巴黎银行-全球-外汇策略-巴黎银行外汇行业指南-20180326-18页_931kb

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

Core Content Overview

This document provides an update on the BNP Paribas STEER™ model, which generates trading signals for various currency pairs based on short-term value and z-score deviation from fair value. The model is used to evaluate whether a currency pair is overbought, oversold, or fairly valued, and to suggest potential long or short positions accordingly.

Trading Signals

• New Signals: No new trading signals were issued today.
• Closed Signals:
  • 23-Mar-18: LONG USDIDR closed at 13787, resulting in a -0.27% return.
• Existing Signals:
  • 23-Mar-18: LONG USDRUB is still open. The pair is currently 2.26 z-scores undervalued, with a target at 57.5175 and a stop loss at 56.8996.
• Recently Closed Signals:
  • 21-Mar-18: SHORT USDKRW closed at 1064.77, resulting in a +0.58% return.
  • 20-Mar-18: SHORT EURSEK closed at 10.1704, resulting in a -0.90% return.
  • 22-Mar-18: SHORT USDKRW closed at 1074.03, resulting in a -0.36% return.

G10 Currency Analysis

Key Observations:

• EURSEK is the most undervalued (z-score = 2.63) and is close to triggering a trading signal.
• NZDUSD and USDCAD are also significantly undervalued (z-scores = 1.00 and 1.03, respectively).
• GBPUSD is undervalued by 0.81 z-scores.
• Most G10 pairs are trading in line with their fair values, with EURUSD slightly overvalued (z-score = 0.33).

CEEMEA Currency Analysis

Key Observations:

• USDRUB is 2.26 z-scores undervalued, indicating potential for upward movement.
• USDTRY is 1.42 z-scores undervalued, but not enough to trigger a signal.
• EURPLN and EURCZK are slightly overvalued (z-scores = 1.14 and 1.26, respectively).
• USDZAR is almost at fair value (z-score = -0.01).
• EURRON is slightly undervalued (z-score = 0.48).

Asia Currency Analysis

Key Observations:

• USDIDR is 2.56 z-scores undervalued.
• USDSGD, USDTWD, and USDINR are also undervalued.
• USDTHB is slightly overvalued (z-score = 0.06).
• USDPHP and USDMYR are slightly overvalued (z-scores = 0.53 and 0.72, respectively).

Latin America Currency Analysis

Key Observations:

• USDPEN and USDCOP are significantly undervalued (z-scores = -4.69 and -4.59, respectively).
• USDMXN is slightly undervalued (z-score = -0.71).
• USDBRL is almost at fair value (z-score = -0.18).
• USDCLP is slightly overvalued (z-score = 1.01).

Driving Factors

• USDRUB: Undervalued due to global equity market declines and widening CDS.
• USDTRY: Undervalued due to Turkey's CDS widening.
• EURSEK: Undervalued due to the EURSEK z-score of 2.63.
• USDIDR: Undervalued due to market conditions.
• EURGBP: Slightly undervalued.
• USDPEN: Undervalued due to market conditions.
• USDCOP: Undervalued due to market conditions.

Trading Recommendations

• Long USDRUB: The pair is undervalued and has potential for upward movement.
• No new signals: No trading opportunities were identified today.
• Monitor EURSEK: The pair is close to triggering a signal due to its undervaluation.
• Monitor USDIDR, USDSGD, USDTWD, USDINR: These pairs are undervalued but not enough to trigger a signal.

Disclaimer

This document is a marketing communication and not investment research. It is intended for Relevant Persons and is subject to MiFID II regulations. The information is based on public sources and may not be independently verified. It should not be used as investment advice. The STEER™ model is not guaranteed to be accurate or complete, and indicative prices are based on internal models and assumptions.

Legal and Risk Information

• Conflicts of Interest: BNPP may engage in transactions that are inconsistent with the views expressed.
• Liability Disclaimer: BNPP disclaims any liability for losses arising from the use of this document.
• Performance Data: Back-tested performance is hypothetical and not indicative of future results.
• Regulatory Compliance: This document is not a prospectus or public offering.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, BNP Paribas London Branch, Phone: 44 20 7595 1307
• Natalie Rickard: FX Strategist, BNP Paribas London Branch, Phone: 44 20 7595 8270
• Alex Jekov: Graduate, BNP Paribas London Branch, Phone: 44 20 7595 4185
• Kris Giini: Graduate, BNP Paribas London Branch, Phone: 44 20 7595 8715
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Turk Ekonomi Bank A.S. (Istanbul), Phone: 90 216 635 2987
• Mirza Baig: Head of FX & IR Asia Strategy, BNP Paribas Singapore Branch, Phone: 65 6210 3262
• Dawn Kwa: Graduate, BNP Paribas Singapore Branch, Phone: 65 6210 3263
• Altaz Daga: AU/NZ IR Strategist, BNP Paribas Singapore Branch, Phone: 65 6210 4994
• Kun Shan: China Strategist, BNP Paribas China Limited (Shanghai), Phone: 86 21 2896 2773
• Tianhe Ji: China Strategist, BNP Paribas China Limited (Beijing), Phone: 86 10 6535 0836
• Gabriel Gersztein: Head FX & IR Latam Strategy, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3421
• Samuel Castro: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3492
• Gustavo Mendonca: FX & IR Latam Strategist, Banco BNP Paribas Brasil S.A. (Sao Paulo), Phone: 55 11 3841 3445

Additional Information

• Online: BNP Paribas Global Markets Website
• Bloomberg: Fixed Income Research BPFR, G10 Interest Rate Research BPBS
• Legal Notice: This document is for information purposes only and may not be used for investment decisions without appropriate advice.

Conclusion

The BNP Paribas STEER™ model continues to provide insights into the fair value and deviation of various currency pairs. While USDRUB and EURSEK are currently undervalued, the model does not issue new signals today. The G10 and CEEMEA pairs show mixed conditions, with some slightly overvalued and others undervalued. The Asia and Latin America regions also present some opportunities, though not enough to trigger active trading signals. Investors are advised to consult independent advisors before making any investment decisions.