20160818-法国巴黎银行-BNP_Paribas_STEER_Model_Trading_Signals_11页_294kb

报告摘要

BNP Paribas STEERTM Model Summary

Core Content

The BNP Paribas STEERTM Model provides trading signals and insights based on the deviation of currency pairs from their short-term value, measured by z-scores. It categorizes signals into New Signals, Closed Signals, and Existing Signals, and includes Driving Factors Behind the Moves for each region. The model also outlines Global Strategy Contacts and Legal Disclaimers regarding the use and distribution of the report.

Main Trading Signals

New Signals

18-Aug-16: LONG USDZAR
- Entry Rate: 13.2579
- Target: 13.4729
- Stop Loss: 13.1504
- Return: 0.00%
- Note: USDZAR is considered cheap by 2.1 z-scores, and the recent decline is not justified by short-term fundamentals.

Closed Signals

12-Aug-16: LONG EUROK
- Entry Rate: 9.1734
- Close Rate: 9.2736 (17-Aug-16)
- Return: 1.09%
17-Aug-16: SHORT USDMYR
- Entry Rate: 3.9985
- Close Rate: 3.9925 (18-Aug-16)
- Return: 0.15%
17-Aug-16: SHORT USDMXN
- Entry Rate: 18.1245
- Close Rate: 18.2010 (17-Aug-16)
- Return: -0.42%
- Note: USDMXN hit its stop loss, but the model still believes the pair is overvalued due to the recent strength of Mexican equities.

Recently Closed Signals

08-Aug-16: SHORT GBPUSD
- Entry Rate: 1.3046
- Close Rate: 1.2880 (15-Aug-16)
- Return: 1.27%
11-Aug-16: LONG USDTWD
- Entry Rate: 31.3270
- Close Rate: 31.2467 (16-Aug-16)
- Return: -0.26%
16-Aug-16: SHORT USDMXN
- Entry Rate: 18.0808
- Close Rate: 17.9302 (16-Aug-16)
- Return: 0.83%

Key Information by Region

G10 Currencies

EURGBP: STEER = 0.8754, Spot = 0.8660, z-score = -0.55 (-1.13%)
USDCAD: STEER = 1.2845, Spot = 1.2810, z-score = -0.25 (-0.26%)
EURCHF: STEER = 1.0881, Spot = 1.0860, z-score = -0.25 (-0.17%)
EURNOK: STEER = 9.2627, Spot = 9.2480, z-score = -0.18 (-0.15%)
EURUSD: STEER = 1.1302, Spot = 1.1320, z-score = 0.10 (0.13%)
AUDUSD: STEER = 0.7694, Spot = 0.7720, z-score = 0.19 (0.28%)
GBPUSD: STEER = 1.2911, Spot = 1.3070, z-score = 0.69 (1.25%)
USDJPY: STEER = 97.8401, Spot = 99.8300, z-score = 1.00 (1.99%)
NZDUSD: STEER = 0.7105, Spot = 0.7300, z-score = 1.67 (2.64%)
EURSEK: STEER = 9.3445, Spot = 9.4970, z-score = 1.70 (1.61%)

CEEMEA Currencies

USDZAR: STEER = 13.7095, Spot = 13.2590, z-score = -2.10 (-3.40%)
EURHUF: STEER = 313.08, Spot = 311.20, z-score = -1.24 (-0.60%)
USDTRY: STEER = 2.9559, Spot = 2.9200, z-score = -1.23 (-1.22%)
EURRON: STEER = 4.4834, Spot = 4.4710, z-score = -1.06 (-0.27%)
EURPLN: STEER = 4.3120, Spot = 4.2910, z-score = -0.69 (-0.48%)
EURCZK: STEER = 27.0262, Spot = 27.0220, z-score = -0.21 (-0.02%)
USDILS: STEER = 3.7814, Spot = 3.7820, z-score = 0.00 (0.00%)
USDRUB: STEER = 63.5050, Spot = 63.7750, z-score = 0.37 (0.42%)

Asia Currencies

USDTHB: STEER = 34.8486, Spot = 34.5830, z-score = -1.60 (-0.77%)
USDTWD: STEER = 31.6896, Spot = 31.4410, z-score = -1.43 (-0.79%)
USDPHP: STEER = 46.6891, Spot = 46.2860, z-score = -1.04 (-0.87%)
USDSGD: STEER = 1.3491, Spot = 1.3400, z-score = -0.79 (-0.64%)
USDINR: STEER = 66.8873, Spot = 66.7890, z-score = -0.40 (-0.15%)
USDIDR: STEER = 13154, Spot = 13143, z-score = -0.10 (-0.08%)
USDKRW: STEER = 1106, Spot = 1107, z-score = 0.09 (0.09%)
USDMYR: STEER = 3.9441, Spot = 3.9920, z-score = 1.11 (1.21%)

Latin America Currencies

USDPEN: STEER = 3.3113, Spot = 3.3110, z-score = -0.01 (-0.01%)
USDCOP: STEER = 2903, Spot = 2911, z-score = 0.35 (0.30%)
USDCLP: STEER = 656.43, Spot = 658.20, z-score = 0.47 (0.26%)
USDMXN: STEER = 17.9252, Spot = 18.0020, z-score = 0.50 (0.43%)
USDBRL: STEER = 3.1660, Spot = 3.2060, z-score = 1.14 (1.26%)

Driving Factors Behind the Moves

The model highlights the influence of short-term fundamentals and market conditions on the deviation from the STEER value. For example:

USDZAR is deemed cheap due to its deviation from fundamentals.
USDMXN is still considered overvalued despite hitting the stop loss.
GBPUSD has a high z-score, indicating it is overvalued.
USDJPY and NZDUSD are overvalued, with USDJPY showing a significant deviation.
EURGBP is slightly undervalued, with a z-score of -0.55.

Global Strategy Contacts

Name	Role	Location	Contact Info
Steven Saywell	Global Head of FX Strategy	London	Tel: 44 20 7595 8487
Michael Sneyd, CFA	FX Strategist & Lead Quant Strategist	London	Tel: 44 20 7595 1307
Sam Lynton-Brown	FX Strategist	London	Tel: 44 20 7595 8467
Daniel Katzive, CFA	Head of FX Strategy North America	New York	Tel: 1 212 841 2408
Vasilis Koutsaftis	FX Options Strategist	New York	Tel: 1 212 471 7973

Emerging Markets FX & IR Strategy Contacts

Name	Role	Location	Contact Info
Wike Groenenberg	Global Head of EM Strategy	London	Tel: 44 20 7595 8746
Piotr Chwiejczak	FX & IR CEEMEA Strategist	London	Tel: 44 20 7595 8715
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Istanbul	Tel: 90 216 635 2987
Mirza Baig	Head of FX & IR Asia Strategy	Singapore	Tel: 65 6210 3262
Jennifer Kusuma	FX & IR Asia Strategist	Singapore	Tel: 65 6210 3263
Altaz Daga	AU/NZ IR Strategist	Singapore	Tel: 65 6210 4994
Kun Shan	China Strategist	Shanghai	Tel: 86 21 2896 2773
Gabriel Gersztein	Head FX & IR Latam Strategy	Sao Paulo	Tel: 55 11 3841 3421
Samuel Castro	FX & IR Latam Strategist	Sao Paulo	Tel: 55 11 3841 3492
Gustavo Mendonca	FX & IR Latam Strategist	Sao Paulo	Tel: 55 11 3841 3445

Legal Disclaimers

This document is not independent investment research and may be subject to conflicts of interest.
It is a marketing communication and not intended for retail clients.
The STEERTM model is a trademark of BNP Paribas.
No liability is accepted for any loss resulting from reliance on the information.
The information is subject to change without notice.
The report is for professional clients only and may not be reproduced or distributed without consent.
The report may be published on the BNP Paribas global markets website.
All disclaimers and legal limitations apply based on the jurisdiction of the recipient.