20140602-法国巴黎银行-BNP_Paribas_STEER_11页_1mb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to identify over- and under-valuation in currency pairs based on statistical analysis. The model measures misvaluation using a z-score, which indicates how many standard deviations the current exchange rate is from its fair value. A deviation greater than 1.5 z-scores is considered significant for trading decisions. The model also includes a "cointegration filter" to assess the forecasting power of the signals.

Main Views and Key Information

Bullish Signals

• EURUSD appears undervalued and has triggered a bullish signal, targeting 1.3740. It has been trading 1.05 z-scores below its fair value, indicating a potential upward move. The model suggests a stop-loss at 1.3520.
• GBPUSD has also triggered a bullish signal, targeting 1.6954. The pair has fallen 1.35 z-scores below its fair value, which is attributed to the improvement in 2y US yields.

Bearish Signals

• EURSEK is overvalued by 2.24 z-scores, with a bearish signal. The stop-loss was triggered on 30-Mar-14.
• USDIDR is overvalued by 2.3 z-scores, and the model has a bearish signal, targeting 11697.10 with a stop-loss at 11933.65.
• USDZAR is overvalued by 1.83 z-scores, with a bearish signal, targeting 10.4374.

Neutral or No Signal

• USDJPY is trading at its fair value with no deviation, hence no trading signal.
• USDCAD, AUDUSD, NZDUSD, EURGBP, EURNOK, EURRON, and EURCHF show minimal or no deviation, and thus no trading signals.
• USDTHB is overvalued by 2.78 z-scores, but the signal is not strong enough to trigger a trade.

CEEMEA Region

• EURPLN is undervalued by 1.03%, with a bullish signal, but the minimum return requirement is not met, so no trade is established.
• EURCZK is overvalued by 0.41%, with a bearish signal, but again, the minimum return requirement is not met.
• USDZAR and USDIDR are highlighted as overvalued, with USDZAR showing a bearish signal and USDIDR showing a short trade.

Asia Region

• USDKRW, USDMYR, USDINR, USDTWD, and USDPHP show minimal deviations, with no significant trading signals.
• USDTHB is overvalued by 2.78 z-scores, but the signal is not strong enough to trigger a trade.

Latin America Region

• USDCOP is undervalued by 1.91 z-scores, but the model does not pass the "cointegration filter," so no trade is established.
• USDBRL, USDCLP, USDMXN, and USDPEN show minor deviations and no significant signals.

Key Themes

• The EURUSD pair has recently converged to its STEER after being overvalued in April. The model indicates a bullish signal due to a balance between negative and positive factors.
• The GBPUSD pair has broken below the z-score corridor, triggering a bullish signal.
• EURSEK remains overvalued and the model continues to suggest a bearish outlook.
• The STEER Regime Monitor is used to identify instability in the model, which may affect the performance of the trading strategy. Currently, no currencies have a score above 80, the threshold for considering trade signals.
• USDIDR and USDZAR are the most overvalued pairs in the current period, but the signals are not yet strong enough to trigger a trade in USDIDR.

Trade History (Last 15 Trades)

• The YTD return is 6.8%.

Contacts

For further details or inquiries, contact the following:

• Steven Saywell - Global Head of FX Strategy, London, +44 (0)20 7595 8487, steven.saywell@uk.bnpparibas.com
• James Hellawell - Quantitative Strategist, London, +44 (0)20 7595 8485, james.hellawell@uk.bnpparibas.com
• Kiran Kowshik - FX Strategist, London, +44 (0)20 7595 1495, kiran.kowshik@uk.bnpparibas.com
• Phyllis Papadavid - Senior Global FX Strategist, London, +44 (0)20 7595 8270, phyllis.papadavid@uk.bnpparibas.com
• Michael Sneyd - FX Strategist & Lead Quant Strategist, London, +44 (0)20 7595 1307, michael.sneyd@uk.bnpparibas.com
• Daniel Katzive - Head of FX Strategy North America, New York, 1 212 841 2408, daniel.katzive@us.bnpparibas.com
• Vasilis Koutsaftis - FX Options Strategist, New York, 1 212 471 7973, vasilis.koutsaftis@americas.bnpparibas.com
• Vassili Serebriakov - FX Strategist, New York, 1 917 472 4333, vassili.serebriakov@us.bnpparibas.com

Disclaimer

• This document is non-independent marketing communication and not independent investment research.
• It does not purport to be an exhaustive analysis and may be subject to conflicts of interest.
• The information and opinions are based on public sources and may not be accurate, complete, or up to date.
• The STEER™ is a trademark of BNP Paribas.
• No liability is accepted for any loss arising from reliance on the information.
• The report is for professional clients only and not for retail clients.
• It is authorised and regulated in various jurisdictions, including the UK, France, Germany, Japan, Hong Kong, Australia, Singapore, and Brazil.