20150817-法国巴黎银行-BNP_Paribas_STEER_11页_669kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a model used to identify potential over- or under-valuation of currency pairs against their fair value, based on statistical analysis and trading signals. The model is part of the firm's FX strategy and is not an independent investment research document, but rather a marketing communication. It is used to generate trading signals and guide investment decisions, with the caveat that model instability may affect the reliability of the signals.

Main Trading Signals

G10 Currencies

• EURGBP is overvalued, with a deviation of 1.11 z-scores (1.87%), triggering a bearish signal targeting 0.6960. The stop loss is at 0.7217.
• EURSEK has fallen back in line with its STEER, suggesting a return to fair value. The EURSEK pair was previously overvalued and triggered a bearish signal on 10 August, resulting in a 1.47% profit.
• EURNOK is overvalued by 1.39 z-scores (2.02%) and has a bearish signal targeting 8.9737, with a stop loss at 9.3429.
• AUDUSD is overvalued by 1.40 z-scores (2.65%) and has a bearish signal targeting 0.7183, with a stop loss at 0.7479.
• GBPUSD is undervalued by 2.07 z-scores (3.10%) but the signal has exceeded the 20-day maximum trade length, indicating less confidence in the bearish position.
• USDJPY is undervalued by 0.79 z-scores (1.35%) and has no trading signal.
• USDCAD is undervalued by 1.73 z-scores (1.50%) and has a bullish signal targeting 1.3308, with a stop loss at 1.2887.
• EURUSD is overvalued by 2.54 z-scores (4.92%) and has a bearish signal, with a stop loss triggered at 1.1130.
• NZDUSD is overvalued by 0.78 z-scores (2.03%) and has no trading signal.
• EURCHF is slightly overvalued (0.02 z-scores) and has no trading signal.

CEEMEA Currencies

• EURPLN has a deviation of 0.91 z-scores (0.65%) and no trading signal.
• EURCZK is slightly undervalued (-0.61 z-scores) and has no trading signal.
• EURHUF is slightly overvalued (0.94 z-scores) and has no trading signal.
• EURRON is overvalued by 1.78 z-scores (0.57%) and has a bearish signal targeting 4.4020, but the potential profit is less than the minimum gain.
• USDZAR is undervalued by 2.41 z-scores (2.24%) and has no trading signal.
• USDTRY is slightly overvalued (0.71 z-scores) and has no trading signal.
• USDILS is undervalued by 1.67 z-scores (1.28%) and has a bullish signal targeting 3.8410, but the potential profit is less than the minimum gain.
• USDRUB is overvalued by 1.59 z-scores (3.28%) and has a bearish signal targeting 63.0840, with a stop loss triggered at 65.1388.

Asia Currencies

• USDKRW is slightly undervalued (-0.30 z-scores) and has no trading signal.
• USDMYR is slightly overvalued (0.87 z-scores) and has no trading signal.
• USDIDR is overvalued by 2.57 z-scores (1.51%) and has a bearish signal targeting 13924, with a stop loss at 14046.
• USDINR is overvalued by 3.36 z-scores (2.17%) and does not pass the 'cointegration filter', so no trade has been triggered.
• USDTHB is slightly overvalued (0.19 z-scores) and has no trading signal.
• USDSGD is slightly overvalued (1.20 z-scores) and has no trading signal.
• USDTWD is overvalued by 1.30 z-scores (0.70%) and has no trading signal.

Latin America Currencies

• USDBRL is slightly undervalued (-0.45 z-scores) and has no trading signal.
• USDCLP was overvalued last week but has since returned to fair value.
• USDMXN is slightly undervalued (-0.21 z-scores) and has no trading signal.
• USDPEN is slightly overvalued (1.16 z-scores) and has no trading signal.
• USDCOP is slightly overvalued (0.41 z-scores) and has no trading signal.

Key Themes and Insights

• EURGBP has been overvalued, and the model has triggered a bearish signal targeting 0.6960, with a stop loss at 0.7217.
• EURSEK and EURNOK have both returned to their STEER levels, with EURSEK showing a 1.47% profit after a bearish signal.
• AUDUSD and USDCAD are showing bearish and bullish signals, respectively, with the model suggesting a return to fair value.
• GBPUSD is undervalued, but the signal has reached the maximum trade length, indicating a potential loss of 0.20%.
• USDIDR is overvalued and has a bearish signal, while USDINR has not passed the cointegration filter and no trade has been triggered.
• STEER Regime Monitor indicates that EURCZK, USDZAR, and USDTRY are showing increased uncertainty in their signals, but have not reached the 80 threshold for intervention.
• The trade history over the last 15 trades shows mixed results, with some profitable trades and others resulting in losses, indicating the model's performance has been 9.73% YTD.

Important Notes

• A z-score greater than 1.5 is considered a significant predictor of exchange rate movements.
• Mis-valuation above or below the STEER is used to determine the direction of the trade.
• The STEER model is not a standalone indicator and should be used in conjunction with other analyses.
• Regime Monitor is a tool to assess the stability of the model and is used to support discretionary decisions rather than as an automatic filter.
• The document is not independent investment research and is subject to conflicts of interest due to its interaction with sales and trading.

Key Contacts

For further information, the following contacts are available:

Disclaimer

This document is a marketing communication and not independent investment research. It is not prepared in accordance with legal requirements to ensure independence of investment research. It is intended for professional clients and not for retail clients in certain regions. The information and opinions are based on public sources and may be subject to change. No liability is accepted for any loss arising from reliance on this document.