20160822-法国巴黎银行-BNP_Paribas_STEER_Model_-_Trading_Signals_11页_293kb

BNP Paribas STEERTM Model Summary

Core Content

The BNP Paribas STEERTM Model provides trading signals for various currency pairs, indicating whether to go long or short based on deviations from fair value and z-score analysis. The model evaluates short-term value and compares it with current spot rates to determine overvaluation or undervaluation. It also includes notes on the rationale behind specific signals and mentions of relevant contacts for the FX strategy teams.

Main Trading Signals

New Signals (22-Aug-16)

• SHORT USDINR

  • Entry Rate: 67.1712
  • Target: 66.7946
  • Stop Loss: 67.3595
  • Return: 0.00%

• SHORT USDMXN

  • Entry Rate: 18.3001
  • Target: 18.1415
  • Stop Loss: 18.3794
  • Return: 0.00%

Closed Signals (22-Aug-16)

• SHORT USDMYR

  • Entry Rate: 4.0155
  • Close Rate: 4.0376
  • Return: -0.55%

• SHORT USDKRW

  • Entry Rate: 1117.5100
  • Close Rate: 1123.5800
  • Return: -0.54%

Existing Signals

• SHORT NZDUSD

  • Entry Rate: 0.7253
  • Target: 0.7174
  • Stop Loss: 0.7347
  • Return: 0.15%

• SHORT USDJPY

  • Entry Rate: 102.2200
  • Target: 99.2102
  • Stop Loss: 103.8500
  • Return: 1.42%

• SHORT EURSEK

  • Entry Rate: 9.4843
  • Target: 9.3418
  • Stop Loss: 9.5542
  • Return: -0.13%

• LONG EURGBP

  • Entry Rate: 0.8402
  • Target: 0.8809
  • Stop Loss: 0.8249
  • Return: 2.74%

• SHORT USDBRL

  • Entry Rate: 3.2392
  • Target: 3.2030
  • Stop Loss: 3.2573
  • Return: 1.06%

Recently Closed Signals

• SHORT USDMXN

  • Entry Rate: 18.1245
  • Close Rate: 18.2010
  • Return: -0.42%

• LONG USDZAR

  • Entry Rate: 13.2579
  • Close Rate: 13.4729
  • Return: 1.62%

• LONG USDSGD

  • Entry Rate: 1.3394
  • Close Rate: 1.3507
  • Return: 0.85%

Key Information

• USDINR: The fair value has dropped significantly due to local CDS market movements, but the spot rate has not adjusted yet.
• USDMXN: The recent rise is not justified by fundamentals.
• USDJPY: STEER™ indicates it is overvalued compared to its fair value of 99.2102.
• EURGBP: STEER™ continues to signal a long position targeting 0.8809.
• EURSEK: STEER™ is short, targeting 9.3418.
• NZDUSD: STEER™ is short, targeting 0.7174.
• EURGBP has a z-score of -0.96, indicating it is slightly undervalued.
• USDJPY has a z-score of 0.78, suggesting it is overvalued.
• USDSGD has a z-score of 0.42, showing it is slightly overvalued.
• USDMYR and USDKRW have been closed with negative returns.
• USDMXN has a z-score of 2.41, indicating it is overvalued.
• USDBRL has a z-score of 0.78, suggesting it is overvalued.
• EURHUF, EURRON, USDCOP, USDPEN, USDCLP, USDMXN, and USDCAD have z-scores indicating they are either overvalued or undervalued, with some crossing the co-integration filter.

Driving Factors

The driving factors behind the moves are discussed in the charts and notes, but specific details are not included in the provided text. These factors typically relate to macroeconomic indicators, interest rates, and market sentiment.

FX Strategy Contacts

Emerging Markets Contacts

Disclaimer

This document is a marketing communication and not independent investment research. It is not subject to any prohibition on dealing ahead of the dissemination of investment research. BNP Paribas may have a financial interest in the mentioned issuers or persons. The report may be subject to conflicts of interest and should not be relied upon as an authoritative source. It is not intended for retail clients and is solely for professional clients. BNP Paribas does not accept liability for any loss resulting from the use of this report.