20180820-法国巴黎银行-BNP_Paribas_STEER_18页_1mb

报告摘要

BNP Paribas FX Strategy Summary - 20 August 2018

Core Content Overview

This document outlines the FX trading signals generated by the BNP Paribas STEER™ model on 20 August 2018. It provides insights into the current market positions, fair values, and z-scores for various currency pairs, as well as the rationale behind the model's decisions.

Trading Signals

New Signals

LONG EURUSD: Entry at 1.1420, targeting 1.1693, with a stop loss at 1.1284.
LONG EURCHF: Entry at 1.1359, targeting 1.1562, with a stop loss at 1.1258.
SHORT USDZAR: Entry at 14.6352, targeting 14.4504, with a stop loss at 14.7276.
SHORT USDIDR: Entry at 14659.00, targeting 14516.87, with a stop loss at 14730.07.
SHORT USDCLP: Entry at 670.26, targeting 666.26, with a stop loss at 672.26.
SHORT USDCOP: Entry at 3020.00, targeting 2990.59, with a stop loss at 3034.71.

Closed Signals

SHORT USDILS: Closed at 3.6687, resulting in a return of 0.31%.
LONG USDKRW: Closed at 1121.12, resulting in a return of -0.34%.
SHORT USDCLP: Closed at 666.17, resulting in a return of 0.59%.

Existing Signals

SHORT USDTHB: Fair value at 33.0952, spot at 33.3400, z-score at 0.53.
SHORT USDTWD: Fair value at 30.5545, spot at 30.8030, z-score at 0.15.
SHORT USDPHP: Fair value at 53.0508, spot at 53.4160, z-score at 0.05.

Currency Pair Analysis

G10 Currencies

GBPUSD: Spot at 1.2740, fair value at 1.3191, z-score of -2.06.
EURCHF: Spot at 1.1360, fair value at 1.1562, z-score of -1.77.
EURUSD: Spot at 1.1420, fair value at 1.1693, z-score of -1.65.
AUDUSD: Spot at 0.7300, fair value at 0.7485, z-score of -1.61.
NZDUSD: Spot at 0.6620, fair value at 0.6887, z-score of -1.49.
USDJPY: Spot at 110.60, fair value at 109.16, z-score of 0.65.
EURGBP: Spot at 0.8970, fair value at 0.8864, z-score of 0.66.
EURNOK: Spot at 9.6520, fair value at 9.5160, z-score of 1.18.
USDCAD: Spot at 1.3070, fair value at 1.2846, z-score of 1.79.
EURSEK: Spot at 10.4660, fair value at 10.1471, z-score of 2.80.

CEEMEA Currencies

EURCZK: Spot at 25.7360, fair value at 25.8065, z-score of -0.76.
EURRON: Spot at 4.6560, fair value at 4.6543, z-score of 0.12.
USDTRY: Spot at 6.0670, fair value at 6.0477, z-score of 0.15.
USDRUB: Spot at 67.0080, fair value at 66.6795, z-score of 0.43.
EURHUF: Spot at 323.60, fair value at 322.76, z-score of 0.69.
EURPLN: Spot at 4.3030, fair value at 4.2863, z-score of 0.71.
USDZAR: Spot at 14.6680, fair value at 14.2265, z-score of 2.39.
USDILS: Spot at 3.6700, fair value at 3.5991, z-score of 2.53.

Latin America Currencies

USDMXN: Spot at 18.9150, fair value at 19.1475, z-score of -1.37.
USDBRL: Spot at 3.9100, fair value at 3.8410, z-score of 1.31.
USDCLP: Spot at 670.30, fair value at 664.10, z-score of 1.54.
USDPEN: Spot at 3.3120, fair value at 3.2927, z-score of 1.64.
USDCOP: Spot at 3020, fair value at 2941, z-score of 2.67.

Key Observations

The EUR is considered oversold, leading to long positions in EURUSD and EURCHF.
Emerging Markets (EM) currencies are broadly oversold, prompting short positions in USDZAR, USDIDR, USDCLP, and USDCOP.
The model uses a co-integration filter to assess convergence confidence, with signals being cancelled if they open back within the +/-1.5 z-score corridor.
The z-scores indicate the deviation from the short-term value, with positive values suggesting the currency is overbought and negative values suggesting it is oversold.
The fair values for some EM pairs have increased due to local equity markets decoupling from recent market trends.

Driving Factors

The EUR is seen as undervalued since early August, with recent convergence signals indicating potential for recovery.
EM currencies are overbought, with fair values rising as local equity markets diverge from broader trends.
The STEER™ model uses a combination of fair value estimates and z-scores to determine trading signals, emphasizing the importance of co-integration analysis in its decision-making process.

FX Strategy Contacts

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London branch.
Natalie Rickard: FX Strategist, BNP Paribas London branch.
Alex Jekov, Graduate: BNP Paribas London branch.
Kris Giini, Graduate: BNP Paribas London branch.
Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, BNP Paribas London branch.
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Banco BNP Paribas Brasil S.A. (Sao Paulo).
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul).
Gabriel Gersztein: Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo).
Samuel Castro: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo).
Luca Maia: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo).
Andre Digiacomo: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo).

Legal and Disclaimer Notes

This document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication and not investment research for the purposes of MiFID II.
The information and opinions are based on public sources and may not be independently verified.
BNPP does not provide investment, financial, legal, or tax advice.
Past performance is not indicative of future results.
The indicative prices and returns may vary based on different models and assumptions.
All information is subject to change and not guaranteed to be accurate or complete.
The document does not constitute a prospectus or public offering and is for informational purposes only.

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