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BNP Paribas FX STRATEGY | FX QUANT DAILY Summary

Core Content

This document is a daily report from BNP Paribas London Branch, outlining the latest trading signals and market analysis based on the STEER™ model. The report provides insights into the current state of various currency pairs, their short-term values, z-scores, and trading recommendations. It also includes contact details for strategy teams and legal notices regarding the nature of the document.

Main Trading Signals

New Signals

• 05-Mar-18: SHORT USDCAD
  • Entry Rate: 1.2906
  • Target: 1.2703
  • Stop Loss: 1.3009
  • Return: 0.00%
• 05-Mar-18: SHORT USDIDR
  • Entry Rate: 13826
  • Target: 13720
  • Stop Loss: 13879
  • Return: 0.00%
• 05-Mar-18: LONG USDCOP (Provisional)
  • Entry Rate: 2879.77
  • Target: 2898.10
  • Stop Loss: 2870.61
  • If USDCOP opens below 2948.60, the signal will be confirmed.

Closed Signals

• 01-Mar-18: SHORT EURSEK
  • Entry Rate: 10.1074
  • Close Rate: 10.1938 (02-Mar-18)
  • Return: -0.85%
• 02-Mar-18: LONG USDILS
  • Entry Rate: 3.4639
  • Close Rate: 3.4545 (02-Mar-18)
  • Return: -0.27%

Key Currency Pairs and Analysis

G10 Currencies

• USDJPY:
  • STEER: 109.87
  • Spot: 105.40
  • Z-score: -2.54 (-4.20%)
• EURUSD:
  • STEER: 1.2420
  • Spot: 1.2280
  • Z-score: -0.98 (-1.17%)
• USDCAD:
  • STEER: 1.2703
  • Spot: 1.2910
  • Z-score: 2.05 (1.58%)
• EURSEK:
  • STEER: 9.9026
  • Spot: 10.1690
  • Z-score: 3.05 (2.62%)

CEEMEA Currencies

• USDILS:
  • STEER: 3.4975
  • Spot: 3.4520
  • Z-score: -2.34 (-1.33%)
• USDIDR:
  • STEER: 13665
  • Spot: 13825
  • Z-score: 1.51 (1.16%)
• USDCOP:
  • STEER: 2921
  • Spot: 2880
  • Z-score: -2.26 (-1.44%)

Latin America Currencies

• USDCOP:
  • STEER: 2921
  • Spot: 2880
  • Z-score: -2.26 (-1.44%)
• USDCLP:
  • STEER: 600.15
  • Spot: 599.20
  • Z-score: -0.15 (-0.17%)
• USDPEN:
  • STEER: 3.2552
  • Spot: 3.2560
  • Z-score: 0.13 (0.04%)
• USDMXN:
  • STEER: 18.8615
  • Spot: 18.9040
  • Z-score: 0.22 (0.23%)
• USDBRL:
  • STEER: 3.2467
  • Spot: 3.2530
  • Z-score: 0.31 (0.21%)

Notes on Market Conditions

• After the Italian election, EURUSD appears undervalued by 1.0 z-score relative to STEER.
• USDCAD is overvalued by 2.1 z-scores, leading to a short signal.
• USDCOP was not entered on Friday as it opened within the fair-value corridor, but it has since become undervalued and may be entered as a long if it opens below 2948.60.
• USDIDR has become cointegrated with STEER, prompting a short signal.
• The STEER model highlights that several currency pairs are either overvalued or undervalued based on their z-scores, with specific targets and stop-loss levels provided.

Legal and Distribution Information

• This document is a marketing communication and not investment research.
• It is intended for Relevant Persons as defined by MiFID and other regulatory frameworks.
• BNP Paribas may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed.
• The document is non-independent research and may not be relied upon as an exhaustive analysis.
• It is confidential and must not be copied or distributed without prior written consent.

Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Production and Distribution

• Produced by Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, and Varghese Joseph.
• Document is for informational purposes only and may not be relied upon as authoritative.

United States Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks.
• BNP Paribas and its affiliates may hold positions or act as market makers, advisors, or underwriters in the financial instruments discussed.

Disclaimer

• This document is not a prospectus or public offering.
• It may contain back-tested performance data, which is for illustrative purposes only.
• BNP Paribas does not warrant the accuracy or completeness of the information provided.
• All information is subject to change and not intended to provide the sole basis for investment decisions.