20171204-法国巴黎银行-BNP_Paribas_STEER_15页_1mb

FX STRATEGY | FX QUANT DAILY - BNP Paribas STEER™ Model Summary (4 December 2017)

Core Content Overview

This document provides an update on the BNP Paribas STEER™ model, which is used to generate FX trading signals based on fair value and z-score deviations from short-term value. It includes analysis of various currency pairs across different regions, including G10, CEEMEA, Latin America, and Asia, along with relevant market insights and contact information for the strategy team.

Main Trading Signals

• Existing Signals (01-Dec-17):

  • LONG USDZAR at 13.6796, targeting 13.8816, with a stop loss at 13.5786, resulting in a return of 0.62%.

• Recently Closed Signals:

  • SHORT USDCAD at 1.2769, closed at 1.2726 (22-Nov-17), with a return of 0.33%.
  • LONG USDKRW at 1088.85, closed at 1085.03 (23-Nov-17), with a return of -0.35%.
  • LONG USDZAR at 13.8872, closed at 14.0743 (24-Nov-17), with a return of 1.35%.
  • LONG USDZAR at 13.7284, closed at 13.6338 (28-Nov-17), with a return of -0.69%.
  • LONG USDKRW at 1084.25, closed at 1080.31 (29-Nov-17), with a return of -0.36%.

Key Market Insights

• EURUSD has been moving in line with its STEER™, with a current z-score of 0.31 (0.37%).
• GBPUSD is currently at 1.3420, which is 1.18 z-scores above its STEER™ of 1.3268. This suggests potential for GBP to decline if political uncertainty persists.
• USDZAR remains in a long position, targeting 13.8816. Fair value has been stable since the peak of the EM sell-off. The model indicates potential for a rally ahead of the South Africa GDP release.
• EURNOK is the most overvalued pair in the G10, trading at 2.89 z-scores above its STEER™ of 9.5363.

Z-Score Analysis (G10 Pairs)

Key Drivers and Observations

• EURUSD has been trending in line with its STEER™.
• The rise in US 10y yields has led to a decline in STEER™.
• GBPUSD has shown a deviation of 1.18 z-scores above its STEER™, indicating potential for GBP to fall if uncertainty persists.
• USDZAR is still in a long position, with the potential to rally.
• EURNOK is significantly overvalued, suggesting a possible correction.

CEEMEA Market Analysis

• USDZAR is at a z-score of -1.78(-2.64%), indicating it is below its STEER™.
• USDRUB is at a z-score of -1.22(-1.14%), also below its STEER™.
• EURNOK is the most overvalued pair in the G10, with a z-score of 2.89(3.01%).

Asia Market Analysis

• USDINR is at a z-score of -4.30(-1.67%), indicating significant undervaluation.
• USDMYR is at a z-score of -2.77(-2.05%), showing a moderate deviation.
• USDKRW is at a z-score of -0.65(-0.48%), slightly undervalued.
• USDTHB is at a z-score of -0.50(-0.31%), also slightly undervalued.
• USDSGD is at a z-score of 0.16(0.11%), indicating a slight overvaluation.

Latin America Market Analysis

• USDMXN is at a z-score of -1.80(-1.68%), indicating it is below its STEER™.
• USDPEN is at a z-score of -1.06(-0.26%), slightly undervalued.
• USDBRL is at a z-score of -0.78(-0.78%), slightly undervalued.
• USDCLP is at a z-score of -0.73(-0.47%), slightly undervalued.
• USDCOP is at a z-score of 0.24(0.17%), indicating a slight overvaluation.

Trading Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Legal and Distribution Notice

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Relevant Persons and not for the general public.
• BNP Paribas may engage in transactions inconsistent with the views expressed.
• The document may contain back-testing data and is for illustrative purposes only.
• No guarantees are made regarding the accuracy or completeness of the information.
• Indicative prices and terms are not actual transaction terms.
• The document is for information purposes only and should not be relied upon as authoritative.

US Disclosures

• Options are complex instruments with a high degree of risk.
• ETFs have risks including tracking error, currency, and geopolitical risks.
• BNP Paribas may have conflicts of interest and may act as an Authorized Participant in ETFs.
• Investors should consult independent advisors before making any decisions based on this document.