20170418-法国巴黎银行-BNP_PARIBAS_STEER_15页_773kb

报告摘要

BNP Paribas FX Strategy Summary (18 April 2017)

Core Content Overview

This document outlines the BNP Paribas STEER™ Model's trading signals and market analysis for the week of 18 April 2017, focusing on FX (foreign exchange) and related strategies across G10 currencies, CEEMEA, Asia, and Latin America. The model provides insights into short-term value levels, z-scores, and positions, along with notes on market dynamics and potential investment outcomes.

Trading Signals

Closed Signals

13-Apr-17 - LONG USDZAR: Closed at 13.3527, resulting in a return of -0.65%.
13-Apr-17 - LONG USDKRW: Closed at 1141.12, resulting in a return of 1.10%.

Existing Signals

06-Apr-17 - SHORT USDCAD: Targeting 1.3210, currently overvalued by 1 z-score.
13-Apr-17 - LONG USDINR: Targeting 64.6630, with a return of 0.40%.
13-Apr-17 - LONG USDTWD: Targeting 30.443, with a return of 0.62%.
13-Apr-17 - LONG USDMXN: Targeting 18.7584, with a return of -0.14%.

Recently Closed Signals

13-Mar-17 - SHORT EUROK: Closed at 9.1716, resulting in a return of -0.08%.
07-Apr-17 - LONG USDINR: Closed at 64.2237, resulting in a return of -0.27%.
04-Apr-17 - SHORT USDIDR: Closed at 13280, resulting in a return of 0.65%.

Key Market Analysis

G10 Currencies

EURGBP: STEER value at 0.8785, spot at 0.8470, z-score -2.01 (-3.76%).
EURUSD: STEER value at 1.0773, spot at 1.0640, z-score -1.20 (-1.20%).
USDJPY: STEER value at 110.02, spot at 109.10, z-score -0.79 (-0.86%).
AUDUSD: STEER value at 0.7603, spot at 0.7560, z-score -0.53 (-0.61%).
NZDUSD: STEER value at 0.7047, spot at 0.7010, z-score -0.31 (-0.51%).
EURSEK: STEER value at 9.5758, spot at 9.5820, z-score 0.06 (0.07%).
EURCHF: STEER value at 1.0682, spot at 1.0690, z-score 0.07 (0.05%).
EURNOK: STEER value at 9.0814, spot at 9.1150, z-score 0.51 (0.37%).
GBPUSD: STEER value at 1.2262, spot at 1.2570, z-score 0.96 (2.47%).
USDCAD: STEER value at 1.3210, spot at 1.3320, z-score 1.05 (0.83%).

CEEMEA

USDZAR: STEER value at 13.9042, spot at 13.3520, z-score -3.18 (-4.14%).
EURCZK: STEER value at 26.9071, spot at 26.6920, z-score -2.78 (-0.81%).
USDRUB: STEER value at 56.5384, spot at 55.9340, z-score -0.99 (-1.08%).
EURPLN: STEER value at 4.2592, spot at 4.2440, z-score -0.62 (-0.36%).
EURRON: STEER value at 4.5279, spot at 4.5200, z-score -0.58 (-0.17%).
USDILS: STEER value at 3.6646, spot at 3.6580, z-score -0.28 (-0.19%).
USDTRY: STEER value at 3.6912, spot at 3.6960, z-score 0.08 (0.14%).
EURHUF: STEER value at 310.46, spot at 313.50, z-score 2.12 (0.96%).

Asia

USDINR: STEER value at 65.1483, spot at 64.5590, z-score -1.50 (-0.91%).
USDTWD: STEER value at 30.7021, spot at 30.4100, z-score -1.33 (-0.96%).
USDTHB: STEER value at 34.5533, spot at 34.3900, z-score -0.97 (-0.47%).
USDMYR: STEER value at 4.4322, spot at 4.4100, z-score -0.84 (-0.51%).
USDSGD: STEER value at 1.4064, spot at 1.3990, z-score -0.58 (-0.52%).
USDPHP: STEER value at 49.7184, spot at 49.6500, z-score -0.39 (-0.14%).
USDIDR: STEER value at 13313, spot at 13329, z-score 0.17 (0.12%).
USDKRW: STEER value at 1138, spot at 1142, z-score 0.29 (0.31%).

Latin America

USDMXN: STEER value at 18.8685, spot at 18.5240, z-score -1.64 (-1.86%).
USDPEN: STEER value at 3.2897, spot at 3.2500, z-score -1.34 (-1.21%).
USDCLP: STEER value at 653.71, spot at 645.60, z-score -0.92 (-1.25%).
USDBRL: STEER value at 3.1078, spot at 3.0990, z-score -0.29 (-0.29%).
USDCOP: STEER value at 2848, spot at 2853, z-score 0.23 (0.17%).

Main Points

USD Sell-off Overdone: STEER suggests the USD sell-off appears overdone against some EM currencies.
Long USD Positions: STEER remains long USD against INR, TWD, and MXN.
Profit Taking: STEER took profit on its long USDKRW and stopped out of its long USDZAR, resulting in a net profit of 0.45%.
Overvaluation of USDCAD: USDCAD is overvalued by 1 z-score, possibly due to underreaction to oil price rallies.
Undervaluation of EURUSD: EURUSD appears undervalued by 1.2 z-scores, ahead of the French presidential elections.
Z-Score Insights: Z-scores indicate the deviation of currency pairs from their short-term value, with some showing overvaluation or undervaluation.
Model Notes: The model does not pass the 'co-integration filter' when the dotted line is shown, indicating potential issues with the model's assumptions.

Key Contacts

Cross Asset Strategy

Michael Sneyd, CFA – Macro Quantitative Strategist, London
Steven Saywell – Global Head of FX Strategy, London
Sam Lynton-Brown – FX Strategist, London
Clara Leonard – FX Strategist, London
Natalie Rickard – Graduate, London
Daniel Katzive, CFA – Head of FX Strategy North America, New York
Vasilis Koutsaftis – FX Options Strategist, New York

Emerging Markets FX & IR Strategy

Wike Groenenberg – Global Head of EM Strategy, London
Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
Mirza Baig – Head of FX & IR Asia Strategy, Singapore
Altaz Daga – AU/NZ IR Strategist, Singapore
Kun Shan – China Strategist, Shanghai
Tianhe Ji – China Strategist, Shanghai
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 and Distribution Notes

This document is non-independent research and may be subject to conflicts of interest.
It is intended for professional clients and eligible counterparties, and not for general public distribution.
No liability is accepted for any use of the information contained in this document.
Information may be based on back-testing and is not a guarantee of future performance.
The document may not be reproduced or distributed without prior written consent from BNP Paribas.
BNP Paribas may have a financial interest in the securities discussed and may engage in transactions inconsistent with the views expressed.
It is not a prospectus, advertisement, or public offering, and does not constitute investment advice.

Additional Information

The document includes charts for each currency pair, showing short-term value and z-scores.
It contains important disclosures related to options and ETFs, highlighting the risks involved.
BNP Paribas may receive compensation for investment banking services and may act as an advisor or market maker for the discussed financial instruments.

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