20160907-法国巴黎银行-BNP_Paribas_STEER_Model_-_Trading_Signals_11页_401kb

BNP Paribas STEER™ Model Summary

Core Content

The BNP Paribas STEER™ Model provides currency trading signals based on short-term value analysis and z-score deviation. The model is divided into regions: G10, CEEMEA, Asia, and Latin America. It identifies overvalued and undervalued currency pairs, offering entry, target, stop loss, and close rates, along with returns. The model also highlights the factors influencing these signals.

Main Trading Signals

New Signals

• 07-Sep-16 - SHORT USDRUB

  • Entry Rate: 64.5701
  • Target: 64.0879
  • Stop Loss: 64.8112
  • Return: 0.00%

• 07-Sep-16 - LONG USDTWD

  • Entry Rate: 31.2360
  • Target: 31.4084
  • Stop Loss: 31.1498
  • Return: 0.00%

• 07-Sep-16 - SHORT USDPEN

  • Entry Rate: 3.3625
  • Target: 3.3356
  • Stop Loss: 3.3759
  • Return: 0.00%

Closed Signals

• 06-Sep-16 - SHORT USDBRL

  • Entry Rate: 3.2832
  • Close Rate: 3.2481
  • Return: 1.07%

• 02-Sep-16 - SHORT USDPEN

  • Entry Rate: 3.3945
  • Close Rate: 3.3678
  • Return: 0.79%

Existing Signals

• 05-Sep-16 - SHORT GBPUSD

  • Entry Rate: 1.3305
  • Target: 1.3072
  • Stop Loss: 1.3495
  • Return: -0.86%

• 01-Sep-16 - LONG EURGBP

  • Entry Rate: 0.8480
  • Target: 0.8604
  • Stop Loss: 0.8321
  • Return: -1.08%

• 01-Sep-16 - SHORT USDCOP

  • Entry Rate: 2971.7700
  • Target: 2946.3640
  • Stop Loss: 2984.4730
  • Return: 0.60%

Recently Closed Signals

• 17-Aug-16 - SHORT EURSEK

  • Entry Rate: 9.4843
  • Close Rate: 9.5542
  • Return: -0.74%

• 01-Sep-16 - SHORT EURPLN

  • Entry Rate: 4.3638
  • Close Rate: 4.3787
  • Return: -0.34%

• 02-Sep-16 - SHORT USDZAR

  • Entry Rate: 14.6407
  • Close Rate: 14.4220
  • Return: 1.49%

• 02-Sep-16 - SHORT USDCLP

  • Entry Rate: 680.5700
  • Close Rate: 676.9800
  • Return: 0.53%

Key Information

G10 Currency Analysis

• EURGBP: STEER at 0.8604, Spot at 0.8390, z-score -1.18, Lower Bound at 0.8328
• EURNOK: STEER at 9.2636, Spot at 9.2020, z-score -0.82, Lower Bound at 9.1514
• AUDUSD: STEER at 0.7734, Spot at 0.7680, z-score -0.49, Lower Bound at 0.7561
• USDCAD: STEER at 1.2859, Spot at 1.2840, z-score -0.14, Lower Bound at 1.2667
• EURUSD: STEER at 1.1247, Spot at 1.1250, z-score 0.04, Upper Bound at 1.1464
• EURCHF: STEER at 1.0871, Spot at 1.0910, z-score 0.46, Upper Bound at 1.0983
• NZDUSD: STEER at 0.7367, Spot at 0.7440, z-score 0.63, Upper Bound at 0.7535
• USDJPY: STEER at 98.52, Spot at 101.40, z-score 1.34, Upper Bound at 101.7157
• GBPUSD: STEER at 1.3072, Spot at 1.3420, z-score 1.44, Upper Bound at 1.3433

CEEMEA Currency Analysis

• USDILS: STEER at 3.7856, Spot at 3.7540, z-score -1.00, Lower Bound at 3.7380
• USDTRY: STEER at 2.9538, Spot at 2.9260, z-score -0.94, Lower Bound at 2.9098
• EURHUF: STEER at 309.38, Spot at 309.60, z-score 0.14, Upper Bound at 311.5841
• EURCZK: STEER at 27.0177, Spot at 27.0210, z-score 0.18, Upper Bound at 27.0460
• EURRON: STEER at 4.4459, Spot at 4.4500, z-score 0.41, Upper Bound at 4.4620
• EURPLN: STEER at 4.3171, Spot at 4.3310, z-score 0.47, Upper Bound at 4.3626
• USDZAR: STEER at 13.8168, Spot at 13.9750, z-score 0.72, Upper Bound at 14.1473
• USDRUB: STEER at 63.8042, Spot at 64.5700, z-score 1.59, Upper Bound at 64.5275

Asia Currency Analysis

• USDTWD: STEER at 31.5111, Spot at 31.2480, z-score -1.53, Lower Bound at 31.2526
• USDINR: STEER at 66.8154, Spot at 66.3600, z-score -1.47, Lower Bound at 66.3522
• USDTHB: STEER at 34.7715, Spot at 34.5750, z-score -1.19, Lower Bound at 34.5248
• USDIDR: STEER at 13172, Spot at 13114, z-score -0.64, Lower Bound at 13034.9078
• USDKRW: STEER at 1097, Spot at 1091, z-score -0.58, Lower Bound at 1081.9576
• USDSGD: STEER at 1.3521, Spot at 1.3470, z-score -0.57, Lower Bound at 1.3377
• USDPHP: STEER at 46.6869, Spot at 46.5500, z-score -0.39, Lower Bound at 46.1580
• USDMYR: STEER at 3.9975, Spot at 4.0560, z-score 1.38, Upper Bound at 4.0619

Latin America Currency Analysis

• USDMXN: STEER at 18.4620, Spot at 18.2890, z-score -1.06, Lower Bound at 18.2175
• USDCLP: STEER at 665.77, Spot at 663.00, z-score -0.78, Lower Bound at 660.4049
• USDBRL: STEER at 3.1879, Spot at 3.1960, z-score 0.23, Upper Bound at 3.2404
• USDPEN: STEER at 3.3207, Spot at 3.3620, z-score 1.56, Upper Bound at 3.3610
• USDCOP: STEER at 2863, Spot at 2954, z-score 3.47, Upper Bound at 2902.4230

Key Views

• The model identifies overvalued and undervalued currency pairs based on short-term fair value and z-score analysis.
• USDRUB is overvalued due to Russian equity market strength.
• USDTWD appears overcorrected after a recent decline, with fair value reduced but spot too low.
• USDPEN was taken profit yesterday and is overvalued, triggering a new short signal.
• The model anticipates GBP weakness and EUR strength, with target levels for GBPUSD and EURGBP.
• STEER continues to signal short positions in several Latin American currencies, including USDCOP, USDBRL, and USDPEN, while EURPLN and USDZAR show positive returns.
• The z-score deviation highlights the extent to which the model's signals differ from the current spot rate, with higher z-scores indicating greater deviation from fair value.

Driving Factors

• Currency movements are influenced by market sentiment, equity performance, and macroeconomic data.
• The STEER™ model uses co-integration filters to assess the validity of signals, with dotted lines indicating when the model does not pass the filter.
• The model considers both short-term fair value and market reaction to economic indicators.

Contact Information

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
• 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
• Jennifer Kusuma – FX & IR Asia Strategist, Singapore
• Altaz Daghla – 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 Regulatory Notes

• This report is a marketing communication and not independent investment research.
• BNP Paribas may have a financial interest in the currencies mentioned.
• The report is subject to legal limitations and is for professional clients only.
• It is not intended for retail clients and must not be shared with them.
• The report is distributed in compliance with local regulations in each jurisdiction, including restrictions on distribution and use.

Disclaimer

• No representation or warranty is made regarding the accuracy or completeness of the information.
• Past performance is not indicative of future results.
• BNP Paribas does not accept liability for any loss arising from reliance on this report.
• The information may be subject to change without notice.
• The report is for the use of intended recipients only and may not be reproduced or distributed without prior written consent.