20171116-法国巴黎银行-FX_QUANT_INSIGHT_BNP_Parbas_STEER_16页_1mb

BNP Paribas FX Strategy Summary - 13 November 2017

Core Content Overview

This document outlines the BNP Paribas STEER™ model's current trading signals and insights for various currency pairs across different regions, including G10, CEEMEA, and Latin America. The model provides fair value estimates (FV) and z-scores to assess deviation from short-term value, along with trading recommendations and performance data.

Trading Signals

• Existing Signals:

  • 27-Oct-17: LONG AUDUSD at 0.7641, Target: 0.7730, Stop Loss: 0.7557, Return: 0.26%
  • 06-Nov-17: SHORT USDCAD at 1.2769, Target: 1.2628, Stop Loss: 1.2864, Return: 0.65%
  • 10-Nov-17: SHORT EURSEK at 9.7497, Target: 9.6636, Stop Loss: 9.7985, Return: -0.01%

• Recently Closed Signals:

  • 26-Oct-17: SHORT USDCOP at 2994.88, Close Rate: 3010.81, Return: -0.53%
  • 26-Oct-17: SHORT USDCAD at 1.2794, Close Rate: 1.2895, Return: -0.79%
  • 27-Oct-17: SHORT USDZAR at 14.2341, Close Rate: 14.3366, Return: -0.72%

Key Insights

• USD Overbought: The USD continues to appear overbought relative to commodity currencies, particularly AUD and CAD.
• AUDUSD: STEER continues to signal a long position, targeting 0.7730. Despite a decline in AUDUSD's fair value due to a rise in US 10y yields, the spot appears overdone.
• USDCAD: STEER remains short, with a target of 1.2628. The pair's fair value has risen due to changes in yield differentials, but it is still overvalued.
• EURSEK: The pair is currently trading 0.90% away from its fair value. STEER signals a potential further decline to 9.6636, as the fair value has increased due to a drop in Swedish 2y yields.

G10 Currency Analysis

• EURSEK is the most overvalued among G10 currencies, with a z-score of 1.96.
• NZDUSD is closest to its fair value, with a z-score of -0.01.
• USDCAD is slightly overvalued, with a z-score of 0.51.

CEEMEA Currency Analysis

• EURCZK is significantly undervalued, with a z-score of -2.20.
• USDTRY is undervalued with a z-score of -1.13.
• USDZAR is slightly overvalued, with a z-score of 0.02.
• USDRUB is close to fair value, with a z-score of 0.10.

Latin America Currency Analysis

• USDMXN is undervalued, with a z-score of -1.58.
• USDCOP is undervalued with a z-score of -1.12.
• USDCLP is slightly undervalued, with a z-score of -0.74.
• USDPEN is nearly at fair value, with a z-score of -0.27.
• USDBRL is overvalued, with a z-score of 1.23.

Trading Strategy Notes

• The model signals that the USD is overbought against commodity currencies, suggesting potential for a correction.
• Most emerging market (EM) pairs are trading in line with their STEER values, but EURSEK and EURCZK show notable deviations.
• The z-scores indicate the degree of deviation from fair value, with positive values indicating overvaluation and negative values undervaluation.

Global Strategy Contacts

Legal Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• BNP Paribas may have financial interests in the mentioned issuers or may engage in transactions inconsistent with the views expressed.
• The document contains simulated performance data and is for informational purposes only.
• No guarantees are made regarding the accuracy or completeness of the information.
• Information may be used for discussion purposes only and not for making investment decisions.