20181022-法国巴黎银行-MACRO_QUANT_STRATEGY___G10_FX_17页_1mb

BNP PARIBAS STEER™ | GLOBAL Summary (22 October 2018)

Core Content

The document outlines the latest BNP PARIBAS STEER™ trading signals and market analysis for the G10 FX, CEEMEA, and Latin America currency markets. It provides insights into the model's current positions, fair value estimates, and z-score deviations from short-term values, alongside notes on the driving factors behind market movements.

Trading Signals

New Signals

• 22-Oct-18: SHORT EURUSD

  • Entry Rate: 1.1537
  • Target: 1.1248
  • Stop Loss: 1.1685
  • Return: 0.00%

• 22-Oct-18: LONG USDKRW

  • Entry Rate: 1128.45
  • Target: 1135.2582
  • Stop Loss: 1125.0459
  • Return: 0.00%

Recently Closed Signals

• 11-Oct-18: SHORT USDPHP

  • Entry Rate: 54.2250
  • Close Rate: 53.8679
  • Return: 0.66%

• 15-Oct-18: LONG USDMXN

  • Entry Rate: 18.8334
  • Close Rate: 18.7601
  • Return: -0.39%

• 16-Oct-18: SHORT USDRUB

  • Entry Rate: 65.5507
  • Close Rate: 65.8666
  • Return: -0.48%

• 12-Oct-18: SHORT GBPUSD

  • Entry Rate: 1.3232
  • Close Rate: 1.3020
  • Return: 1.60%

• 16-Oct-18: LONG EURGBP

  • Entry Rate: 0.8795
  • Close Rate: 0.8790
  • Return: -0.06%

Market Analysis

G10 FX

• EURUSD: Short signal initiated with a fair value of 1.1248. The front-end rate differential is widening, and the eurozone curve is flattening more than the US curve, leading to a lower fair value. Spot response has been muted.
• USDKRW: Long signal initiated with a fair value of 1140. The pair shows high sensitivity to local and global equities, with spot declining despite fair value stability.
• Z-Score Deviations:
  • EURGBP: -1.06 (-1.62%)
  • USDCAD: -0.33 (-0.31%)
  • AUDUSD: -0.20 (-0.34%)
  • EURNOK: 0.07 (0.07%)
  • EURSEK: 0.26 (0.33%)
  • NZDUSD: 0.52 (1.45%)
  • EURCHF: 0.95 (1.03%)
  • USDJPY: 1.16 (2.32%)
  • GBPUSD: 1.83 (2.47%)

CEEMEA

• EURPLN: STEER at 4.3359, Spot at 4.2940, z-score: -2.18 (-0.98%)
• EURCZK: STEER at 25.9614, Spot at 25.8530, z-score: -0.92 (-0.42%)
• EURHUF: STEER at 323.69, Spot at 322.90, z-score: -0.55 (-0.24%)
• EURRON: STEER at 4.6712, Spot at 4.6670, z-score: -0.32 (-0.09%)
• USDILS: STEER at 3.6426, Spot at 3.6520, z-score: 0.40 (0.27%)
• USDZAR: STEER at 14.2322, Spot at 14.3390, z-score: 0.52 (0.74%)
• USDRUB: STEER at 64.8724, Spot at 65.4750, z-score: 0.96 (0.92%)
• USDTRY: STEER at 5.4802, Spot at 5.6360, z-score: 1.00 (2.76%)

Latin America

• USDCOP: STEER at 3086, Spot at 3078, z-score: -0.32 (-0.25%)
• USDBRL: STEER at 3.7229, Spot at 3.7150, z-score: -0.12 (-0.22%)
• USDCLP: STEER at 678.39, Spot at 680.60, z-score: 0.37 (0.33%)
• USDMXN: STEER at 19.1469, Spot at 19.2530, z-score: 0.74 (0.55%)
• USDPEN: STEER at 3.3123, Spot at 3.3320, z-score: 1.58 (0.58%)

Key Information

• Fair Value (FV): Indicates the model's calculated value for each currency pair, reflecting market conditions and model assumptions.
• Z-Score: Measures the deviation from the short-term value. A z-score above or below the upper or lower bounds suggests potential overvaluation or undervaluation.
• No existing or closed signals are mentioned for the current day (22-Oct-18), but recent closed signals are detailed.
• The STEER™ model is based on quantitative strategies and may involve co-integration filters, as noted by dotted lines in the charts.
• The document includes charts for each currency pair showing their short-term values and deviations from fair value.
• The Legal Notice emphasizes that the document is a marketing communication and not investment research, with disclaimers regarding conflicts of interest, accuracy, and liability.

Driving Factors

• The EURUSD signal is driven by the widening of the front-end rate differential and the flattening of the eurozone curve relative to the US curve.
• The USDKRW signal is influenced by the pair's sensitivity to local and global equities, with spot declining despite stable fair value.
• Other currency pairs are analyzed for their respective market conditions, with z-scores indicating the model's stance on overvaluation or undervaluation.

Strategy Contacts

Production & Editorial Contacts

Legal & Disclaimers

• The document is a marketing communication, not independent research, and may be subject to conflicts of interest.
• No liability is accepted for any loss arising from reliance on the document.
• Performance data may be based on back-testing and is not indicative of future results.
• Indicative prices are based on internal models and may differ from other sources.
• The document is confidential and not to be distributed without prior consent.
• Investment risk is high, and the value of transactions may be volatile.

Online Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES/BNP
• Report Bar: www.baogaoba.xyz (Free Sharing)