20180219-法国巴黎银行-BNP_Paribas_STEER_15页_777kb

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

Core Content Overview

This document provides FX trading signals and insights from the BNP Paribas STEER™ model as of 19 February 2018. It outlines current and recent trading positions, fair value estimates, and deviation from short-term values in various currency pairs, including G10, CEEMEA, and Latin America currencies. The report also includes notes on the factors influencing these signals and details about the strategy team contacts.

Trading Signals

New Signals (19-Feb-18)

• LONG USDSGD at 1.3119, targeting 1.3205, with a stop loss at 1.3076
• LONG USDKRW at 1067.60, targeting 1075.38, with a stop loss at 1063.71

Existing Signals

• SHORT AUDUSD at 0.7965, targeting 0.7797
• LONG USDCAD at 1.2468, targeting 1.2706

Recently Closed Signals

• SHORT USDCOP at 2941.77, closed at 2923.80, return of 0.61%
• SHORT EURHUF at 311.99, closed at 312.80, return of -0.26%
• LONG USDSGD at 1.3190, closed at 1.3148, return of -0.32%
• LONG USDRUB at 56.6512, closed at 56.4119, return of -0.42%

Fair Value and Z-Score Analysis

G10 Currencies

• USDJPY is 3.36 z-scores below its fair value, indicating a potential undervaluation.
• USDCAD is 1.65 z-scores below its fair value, suggesting it is undervalued.
• AUDUSD is 1.26 z-scores above its fair value, indicating overvaluation.
• NZDUSD is 2.62 z-scores above its fair value, showing significant overvaluation.

CEEMEA and Asia Currencies

• USDKRW and USDSGD are both below their fair values, indicating potential undervaluation.
• USDIDR is above its fair value, suggesting overvaluation.

Latin America Currencies

• USDCLP and USDCOP are below their fair values, indicating undervaluation.
• USDPEN is slightly above its fair value, suggesting overvaluation.

Key Insights

• The USDKRW and USDSGD pairs have been initiated as long positions due to their current undervaluation relative to fair value.
• The AUDUSD pair continues to be targeted for a short position, with fair value now influenced more by interest rates than global equities.
• The USDCAD pair remains a long position with a fair value that is 1.7 z-scores undervalued.
• The USDJPY and NZDUSD pairs are significantly undervalued, while USDIDR and USDPHP are overvalued.
• The STEER™ model uses z-scores to measure deviation from fair value and signals potential trades based on these deviations.

Strategy Team Contacts

FX Strategy & Cross-Asset

• Michael Sneyd, CFA – Global Head of FX, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
• Natalie Rickard – FX Strategist, London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg – Head of Emerging Markets Research, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
• Mirza Baig – Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
• Gabriel Gersztein – Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com

Legal and Distribution Notes

• The document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• The information is for professional clients and may not be suitable for all investors.
• BNP Paribas may have financial interests in the currencies mentioned and may engage in transactions that may conflict with the strategy outlined.
• The document contains simulated performance data and should not be relied upon as an indication of future results.
• All information is provided on a confidential basis and must not be distributed without prior consent.