20140428-巴黎银行证券-BNP_Paribas_STEER_11页_682kb

BNP Paribas STEER™ Summary (28 April 2014)

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the over- or under-valuation of currency pairs against their fair value. It measures the deviation using a z-score and provides trading signals based on the model's analysis. The model is not independent investment research and is subject to potential conflicts of interest.

Main Views and Key Information

G10 Currency Pairs

• EURUSD

  • Spot: 1.3820
  • Fair Value: 1.3731
  • Deviation: 1.18 (1.01%)
  • Signal: Bearish (↓)
  • Target: 1.3731
  • Stop Loss: 1.3986
  • Entry Date: 1.3895
  • EURUSD remains overvalued, and the bearish signal is still active.

• GBPUSD

  • Spot: 1.6790
  • Fair Value: 1.6540
  • Deviation: 1.73 (1.81%)
  • Signal: Bearish (↓)
  • Stop Loss Triggered: 28 April
  • GBPUSD was overvalued, but the signal has been triggered and is now side-lined.

• AUDUSD

  • Spot: 0.9290
  • Fair Value: 0.9190
  • Deviation: 0.50 (1.09%)
  • Signal: Bearish (↓)
  • Target: 0.9193
  • Stop Loss: 0.9464
  • Entry Date: 0.9317
  • AUDUSD is moderately overvalued, with a bearish signal still active.

• USDJPY

  • Spot: 102.20
  • Fair Value: 103.00
  • Deviation: -0.45 (-0.78%)
  • Signal: No signal
  • No target or stop loss provided.

• USDCAD

  • Spot: 1.1030
  • Fair Value: 1.1060
  • Deviation: -0.20 (-0.27%)
  • Signal: No signal
  • No target or stop loss provided.

• EURSEK

  • Spot: 9.1070
  • Fair Value: 9.0270
  • Deviation: 1.13 (0.89%)
  • Signal: No signal
  • EURSEK is trading above its fair value but has not triggered a bearish signal.

CEEMEA Currency Pairs

• EURPLN

  • Spot: 4.2080
  • Fair Value: 4.1720
  • Deviation: 1.77 (0.86%)
  • Signal: Bullish (↑)
  • Target: 4.1720
  • EURPLN is significantly overvalued and vulnerable to a downward move.

• EURRON

  • Spot: 4.4520
  • Fair Value: 4.4810
  • Deviation: -1.20 (-0.65%)
  • Signal: Bullish (↑)
  • Target: 4.4730
  • EURRON has a bullish signal with a target of 4.4730.

• USDZAR

  • Spot: 10.6630
  • Fair Value: 10.5030
  • Deviation: 0.88 (1.52%)
  • Signal: No signal
  • No target or stop loss provided.

• USDTRY

  • Spot: 2.1370
  • Fair Value: 2.1080
  • Deviation: 1.04 (1.38%)
  • Signal: No signal
  • No target or stop loss provided.

• USDILS

  • Spot: 3.4790
  • Fair Value: 3.4740
  • Deviation: 0.36 (0.14%)
  • Signal: No signal
  • No target or stop loss provided.

• USDRUB

  • Spot: 36.0720
  • Fair Value: 36.8540
  • Deviation: -1.59 (-2.12%)
  • Signal: Bearish (↓)
  • Does not pass 'cointegration filter'
  • USDRUB is undervalued but not recommended for trading due to statistical issues.

Asia Currency Pairs

• USDKRW

  • Spot: 1035
  • Fair Value: 1056
  • Deviation: -2.62 (-1.99%)
  • Signal: Bullish (↑)
  • Target: 1045.27
  • Stop Loss: 1033.82
  • Entry Date: 1037.64
  • USDKRW is significantly undervalued with a bullish signal.

• USDTHB

  • Spot: 32.2290
  • Fair Value: 32.2840
  • Deviation: -0.32 (-0.17%)
  • Signal: No signal
  • Reverted back to STEER on 28 April
  • USDTHB has returned to its fair value.

• USDINR

  • Spot: 60.5080
  • Fair Value: 60.2440
  • Deviation: 0.72 (0.44%)
  • Signal: Bearish (↓)
  • Take profit triggered on 28 April
  • USDINR has moved back in line with its fair value.

• USDMYR

  • Spot: 3.2700
  • Fair Value: 3.2810
  • Deviation: -0.38 (-0.34%)
  • Signal: No signal
  • No target or stop loss provided.

• USDIDR

  • Spot: 11633
  • Fair Value: 11387
  • Deviation: 1.39 (2.16%)
  • Signal: No signal
  • No target or stop loss provided.

• USDSGD

  • Spot: 1.2560
  • Fair Value: 1.2540
  • Deviation: 0.42 (0.16%)
  • Signal: No signal
  • No target or stop loss provided.

• USDPHP

  • Spot: 44.5750
  • Fair Value: 44.4340
  • Deviation: 0.33 (0.32%)
  • Signal: No signal
  • No target or stop loss provided.

• USDTWD

  • Spot: 30.2670
  • Fair Value: 30.3760
  • Deviation: -0.61 (-0.36%)
  • Signal: No signal
  • No target or stop loss provided.

Latin America Currency Pairs

• USDBRL

  • Spot: 2.2440
  • Fair Value: 2.2210
  • Deviation: 1.29 (1.04%)
  • Signal: No signal
  • No target or stop loss provided.

• USDCLP

  • Spot: 560.40
  • Fair Value: 553.90
  • Deviation: 1.34 (1.17%)
  • Signal: No signal
  • No target or stop loss provided.

• USDMXN

  • Spot: 13.1330
  • Fair Value: 13.2160
  • Deviation: -1.01 (-0.63%)
  • Signal: No signal
  • No target or stop loss provided.

• USDPEN

  • Spot: 2.8030
  • Fair Value: 2.7880
  • Deviation: 1.23 (0.54%)
  • Signal: No signal
  • No target or stop loss provided.

• USDCOP

  • Spot: 1943
  • Fair Value: 1956
  • Deviation: -0.64 (-0.66%)
  • Signal: No signal
  • No target or stop loss provided.

Regime Monitor

• The Regime Monitor assesses the stability of STEER signals by tracking four parameters: stability of coefficients, stability of the corridor, cointegration, and regime changes.
• No currency currently has a score above 80, the threshold for trading.
• USDRUB score decreased to 56, but trading is not allowed due to the cointegration filter.
• USDMXN has the highest score at 67, but it is still within the acceptable range.
• The scores for USDINR and USDIDR have increased but remain below the threshold.

Trade History (Last 15 Trades)

Key Themes

• EURUSD has further scope to decline due to overvaluation and US yield increases.
• GBPUSD remains overvalued, but the bearish signal has been triggered and is now side-lined.
• AUDUSD is moderately overvalued with a bearish signal still active.
• EURSEK is overvalued but has not triggered a bearish signal yet.
• USDTHB and USDINR have reverted back to their fair values.
• USDKRW is the most undervalued in Asia with a bullish signal.
• USDCLP and USDBRL are overvalued, but not at significant levels yet.
• The Regime Monitor indicates no currencies are currently at a level that would justify trading based on the threshold of 80.

Conclusion

BNP Paribas STEER™ continues to provide insights into the valuation of currency pairs and offers strategic signals for trading. The model highlights overvaluation in EURUSD, GBPUSD, and AUDUSD, with bearish signals for these pairs. In contrast, USDKRW is undervalued and offers a bullish opportunity. The Regime Monitor suggests that the current environment is relatively stable, and no signals are currently actionable. The report also emphasizes that STEER is not independent investment research and is subject to potential conflicts of interest.