20180625-法国巴黎银行-FX_QUANT_DAILY_BNP_PARIBAS_STEER_18页_1mb

FX STRATEGY | FX QUANT DAILY - BNP Paribas STEER™ Model Summary

Core Content Overview

This document provides the latest trading signals and analysis from the BNP Paribas STEER™ Model, a proprietary model used for generating FX trading strategies. The report is dated 25 June 2018 and includes signals for G10 currencies, CEEMEA (Central and Eastern European Markets), Asia, and Latin America. It also outlines the driving factors behind the current market positions and includes legal and disclosure information relevant to the use of the document.

Trading Signals (25-Jun-18)

New Signals

• Short USDCAD

  • Entry Rate: 1.3303
  • Target: 1.3095
  • Stop Loss: 1.3408
  • Return: 0.00%

• Long USDBRL

  • Entry Rate: 3.7856
  • Target: 3.8297
  • Stop Loss: 3.7635
  • Return: 0.00%

Closed Signals (Today)

• No closed signals reported for the day.

Existing Signals (From Previous Days)

• Long EURCHF (18-Jun-18)

  • Entry Rate: 1.1555
  • Target: 1.1737
  • Stop Loss: 1.1453
  • Return: -0.43%

• Long USDBRL (20-Jun-18)

  • Entry Rate: 3.7446
  • Exit Rate: 3.7231 (20-Jun-18)
  • Return: -0.57%

• Short USDKRW (20-Jun-18)

  • Entry Rate: 1105.30
  • Exit Rate: 1108.55 (21-Jun-18)
  • Return: -0.29%

• Short USDTWD (21-Jun-18)

  • Entry Rate: 30.29
  • Exit Rate: 30.2980 (22-Jun-18)
  • Return: -0.03%

Key Market Analysis

G10 Currency Analysis

• USDCAD is identified as the most overvalued G10 pair. The model suggests a short position due to the extreme appreciation in spot, which appears to be out of line with the fair value of 1.3095.
• EURCHF remains a long position with a target of 1.1737, as the model suggests cointegration may allow for further appreciation.
• USDBRL is in a long position, indicating that the model believes the pair is overbought based on short-term fundamentals.
• Other G10 currencies are analyzed using z-scores, which measure deviation from short-term value:
  • GBPUSD: z-score = -2.35 (-3.30%)
  • EURCHF: z-score = -1.84 (-2.00%)
  • NZDUSD: z-score = -1.80 (-4.08%)
  • EURUSD: z-score = -1.09 (-1.66%)
  • AUDUSD: z-score = -0.41 (-0.55%)
  • EURSEK: z-score = 0.56 (0.58%)
  • EURNOK: z-score = 0.66 (0.81%)
  • USDJPY: z-score = 0.76 (1.35%)
  • EURGBP: z-score = 0.84 (1.58%)

CEEMEA Currency Analysis

• USDTRY: z-score = -1.77 (-1.89%)
• USDILS: z-score = -0.69 (-0.48%)
• EURHUF: z-score = 0.39 (0.14%)
• EURPLN: z-score = 0.45 (0.24%)
• EURRON: z-score = 0.53 (0.12%)
• USDRUB: z-score = 0.60 (0.62%)
• EURCZK: z-score = 0.95 (0.33%)
• USDZAR: z-score = 0.95 (1.29%)

Asia Currency Analysis

• USDMYR: z-score = -1.00 (-0.66%)
• USDPHP: z-score = -0.11 (-0.10%)
• USDIDR: z-score = 0.15 (0.10%)
• USDINR: z-score = 0.93 (0.97%)
• USDSGD: z-score = 1.03 (0.63%)
• USDTHB: z-score = 1.16 (0.71%)
• USDTWD: z-score = 2.25 (1.70%)
• USDKRW: z-score = 3.20 (1.98%)

Latin America Currency Analysis

• USDBRL: z-score = -1.82 (-2.13%)
• USDCLP: z-score = -1.28 (-0.99%)
• USDPEN: z-score = -1.09 (-0.40%)
• USDCOP: z-score = -0.31 (-0.30%)
• USDMXN: z-score = 0.40 (0.37%)

Driving Factors Behind the Moves

• The model highlights that USDCAD is overvalued due to the decline in Canadian front-end rates relative to the US, leading to an extreme appreciation in spot.
• EURCHF is seen as undervalued, with the return of cointegration suggesting potential for appreciation.
• USDBRL is considered overbought, with the model indicating that the recovery in the BRL may not be justified by short-term fundamentals.
• Other currencies are evaluated based on their deviation from short-term fair value and the model's z-score thresholds.

Legal and Disclosure Information

• The document is a non-independent research communication and is intended for Relevant Persons (Professional Clients, Eligible Counterparties, etc.).
• It does not constitute investment research or a prospectus, and may not be suitable for retail investors.
• STEER™ is a registered trademark of BNP Paribas.
• The content is not guaranteed to be accurate or complete and is based on public sources.
• There may be conflicts of interest due to BNPP's role in trading or advising on the instruments discussed.
• No liability is accepted for any losses resulting from reliance on this document.
• The indicative prices provided are not actual transaction terms and are subject to change.
• The z-score is used to determine whether a currency pair is over or undervalued, with a dotted line indicating the co-integration filter has not been passed.

Contact Information

Online Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• BNP Paribas Strategy Website: www.baogaoba.xyz (exclusive collection, daily updates, free sharing)

Bloomberg References

• Fixed Income Research: BPFR
• Emerging Markets Research: BPFR
• G10 Interest Rate Research: BPBS
• Market Economics: BPEC

Important Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: Investors should consider investment objectives, risks, and fees before investing.
• Back-testing: Performance data is simulated and not indicative of future results.
• Confidentiality: The information is provided on a strictly confidential basis.
• Legal Restrictions: The document is not intended for distribution to retail investors and may not be used for investment decisions without proper authorization.

Summary of Key Points

• The STEER™ Model generates trading signals based on z-scores and fair value calculations.
• USDCAD is overvalued, leading to a short signal.
• EURCHF and USDBRL are long positions, with EURCHF showing potential for appreciation.
• The model provides indicative prices and targets, which are not guaranteed.
• Legal and regulatory disclaimers emphasize the non-independent nature of the research and the confidentiality of the information.
• The document is intended for professional clients and is not suitable for retail investors.