.2312, z-score = -0.04 (-0.02%)
• USDMXN: FV = 18.4959, z-score = -0.04 (-0.04%)
• USDPEN: FV = 3.2415, z-score = 0.93 (0.28%)

Notes:

• USDCOP and USDCLP are undervalued by 1.38 and 1.56 z-scores, respectively.
• USDPEN is overvalued by 0.93 z-scores.
• USDBRL and USDMXN are slightly undervalued.
• The model continues to show some undervaluation in the region.

Key Drivers

• USDKRW and USDSGD are driven by a narrowing Korean CDS spread and undervaluation.
• USDCAD is influenced by the spread between US and Canadian 2y swap rates.
• AUDUSD is now driven by interest rates rather than global equities.
• USDILS is overvalued, while USDRUB is undervalued.
• USDPEN is overvalued due to various market factors.

Contacts

FX Strategy Team

Emerging Markets FX & IR Strategy

Legal and Distribution Notes

• This document is non-independent research and is a marketing communication.
• It is intended for Relevant Persons and not for general public distribution.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document includes indicative prices and is not an offer to sell or a solicitation to buy.
• The information is subject to change and not guaranteed.
• BNP Paribas disclaims liability for any reliance on the information.
• The document may include back-tested performance data, which is not indicative of future results.
• It is confidential and may not be copied or distributed without written consent.

Disclaimer

• This document is for information purposes only.
• It does not constitute investment research or a prospectus.
• No assurance is given that any transaction will be entered into on the terms indicated.
• Past performance is not indicative of future results.
• BNP Paribas and its affiliates do not warrant the accuracy or completeness of the information.