20160620-法国巴黎银行-BNP_Paribas_STEER_11页_757kb

报告摘要

BNP Paribas STEER™ Summary

Core Content

BNP Paribas' STEER™ model provides trading signals and insights for various currency pairs, indicating whether they are overvalued or undervalued based on z-score deviations from their fair value estimates. The summary highlights the current state of multiple currency pairs across different regions and outlines key trading signals and themes for the FX market.

Main Trading Signals and Key Themes

G10 Currencies

EURUSD: Spot is slightly above STEER™ at 1.1350, indicating it is in line with fair value.
GBPUSD: Previously undervalued by 1 z-score, now trading slightly above STEER™ at 1.4450, showing a small overvaluation.
USDJPY: Spot is below STEER™ at 106.30, with a z-score of -0.73 (1.47%).
USDCAD: Spot is below STEER™ at 1.2960, with a z-score of -1.00 (0.95%).
AUDUSD: Spot is above STEER™ at 0.7400, with a z-score of 0.38 (-0.62%).
NZDUSD: Spot is above STEER™ at 0.6780, with a z-score of 3.73 (-4.96%).
EURGBP: Spot is slightly below STEER™ at 0.7850, with a z-score of -0.43 (0.92%).
EURCHF: Spot is slightly below STEER™ at 1.0910, with a z-score of -0.15 (0.18%).
EURNOK: A short signal is triggered, targeting 9.2690, with a z-score of 1.54 (-1.53%).
EURSEK: Overvalued, with a short signal targeting 9.2349, and a z-score of 1.79 (-1.34%).

USD-CEEMEA Pairs

USDRUB: Trading 2.09 z-scores below STEER™ at 66.5860, indicating significant undervaluation.
USDZAR: Trading 1.31 z-scores below STEER™ at 15.2950, but not enough to trigger a bullish signal.
USDTRY: Trading 1.04 z-scores below STEER™ at 2.9400.
USDILS: Trading 0.69 z-scores below STEER™ at 3.8200.
EURPLN: Spot is below STEER™ at 4.4420, with a z-score of -1.28 (1.00%).
EURCZK: Spot is slightly above STEER™ at 27.0400, with a z-score of 0.93 (-0.06%).
EURHUF: Spot is slightly above STEER™ at 312.50, with a z-score of 0.46 (-0.31%).
EURRON: Spot is above STEER™ at 4.4970, with a z-score of 2.06 (-0.94%).

USD-Asia Pairs

USDIDR: A long signal is triggered, targeting 13394.71, with a z-score of -1.33 (1.31%).
USDKRW: Spot is below STEER™ at 1181, with a z-score of -1.37 (1.74%).
USDMYR: Spot is slightly below STEER™ at 4.0830, with a z-score of -0.13 (0.57%).
USDINR: Spot is slightly above STEER™ at 67.3050, with a z-score of 0.26 (-0.12%).
USDTHB: Spot is below STEER™ at 35.3220, with a z-score of -0.55 (0.24%).
USDSGD: Spot is below STEER™ at 1.3600, with a z-score of -0.95 (0.45%).
USDPHP: Spot is below STEER™ at 46.4040, with a z-score of -0.31 (0.17%).
USDTWD: Spot is below STEER™ at 32.4190, with a z-score of -1.20 (0.53%).

USD-Latam Pairs

USDBRL: Spot is below STEER™ at 3.4580, with a z-score of -1.11 (1.20%).
USDCLP: Spot is slightly below STEER™ at 686.30, with a z-score of -0.61 (0.32%).
USDMXN: Spot is 1.17 z-scores below STEER™ at 18.8520, indicating significant undervaluation.
USDPEN: Spot is slightly below STEER™ at 3.3230, with a z-score of -0.12 (0.14%).
USDCOP: Spot is slightly below STEER™ at 3025, with a z-score of -0.34 (0.50%).

Key Points

GBPUSD has moved from being undervalued to slightly overvalued.
EURNOK is now in a short position, targeting 9.2690.
USD-CEEMEA pairs like USDRUB and USDZAR are undervalued, but only USDRUB shows a significant deviation.
USDIDR is in a long position, targeting 13394.71, due to a slight fair value increase.
USDMXN is the most undervalued USD-Latam pair, trading 1.17 z-scores below STEER™.
STEER™ is a model-based tool that provides trading signals and is not the overall view of the FX Strategy team.

Regime Monitor

The Regime Monitor tracks four variables: coefficient stability, corridor stability, cointegration, and regime change identification via a Markov Switching model.
A high score (above 80) indicates instability in the STEER™ model, and signals should not be traded in such cases.
The Regime Monitor is used to support discretionary decisions, not as an automatic filter.

Contacts

Steven Saywell: Global Head of FX Strategy, London.
Michael Sneyd, CFA: FX Strategist & Lead Quant Strategist, London.
Sam Lynton-Brown: FX Strategist, London.
Charlotte Puhringer: Graduate, London.
Daniel Katzive, CFA: Head of FX Strategy North America, New York.
Vasilis Koutsaftis: FX Options Strategist, New York.
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 Daga: AU/NZ IR Strategist, Singapore.
Kun Shan: 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.

Disclaimer

This document is not independent investment research and may be subject to conflicts of interest.
It is intended for professional clients and not for retail clients.
The views in this document represent signals from BNP Paribas' models, not the overall team view.
BNP Paribas may have financial interests in the mentioned currencies and may have acted on the information before publication.
This report is for the use of intended recipients only and may not be reproduced or distributed without consent.

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