20180305-法国巴黎银行-BNP_Paribas_STEER_16页_822kb

FX Strategy Summary: BNP Paribas STEER™ Model (5 March 2018)

Core Content

This document provides a summary of the BNP Paribas STEER™ model's trading signals and analysis for the FX market on 5 March 2018. The model evaluates currency pairs based on their deviation from short-term value using z-scores and provides entry, target, stop loss, and close rates for trading signals. The document also includes notes on market conditions and contact details for strategy teams.

Main Trading Signals

New Signals

• SHORT USDCAD

  • Entry Rate: 1.2906
  • Target: 1.2703
  • Stop Loss: 1.3009
  • Return: 0.00%

• SHORT USDIDR

  • Entry Rate: 13826
  • Target: 13720
  • Stop Loss: 13879
  • Return: 0.00%

• LONG USDCOP (Provisional)*

  • Entry Rate: 2879.77
  • Target: 2898.10
  • Stop Loss: 2870.61
  • Return: 0.00%
  • Note: Signal will be cancelled if USDCOP opens within the fair-value corridor (above 2948.60).

Recently Closed Signals

• SHORT EURSEK

  • Entry Rate: 10.1074
  • Close Rate: 10.1938 (02-Mar-18)
  • Return: -0.85%

• LONG USDILS

  • Entry Rate: 3.4639
  • Close Rate: 3.4545 (02-Mar-18)
  • Return: -0.27%

Key Market Analysis

• EURUSD: Appears undervalued by 1.0 z-score vs its STEER value of 1.2420, which is less than the previous week's 1.5 z-score undervaluation.
• USDCAD: Appears overvalued by 2.1 z-scores, prompting a short signal. This follows a previous bullish signal in mid-February when the pair was oversold.
• USDCOP: Opened within the fair-value corridor on Friday, so the long signal was not entered. However, due to a lower close, it now appears undervalued, and a long signal is suggested if it opens below 2948.60.
• USDIDR: Has become cointegrated with STEER, prompting a short signal.
• USDILS: The long signal was not entered on Friday as the pair opened within the fair-value corridor, but it now appears undervalued again.

G10 Currency Analysis

Latin America Currency Analysis

Asia Currency Analysis

Key Notes

• The model uses a co-integration filter to determine fair value and trading signals.
• The z-score indicates how far the current spot rate is from the STEER value.
• Signals are generated based on the deviation from short-term value and market conditions.
• The model may not be suitable for all investors and is not investment research.

Strategy Team Contacts

FX Strategy Team

Emerging Markets FX & IR Strategy

Legal Notice

• This document is a marketing communication and not investment research.
• It is not intended for distribution to the public and is for professional clients only.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The information is for informational purposes only and should not be relied upon as authoritative.
• No assurance is given that any indicated returns will be achieved.
• The document may contain simulated performance data and is not a prospectus or public offering.

US Disclosures

• Options are complex and may not be suitable for all investors.
• ETFs carry risks including tracking error, currency, and geopolitical risks.
• BNP Paribas and its affiliates may hold positions or act as market makers or advisors.
• Information is confidential and may not be distributed without prior consent.