BNP Paribas STEER™ Model Summary - 24 September 2018
Core Content Overview
This document provides a summary of the BNP Paribas STEER™ model's trading signals and analysis for the FX market as of 24 September 2018. The model evaluates currency pairs based on short-term value, z-scores, and other financial metrics, offering insights into potential trades and market trends.
Main Trading Signals
New Signal
- Currency Pair: EURCHF
- Entry Date: 24-Sep-18
- Entry Rate: 1.1260
- Target: 1.1457
- Stop Loss: 1.1162
- Return (%): 0.00
Existing Signals
- 20-Sep-18: LONG EURPLN (Entry Rate: 4.2901, Target: 4.3140, Stop Loss: 4.2782, Return: 0.30)
- 21-Sep-18: LONG USDTWD (Entry Rate: 30.6790, Target: 30.9425, Stop Loss: 30.5472, Return: 0.07)
- 21-Sep-18: LONG USDPHP (Entry Rate: 53.9910, Target: 54.3529, Stop Loss: 53.8100, Return: 0.40)
- 21-Sep-18: LONG USDCOP (Entry Rate: 3014.50, Target: 3043.59, Stop Loss: 2999.95, Return: -0.23)
Recently Closed Signals
- 17-Sep-18: SHORT USDZAR (Entry Rate: 15.0076, Close Rate: 14.8976, Return: 0.73)
- 12-Sep-18: LONG EURCHF (Entry Rate: 1.1282, Close Rate: 1.1267, Return: -0.14)
- 14-Sep-18: LONG USDSGD (Entry Rate: 1.3690, Close Rate: 1.3646, Return: -0.32)
Key Market Insights
EURCHF
- A long position is initiated at 1.1260 with a target of 1.1457.
- EURCHF is sensitive to relative yield-curve steepness and equity market performance.
EURPLN
- BNP Paribas remains long EURPLN.
- The fair value of EURPLN has increased due to the rise in 2y EUR swap yields relative to 2y PLN swap yields.
- Spot is expected to continue rising in line with short-term fundamentals.
USDCOP, USDTWD, USDPHP
- These currencies appear undervalued according to the model.
- USDCOP is undervalued by 2.5 z-scores.
- USDTWD is undervalued by 1.7 z-scores.
- USDPHP is undervalued by 0.12 z-scores.
G10 Currency Analysis
| Currency |
STEER |
Spot |
z-score |
| EURCHF |
1.1457 |
1.1260 |
-1.55(-1.74%) |
| AUDUSD |
0.7442 |
0.7260 |
-1.43(-2.55%) |
| GBPUSD |
1.3252 |
1.3070 |
-0.77(-1.41%) |
| NZDUSD |
0.6745 |
0.6660 |
-0.45(-1.27%) |
| EURNOK |
9.5890 |
9.5660 |
-0.21(-0.24%) |
| USDCAD |
1.2919 |
1.2940 |
0.17(0.16%) |
| EURSEK |
10.2922 |
10.3340 |
0.31(0.40%) |
| EURUSD |
1.1597 |
1.1730 |
0.84(1.12%) |
| USDJPY |
109.67 |
112.50 |
1.30(2.51%) |
| EURGBP |
0.8752 |
0.8980 |
1.48(2.49%) |
- EURCHF: Undervalued by 1.55 z-scores.
- AUDUSD: Undervalued by 1.43 z-scores.
- NZDUSD: Undervalued by 0.45 z-scores.
- USDJPY: Overvalued by 1.30 z-scores.
- EURGBP: Overvalued by 1.48 z-scores.
Asia Currency Analysis
| Currency |
STEER |
Spot |
z-score |
| USDSGD |
1.3826 |
1.3670 |
-1.75(-1.15%) |
| USDTWD |
31.1583 |
30.7100 |
-1.68(-1.46%) |
| USDKRW |
1118 |
1115 |
-0.36(-0.24%) |
| USDMYR |
4.1386 |
4.1340 |
-0.14(-0.10%) |
| USDPHP |
54.2901 |
54.2470 |
-0.12(-0.08%) |
| USDIDR |
14760 |
14975 |
1.25(1.44%) |
| USDTHB |
31.9928 |
32.4750 |
1.90(1.48%) |
| USDINR |
69.2171 |
72.6780 |
4.27(4.76%) |
- USDSGD, USDTWD, and USDPHP are undervalued.
- USDIDR, USDTHB, and USDINR are overvalued.
Latin America Currency Analysis
| Currency |
STEER |
Spot |
z-score |
| USDCOP |
3077 |
3008 |
-2.45(-2.30%) |
| USDMXN |
19.0652 |
18.8680 |
-1.31(-1.05%) |
| USDBRL |
4.0589 |
4.0490 |
-0.14(-0.25%) |
| USDPEN |
3.2863 |
3.2940 |
0.74(0.22%) |
| USDCLP |
655.56 |
664.10 |
1.50(1.29%) |
- USDCOP is undervalued by 2.45 z-scores.
- USDMXN is undervalued by 1.31 z-scores.
- USDPEN is slightly overvalued.
- USDCLP is overvalued by 1.50 z-scores.
Driving Factors
- The model highlights the impact of yield curve dynamics, equity market performance, and relative value assessments.
- EURCHF is influenced by yield-curve steepness and equity market performance.
- USDCOP, USDTWD, and USDPHP show undervaluation based on z-scores.
- USDJPY, EURGBP, and USDINR are overvalued, with potential for correction.
FX Strategy Contacts
| Strategist |
Job Title |
Legal Entity |
Phone Number |
| Michael Sneyd, CFA |
Global Head of FX Strategy & Cross-Asset Strategist |
BNP Paribas London branch |
44 20 7595 1307 |
| Sam Lynton-Brown |
FX Strategist |
BNP Paribas London branch |
44 20 7595 8467 |
| Alex Jekov |
Graduate |
BNP Paribas London branch |
44 20 7595 4185 |
| Daniel Katzive, CFA |
Head of FX Strategy North America |
BNP Paribas Securities Corp (New York) |
1 212 841 2408 |
| Vasilis Koutsaftis |
FX Options Strategist |
BNP Paribas Securities Corp (New York) |
1 212 471 7973 |
| Wike Groenenberg |
Head of Emerging Markets Research, CEEMEA & APAC |
BNP Paribas London branch |
44 20 7595 8746 |
| Shaun Daly |
FX & IR CEEMEA Graduate |
BNP Paribas London branch |
44 20 7595 1870 |
| Erkin Isik, CFA |
FX & IR CEEMEA Strategist |
Turk Ekonomi Bank A.S. (Istanbul) |
90 216 635 2987 |
| Altaz Daga |
APAC IR Strategist |
BNP Paribas Singapore Branch |
65 6210 4994 |
| Dawn Kwa |
Asia FX & IR Strategist |
BNP Paribas Singapore Branch |
65 6210 3263 |
| Tianhe Ji |
China Strategist |
BNP Paribas China Limited (Beijing) |
86 10 6535 0836 |
| Gabriel Gersztein |
Head of Global Emerging Markets Strategy |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3421 |
| Samuel Castro |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3492 |
| Luca Maia |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3447 |
| Andre Digiacomo |
FX & IR Latam Strategist |
Banco BNP Paribas Brasil S.A. (Sao Paulo) |
55 11 3841 3445 |
Legal and Disclaimer Information
- This document is non-independent research and is a marketing communication.
- It is not intended for retail investors and is subject to legal restrictions.
- No guarantees are made regarding accuracy or completeness of the information.
- Past performance is not indicative of future results.
- The document may contain simulated performance data and should not be relied upon for investment decisions.
- BNPP may have conflicts of interest and may engage in transactions contrary to the views expressed.
- Information is provided for internal use only and may not be distributed without prior consent.
Additional Resources
- BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
- Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS, Emerging Markets Research BPFR, Market Economics BPEC
Final Notes
- The document includes charts and z-score deviations for various currency pairs.
- It emphasizes the importance of independent judgment and professional advice when considering any investment.
- The model uses co-integration filters to assess the validity of signals.
- The information is subject to change and not intended as a definitive investment guide.
