20180205-法国巴黎银行-BNP_Paribas_STEER_15页_779kb

BNP Paribas FX Strategy Summary - 5 February 2018

Core Content

This document outlines the BNP Paribas STEER™ Model trading signals for the FX market as of 5 February 2018. It provides insights into the short-term value (FV) of various currency pairs, deviation from these values using z-scores, and the rationale behind the model's trading decisions. Additionally, it includes contact information for FX strategy teams and legal disclosures regarding the nature of the document and potential conflicts of interest.

Trading Signals

New Signals

• Short EURSEK:

  • Entry Rate: 9.8398
  • Target: 9.7224
  • Stop Loss: 9.8992
  • Return: 0.00%

• Long USDSGD:

  • Entry Rate: 1.3173
  • Target: 1.3249
  • Stop Loss: 1.3135
  • Return: 0.00%

• Short USDMXN:

  • Entry Rate: 18.6153
  • Target: 18.4383
  • Stop Loss: 18.7038
  • Return: 0.00%

Closed Signals

• Long EURSEK (29-Jan-18):

  • Entry Rate: 9.7860
  • Close Rate: 9.8287 (02-Feb-18)
  • Return: 0.44%

• Long USDSGD (31-Jan-18):

  • Entry Rate: 1.3081
  • Close Rate: 1.3126 (02-Feb-18)
  • Return: 0.34%

• Short USDKRW (02-Feb-18):

  • Entry Rate: 1080.1000
  • Close Rate: 1083.8600 (05-Feb-18)
  • Return: -0.35%

Currency Pair Analysis

G10 Currencies

• USDJPY: FV = 113.81, z-score = -2.97 (-3.43%)
• EURCHF: FV = 1.1931, z-score = -1.93 (-2.89%)
• USDCAD: FV = 1.2617, z-score = -1.92 (-1.58%)
• EURGBP: FV = 0.8874, z-score = -0.24 (-0.52%)
• EURNOK: FV = 9.5419, z-score = 0.78 (0.94%)
• EURUSD: FV = 1.2215, z-score = 1.63 (1.87%)
• EURSEK: FV = 9.7224, z-score = 1.76 (1.19%)
• AUDUSD: FV = 0.7717, z-score = 2.26 (2.65%)
• GBPUSD: FV = 1.3764, z-score = 2.42 (2.37%)
• NZDUSD: FV = 0.6941, z-score = 3.01 (4.94%)

CEEMEA Currencies

• EURCZK: FV = 25.3367, z-score = -1.38 (-0.46%)
• EURPLN: FV = 4.1741, z-score = -0.55 (-0.29%)
• USDRUB: FV = 56.8654, z-score = -0.43 (-0.34%)
• USDILS: FV = 3.4477, z-score = -0.13 (-0.06%)
• USDZAR: FV = 12.0982, z-score = -0.11 (-0.30%)
• EURRON: FV = 4.6444, z-score = -0.03 (-0.01%)
• USDTRY: FV = 3.7239, z-score = 0.86 (1.31%)
• EURHUF: FV = 306.20, z-score = 2.42 (1.19%)

Latin America Currencies

• USDCLP: FV = 610.49, z-score = -1.32 (-1.24%)
• USDPEN: FV = 3.2226, z-score = -0.47 (-0.13%)
• USDCOP: FV = 2841, z-score = -0.09 (-0.06%)
• USDBRL: FV = 3.1984, z-score = 0.96 (0.66%)
• USDMXN: FV = 18.2289, z-score = 2.21 (2.10%)

Asia Currencies

• USDTHB: FV = 32.0976, z-score = -2.47 (-1.72%)
• USDTWD: FV = 29.6577, z-score = -2.29 (-1.09%)
• USDSGD: FV = 1.3318, z-score = -1.86 (-1.07%)
• USDMYR: FV = 3.9424, z-score = -1.31 (-1.15%)
• USDINR: FV = 64.5187, z-score = -1.12 (-0.65%)
• USDIDR: FV = 13413, z-score = 1.05 (0.74%)
• USDPHP: FV = 50.5331, z-score = 2.32 (1.82%)
• USDKRW: FV = 1068, z-score = 2.79 (1.91%)

Key Information

• The STEER™ model generates trading signals based on short-term value and co-integration tests.
• EURSEK and USDSGD are currently in focus with new signals, while USDKRW was closed with a loss.
• The z-scores indicate the deviation from short-term value, with higher values suggesting overvaluation or undervaluation.
• The co-integration filter is used to determine whether a signal should be initiated or closed.
• The model has a history of both profitable and unprofitable trades, indicating its dynamic nature and the need for continuous monitoring.
• GBPUSD and NZDUSD are among the most overvalued currencies based on the z-score.
• The USDMXN pair is showing a significant deviation, suggesting a potential short opportunity.
• The model's signals are based on internal valuation and may not be consistent with external market data.

Main Points

• EURSEK is shorted due to its fair value declining in line with global equity weakness, while the spot remains elevated.
• USDSGD is longed after passing the co-integration test, indicating a potential rebound.
• USDMXN is shorted as the recent rally appears unjustified relative to fundamentals.
• USDKRW was closed at a loss due to the pair failing the co-integration test.
• The z-scores help assess the deviation from short-term value, which is crucial for making trading decisions.
• The document includes contact details for FX strategy teams and legal notices about the nature of the report and potential conflicts of interest.

Legal and Risk Disclosures

• The document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• BNP Paribas may have acted on the information before its publication and may receive compensation for future transactions.
• The information is for professional clients and does not constitute an offer to sell or purchase any financial instruments.
• The document may include simulated performance data and is not a guarantee of future results.
• There is a high degree of risk associated with the transactions mentioned, including market, counterparty, and liquidity risks.
• BNP Paribas may be involved in the issuance or underwriting of securities or ETFs discussed in the document.
• The information is confidential and should not be shared without written consent.

Contacts

• FX Strategy & Cross-Asset Strategist: Michael Sneyd, CFA

  • Email: michael.sneyd@uk.bnpparibas.com
  • Phone: 44 20 7595 1307

• FX Strategist: Natalie Rickard

  • Email: natalie.rickard@uk.bnpparibas.com
  • Phone: 44 20 7595 8270

• FX Strategist: Sam Lynton-Brown

  • Email: sam.lynton-brown@uk.bnpparibas.com
  • Phone: 44 20 7595 8467

• Head of FX Strategy North America: Daniel Katzive, CFA

  • Email: daniel.katzive@us.bnpparibas.com
  • Phone: 1 212 841 2408

• FX Options Strategist: Vasilis Koutsaftis

  • Email: vasilis.koutsaftis@americas.bnpparibas.com
  • Phone: 1 212 471 7973

• Emerging Markets Research (CEEMEA & APAC): Wike Groenenberg

  • Email: wike.groenenberg@uk.bnpparibas.com
  • Phone: 44 20 7595 8746

• Emerging Markets Research (Latam): Marcelo Carvalho

  • Email: marcelo.carvalho@br.bnpparibas.com
  • Phone: 55 11 3841 3418

• FX & IR CEEMEA Strategist: Piotr Chwiejczak, Sai Ulluri, Erkin Isik

• China Strategist: Kun Shan, Tianhe Ji

• Head of FX & IR Asia Strategy: Mirza Baig

• Graduate: Dawn Kwa, Altaz Daga

• FX & IR Latam Strategist: Samuel Castro, Gustavo Mendonca

• Head FX & IR Latam Strategy: Gabriel Gersztein

Conclusion

The BNP Paribas STEER™ Model provides a structured approach to FX trading based on short-term value and co-integration tests. It highlights specific opportunities and risks across various currency pairs, with the most notable signals being short EURSEK, long USDSGD, and short USDMXN. The document is intended for professional clients and includes detailed legal and risk disclosures, emphasizing that it is not investment advice and should not be relied upon as such.