20171002-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER™_16页_779kb
报告摘要
FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER™ Summary
Core Content
This document outlines the BNP Paribas STEER™ model's trading signals and insights for the foreign exchange market as of 2 October 2017. It provides a detailed analysis of short-term value deviations for G10 currencies, CEEMEA, Asia, and Latin America, along with relevant market factors and risk disclosures.
Trading Signals
New Signals
- 02-Oct-17: Short USDKRW (Entry Rate: 1145.40, Target: 1138.17, Stop Loss: 1149.02, Return: 0.00%)
Closed Signals
- 28-Sep-17: Short EURPLN (Entry Rate: 4.3274, Close Rate: 4.3044, Return: 0.53%)
- 29-Sep-17: Short USDCLP (Entry Rate: 636.68, Close Rate: 638.83, Return: -0.34%)
Currency Deviations (G10)
| Currency | STEER | Spot | z-score (deviation) |
|---|---|---|---|
| AUDUSD | 0.7944 | 0.7800 | -1.31(-1.84%) |
| GBPUSD | 1.3471 | 1.3320 | -0.99(-1.10%) |
| USDJPY | 112.34 | 113.00 | 0.43(0.58%) |
| NZDUSD | 0.7103 | 0.7170 | 0.60(0.96%) |
| EURCHF | 1.1206 | 1.1410 | 1.15(1.77%) |
| EURUSD | 1.1536 | 1.1740 | 1.29(1.76%) |
| EURGBP | 0.8564 | 0.8810 | 1.52(2.83%) |
| EURNOK | 9.2816 | 9.3990 | 1.64(1.25%) |
| USDCAD | 1.2290 | 1.2520 | 2.03(1.81%) |
| EURSEK | 9.4574 | 9.6070 | 2.35(1.56%) |
Key Observations:
- USDCAD, EURNOK, and EURSEK are considered overvalued, with USDCAD overvalued by 2 z-scores and EURNOK by 1.6 z-scores.
- The recent USD strength is in line with increases in US front-end yields, both in EM and G10.
- USDJPY has increased to 112.34 due to the rise in US 2y and 10y yields.
- USDKRW has been initiated as a short position with a target of 1138.17, as its recent rise appears unjustified by fundamentals.
Currency Deviations (CEEMEA)
| Currency | STEER | Spot | z-score (deviation) |
|---|---|---|---|
| EURRON | 4.6000 | 4.5920 | -0.74(-0.17%) |
| USDRUB | 57.6191 | 57.8100 | 0.30(0.33%) |
| EURCZK | 25.9631 | 26.0240 | 0.46(0.23%) |
| USDILS | 3.5213 | 3.5450 | 0.97(0.67%) |
| USDTRY | 3.5537 | 3.5810 | 0.99(0.77%) |
| EURPLN | 4.2877 | 4.3150 | 1.16(0.63%) |
| USDZAR | 13.4015 | 13.6300 | 1.42(1.68%) |
| EURHUF | 308.21 | 311.70 | 2.51(1.13%) |
Key Observations:
- EURPLN and USDZAR are overvalued with z-scores of 1.16 and 1.42, respectively.
- The STEER model has taken profit on the short EURPLN signal and stopped out of the short USDCLP signal.
Currency Deviations (Asia)
| Currency | STEER | Spot | z-score (deviation) |
|---|---|---|---|
| USDPHP | 51.2761 | 51.0800 | -0.49(-0.38%) |
| USDINR | 65.3113 | 65.2760 | -0.17(-0.05%) |
| USDMYR | 4.2331 | 4.2340 | 0.05(0.02%) |
| USDTWD | 30.2209 | 30.4350 | 1.61(0.70%) |
| USDKRW | 1132 | 1145 | 1.84(1.16%) |
| USDTHB | 32.8809 | 33.4480 | 2.42(1.70%) |
| USDSGD | 1.3421 | 1.3620 | 2.65(1.49%) |
| USDIDR | 13351 | 13620 | 5.42(1.98%) |
Key Observations:
- USDKRW and USDSGD are overvalued with z-scores of 1.84 and 2.65, respectively.
- USDKRW has been identified as overvalued and initiated a short position.
Currency Deviations (Latin America)
| Currency | STEER | Spot | z-score (deviation) |
|---|---|---|---|
| USDCOP | 2948 | 2939 | -0.39(-0.33%) |
| USDBRL | 3.1480 | 3.1620 | 0.50(0.45%) |
| USDPEN | 3.2574 | 3.2660 | 0.84(0.25%) |
| USDMXN | 18.1270 | 18.2770 | 0.98(0.82%) |
| USDCLP | 631.33 | 639.00 | 1.97(1.20%) |
Key Observations:
- USDCLP is overvalued with a z-score of 1.97.
- The model has stopped out of the short USDCLP signal.
Main Points
- The STEER™ model identifies overvalued currencies and provides trading signals based on short-term value deviations.
- USDCAD, EURNOK, and EURSEK are identified as overvalued in G10 currencies.
- USDKRW and USDSGD are overvalued in the Asia region.
- USDCLP is overvalued in Latin America.
- The model has taken profit on the short EURPLN and stopped out of the short USDCLP signal.
- USDJPY has increased due to rising US yields, indicating a potential overvaluation.
- The STEER™ model is subject to conflicts of interest and is non-independent research for regulatory purposes.
Key Information
- The document includes charts and z-score deviations for various currency pairs.
- www.baogaoba.xyz is noted as the source of the exclusive collection of data.
- The model uses co-integration filters to determine the validity of signals.
- Legal notices and disclaimers emphasize that the information is not investment advice and is for marketing communication only.
- Risk factors are highlighted, including market volatility, counterparty risk, and liquidity risk.
- The STEER™ model may be used to generate trading signals and is based on internal models and calculations.
- Confidentiality is emphasized, and the information may not be distributed without written consent.
Contact Information
FX Strategy Team
- Michael Sneyd, CFA: Global Head of FX, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
- Sam Lynton-Brown: FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
- Clara Leonard: FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
- Natalie Rickard: FX Strategist, London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
- Daniel Katzive, CFA: 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
Emerging Markets FX & IR Strategy
- Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
- Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo, Tel: 55 11 3841 3418, Email: marcelo.carvalho@br.bnpparibas.com
- Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
- Sai Ulluri: CEEMEA Graduate, London, Tel: 44 20 7595 1872, Email: sai.ulluri@uk.bnpparibas.com
- Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
- Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
- Dawn Kwa: Graduate, Singapore, Tel: 65 6210 3263, Email: dawn.kwa@asia.bnpparibas.com
- Altaz Dagna: AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.dagna@asia.bnpparibas.com
- Kun Shan: China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
- Tianhe Ji: China Strategist, Beijing, Tel: 86 10 6535 0836, Email: tianhe.ji@asia.bnpparibas.com
- Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
- Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
- Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com
Legal & Risk Disclaimer
- The document is non-independent research and may be subject to conflicts of interest.
- It is not investment advice and should not be relied upon for investment decisions.
- Simulated performance may not reflect actual market conditions, including liquidity constraints and transaction costs.
- Options are complex instruments and may involve high risk.
- ETFs have tracking error and currency and geopolitical risks.
- BNP Paribas may act as market maker, advisor, or underwriter in relation to the discussed instruments.
- The information is confidential and not to be distributed without written consent.
- No liability is accepted for any loss arising from reliance on the document.
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