20140616-巴黎银行证券-BNP_Paribas_STEER_11页_651kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a model used to determine the fair value of currency pairs based on interest rate differentials and other macroeconomic factors. It provides trading signals indicating whether a currency is overvalued or undervalued relative to its fair value, with deviations measured in z-scores. A deviation greater than 1.5 is considered significant, suggesting potential exchange rate movements. The model is not independent and is used as a marketing communication tool.

Key Themes and Signals

G10 Currencies

• EURUSD: Trading at 1.3550, slightly above fair value of 1.3540. Deviation is 0.04 (0.07%), indicating minimal misvaluation. No trading signal.
• GBPUSD: Trading at 1.7000, below fair value of 1.7120. Deviation is -0.81 (-0.70%), suggesting a bearish signal. The signal was closed on 13 June.
• USDJPY: Trading at 101.80, below fair value of 102.80. Deviation is -0.72 (-0.97%), indicating a potential rise to 102.77.
• AUDUSD: Trading at 0.9410, above fair value of 0.9090. Deviation is 1.86 (3.52%), suggesting a bearish signal with a target of 0.9094.
• NZDUSD: Trading at 0.8690, above fair value of 0.8500. Deviation is 2.10 (2.24%), indicating a bearish signal with a target of 0.8502.
• USDCAD: Trading at 1.0840, below fair value of 1.1080. Deviation is -1.91 (-2.17%), suggesting a potential rise to 1.1084.
• EURGBP: Trading at 0.7970, slightly above fair value of 0.7910. Deviation is 0.68 (0.76%), no signal.
• EURCHF: Trading at 1.2180, slightly below fair value of 1.2190. Deviation is -0.24 (-0.08%), no signal.
• EURNOK: Trading at 8.1220, slightly below fair value of 8.1410. Deviation is -0.15 (-0.23%), no signal.
• EURSEK: Trading at 9.0000, slightly below fair value of 9.0200. Deviation is -0.27 (-0.22%), no signal.

CEEMEA

• EURPLN: Trading at 4.1460, slightly above fair value of 4.1450. Deviation is 0.04 (0.02%), no signal.
• EURCZK: Trading at 27.4350, slightly above fair value of 27.3990. Deviation is 0.64 (0.13%), no signal.
• EURHUF: Trading at 307.30, slightly above fair value of 305.40. Deviation is 0.99 (0.62%), no signal.
• EURRON: Trading at 4.3930, slightly above fair value of 4.3660. Deviation is 1.08 (0.62%), no signal.
• USDZAR: Trading at 10.7560, above fair value of 10.4490. Deviation is 2.16 (2.94%), suggesting a bearish signal with a target of 10.61.
• USDTRY: Trading at 2.1380, above fair value of 2.0790. Deviation is 2.17 (2.84%), suggesting a bearish signal. The stop-loss was triggered on 12-Mar-14.
• USDILS: Trading at 3.4620, slightly above fair value of 3.4560. Deviation is 0.45 (0.17%), no signal.
• USDRUB: Trading at 34.6090, above fair value of 33.9210. Deviation is 1.62 (2.03%), suggesting a bearish signal. The model does not pass the cointegration filter, so trading is not recommended.
• USDIDR: Trading at 11862, above fair value of 11496. Deviation is 2.16 (3.18%), suggesting a bearish signal. The model does not pass the cointegration filter, so trading is not recommended.
• USDINR: Trading at 59.9740, above fair value of 58.3830. Deviation is 3.48 (2.73%), suggesting a bearish signal. The model does not pass the cointegration filter, so trading is not recommended.

Asia

• USDKRW: Trading at 1020, slightly below fair value of 1025. Deviation is -0.41 (-0.49%), no signal.
• USDMYR: Trading at 3.2240, slightly above fair value of 3.2180. Deviation is 0.37 (0.19%), no signal.
• USDIDR: Trading at 11862, above fair value of 11496. Deviation is 2.16 (3.18%), suggesting a bearish signal. Model does not pass the cointegration filter.
• USDINR: Trading at 59.9740, above fair value of 58.3830. Deviation is 3.48 (2.73%), suggesting a bearish signal. Model does not pass the cointegration filter.
• USDTHB: Trading at 32.3620, slightly above fair value of 32.2880. Deviation is 0.46 (0.23%), no signal.
• USDSGD: Trading at 1.2500, slightly above fair value of 1.2480. Deviation is 0.38 (0.16%), no signal.
• USDPHP: Trading at 43.8560, above fair value of 43.4310. Deviation is 1.53 (0.98%), suggesting a bearish signal. Model does not pass the cointegration filter.
• USDTWD: Trading at 29.9990, slightly below fair value of 30.2980. Deviation is -2.21 (-0.99%), suggesting a bullish signal with potential profit less than minimum gain.

Latin America

• USDBRL: Trading at 2.2240, slightly above fair value of 2.2130. Deviation is 0.64 (0.50%), no signal.
• USDCLP: Trading at 556.70, slightly below fair value of 563.60. Deviation is -1.27 (-1.22%), no signal.
• USDMXN: Trading at 13.0310, above fair value of 12.8530. Deviation is 2.62 (1.38%), suggesting a bearish signal with a target of 12.96.
• USDPEN: Trading at 2.7930, slightly above fair value of 2.7770. Deviation is 1.42 (0.58%), no signal.
• USDCOP: Trading at 1882, slightly below fair value of 1913. Deviation is -1.49 (-1.62%), no signal.

STEER Regime Monitor

• The regime monitor evaluates four parameters: coefficient stability, corridor stability, cointegration, and regime change detection via Markov Switching models.
• Currently, no currencies have a score above 80, the threshold for considering trade signals.
• The scores for USDIDR and USDZAR have increased, indicating higher model instability, but remain below the threshold.
• NZDUSD score increased to 64, suggesting some instability, but not enough to prevent trading the bearish signal.

Trade History (Last 15 Trades)

YTD return: 4.44%

Key Points

• The USD is considered cheap against NZD, AUD, and CAD, with bearish signals for USDZAR and USDMXN.
• The model for USDIDR and USDINR does not pass the cointegration filter, so trading these signals is not recommended.
• The regime monitor helps assess the stability of the STEER model and supports discretionary trading decisions.
• The document includes important disclosures and legal information regarding the non-independence of the research and the potential conflicts of interest.