20170530-法国巴黎银行-BNP_Paribas_STEER_15页_772kb
报告摘要
BNP Paribas FX Strategy Summary (30 May 2017)
Core Content Overview
This document outlines the BNP Paribas STEER™ FX Strategy for 30 May 2017, detailing current trading signals, deviations from short-term fair value, and insights into market dynamics across different regions. The strategy is based on a quantitative model that assesses market positions and provides entry and exit points for various currency pairs.
Trading Signals
New Signals
- 30-May-17: SHORT USDTWD at 30.2160, targeting 30.0072, with a stop loss at 30.3204.
Existing Signals
- 22-May-17: SHORT EURUSD at 1.1190, targeting 1.0991.
- 23-May-17: LONG USDTRY at 3.5685, targeting 3.6416.
- 26-May-17: LONG USDTHB at 34.0750, targeting 34.2505.
Recently Closed Signals
- 22-May-17: LONG USDTHB at 34.3680, closed at 34.2812 with a return of -0.25%.
- 24-May-17: SHORT USDTWD at 30.2030, closed at 30.1420 with a return of 0.20%.
- 25-May-17: LONG USDMXN at 18.3617, closed at 18.5456 with a return of 1.00%.
Key Market Insights
EURUSD
- The EURUSD is currently trading at 1.1130, with a fair value (FV) of 1.0991.
- The z-score is 1.43 (1.25%), indicating it is above its short-term value.
- STEER remains short EURUSD, suggesting further declines are likely.
- Long EURUSD positioning is considered stretched and vulnerable to unwinding.
EURJPY
- EURJPY is trading at 120.10, which is 2.7% above its STEER fair value of 109.27.
- STEER signals that USDJPY has potential to decline further.
USDTWD
- USDTWD is at 30.2160, with a fair value of 29.8173.
- STEER has triggered a short signal, indicating that the TWD should have strengthened given the rally in Taiwan's equity market.
USDTRY and USDTHB
- STEER remains long USDTRY and USDTHB.
- USDTRY is at 3.5850, with a fair value of 3.5934.
- USDTHB is at 34.1500, with a fair value of 34.5244.
G10 Currency Deviations
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| AUDUSD | 0.7555 | 0.7440 | -1.05(-1.57%) |
| GBPUSD | 1.2816 | 1.2820 | 0.03(0.05%) |
| EURGBP | 0.8576 | 0.8680 | 0.62(1.19%) |
| EURSEK | 9.6500 | 9.7290 | 0.84(0.81%) |
| NZDUSD | 0.6969 | 0.7060 | 0.99(1.28%) |
| USDCAD | 1.3351 | 1.3470 | 1.01(0.89%) |
| EURNOK | 9.3086 | 9.3920 | 1.18(0.89%) |
| USDJPY | 109.27 | 110.80 | 1.19(1.42%) |
| EURUSD | 1.0991 | 1.1130 | 1.43(1.25%) |
| EURCHF | 1.0783 | 1.0890 | 1.41(0.99%) |
Emerging Markets (EM) FX Strategy
CEEMEA Region
- USDTRY: FV = 3.5934, Spot = 3.5850, z-score = -0.11(-0.23%).
- USDTHB: FV = 34.5244, Spot = 34.1500, z-score = -2.11(-1.10%).
- USDTWD: FV = 29.8173, Spot = 30.2160, z-score = 1.92(1.32%).
- USDILS: FV = 3.5861, Spot = 3.5670, z-score = -0.90(-0.54%).
- USDZAR: FV = 12.9273, Spot = 13.0570, z-score = 0.55(0.99%).
- EURCZK: FV = 26.7219, Spot = 26.5130, z-score = -1.51(-0.79%).
- EURHUF: FV = 309.99, Spot = 308.10, z-score = -1.23(-0.60%).
- EURPLN: FV = 4.2002, Spot = 4.1870, z-score = -0.67(-0.30%).
- EURRON: FV = 4.5560, Spot = 4.5640, z-score = 0.59(0.18%).
Asia Region
- USDTHB: FV = 34.5244, Spot = 34.1500, z-score = -2.11(-1.10%).
- USDMYR: FV = 4.3182, Spot = 4.2840, z-score = -1.55(-0.80%).
- USDSGD: FV = 1.3902, Spot = 1.3880, z-score = -0.27(-0.14%).
- USDPHP: FV = 49.9186, Spot = 49.8700, z-score = -0.32(-0.10%).
- USDINR: FV = 64.3975, Spot = 64.6380, z-score = 0.63(0.37%).
- USDIDR: FV = 13324, Spot = 13365, z-score = 0.85(0.31%).
- USDKRW: FV = 1110, Spot = 1125, z-score = 1.12(1.33%).
Latin America Strategy
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| USDMXN | 18.7172 | 18.5370 | -1.00(-0.97%) |
| USDBRL | 3.2589 | 3.2570 | -0.08(-0.06%) |
| USDCLP | 669.49 | 674.60 | 0.75(0.75%) |
| USDPEN | 3.2651 | 3.2840 | 0.99(0.58%) |
| USDCOP | 2862 | 2909 | 1.71(1.59%) |
Key Notes
- The STEER™ model provides signals based on short-term fair value and deviation from it (z-score).
- A z-score above the upper bound or below the lower bound may indicate overbought or oversold conditions.
- The model may not always pass the co-integration filter, as indicated by the dotted lines.
- The strategy is not independent research and may involve conflicts of interest due to interactions with sales and trading.
Strategy Contacts
Cross Asset Strategy
- Michael Sneyd, CFA: Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
- Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
- Sam Lynton-Brown: FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
- Clara Leonard: FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
- Natalie Rickard: Graduate, London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
- Daniel Katzive, CFA: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
- Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com
Emerging Markets FX & IR Strategy
- Wike Groenenberg: Global Head of EM Strategy, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
- Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
- Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
- Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
- Altaz Daga: AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.dagha@asia.bnpparibas.com
- Kun Shan: China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
- Tianhe Ji: China Strategist, Shanghai, Tel: 86 21 2896 2785, Email: tianhe.ji@asia.bnpparibas.com
- Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
- Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
- Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com
Production and Distribution
- Barbara Consuelo: Foreign Exchange, London, Tel: 44 20 7595 8486, Email: Barbara.Consuelo@uk.bnpparibas.com
- Amanda Grantham-Hill: London, Tel: 44 20 7595 4107, Email: amanda.grantham-hill@uk.bnpparibas.com
- Anna McLaughlin: London, Tel: 44 20 7595 3754, Email: anna.mclauchlin@uk.bnpparibas.com
- Louise Bylicki: New York, Tel: 1 212 471 6479, Email: louise.bylicki@us.bnpparibas.com
Legal Notice
- This document is non-independent research and may involve conflicts of interest.
- STEER™ is a registered trademark of BNP Paribas.
- The document is for informational purposes only and does not constitute an offer to sell or a solicitation to buy.
- Indicative prices and performance data are based on simulations and may not reflect actual market conditions.
- No liability is accepted for any use of the information contained in this document.
United States Disclosures
- Options and ETFs discussed are complex and involve high risk.
- Investors should consult independent advisors and understand the risks before engaging in any transactions.
- BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
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