20140407-法国巴黎银行-BNP_Paribas_STEER_11页_602kb

报告摘要

BNP Paribas STEER™ Summary (07 April 2014)

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the overvaluation or undervaluation of currency pairs relative to their fair value. The model calculates deviations using a z-score, which measures the percentage mis-valuation divided by the standard deviation of mis-valuations over the past year. A deviation greater than 1.5 is considered a significant predictor of exchange rate movements.

Key Views and Insights

G10 Currencies

EURUSD: Trading close to its STEER of 1.3690. The pair has aligned with its fair value after being overvalued earlier. The STEER for EURUSD increased due to a pullback in US 2y interest rate swaps and a rise in global equities.
GBPUSD: Overvaluation has decreased, and the pair is now within a 0.8 z-score of its STEER of 1.6450. The trading rule closed its short position for a 0.78% profit on 3 April 2014.
USDJPY: Trading slightly below its STEER of 103.20. The deviation is -0.07 (-0.10%), indicating a minor undervaluation.
USDCAD: Overvalued by 0.55% (0.49 z-score). No trading signal was issued.
AUDUSD: Still overvalued by 3.69% (1.79 z-score) relative to its STEER of 0.8950.
NZDUSD: Declined towards its STEER of 0.8520, with a deviation of 0.76 (0.94 z-score). The short position was closed on 27 March 2014.
EURGBP: Undervalued by 0.60% (0.51 z-score), with no trading signal.
EURCHF: Slightly undervalued by 0.08% (0.08 z-score), with no trading signal.
EURNOK: Trading 1.5 z-scores below its STEER of 8.4360, indicating potential for a rally. The short position was closed on 2 April 2014.
EURSEK: Trading slightly above its STEER of 8.9430, with a deviation of 0.56 (0.42 z-score), no trading signal.

CEEMEA Currencies

EURPLN: Slightly undervalued by 0.26% (-0.56 z-score), no trading signal.
EURCZK: Undervalued by 0.37% (-0.20 z-score), no trading signal.
EURHUF: Undervalued by 0.23% (-0.27 z-score), no trading signal.
EURRON: The pair broke out of its +/-1.5 z-score corridor on 1 April 2014, triggering a long signal with a target of 4.4985 and a stop-loss at 4.4489.
USDZAR: Trading slightly above its STEER of 10.5540, no trading signal.
USDTRY: Slightly overvalued by 0.62% (0.56 z-score), no trading signal.
USDILS: Slightly overvalued by 0.35% (0.86 z-score), no trading signal.
USDRUB: Trading in line with its STEER of 35.5960, with a high score of 72, indicating some instability, but not enough to trigger a signal.

Asia Currencies

USDKRW: Trading below its STEER of 1061.20, but not enough to trigger a long signal. The deviation is -1.05 (-0.57%).
USDMYR: Trading slightly above its STEER of 3.2640, no trading signal.
USDIDR: Overvalued by 2.06% (1.02 z-score), no trading signal.
USDINR: Slightly undervalued by 0.51% (-0.86 z-score), no trading signal.
USDTHB: Overvalued by 0.97% (1.67 z-score), with a bearish signal issued on 3 April 2014, targeting 32.1252 with a stop-loss at 32.5973.
USDSGD: Trading slightly above its STEER of 1.2580, no trading signal.
USDPHP: Overvalued by 0.98% (0.95 z-score), no trading signal.
USDTWD: Slightly undervalued by 0.47% (-0.61 z-score), no trading signal.

Latin America Currencies

USDBRL: Undervalued by 0.84% (-1.04 z-score), no trading signal.
USDCLP: Slightly undervalued by 0.04% (-0.03 z-score), no trading signal.
USDMXN: Undervalued by 0.69% (-0.86 z-score), no trading signal.
USDPEN: Slightly overvalued by 0.14% (0.34 z-score), no trading signal.
USDCOP: Trading in line with its STEER of 1949, no trading signal.

Key Themes

The model for USDKRW did not pass the co-integration filter, indicating lower forecasting power.
EURRON and USDTHB had recent signals triggered, with EURRON showing a potential rally and USDTHB expected to decline.
The STEER Regime Monitor assesses the stability of exchange rate models and identifies potential regime changes. Currently, no currencies have scores above 80, which is the threshold for considering signals.
The trading strategy has a history of both profitable and losing trades over the past 15 trades, with the most recent being a 1.15% profit on EURUSD.

Trading Signals Summary

Currency Pair	Deviation (z-score/%)	Trading Signal	Target	Stop Loss	Entry Date
EURRON	-1.10 (-0.58%)	↑	4.4985	4.4489	2 Apr 14
USDTHB	1.67 (0.97%)	↓	32.1252	32.5973	3 Apr 14
EURUSD	0.17 (0.15%)	-	-	-	-
GBPUSD	0.79 (0.79%)	↓	-	-	3 Apr 14
NZDUSD	0.76 (0.94%)	↓	-	-	27 Mar 14
EURNOK	-1.61 (-2.51%)	↑	-	-	2 Apr 14
AUDUSD	1.79 (3.69%)	↓	-	-	-

Contacts

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
Kiran Kowshik: FX Strategist, London, Tel: 44 20 7595 1495, Email: kiran.kowshik@uk.bnpparibas.com
Phyllis Papadavid: Senior Global FX Strategist, London, Tel: 44 20 7595 8270, Email: phyllis.papadavid@uk.bnpparibas.com
Michael Sneyd: FX Strategist & Lead Quant Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
Daniel Katzive: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com
Vassili Serebriakov: FX Strategist, New York, Tel: 1 212 841 2409, Email: vassili.serebriakov@us.bnpparibas.com

Emerging Markets FX & IR Strategy

Piotr Chwieczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwieczak@uk.bnpparibas.com
Dina Ahmad: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8620, Email: dina.ahmad@uk.bnpparibas.com
Stanislav Petrov: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 1676, Email: stanislav.petrov@uk.bnpparibas.com
Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
Rohit K Garg: FX & IR Asia Strategy, Singapore, Tel: 65 6210 3390, Email: rohit.k.garg@asia.bnpparibas.com
Jasmine Poh: FX & IR Asia Strategy, Singapore, Tel: 65 6210 3418, Email: jasmine.j.poh@asia.bnpparibas.com
Yii Hui Wong: FX & IR Asia Strategy, Singapore, Tel: 65 6210 3314, Email: yihui.wong@asia.bnpparibas.com
Jennifer Kusuma: FX & IR Asia Strategy, Singapore, Tel: 65 6210 3263, Email: jennifer.kusuma@asia.bnpparibas.com
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

Disclaimer

This document is a marketing communication and not independent investment research.
It is not prepared in accordance with legal requirements for independent investment research.
No liability is accepted for any direct or consequential loss arising from reliance on this report.
The information and opinions are based on public sources and may not be accurate, complete, or up to date.
This report is intended for professional clients only and is not for retail clients.
It is approved for publication in the United Kingdom by BNP Paribas London Branch.

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