20140818-法国巴黎银行-BNP_Paribas_STEER__11页_707kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to identify over- or under-valuation of currency pairs against their fair value. The model uses a z-score to measure mis-valuation and provides trading signals based on deviations from the STEER. A deviation greater than 1.5 z-scores is considered a significant predictor of exchange rate movements. The report highlights the current status of various currency pairs across G10, CEEMEA, Asia, and Latin America, along with insights from the STEER Regime Monitor and trade history.

Main Views

G10 Currencies

• USDJPY: Currently overvalued at 102.40 (z-score: 1.65, % deviation: 1.59%). The model suggests a bearish signal, targeting 100.95 with a stop-loss at 102.55. The fair value is expected to decline due to the lower US 10y yield.
• GBPUSD: Converged back to its STEER of 1.6750, with a current spot of 1.6730 (z-score: -0.23, % deviation: -0.12%). The model indicates the pair is now in line with its fair value.
• EURSEK: Overvalued at 9.1680 (z-score: 1.12, % deviation: 0.99%). A short signal is maintained, targeting 9.0763 with a stop-loss at 9.3094.
• EURPLN, USDTRY, USDMYR, and USDTWD are mentioned as overvalued or undervalued, with corresponding signals and targets.
• USDCAD, AUDUSD, NZDUSD, and EURGBP are trading in line with their STEER, with no significant trading signals.

CEEMEA

• EURPLN: Overvalued at 4.1960 (z-score: 2.45, % deviation: 0.91%). The model suggests a short signal, targeting a potential profit less than the minimum gain.
• USDTRY: Overvalued at 2.1670 (z-score: 2.19, % deviation: 1.64%). A short signal is maintained, targeting 2.1324 with a stop-loss triggered.
• USDMYR: Undervalued at 3.1480 (z-score: -2.08, % deviation: -1.10%). The model suggests a potential move higher.
• USDTWD: Undervalued at 29.9580 (z-score: -1.50, % deviation: -0.37%). A short signal is suggested, but potential profit is less than the minimum gain.
• USDZAR and USDILS are near their STEER with no significant signals.

Asia

• USDKRW: Undervalued at 1018 (z-score: -0.94, % deviation: -0.97%). No significant signal.
• USDIDR: Short signal maintained, targeting 11636.
• USDTHB, USDPHP, and USDSGD are trading in line with their STEER, with no significant signals.

Latin America

• USDBRL: Overvalued at 2.2600 (z-score: 1.38, % deviation: 1.03%). The model suggests a short signal, but it was closed with a 0.77% profit.
• USDMXN: Converged to its STEER of 13.0240. A short signal was previously attempted but had mixed results.
• USDCLP and USDPEN are overvalued, with no significant signals.
• USDCOP: Trading near its STEER of 1878 with no significant signal.

Key Information

• Z-score Interpretation: A z-score over 1.5 indicates overvaluation, while below -1.5 indicates undervaluation.
• STEER Regime Monitor: The model tracks four variables to assess the stability of exchange rates. High scores suggest instability in the model.
• Trading Signals:
  • Short positions are recommended for USDJPY, EURSEK, USDTRY, and EURPLN.
  • Long positions are recommended for USDCAD, USDZAR, and USDMYR.
  • Some signals are not actionable due to not meeting the minimum gain criteria.
• Trade History (Last 15 trades):
  • Mixed results with some trades yielding positive returns and others negative.
  • USDTRY and USDMXN had notable performance with both positive and negative outcomes.
  • USDBRL was closed with a profit of 0.77%.
• Model Stability:
  • USDJPY is currently among the most stable models.
  • EURRON and USDILS have shown signs of instability, but remain within the 1.5 z-score corridor.

Trading Recommendations

Notes

• Regime Monitor: Indicates model instability for USDRUB and EURON, but remains below the threshold for trading.
• Overvaluation/Undervaluation: Overvaluation is associated with a bearish signal, while undervaluation suggests a bullish signal.
• Cointegration Filter: Some signals are not reliable due to not passing the cointegration filter.
• Minimum Gain Requirement: The model only trades signals with a potential profit exceeding the minimum gain threshold.

Disclaimer

• This document is marketing communication and not independent investment research.
• It is intended for professional clients only and should not be passed to retail clients.
• BNP Paribas may have financial interests in the mentioned issuers and may be involved in investment banking services.
• No liability is accepted for any loss arising from the use of this information.
• The information is based on public sources and may be subject to change without notice.