20170703-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER_15页_773kb

BNP Paribas FX Strategy Summary (3 July 2017)

Core Content Overview

This document outlines the BNP Paribas STEER™ Model's current trading signals and market analysis for various currency pairs across different regions, including G10, CEEMEA, Asia, and Latin America. It also includes details on the model's performance, fair value estimates, and z-score deviations from short-term value. Additionally, it provides contact information for the strategy teams and legal disclaimers regarding the use of the document.

Key Trading Signals

Closed Signals (3 July 2017)

• LONG USDILS: Entered at 3.5101, closed at 3.5004, return of -0.28%
• SHORT EURUSD: Entered at 1.1361, closed at 1.1433, return of -0.63%

Existing Signals (as of 3 July 2017)

• SHORT EURNOK: Entered at 9.5904, target at 9.4150, stop loss at 9.6428, return of 0.75%
• SHORT EURGBP: Entered at 0.8783, target at 0.8684, stop loss at 0.8910, return of 0.14%
• SHORT USDTWD: Entered at 30.451, target at 30.25, stop loss at 30.564, return of 0.07%
• SHORT USDKRW: Entered at 1144.25, target at 1132.40, stop loss at 1150.18, return of -0.22%

Fair Value and Z-Score Analysis

G10 Currencies

• USDJPY: Fair value increased significantly due to rising US 10y yields, narrowing overvaluation to 1.2 z-scores.
• EURNOK: Fair value has fallen further since the trade began, likely due to oil price recovery.
• EURUSD: Appears overbought, with fair value at 1.1203.

CEEMEA Region

• USDILS: STEER remains short, fair value at 3.5249.
• USDKRW: STEER remains short, fair value at 1124.
• EURCZK: Z-score of -2.39 (-1.42%), indicating undervaluation.
• EURRON: Z-score of -1.33 (-0.34%), undervaluation.
• USDZAR: Z-score of -0.82 (-1.38%), undervaluation.
• EURHUF: Z-score of 0.21 (0.10%), slight overvaluation.
• USDRUB: Z-score of 0.91 (1.10%), moderate overvaluation.
• EURPLN: Z-score of 2.31 (1.08%), significant overvaluation.

Asia Region

• USDTWD: STEER remains short, fair value at 30.0958.
• USDKRW: STEER remains short, fair value at 1124.
• USDMYR: Z-score of -1.58 (-0.77%), undervaluation.
• USDTHB: Z-score of -1.15 (-0.66%), undervaluation.
• USDINR: Z-score of -0.42 (-0.19%), undervaluation.
• USDSGD: Z-score of -0.20 (-0.10%), undervaluation.
• USDIDR: Z-score of 2.31 (0.52%), overvaluation.
• USDPHP: Z-score of 2.70 (0.94%), overvaluation.

Latin America Region

• USDMXN: Z-score of 0.81 (0.75%), overvaluation.
• USDBRL: Z-score of 1.18 (0.84%), overvaluation.
• USDPEN: Z-score of 1.85 (1.12%), overvaluation.
• USDCOP: Z-score of 2.26 (1.90%), significant overvaluation.
• USDCLP: Z-score of -0.28 (-0.25%), slight undervaluation.

Key Notes from the Document

• STEER™ continues to signal that EURUSD is overbought.
• The EURNOK fair value has fallen further due to oil price recovery.
• USDJPY fair value has increased, leading to a narrowing overvaluation.
• In Emerging Markets (EM), STEER™ remains short USDTDW and USDKRW.
• The z-scores indicate the deviation from fair value, with higher values indicating overvaluation and lower values indicating undervaluation.
• The model does not pass the co-integration filter in some cases, as indicated by the dotted lines.

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA: Macro Quantitative Strategist, London, Email: michael.sneyd@uk.bnpparibas.com
• Steven Saywell: Global Head of FX Strategy, London, Email: steven.saywell@uk.bnpparibas.com
• Sam Lynton-Brown: FX Strategist, London, Email: sam.lynton-brown@uk.bnpparibas.com
• Clara Leonard: FX Strategist, London, Email: clara.leonard@uk.bnpparibas.com
• Natalie Rickard: Graduate, London, Email: natalie.rickard@uk.bnpparibas.com
• Daniel Katzive, CFA: Head of FX Strategy North America, New York, Email: daniel.katzive@us.bnpparibas.com
• Vasilis Koutsaftis: FX Options Strategist, New York, Email: vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg: Global Head of EM Strategy, London, Email: wike.groenenberg@uk.bnpparibas.com
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Email: piotr.chwiejczak@uk.bnpparibas.com
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Email: erkin.isik@teb.com.tr
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Email: mirza.s.baig@asia.bnpparibas.com
• Altaz Daga: AU/NZ IR Strategist, Singapore, Email: altaz.dagha@asia.bnpparibas.com
• Kun Shan: China Strategist, Shanghai, Email: kun.shan@asia.bnpparibas.com
• Tianhe Ji: China Strategist, Shanghai, Email: tianhe.ji@asia.bnpparibas.com
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Email: gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Email: samuel.castro@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Email: gustavo.mendonca@br.bnpparibas.com

Legal and Disclaimer Information

• This document is non-independent research and is considered a marketing communication.
• It is not investment research and does not constitute an offer to sell or purchase any financial instrument.
• No guarantees are made regarding the accuracy, completeness, or reliability of the information.
• BNP Paribas may have conflicts of interest due to its involvement in trading, investment banking, and advisory services.
• Indicative prices are based on internal models and may not reflect actual market conditions.
• Back-testing is used for performance data, which may not reflect real-world market factors such as liquidity and transaction costs.
• The information is confidential and may not be distributed without prior consent.
• The document is for informational purposes only and does not constitute a prospectus or public offering.