20140728-巴黎银行证券-BNP_Paribas_STEER_11页_690kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the over- or undervaluation of currency pairs based on statistical analysis and market fundamentals. The model provides trading signals and targets for various currency pairs across different regions, including G10, CEEMEA, Asia, and Latin America. The report highlights current deviations from fair value and suggests potential trading opportunities.

Key Points and Trading Signals

G10 Currency Pairs

• EURUSD: Triggered a bullish signal on 24-Jul-14, targeting 1.3526. The pair is currently trading at 1.3430, showing a deviation of -1.08 (-0.74%). The decline appears too extreme for the underlying fundamentals, suggesting a potential moderate rebound.
• USDCAD: The model is long USDCAD, targeting 1.1102. It has a deviation of -1.78 (-2.70%) and was triggered on 18-Jul-14. The pair is undervalued based on the 10-year US-Canadian yield differential.
• NZDUSD: Overvaluation has corrected, and the pair now appears slightly cheap. The model closed its bearish signal on 24-Jul-14, resulting in a 2.15% gain.
• USDTHB: A bullish signal was triggered on 24-Jul-14, targeting 32.00. The pair is undervalued by -2.05 (-1.03%).
• USDBRL: Overvalued by 2.3 z-scores, the model has been stopped out and is sidelined. The fair value is 2.1880, and the pair's fair value has declined due to strong Brazilian equities.
• AUDUSD: A bearish signal is approaching its target, but the movement is due to a rise in fair value rather than a fall in the exchange rate. The fair value is 0.9330, and the pair is currently at 0.9390.
• USDJPY: Fair value is 101.80, and the pair is at 101.80, showing a 0.03 (0.00%) deviation.

CEEMEA Currency Pairs

• USDZAR: Undervalued by -1.24 (-1.34%), but the decline in South Africa's CDS has caused the pair's STEER to decline.
• USDTRY: Undervalued by -0.32 (-0.19%).
• USDRUB: Undervalued by 0.68 (0.61%).
• USDIDR: Undervalued by 0.49 (0.74%).
• USDMYR: Undervalued by -1.43 (-0.75%), but it does not pass the cointegration filter.
• USDTWD: Undervalued by -1.57 (-0.41%), but the low volatility means the deviation is below the minimum gain threshold.

Asia Currency Pairs

• USDKRW: Slightly undervalued by 0.68 (0.69%).
• USDINR: Undervalued by 1.25 (1.28%).
• USDSGD: Slightly undervalued by 0.45 (0.16%).
• USDPHP: Undervalued by -1.03 (-0.62%).
• USDTHB: Strongest bullish signal, targeting 32.00. The pair is currently at 31.8140.
• USDTWD: Undervalued, but potential profit is less than the minimum gain.

Latin America Currency Pairs

• USDBRL: Overvalued by 2.32 (1.92%). The model has been stopped out and is sidelined.
• USDMXN: Slightly undervalued by 0.15 (0.09%).
• USDCLP: Slightly undervalued by 0.58 (0.46%).
• USDPEN: Slightly undervalued by -0.26 (-0.07%).
• USDCOP: Slightly undervalued by -1.20 (-1.18%).

STEER™ Model and Deviation Analysis

• The model uses z-scores to measure over- or undervaluation, with a deviation greater than 1.5 considered significant.
• Some currency pairs do not pass the "cointegration filter", indicating lower forecasting power.
• The STEER Regime Monitor tracks four variables to identify instability in the model. No currencies have a score above 80, the threshold for trading signals.
• The USDTHB score has increased due to its recent break lower, but it is still below the 80 threshold.

Trade History (Last 15 Trades)

Key Themes

• NZDUSD has corrected its overvaluation and is now slightly undervalued.
• EURUSD has triggered a bullish signal, indicating a potential move towards 1.3530.
• USDCAD is undervalued and remains a long position.
• USDTHB has a strong bullish signal, targeting 32.00.
• USDBRL is overvalued by 2.32 z-scores, and the model has been stopped out.
• USDZAR, USDTRY, USDRUB, USDIDR, and USDINR are undervalued but may not be suitable for trading due to cointegration issues or low volatility.
• The STEER Regime Monitor indicates that no currency has exceeded the 80 threshold, suggesting no major instability in the model at the moment.

Disclaimer and Legal Information

• This document is a marketing communication and not independent investment research.
• The information and opinions are based on public sources and are not guaranteed to be accurate or up to date.
• The report is intended for professional clients and not for retail clients.
• BNP Paribas may have a financial interest in the mentioned entities and may be involved in investment banking services.
• The document is not liable for any loss or damage arising from its use.
• No liability is accepted for any inaccuracies or changes in the information.