20180319-法国巴黎银行-BNP_Paribas_STEER_18页_995kb
报告摘要
BNP Paribas STEER™ Model Summary - 19 March 2018
Core Content Overview
The document outlines the performance and current status of the BNP Paribas STEER™ Model as of 19 March 2018, focusing on trading signals, deviations from fair value, and key factors influencing currency pairs across different regions (G10, CEEMEA, Asia, Latin America).
Trading Signals
Closed Signals
-
09-Mar-18: SHORT USDZAR
- Entry Rate: 11.9223
- Close Rate: 12.0260 (19-Mar-18)
- Return: -0.87%
-
16-Mar-18: SHORT USDTRY
- Entry Rate: 3.8956
- Close Rate: 3.9262 (19-Mar-18)
- Return: -0.79%
Existing Signals
-
13-Mar-18: SHORT USDIDR
- Entry Rate: 13774
- Target: 13674
- Stop Loss: 13824
- Return: -0.24%
-
16-Mar-18: LONG USDCOP
- Entry Rate: 2845.02
- Target: 2865.82
- Stop Loss: 2834.62
- Return: 0.27%
Recently Closed Signals
-
05-Mar-18: SHORT USDCAD
- Entry Rate: 1.2906
- Close Rate: 1.3009 (15-Mar-18)
- Return: -0.80%
-
13-Mar-18: LONG USDCOP
- Entry Rate: 2842.50
- Close Rate: 2862.34 (15-Mar-18)
- Return: 0.70%
-
13-Mar-18: LONG EURUSD
- Entry Rate: 1.2327
- Close Rate: 1.2317 (16-Mar-18)
- Return: -0.08%
Key Insights
-
No Open G10 Signals: The STEER™ model currently has no open trading signals for the G10 currencies. Most pairs are either near fair value or not cointegrated.
-
USDCAD Overvalued: USDCAD is significantly overvalued, with a z-score of 3.08, indicating it is 3.1 z-scores above fair value.
-
EM Currencies:
- USD appears undervalued versus COP, but overvalued versus IDR.
- STEER™ remains long USDCOP targeting 2865.82 and short USDIDR targeting 13674.
-
Overall Performance:
- Both short USDZAR and USDTRY signals were closed, resulting in an overall loss of 1.66%.
G10 Currency Analysis
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURUSD | 1.2574 | 1.2270 | -2.02(-2.49%) | 1.2801 | 1.2348 |
| USDJPY | 108.96 | 105.70 | -1.72(-3.05%) | 111.7683 | 106.1429 |
| EURGBP | 0.9037 | 0.8810 | -1.21(-2.61%) | 0.9322 | 0.8753 |
| AUDUSD | 0.7751 | 0.7700 | -0.58(-0.70%) | 0.7891 | 0.7611 |
| EURNOK | 9.5641 | 9.4940 | -0.54(-0.74%) | 9.7607 | 9.3675 |
| NZDUSD | 0.7248 | 0.7210 | -0.28(-0.58%) | 0.7470 | 0.7026 |
| EURCHF | 1.1709 | 1.1700 | -0.07(-0.10%) | 1.1966 | 1.1453 |
| GBPUSD | 1.3914 | 1.3930 | 0.11(0.11%) | 1.4123 | 1.3705 |
| EURSEK | 9.9171 | 10.0720 | 1.60(1.54%) | 10.0628 | 9.7713 |
| USDCAD | 1.2809 | 1.3110 | 3.08(2.32%) | 1.2957 | 1.2661 |
CEEMEA Currency Analysis
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDILS | 3.4615 | 3.4580 | -0.20(-0.11%) | 3.4914 | 3.4316 |
| EURCZK | 25.4227 | 25.4330 | 0.13(0.04%) | 25.5429 | 25.3026 |
| EURHUF | 310.26 | 311.00 | 0.54(0.24%) | 312.2994 | 308.2140 |
| EURPLN | 4.1926 | 4.2180 | 1.27(0.60%) | 4.2221 | 4.1630 |
| USDRUB | 56.9839 | 57.5850 | 1.31(1.04%) | 57.6733 | 56.2946 |
| EURRON | 4.6364 | 4.6710 | 2.28(0.75%) | 4.6593 | 4.6134 |
| USDZAR | 11.5991 | 12.0390 | 2.29(3.65%) | 11.8865 | 11.3116 |
| USDTRY | 3.7924 | 3.9360 | 2.39(3.64%) | 3.8825 | 3.7023 |
Asia Currency Analysis
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDSGD | 1.3267 | 1.3180 | -1.17(-0.65%) | 1.3377 | 1.3157 |
| USDTHB | 31.3101 | 31.2080 | -0.50(-0.33%) | 31.6152 | 31.0051 |
| USDTWD | 29.1597 | 29.1750 | 0.15(0.05%) | 29.3149 | 29.0045 |
| USDKRW | 1066 | 1072 | 0.76(0.53%) | 1077.0774 | 1054.6924 |
| USDINR | 64.7615 | 65.0460 | 0.93(0.44%) | 65.2227 | 64.3003 |
| USDMYR | 3.8890 | 3.9160 | 0.94(0.70%) | 3.9327 | 3.8452 |
| USDIDR | 13705 | 13804 | 1.10(0.72%) | 13839.3300 | 13571.1600 |
| USDPHP | 51.1828 | 52.0600 | 1.34(1.68%) | 52.1616 | 50.2040 |
Latin America Currency Analysis
| Currency | STEER | Spot | z-score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDCOP | 2886 | 2853 | -2.97(-1.16%) | 2916.9428 | 2854.3358 |
| USDMXN | 18.6178 | 18.7460 | 0.68(0.69%) | 18.9020 | 18.3335 |
| USDBRL | 3.2513 | 3.2810 | 1.38(0.90%) | 3.2835 | 3.2192 |
| USDCLP | 600.94 | 608.30 | 1.48(1.20%) | 608.3770 | 593.5120 |
| USDPEN | 3.2422 | 3.2720 | 2.99(0.92%) | 3.2573 | 3.2272 |
Key Observations
- The STEER™ model has no open signals for G10 currencies.
- USDCAD is significantly overvalued, with a z-score of 3.08.
- In Emerging Markets (EM), the model is long USDCOP and short USDIDR.
- The overall loss from closed signals is 1.66%.
- Most G10 pairs are close to fair value or not cointegrated.
- The model has no open positions in the G10, but active positions in EM and Latin America currencies.
Legal and Disclaimer Information
- This document is non-independent research and may be subject to conflicts of interest.
- It is not investment research for the purposes of MiFID II.
- The STEER™ model is a trademark of BNP Paribas.
- Performance data may include back-testing and is not indicative of future performance.
- Indicative prices are based on internal models and may vary significantly from other sources.
- No liability is accepted for any use or reliance on the document's content.
- The document is for professional clients and not for public offering.
- ETF and options disclosures are included, highlighting the risks and complexity of these instruments.
- Confidentiality is emphasized, and distribution without consent is prohibited.
FX Strategy Contacts
| Strategist | Job Title | Legal Entity | Phone |
|---|---|---|---|
| Michael Sneyd, CFA | Global Head of FX Strategy & Cross-Asset Strategist | BNP Paribas London branch | 44 20 7595 1307 |
| Natalie Rickard | FX Strategist | BNP Paribas London branch | 44 20 7595 8270 |
| Alex Jekov | Graduate | BNP Paribas London branch | 44 20 7595 4185 |
| Kris Giini | Graduate | BNP Paribas London branch | - |
| Daniel Katzive, CFA | Head of FX Strategy North America | BNP Paribas Securities Corp (New York) | 1 212 841 2408 |
| Vasilis Koutsaftis | FX Options Strategist | BNP Paribas Securities Corp (New York) | 1 212 471 7973 |
| Wike Groenenberg | Head of Emerging Markets Research, CEEMEA & APAC | BNP Paribas London branch | 44 20 7595 8746 |
| Marcelo Carvalho | Head of Emerging Markets Research, Latam | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Piotr Chwiejczak | FX & IR CEEMEA Strategist | BNP Paribas London branch | 44 20 7595 8715 |
| Sai Ulluri | FX & IR CEEMEA Strategist | BNP Paribas London branch | 44 20 7595 1872 |
| Erkin Isik, CFA | FX & IR CEEMEA Strategist | Turk Ekonomi Bank A.S. (Istanbul) | 90 216 635 2987 |
| Mirza Baig | Head of FX & IR Asia Strategy | BNP Paribas Singapore Branch | 65 6210 3262 |
| Dawn Kwa | Graduate | BNP Paribas Singapore Branch | 65 6210 3263 |
| Altaz Daga | AU/NZ IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Kun Shan | China Strategist | BNP Paribas China Limited (Shanghai) | 86 21 2896 2773 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head FX & IR Latam Strategy | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Samuel Castro | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3492 |
| Gustavo Mendonca | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3445 |
Additional Information
- The document is for informational purposes only.
- It may include performance data based on back-testing.
- Indicative prices are not guaranteed and may change.
- The information is subject to change and confidential.
- No assurance is given that any performance or returns will be achieved.
- The document is not a prospectus or public offering.
- Investors should consult with independent advisors before making any investment decisions based on this document.
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