20180115-法国巴黎银行-BNP_Paribas_STEER_15页_811kb

报告摘要

FX Strategy | FX Quant Insight Summary

Core Content Overview

This document provides FX trading signals and insights based on the BNP Paribas STEER™ Model, highlighting the short-term value and deviation from fair value across various currency pairs. The analysis includes both G10 and Emerging Markets (CEEMEA, Asia, Latin America) currencies, as well as specific trading signals and notes on market conditions and risks.

Trading Signals

New Signals (15-Dec-18)

LONG USDSGD: The model indicates that the decline in USDSGD is overdone, suggesting a potential upward move towards the target of 1.3288.
SHORT USDKRW: USDKRW is expected to decline substantially, with a target of 1054.99.

Closed Signals

SHORT AUDUSD: Closed at 0.7924 on 12-Jan-18, resulting in a -1.01% return.
LONG USDCOP: Closed at 2847.25 on 12-Jan-18, resulting in a -0.21% return.

Existing Signals

SHORT NZDUSD: Targeting 0.7032, with the USD appearing oversold against the commodity bloc.
LONG EUROK: Targeting 9.9022, with EURONOK positively correlated to global equities.

G10 Currency Analysis

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
USDJPY	113.81	110.80	-3.18(-2.74%)	115.2429	112.3805
EURCHF	1.2200	1.1800	-3.01(-3.37%)	1.2398	1.2002
USDCAD	1.2667	1.2440	-2.65(-1.78%)	1.2793	1.2541
EURNOK	9.9022	9.6550	-2.34(-2.56%)	10.0606	9.7437
EURUSD	1.2481	1.2220	-1.80(-2.14%)	1.2699	1.2262
EURGBP	0.9114	0.8890	-1.26(-2.55%)	0.9383	0.8844
EURSEK	9.8334	9.8280	-0.09(-0.06%)	9.9299	9.7369
GBPUSD	1.3694	1.3750	0.44(0.40%)	1.3880	1.3509
AUDUSD	0.7803	0.7950	1.91(1.90%)	0.7921	0.7684
NZDUSD	0.7032	0.7270	2.30(3.28%)	0.7188	0.6877

Key Notes

USD weakness appears overdone in the G10, with USDJPY and USDCAD being the most undervalued pairs.
NZDUSD is shorted, targeting 0.7032, due to overvaluation against the commodity bloc.
USDSGD is seen as overbought, while USDKRW is expected to decline.
EURONOK is longed, with a sharp increase in fair value due to global equity market rally.

CEEMEA and Asia Currency Analysis

CEEMEA

USDTRY: STEER at 3.8943, Spot at 3.7560, z-score -2.80(-3.68%)
USDILS: STEER at 3.4267, Spot at 3.3970, z-score -1.49(-0.87%)
EURHUF: STEER at 309.67, Spot at 308.80, z-score -0.64(-0.29%)
USDZAR: STEER at 12.5002, Spot at 12.3560, z-score -0.45(-1.17%)
USDRUB: STEER at 56.5545, Spot at 56.6430, z-score 0.18(0.16%)
EURPLN: STEER at 4.1561, Spot at 4.1720, z-score 0.69(0.38%)
EURCZK: STEER at 25.4275, Spot at 25.5200, z-score 1.04(0.36%)
EURRON: STEER at 4.6073, Spot at 4.6330, z-score 2.04(0.55%)

Asia

USDSGD: STEER at 1.3327, Spot at 1.3220, z-score -1.60(-0.82%)
USDKRW: STEER at 1048, Spot at 1063, z-score 1.95(1.41%)

Latin America Currency Analysis

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
USDMXN	19.2377	18.9280	-1.82(-1.64%)	19.4934	18.9821
USDBRL	3.2560	3.2060	-1.72(-1.58%)	3.3002	3.2118
USDCOP	2892	2859	-1.72(-1.14%)	2920.3605	2863.2785
USDCLP	610.26	603.20	-1.33(-1.17%)	618.2623	602.2598
USDPEN	3.2171	3.2160	-0.06(-0.02%)	3.2311	3.2031

Key Drivers and Observations

USD weakness is considered overdone, with USDJPY and USDCAD showing significant undervaluation.
NZDUSD is overvalued, and the model remains short, with the selloff in New Zealand equities exacerbating the situation.
USDKRW continues to decline, indicating potential for further downside.
USDSGD has shown a decline that is overdone based on short-term fundamentals.
EURONOK has a sharp increase in fair value due to the rally in global equity markets.
STEER model indicates that EURONOK is positively correlated with global equities.
Z-scores indicate the deviation from short-term fair value, with negative values suggesting undervaluation and positive values suggesting overvaluation.

Legal and Disclaimer Notes

This document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication and not investment research.
It does not constitute an offer to sell or issue securities.
No liability is accepted for any loss arising from reliance on the document.
Indicative prices are not actual transaction terms and are subject to change.
BNP Paribas may have financial interests in the mentioned currencies or engage in transactions inconsistent with the views expressed.
Performance data is based on back-testing and is for illustrative purposes only.
The information is provided for discussion and not for making investment decisions.

Contacts

FX Strategy

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
Sam Lynton-Brown: FX Strategist, London
Natalie Rickard: FX Strategist, London
Alex Jekov: Graduate, London
Daniel Katzive, CFA: Head of FX Strategy North America, New York
Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy

Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
Sai Ulluri: FX & IR CEEMEA Strategist, London
Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
Mirza Baig: Head of FX & IR Asia Strategy, Singapore
Dawn Kwa: Graduate, Singapore
Altaz Daga: AU/NZ IR Strategist, Singapore
Kun Shan: China Strategist, Shanghai
Tianhe Ji: China Strategist, Beijing
Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
Samuel Castro: FX & IR Latam Strategist, Sao Paulo
Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Distribution and Production

Barbara Consuelo: Foreign Exchange, London
Amanda Grantham-Hill: London
Anna McLauchlin: London
Varghese Joseph: New York

Disclaimer

The information is obtained from public sources and not independently verified.
No warranty or guarantee is given regarding the accuracy or completeness of the information.
The document is for informational purposes only and not to be relied upon as authoritative.
It does not constitute a prospectus or public offering.
It is confidential and may not be distributed without prior consent.

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