巴黎银行-全球-外汇策略-巴黎银行外汇指南-20180319-18页_1019kb

BNP Paribas STEER™ Model Summary - 19 March 2018

Core Content

The BNP Paribas STEER™ Model provides trading signals and market analysis for various currency pairs, focusing on deviations from short-term value and z-scores. It highlights which currency pairs are overvalued or undervalued relative to the model's fair value estimate, and suggests potential trading opportunities based on these deviations.

Trading Signals

• New Signals: No new trading signals were generated on 19 March 2018.
• Closed Signals:
  • Short USDZAR: Closed at 12.0260 on 19 March 2018 with a return of -0.87%.
  • Short USDTRY: Closed at 3.9262 on 19 March 2018 with a return of -0.79%.
• Existing Signals:
  • Short USDIDR: Open with a target of 13674 and a stop loss at 13824, with a return of -0.24%.
  • Long USDCOP: Open with a target of 2865.82 and a stop loss at 2834.62, with a return of 0.27%.

G10 Currency Analysis

Notes:

• The model currently has no open trading signals for the G10.
• Most pairs are trading close to fair value, except for USDCAD, which is significantly overvalued (z-score of 3.08).
• The majority of G10 pairs are not cointegrated, indicating they may not follow a stable long-term relationship.

Emerging Markets (EM) Analysis

• USD appears undervalued vs COP, but overvalued vs IDR.
• STEER is long USDCOP targeting 2865.82 and short USDIDR targeting 13674.
• Recent Closed Signals:
  • Long USDCOP: Opened on 16 March 2018, closed at 2862.34 with a return of 0.70%.
  • Long EURUSD: Opened on 13 March 2018, closed at 1.2317 with a return of -0.08%.

Latin America Analysis

Notes:

• USDCOP is undervalued (z-score of -2.97), while USDBRL and USDCLP are slightly overvalued.
• The model is long USDCOP and short USDIDR, indicating a preference for COP over IDR.

Asia-Pacific (APAC) Analysis

Notes:

• USDIDR is overvalued with a z-score of 1.10.
• USDPHP is overvalued with a z-score of 1.34.

Driving Factors

• The model uses z-scores to measure deviation from fair value.
• Certain currency pairs, such as USDCAD and USDIDR, are highlighted as being overvalued.
• The model does not pass the co-integration filter for some pairs, indicating that they may not be suitable for trading based on the model's assumptions.

Summary of Key Information

• No new signals were issued on 19 March 2018.
• USDCAD is significantly overvalued, with a z-score of 3.08.
• USDIDR is overvalued, with a z-score of 1.10.
• USDCOP is undervalued, and the model remains long USDCOP.
• USD is undervalued vs COP and overvalued vs IDR in EM.
• The model has closed both USDZAR and USDTRY short positions, resulting in a total loss of 1.66%.
• The STEER™ model is subject to legal and regulatory disclosures, and it is not intended as investment advice or as an independent research report.

Legal and Disclosure Notes

• This document is non-independent research and is for marketing purposes.
• It may be subject to conflicts of interest due to the interaction with sales and trading.
• The information and opinions are based on public sources and may not be independently verified.
• No assurance is given that any transaction will be executed at the indicated prices or that the returns will be achieved.
• Performance data is based on back-testing and may not reflect actual market conditions, including liquidity constraints and transaction costs.
• The document is intended for Relevant Persons as defined under MiFID II and related regulations.
• Confidentiality is required, and the document may not be distributed without prior written consent.

Contact Information

Additional Information

• The document is for informational purposes only and not intended as investment advice.
• No liability is accepted for any use of the information or reliance on it.
• The STEER™ model is a trade mark of BNP Paribas.
• Performance data is based on back-testing and does not reflect actual market conditions.
• The document may contain performance data from simulations, which may not be accurate or indicative of future results.