20140331-巴黎银行证券-BNP_Paribas_STEER_11页_607kb

BNP Paribas STEER™ Summary (31 March 2014)

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the over- or under-valuation of currency pairs against the USD. The model provides trading signals based on deviations from the fair value, measured using z-scores. The summary highlights key insights from the model's analysis for various currency pairs across G10, CEEMEA, Asia, and Latin America.

Main Trading Signals

G10 Currencies

• EURUSD: Bearish signal, overvalued by 1.5 z-scores. Target: 1.3577. Stop Loss: 1.3976. Entry Date: 10-Mar-14.
• GBPUSD: Bearish signal, overvalued by 1.9 z-scores. Target: 1.6329. Stop Loss: 1.6833. Entry Date: 07-Mar-14.
• USDINR: Bullish signal, undervalued. Target: 60.4649. Stop Loss: 59.7094. Entry Date: 31-Mar-14.
• AUDUSD: Overvalued by 2.7 z-scores. Stop-loss triggered on 26-Mar-14.
• NZDUSD: Overvalued by 1.9 z-scores. Stop-loss triggered on 27-Mar-14.
• EURNOK: Bullish signal, undervalued. Target: 8.4011. Stop Loss: 8.2074. Entry Date: 07-Mar-14.

CEEMEA

• USDILS: Overvalued by 0.52 z-scores. Potential for decline to 3.4700, but low volatility prevents trade.
• USDTRY: STEER has declined sharply to 2.1510, indicating fair value.
• EURPLN, EURCZK, EURHUF, EURRON: All within the ±1.5 z-score corridor, with no clear trading signal.

Asia

• USDINR: Undervalued, bullish signal. Target: 60.4649.
• USDKRW: Back in line with fair value.
• USDMYR, USDIDR, USDTHB, USDPHP, USDTWD, USDSGD: All within the ±1.5 z-score corridor, with no clear trading signal.

Latin America

• USDBRL, USDCLP, USDMXN, USDPEN, USDCOP: All within the ±1.5 z-score corridor, with no clear trading signal.

Key Insights

• USD Position: The USD is considered undervalued against the EUR, GBP, AUD, and NZD. This implies a bearish outlook for EURUSD and GBPUSD, and a bullish outlook for EURNOK.
• Overvaluation of AUDUSD and NZDUSD: These pairs are significantly overvalued, and the model indicates a bearish stance, with stop-loss triggers on 26 and 27 March 2014 respectively.
• USDINR: Undervalued, with a bullish signal indicating potential for an increase.
• USDTRY: The STEER has fallen sharply, indicating fair value.
• USDCAD: Converged back to its fair value after a decline, with no clear trading signal.
• EURNOK: The model continues to signal a potential rise, but the target has been adjusted due to a rebound in Norwegian government bonds.

Regime Monitor

• The Regime Monitor evaluates the stability of the STEER model and is used to support discretionary trading decisions.
• No currency currently has a score above 80, the threshold for trading signals.
• USDRUB has the highest score at 69, but it is still below the threshold and trading in line with its fair value.

Disclaimer and Legal Information

• This document is a marketing communication and not independent investment research.
• It is intended for professional clients only and is not suitable for retail clients.
• BNP Paribas may have conflicts of interest and may engage in transactions related to the currencies mentioned.
• The information is based on public sources and should not be relied upon as accurate or complete.
• The report is subject to change and is not intended to provide the sole basis for investment decisions.
• It is distributed in accordance with the legal requirements of the relevant jurisdictions.

Contacts

For further information, contact the following:

FX Strategy Team

• Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
• James Hellawell: Quantitative Strategist, London, Tel: 44 20 7595 8485, Email: james.hellawell@uk.bnpparibas.com
• Michael Sneyd: FX Strategist & Lead Quant Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com

Emerging Markets Strategy Team

• Bartosz Pawlowski: Global Head of EM Strategy, London, Tel: 44 20 7595 8195, Email: bartosz.pawlowski@uk.bnpparibas.com
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com

Latin America Strategy Team

• Gabriel Gersztein: Head of FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
• Thiago Alday: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: thiago.alday@br.bnpparibas.com
• James Z Hao: FX & IR Latam Strategist, New York, Tel: 1 917 472 4333, Email: james.z.hao@us.bnpparibas.com

Distribution

• This report is approved for publication in various jurisdictions and is subject to local regulations.
• It is distributed by BNP Paribas group companies and may not be reproduced or shared without prior consent.