20170821-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER_16页_768kb

BNP Paribas STEER™ Model Summary - 21 August 2017

Core Content Overview

BNP Paribas STEER™ Model provides trading signals and insights for various currency pairs based on short-term value analysis and z-score deviation. The model is used to identify overvalued and undervalued currency pairs in the G10, CEEMEA, Asia, and Latin America regions.

Trading Signals

Closed Signals

• 18-Aug-17: SHORT USDBRL at 3.1709, closed at 3.1500, return: 0.66%
• 15-Aug-17: SHORT USDPHP at 51.1890, closed at 51.3166, return: -0.25%
• 15-Aug-17: SHORT USDBRL at 3.1901, closed at 3.2027, return: -0.40%
• 02-Aug-17: SHORT EURNOK at 9.3636, closed at 9.3045 (16-Aug-17), return: 0.63%
• 16-Aug-17: LONG USDCOP at 2966.06, closed at 2989.16 (17-Aug-17), return: 0.78%

Existing Signals

• 17-Aug-17: SHORT EURSEK at 9.5036, target: 9.4219, stop loss: 9.5657
• 18-Aug-17: SHORT USDINR at 64.1525, target: 63.7942, stop loss: 64.3316
• 11-Aug-17: LONG USDTHB at 33.2500, target: 33.4396, stop loss: 33.1552

G10 Currency Analysis

• EURSEK: Overvalued, STEER is short EURSEK with a target of 9.4219.
• EURUSD and EURCHF: Overvalued, but signals may have reduced statistical confidence due to not passing the co-integration filter.
• USDINR: STEER remains short, with fair value declining due to Indian equity market recovery.
• USDTHB: STEER is long, with fair value at 33.5803.

CEEMEA Currency Analysis

• USDINR and USDPHP are overvalued, with USDINR at 63.8713 and USDPHP at 50.2960.
• EURSEK and USDTHB are under STEER's fair value, indicating potential undervaluation.
• The model did not pass the co-integration filter for some currencies, indicating reduced statistical confidence.

Latin America Currency Analysis

• USDCOP is long, with STEER at 2969 and spot at 2989.
• USDBRL is overvalued, with STEER at 3.1242 and spot at 3.1470.
• USDCLP and USDPEN show positive z-scores, suggesting potential overvaluation.

Key Insights

• EURSEK is overvalued and STEER has a short position targeting a decline to 9.4219.
• USDINR is overvalued, and the fair value has declined due to Indian equity market recovery.
• USDTHB is undervalued and STEER is long.
• Some currency pairs like EURUSD and EURCHF are overvalued, but signals are less reliable due to not passing the co-integration filter.
• The STEER model is used to generate trading signals, and the z-scores indicate the deviation from short-term fair value.
• The model includes both short-term value estimates and deviation analysis, which are essential for identifying potential trading opportunities.

Driving Factors

• The model takes into account market dynamics, including equity market performance, interest rates, and macroeconomic indicators.
• Changes in the fair value of currencies are influenced by economic fundamentals and market sentiment.
• The co-integration filter helps in assessing the statistical confidence of the signals.

Global Strategy Contacts

Legal and Disclaimer Notes

• This document is a marketing communication and not investment research.
• It is not subject to the independence of investment research under MiFID.
• The information is based on public sources and may not be independently verified.
• BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• This document is for information purposes only and should not be relied upon as a basis for investment decisions.
• All estimates and opinions are subject to change without notice.
• The indicative prices and performance data are for illustrative purposes only and do not represent actual transaction terms.
• Prior to transacting, ensure you understand the terms and consult with independent advisors.