巴黎银行-全球-外汇市场-巴黎银行指南-20180115-15页_1mb

报告摘要

FX STRATEGY | FX QUANT INSIGHT - Summary

Core Content

This document outlines the FX STRATEGY and FX QUANT INSIGHT from BNP Paribas STEER™ Model as of 15 January 2018. It provides detailed trading signals, fair value estimates, z-scores, and upper/lower bounds for various currency pairs across different regions, including G10, CEEMEA, and Latin America. The report also includes legal disclaimers and contact details for the strategy teams involved.

Main Trading Signals

New Signals

15-Dec-18: LONG USDSGD
- Entry Rate: 1.3220
- Target: 1.3288
- Stop Loss: 1.3186
- Return: 0.00%
15-Dec-18: SHORT USDKRW
- Entry Rate: 1062.70
- Target: 1054.99
- Stop Loss: 1066.55
- Return: 0.00%

Closed Signals

05-Jan-18: SHORT AUDUSD
- Entry Rate: 0.7845
- Close Rate: 0.7924 (12-Jan-18)
- Return: -1.01%
12-Jan-18: LONG USDCOP
- Entry Rate: 2853.20
- Close Rate: 2847.25 (12-Jan-18)
- Return: -0.21%

Existing Signals

12-Jan-18: SHORT NZDUSD
- Entry Rate: 0.7254
- Target: 0.7032
- Stop Loss: 0.7366
- Return: -0.26%
08-Jan-18: LONG EUROK
- Entry Rate: 9.6854
- Target: 9.9022
- Stop Loss: 9.5804
- Return: -0.29%

Key Currency Pairs Analysis

G10 Pairs

USDJPY: Fair Value (FV) = 113.81, Spot = 110.80, z-score = -3.18 (-2.74%)
EURCHF: FV = 1.2200, Spot = 1.1800, z-score = -3.01 (-3.37%)
USDCAD: FV = 1.2667, Spot = 1.2440, z-score = -2.65 (-1.78%)
EURNOK: FV = 9.9022, Spot = 9.6550, z-score = -2.34 (-2.56%)
EURUSD: FV = 1.2481, Spot = 1.2220, z-score = -1.80 (-2.14%)
EURGBP: FV = 0.9114, Spot = 0.8890, z-score = -1.26 (-2.55%)
EURSEK: FV = 9.8334, Spot = 9.8280, z-score = -0.09 (-0.06%)
GBPUSD: FV = 1.3694, Spot = 1.3750, z-score = 0.44 (0.40%)
AUDUSD: FV = 0.7803, Spot = 0.7950, z-score = 1.91 (1.90%)
NZDUSD: FV = 0.7032, Spot = 0.7270, z-score = 2.30 (3.28%)

CEEMEA Pairs

USDTRY: FV = 3.8943, Spot = 3.7560, z-score = -2.80 (-3.68%)
USDILS: FV = 3.4267, Spot = 3.3970, z-score = -1.49 (-0.87%)
USDZAR: FV = 12.5002, Spot = 12.3560, z-score = -0.45 (-1.17%)
USDRUB: FV = 56.5545, Spot = 56.6430, z-score = 0.18 (0.16%)
USDPHP: FV = 50.2892, Spot = 50.3200, z-score = 0.07 (0.06%)
USDKRW: FV = 1048, Spot = 1063, z-score = 1.95 (1.41%)

Latin America Pairs

USDMXN: FV = 19.2377, Spot = 18.9280, z-score = -1.82 (-1.64%)
USDBRL: FV = 3.2560, Spot = 3.2060, z-score = -1.72 (-1.58%)
USDCOP: FV = 2892, Spot = 2859, z-score = -1.72 (-1.14%)
USDCLP: FV = 610.26, Spot = 603.20, z-score = -1.33 (-1.17%)
USDPEN: FV = 3.2171, Spot = 3.2160, z-score = -0.06 (-0.02%)

Main Points

The model indicates that the USD is currently undervalued against several G10 currencies, particularly USDJPY and USDCAD.
NZDUSD and AUDUSD are overvalued, with STEER remaining short on both.
USDSGD is overbought, and STEER suggests it may be overvalued, while USDKRW is undervalued with a potential for substantial decline.
EURNOK is positively correlated with global equities and is currently undervalued.
The z-scores show the deviation from short-term fair value, with USDTRY and USDKRW showing significant undervaluation, while USDPEN is slightly undervalued.
The model does not pass the co-integration filter for some pairs, which may indicate potential issues with the model's assumptions or data.

Key Information

The model provides short-term fair value estimates and trading signals based on co-integration analysis.
The fair value for USDJPY is 113.81, while the current spot rate is 110.80.
USDKRW is currently overbought and is expected to decline, with a fair value of 1048.
The report highlights that global equity markets and US 10y yields support the fair value of USDJPY and USDCAD.
The document serves as a marketing communication and not investment research, with legal disclaimers in place regarding its use and limitations.
The report includes contact details for FX strategy and research teams across London, New York, and other locations.

Legal and Disclaimer Notes

This document is non-independent research and may be subject to conflicts of interest.
It does not constitute an offer to sell or issue securities and is not a solicitation of an offer to buy.
The information is for informational purposes only and not to be relied upon as authoritative.
The indicative prices and returns are based on internal models and may vary from other sources.
BNP Paribas may have acted on the information before its publication and may hold positions in the securities discussed.
The document does not include a prospectus and is not intended for public offering or solicitation in certain jurisdictions.

Contacts

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Natalie Rickard: FX Strategist, London
Sam Lynton-Brown: FX Strategist, London
Daniel Katzive, CFA: Head of FX Strategy North America, New York
Vasilis Koutsaftis: FX Options Strategist, New York
Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwieczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: FX & IR CEEMEA Strategist, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Altaz Dagha: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
Samuel Castro: FX & IR Latam Strategist, Sao Paulo
Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo