20180709-法国巴黎银行-BNP_Paribss_STEER_18页_1mb

FX Strategy | FX QUANT DAILY - BNP Paribas STEER™ Summary

Core Content

This document provides the latest FX Strategy and Quantitative Daily insights from BNP Paribas STEER™ model for the period of 9 July 2018. It includes trading signals, fair value estimates, z-scores, and market analysis for various currency pairs across different regions: G10, CEEMEA, Asia, and Latin America.

Main Trading Signals

New Signals

• 09-Jul-18: Long USDKRW at 1111.4500 with a target of 1118.8995 and a stop loss at 1107.7253.

Closed Signals

• 18-Jun-18: Long EURCHF at 1.1555 with a target of 1.1723 and a stop loss at 1.1453, resulting in a 0.59% return.
• 28-Jun-18: Short USDTWD at 30.5650 with a target of 30.3346 and a stop loss at 30.6802, resulting in a 0.69% return.
• 06-Jul-18: Short USDPHP at 53.3850 with a target of 53.0088 and a stop loss at 53.5731, resulting in a 0.07% return.

Recently Closed Signals

• 29-Jun-18: Long USDTRY at 4.5713, closed at 4.6221 on 02-Jul-18, resulting in a 1.11% return.
• 28-Jun-18: Short USDPHP at 53.5250, closed at 53.3600 on 04-Jul-18, resulting in a 0.31% return.
• 05-Jul-18: Long USDILS at 3.6433, closed at 3.6308 on 05-Jul-18, resulting in a -0.34% return.
• 04-Jul-18: Long USDMXN at 19.4503, closed at 19.3651 on 05-Jul-18, resulting in a -0.44% return.

G10 Currency Analysis

• EURCHF has potential for continued appreciation towards its short-term fair value of 1.1723.
• USDKRW is considered undervalued, with the pair's fair value at 1123, and spot at 1111.
• USDTWD and USDPHP are still in short positions, with USDTWD nearly converged to fair value and USDPHP remaining overvalued.

CEEMEA Currency Analysis

• EURHUF is significantly undervalued, with a z-score of -2.41.
• USDTRY is slightly undervalued, with a z-score of -0.94.
• USDRUB is overvalued, with a z-score of 1.23.

Asia Currency Analysis

• USDKRW is undervalued, with a z-score of -1.59.
• USDTWD is slightly overvalued, with a z-score of 0.19.
• USDPHP is overvalued, with a z-score of 1.25.

Latin America Currency Analysis

• USDMXN is slightly overvalued, with a z-score of 0.12.
• USDBRL is slightly overvalued, with a z-score of 0.38.
• USDPEN and USDCOP are overvalued, with z-scores of 0.52 and 0.55 respectively.

Key Points

• The STEER™ model is used to generate trading signals and fair value estimates.
• The model utilizes z-scores to assess deviation from short-term value.
• The model highlights certain currencies as undervalued or overvalued based on relative equity performance and other market factors.
• The model includes notes on the co-integration filter, which indicates the model's confidence in the signal.
• The document also includes legal disclosures and disclaimers regarding the use of the information provided.

Legal Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for professional clients and eligible counterparties.
• The information is for informational purposes only and should not be relied upon as authoritative.
• It does not constitute an offer to sell or purchase any financial instruments.
• No liability is accepted for any use of the information contained in this document.
• The document may contain performance data based on back-testing, which is for illustrative purposes only.
• BNPP may have financial interests in the issuers mentioned in this document.
• The information may be subject to change without notice.

Contact Information

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1307
• Natalie Rickard: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8270
• Alex Jekov: Graduate, BNP Paribas London Branch, Phone: 44 20 7595 4185
• Kris Giini: Graduate, BNP Paribas London Branch, Phone: 44 20 7595 8746
• Sam Lynton-Brown: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8467
• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, BNP Paribas London Branch, Phone: 44 20 7595 8746
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3421
• Sai Ulluri: FX & IR CEEMEA Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1872
• Shaun Daly: FX & IR CEEMEA Graduate, BNP Paribas London Branch, Phone: 44 20 7595 1870
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul), Phone: 90 216 635 2987
• Altaz Dagha: APAC IR Strategist, BNP Paribas Singapore Branch, Phone: 65 6210 4994
• Dawn Kwa: Asia FX & IR Strategist, BNP Paribas Singapore Branch, Phone: 65 6210 3263
• Kun Shan: China Strategist, BNP Paribas China Limited (Shanghai), Phone: 86 21 2896 2773
• Tianhe Ji: China Strategist, BNP Paribas China Limited (Beijing), Phone: 86 10 6535 0836
• Gabriel Gersztein: Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3421
• Samuel Castro: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3492
• Luca Maia: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3447
• Andre Digiacomo: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3445

Additional Information

• The document includes notes on the "co-integration filter" for model validation.
• It also mentions that the content is subject to change and may not be updated.
• The document includes performance data based on back-testing, which is for illustrative purposes only.
• It is important to consult with independent advisors before making any investment decisions.