20160817-法国巴黎银行-BNP_Paribas_STEE_Model_Trading_Signals_11页_294kb

报告摘要

BNP Paribas STEERTM Model Summary

Core Content Overview

The BNP Paribas STEERTM Model provides short-term trading signals and valuation insights for various currency pairs, focusing on their deviation from fair value and potential for profit or loss. The model is based on a combination of fundamental and technical analysis, with a particular emphasis on co-integration and market dynamics.

Main Trading Signals

New Signals (17-Aug-16)

SHORT NZDUSD: Target 0.7070, Entry Rate 0.7253, Stop Loss 0.7347
SHORT EURSEK: Target 9.3466, Entry Rate 9.4843, Stop Loss 9.5542
SHORT USDMYR: Target 3.9553, Entry Rate 3.9985, Stop Loss 4.0201
SHORT USDMXN: Target 17.9715, Entry Rate 18.1245, Stop Loss 18.2010

Closed Signals (17-Aug-16)

SHORT USDMXN: Closed at 17.9302, Return 0.83%
LONG USDCOP: Closed at 2929.98, Return -0.42%
SHORT GBPUSD: Closed at 1.2880, Return 1.27%
LONG USDTWD: Closed at 31.2467, Return -0.26%
SHORT USDMXN: Closed at 18.0182, Return 0.81%

Existing Signals

SHORT USDJPY: Entry Rate 102.22, Target 99.0768, Return 1.34%
LONG EUROK: Entry Rate 9.1734, Target 9.2736, Return 0.84%
LONG EURGBP: Entry Rate 0.8402, Target 0.8805, Return 2.98%
LONG USDSGD: Entry Rate 1.3394, Target 1.3507, Return 0.34%

Key Currency Pair Insights

G10 Currencies

EURGBP: STEER at 0.8805, Spot at 0.8640, z-score -0.93
EURSEK: STEER at 9.3466, Spot at 9.4850, z-score 1.54
NZDUSD: STEER at 0.7070, Spot at 0.7260, z-score 1.62
USDTWD: STEER at 31.7143, Spot at 31.4210, z-score -1.70
USDTHB: STEER at 34.8640, Spot at 34.6620, z-score -1.20
USDPHP: STEER at 46.6773, Spot at 46.3910, z-score -0.73
USDINR: STEER at 66.8917, Spot at 66.7650, z-score -0.50
USDSGD: STEER at 1.3480, Spot at 1.3440, z-score -0.42
USDIDR: STEER at 13175, Spot at 13154, z-score -0.18
USDKRW: STEER at 1106, Spot at 1108, z-score 0.22
USDMYR: STEER at 3.9312, Spot at 3.9980, z-score 1.54

CEEMEA Currencies

EURHUF: STEER at 312.89, Spot at 310.00, z-score -1.95
EURRON: STEER at 4.4797, Spot at 4.4600, z-score -1.70
USDZAR: STEER at 13.6501, Spot at 13.4190, z-score -1.07
EURPLN: STEER at 4.2988, Spot at 4.2720, z-score -0.87
USDTRY: STEER at 2.9565, Spot at 2.9350, z-score -0.74
EURCZK: STEER at 27.0260, Spot at 27.0180, z-score -0.40
USDILS: STEER at 3.7763, Spot at 3.7830, z-score 0.20
USDRUB: STEER at 63.6078, Spot at 63.9320, z-score 0.45

Latin America Currencies

USDCOP: STEER at 2918, Spot at 2902, z-score -0.63
USDPEN: STEER at 3.3122, Spot at 3.3070, z-score -0.16
USDCLP: STEER at 649.82, Spot at 651.60, z-score 0.49
USDBRL: STEER at 3.1546, Spot at 3.2020, z-score 1.35
USDMXN: STEER at 17.7370, Spot at 18.1060, z-score 2.41

Key Points and Insights

The model identifies overvalued and undervalued currency pairs based on z-scores, which reflect the deviation from short-term fair value.
NZDUSD is overvalued, with a z-score of 1.62, suggesting a potential decline.
EURSEK and USDMYR are overvalued, with z-scores of 1.54 and 1.54 respectively, prompting short positions.
USDMXN is seen as overvalued, with multiple short signals indicating potential for further decline.
The model highlights the influence of market factors such as equity performance, oil prices, and macroeconomic indicators on currency valuations.

Key Factors Influencing the Model

NZDUSD: Overvalued due to local equity market weakness.
EURSEK: Overvalued based on recent market dynamics.
USDMYR: Overvalued due to oil price movements and local equity performance.
USDMXN: Overvalued following a 10% rise in Mexican equities, leading to short positions.
EURGBP: Overvalued with a z-score of -0.93, suggesting a potential decline.
USDTRY: Overvalued with a z-score of -0.74, indicating a short signal.
USDCOP: Overvalued with a z-score of -0.63, leading to a short position.
USDCLP: Undervalued with a z-score of 0.49, indicating a potential rise.
USDBRL: Overvalued with a z-score of 1.35, suggesting a short signal.
USDMXN: Overvalued with a z-score of 2.41, indicating a short position.

Contacts and Strategy Teams

Global Head of FX Strategy: Steven Saywell, London
FX Strategist & Lead Quant Strategist: Michael Sneyd, London
FX Strategist: Sam Lynton-Brown, London
Head of FX Strategy North America: Daniel Katzive, New York
FX Options Strategist: Vasilis Koutsaftis, New York
Global Head of EM Strategy: Wike Groenenberg, London
FX & IR CEEMEA Strategist: Piotr Chwiejczak, London; Erkin Isik, Istanbul
Head of FX & IR Asia Strategy: Mirza Baig, Singapore
FX & IR Asia Strategist: Jennifer Kusuma, Singapore
AU/NZ IR Strategist: Altaz Daga, Singapore
China Strategist: Kun Shan, Shanghai
Head FX & IR Latam Strategy: Gabriel Gersztein, Sao Paulo
FX & IR Latam Strategist: Samuel Castro, Sao Paulo; Gustavo Mendonca, Sao Paulo

Disclaimer and Legal Information

This document is a marketing communication and not independent investment research.
No liability is accepted for any loss or damage resulting from reliance on the information.
The report is intended for professional clients only and not for retail clients.
Information is based on public sources and may be subject to change.
BNP Paribas may have a financial interest in the securities discussed.
The report is for the use of intended recipients and may not be reproduced or distributed without prior written consent.

Distribution and Jurisdiction

United Kingdom: Approved by BNP Paribas London Branch.
France: Approved by BNP Paribas SA.
Germany: Distributed by BNP Paribas London Branch or Frankfurt Branch.
Japan: Distributed by BNP Paribas Securities (Japan) Limited.
Hong Kong: Distributed by BNP Paribas Hong Kong Branch.
Israel: No licence to offer investment advice.
Singapore: Directed to Wholesale clients only.
Australia: Directed to Wholesale clients under Corporations Act 2001.
Brazil: Information only, not an offer or request for investment.
South Korea: Regulated by Financial Supervisory Service and Financial Services Commission.

Conclusion

The STEERTM Model provides strategic insights into currency pairs across G10, CEEMEA, and Latin America, identifying overvalued and undervalued pairs based on z-scores. It highlights potential trading opportunities and the underlying factors influencing currency valuations, including equity market performance, oil prices, and macroeconomic indicators. The model is intended for professional clients and comes with important legal and disclaimers regarding its use and distribution.

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