20170508-法国巴黎银行-BNP_PARIBAS_STEER_15页_792kb

BNP Paribas FX STRATEGY | FX QUANT INSIGHT Summary (8 May 2017)

Core Content Overview

This document outlines the BNP Paribas STEER™ Model trading signals for the week of 8 May 2017, focusing on G10 currencies, Emerging Markets (EM) currencies, and Asian currencies. The model uses z-scores to assess deviation from short-term fair value (FV) and provides trading positions, entry rates, targets, and stop losses.

Key Trading Signals

New Signals (8 May 2017)

• SHORT USDZAR

  • Entry Rate: 13.4827
  • Target: 13.2478
  • Stop Loss: 13.60013
  • Return: 0.00%

• SHORT USDTWD

  • Entry Rate: 30.1410
  • Target: 29.9254
  • Stop Loss: 30.2488
  • Return: 0.00%

Closed Signals

• LONG NZDUSD (27-Apr-17)

  • Entry Rate: 0.6914
  • Target: 0.7103
  • Stop Loss: 0.6802
  • Return: 0.45%

• SHORT USDJPY (03-May-17)

  • Entry Rate: 112.1300
  • Target: 111.3610
  • Stop Loss: 113.1600
  • Return: -0.40%

• SHORT EURSEK (05-May-17)

  • Entry Rate: 9.7076
  • Target: 9.5851
  • Stop Loss: 9.7981
  • Return: 0.49%

• SHORT EURCHF (25-Apr-17)

  • Entry Rate: 1.0818
  • Target: 1.0730
  • Stop Loss: 1.0891
  • Return: -0.40%

• SHORT USDSGD (05-May-17)

  • Entry Rate: 1.4039
  • Target: 1.3955
  • Stop Loss: 1.4081
  • Return: -0.02%

Main Observations and Key Information

G10 Currencies

• AUDUSD: STEER at 0.7745, Spot at 0.7400, z-score -3.42 (-4.62%)
• NZDUSD: STEER at 0.7103, Spot at 0.6930, z-score -1.66 (-2.50%)
• EURGBP: STEER at 0.8537, Spot at 0.8450, z-score -0.52 (-1.04%)
• EURUSD: STEER at 1.0955, Spot at 1.0960, z-score 0.08 (0.07%)
• GBPUSD: STEER at 1.2832, Spot at 1.2980, z-score 0.45 (1.10%)
• EURSEK: STEER at 9.5851, Spot at 9.6610, z-score 0.73 (0.79%)
• USDCAD: STEER at 1.3562, Spot at 1.3670, z-score 0.91 (0.79%)
• USDJPY: STEER at 111.36, Spot at 112.60, z-score 1.06 (1.10%)
• EURCHF: STEER at 1.0730, Spot at 1.0860, z-score 1.66 (1.22%)
• EURNOK: STEER at 9.3574, Spot at 9.4770, z-score 1.69 (1.26%)

Emerging Markets (EM) Currencies

• USDZAR: STEER at 12.9987, Spot at 13.5000, z-score 2.13 (3.71%)
• USDTWD: STEER at 29.7716, Spot at 30.1510, z-score 1.76 (1.26%)
• USDSGD: STEER at 1.3855, Spot at 1.4040, z-score 2.19 (1.34%)
• USDCAD: STEER at 1.3562, Spot at 1.3670, z-score 0.91 (0.79%)
• USDILS: STEER at 3.5936, Spot at 3.6000, z-score 0.54 (0.26%)
• USDKRW: STEER at 1107, Spot at 1131, z-score 1.86 (2.16%)
• USDINR: STEER at 64.3050, Spot at 64.2350, z-score -0.18 (-0.11%)
• USDIDR: STEER at 13348, Spot at 13361, z-score 0.23 (0.10%)
• USDPHP: STEER at 50.1646, Spot at 49.8680, z-score -1.72 (-0.59%)
• USDMYR: STEER at 4.3657, Spot at 4.3360, z-score -1.29 (-0.67%)

Latin America Currencies

• USDMXN: STEER at 18.8669, Spot at 18.9740, z-score 0.56 (0.57%)
• USDCLP: STEER at 665.32, Spot at 672.10, z-score 0.84 (1.01%)
• USDPEN: STEER at 3.2489, Spot at 3.2700, z-score 1.04 (0.64%)
• USDBRL: STEER at 3.1463, Spot at 3.1780, z-score 1.08 (0.98%)
• USDCOP: STEER at 2911, Spot at 2949, z-score 1.88 (1.30%)

Notes and Analysis

• Commodity Currencies: Many commodity currencies (e.g., AUD, NZD, ZAR, RUB) appear oversold, with the STEER model indicating short positions.
• USD Overvaluation: USD is overvalued versus several G10 and EM currencies, leading to short signals for USDZAR, USDTWD, and USDSGD.
• ZAR and RUB: The ZAR and RUB are particularly oversold, with the model triggering short positions for USDZAR.
• EUR Against SEK and CHF: EUR is overvalued against SEK and CHF, with short signals maintained.
• STEER Model: The model uses z-scores to identify deviations from fair value, with the dotted line indicating when the model does not pass the co-integration filter.

Key Trading Positions

• Long NZDUSD
• Short USDJPY
• Short EURSEK
• Short EURCHF
• Short USDSGD
• Short USDZAR
• Short USDTWD

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA – Macro Quantitative Strategist, London
• Steven Saywell – Global Head of FX Strategy, London
• Sam Lynton-Brown – FX Strategist, London
• Clara Leonard – FX Strategist, London
• Natalie Rickard – 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 – Global Head of EM Strategy, London
• Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig – Head of FX & IR Asia Strategy, Singapore
• Altaz Daga – AU/NZ IR Strategist, Singapore
• Kun Shan – China Strategist, Shanghai
• Tianhe Ji – China Strategist, Shanghai
• 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

Legal and Disclaimer Information

• This document is non-independent research and not investment research for the purposes of MiFID.
• It is a marketing communication intended for Professional Clients and Eligible Counterparties.
• STEER™ is a trademark of BNP Paribas.
• No liability is accepted for any use of the information or reliance on it.
• No guarantees are made regarding the accuracy, completeness, or fitness for a particular purpose.
• Simulated performance is not indicative of future results and may not reflect real market conditions.
• Confidentiality: The document is provided on a strictly confidential basis and may not be distributed without prior written consent.
• Conflicts of Interest: BNP Paribas may have financial interests in the securities discussed and may engage in transactions inconsistent with the views expressed in this document.
• ETF Disclosures: ETFs discussed in this document carry risks including tracking error, currency, and geopolitical risks, and are subject to conflicts of interest.

Conclusion

The BNP Paribas STEER™ Model indicates short positions for USDZAR and USDTWD due to overvaluation, while long positions are maintained for NZDUSD. The model also highlights that commodity currencies are oversold, and USD is overvalued against several G10 and EM currencies. The z-scores are used to measure deviation from fair value, with some currencies showing significant overvaluation or undervaluation. The document serves as a trading guide and is subject to legal disclaimers regarding the use of its contents.