20161114-法国巴黎银行-BNP_Paribas_STEER_14页_730kb
报告摘要
FX STRATEGY | FX QUANT DAILY - BNP Paribas STEER™ Summary
Core Content
The BNP Paribas STEER™ Model provides daily trading signals for various currency pairs, highlighting potential short-term movements based on market analysis and the model's predictive framework. The document includes signals for G10 currencies, Emerging Markets (EM), and Latin America (Latam) pairs, with an emphasis on the relative value and deviation from short-term value (z-score). It also outlines the contacts for the strategy teams and includes disclaimers regarding the nature of the document as marketing communication rather than independent investment research.
Trading Signals
New Signals (14 November 2016)
- LONG EURUSD: Targeting 1.1115, entry rate 1.0758, stop loss at 1.0580
- SHORT USDCAD: Targeting 1.3378, entry rate 1.3566, stop loss at 1.3661
- SHORT USDZAR: Targeting 14.2250, entry rate 14.4820, stop loss at 14.6105
- SHORT USDRUB: Targeting 65.3749, entry rate 65.9122, stop loss at 66.1808
- SHORT USDCLP: Targeting 665.2915, entry rate 669.3200, stop loss at 671.3342
Closed Signals
- LONG GBPUSD: Entry rate 1.2429, target 1.3162, stop loss 1.2164, return 0.53%
- LONG USDJPY: Entry rate 106.7000, target 111.6260, stop loss 104.8600, return 1.16%
- LONG EURNOK: Entry rate 9.0564, target 9.2534, stop loss 8.9608, return 0.46%
Deviation from Short-Term Value (Z-Score)
G10 Currencies
| Currency | STEER | Spot | Z-Score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURCHF | 1.0888 | 1.0690 | -2.56(-1.86%) | 1.1004 | 1.0771 |
| USDJPY | 111.63 | 107.70 | -2.00(-3.65%) | 114.5727 | 108.6792 |
| GBPUSD | 1.3162 | 1.2510 | -1.93(-5.24%) | 1.3619 | 1.2705 |
| EURNOK | 9.2534 | 9.1000 | -1.49(-1.68%) | 9.4072 | 9.0997 |
| AUDUSD | 0.7493 | 0.7540 | 0.55(0.66%) | 0.7629 | 0.7357 |
| NZDUSD | 0.7019 | 0.7090 | 0.65(1.02%) | 0.7186 | 0.6852 |
| EURGBP | 0.8445 | 0.8610 | 0.98(1.91%) | 0.8697 | 0.8193 |
| USDCAD | 1.3378 | 1.3570 | 1.51(1.39%) | 1.3566 | 1.3191 |
| EURUSD | 1.1115 | 1.0770 | 8.28(-3.24%) | 1.1355 | 1.0875 |
Emerging Markets (EM)
| Currency | STEER | Spot | Z-Score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURCZK | 27.0181 | 27.0220 | 0.27(0.01%) | 27.0398 | 26.9964 |
| USDILS | 3.8224 | 3.8540 | 0.56(0.83%) | 3.9079 | 3.7370 |
| EURHUF | 307.76 | 309.30 | 1.05(0.50%) | 309.9730 | 305.5404 |
| EURRON | 4.4947 | 4.5140 | 1.44(0.42%) | 4.5143 | 4.4752 |
| USDZAR | 14.0346 | 14.4820 | 1.74(3.09%) | 14.4202 | 13.6490 |
| USDRUB | 64.8408 | 65.8650 | 1.91(1.55%) | 65.6467 | 64.0349 |
| USDTRY | 3.1517 | 3.2790 | 2.45(3.89%) | 3.2300 | 3.0734 |
| EURPLN | 4.3071 | 4.4020 | 3.60(2.15%) | 4.3465 | 4.2677 |
Latin America (Latam)
| Currency | STEER | Spot | Z-Score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDCOP | 3139 | 3032 | -3.72(-3.52%) | 3181.9794 | 3095.7724 |
| USDBRL | 3.4080 | 3.4040 | -0.16(-0.13%) | 3.4502 | 3.3659 |
| USDMXN | 20.9794 | 20.9650 | -0.07(-0.07%) | 21.2787 | 20.6801 |
| USDPEN | 3.3892 | 3.4080 | 0.88(0.55%) | 3.4211 | 3.3573 |
| USDCLP | 660.51 | 669.30 | 2.19(1.32%) | 666.5561 | 654.4708 |
Key Information
- USDJPY: The model indicates potential for a rise to 111.63, driven by the correlation with the relative yield curve steepness between the US and Japan.
- EURUSD: A long position is recommended, targeting 1.1115, with a stop loss at 1.0580.
- USDCAD, USDZAR, USDRUB, USDCLP: Short positions are suggested, indicating overbought conditions in these pairs.
- Z-Score Analysis: The deviation from short-term value is used to assess whether a currency pair is overbought or oversold. A positive z-score suggests the pair is above its short-term value, while a negative z-score suggests it is below.
- Co-Integration Filter: The dotted line in the charts indicates when the model does not pass the co-integration filter, which is used to ensure that the signals are based on statistically significant relationships.
Driving Factors
- USDJPY: Higher US 10-year yields are a key factor for its bullish outlook.
- EM Pairs: Sharp moves in local CDS and equity markets have increased fair values, but USDZAR, USDRUB, and USDCLP are considered overdone.
- Latam Pairs: USDCOP shows a significant deviation, suggesting potential for a decline.
Strategy Contacts
Cross Asset Strategy
- Michael Sneyd, CFA: Macro Quantitative Strategist, London, 44 20 7595 1307, michael.sneyd@uk.bnpparibas.com
- Steven Saywell: Global Head of FX Strategy, London, 44 20 7595 8487, steven.saywell@uk.bnpparibas.com
- Sam Lynton-Brown: FX Strategist, London, 44 20 7595 8467, sam.lynton-brown@uk.bnpparibas.com
- Clara Leonard: FX Strategist, London, 44 20 7595 1424, clara.leonard@uk.bnpparibas.com
- Natalie Rickard: Graduate, London, 44 20 7595 8270, natalie.rickard@uk.bnpparibas.com
- Daniel Katzive, CFA: Head of FX Strategy North America, New York, 1 212 841 2408, daniel.katzive@us.bnpparibas.com
- Vasilis Koutsaftis: FX Options Strategist, New York, 1 212 471 7973, vasilis.koutsaftis@americas.bnpparibas.com
Emerging Markets FX & IR Strategy
- Wike Groenenberg: Global Head of EM Strategy, London, 44 20 7595 8746, wike.groenenberg@uk.bnpparibas.com
- Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, 44 20 7595 8715, piotr.chwiejczak@uk.bnpparibas.com
- Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, 90 216 635 2987, erkin.isik@teb.com.tr
- Mirza Baig: Head of FX & IR Asia Strategy, Singapore, 65 6210 3262, mirza.s.baig@asia.bnpparibas.com
- Jennifer Kusuma: FX & IR Asia Strategist, Singapore, 65 6210 3263, jennifer.kusuma@asia.bnpparibas.com
- Altaz Daga: AU/NZ IR Strategist, Singapore, 65 6210 4994, altaz.dagha@asia.bnpparibas.com
- Kun Shan: China Strategist, Shanghai, 86 21 2896 2773, kun.shan@asia.bnpparibas.com
- Tianhe Ji: China Strategist, Shanghai, 86 21 2896 2785, tianhe.ji@asia.bnpparibas.com
- Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, 55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
- Samuel Castro: FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3492, samuel.castro@br.bnpparibas.com
- Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
Disclaimers
- This document is non-independent research and is intended for marketing communication purposes.
- It is not investment research for the purposes of MiFID and should not be relied upon as such.
- The information is based on public sources and has not been independently verified.
- No liability is accepted for any losses arising from the use of this document.
- The document may include references to past performance, which should not be taken as an indication of future results.
- BNP Paribas may have financial interests in the securities mentioned and may have solicited or performed services for these entities.
- The document is for intended recipients only and may not be reproduced or distributed without prior written consent.
Distribution and Jurisdictional Information
- UK: Distributed by BNP Paribas London Branch.
- France: Distributed by BNP Paribas SA and/or BNP Paribas Arbitrage.
- Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland.
- Belgium: Distributed by BNP Paribas Fortis SA/NV.
- Ireland: Distributed by BNP Paribas S.A., Dublin Branch.
- Netherlands: Distributed by BNP Paribas Fortis SA/NV, Netherlands Branch.
- Portugal: Distributed by BNP Paribas - Sucursal em Portugal.
- Spain: Distributed by BNP Paribas S.A., S.E.
- United States: Distributed to institutional investors by BNP Paribas Securities Corp.
- Brazil: Distributed by Banco BNP Paribas Brasil S.A.
- Israel: No licence to offer investment advice.
- Bahrain: Distributed by BNP Paribas Wholesale Bank Bahrain, licensed and regulated by the Central Bank of Bahrain.
Additional Notes
- The document is not a prospectus and does not constitute an offer to buy or sell securities.
- It is intended for professional clients and eligible counterparties.
- No fiduciary duties are assumed by BNP Paribas towards recipients.
- All estimates and opinions are as of the date of the document and may not be updated.
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