20170116-法国巴黎银行-BNP_Paribas_STEER_15页_836kb

BNP Paribas FX Strategy Summary - 16 January 2017

Core Content

BNP Paribas FX Strategy report for 16 January 2017 highlights the latest trading signals from the STEER™ model across various currency pairs. The report is produced by the BNP Paribas London Branch, with contributions from Michael Sneyd, CFA, and Natalie Rickard.

Main Trading Signals

New Signals

• LONG USDILS at 3.8247, targeting 3.8602, with a stop loss at 3.8069.
• LONG USDRUB at 59.5871, targeting 60.2951, with a stop loss at 59.2331.
• SHORT USDBRL at 3.2182, targeting 3.1881, with a stop loss at 3.2333.

Closed Signals

• SHORT USDTRY closed at 3.8191, resulting in a return of -0.86%.

Existing Signals

• SHORT USDJPY at 115.7700, targeting 112.70.
• LONG USDCAD at 1.3126, targeting 1.3242.
• LONG USDCAD at 1.3126, targeting 1.3242, with a stop loss at 1.3022.
• LONG EURCHF at 1.0683, targeting 1.0802.
• LONG USDTWD at 31.615, targeting 31.805.

Key Information from the STEER™ Model

G10 Currencies

• USDJPY is within 0.65 z-scores of its STEER value, indicating it is close to fair value.
• USDCAD has a z-score of -1.04, suggesting it is undervalued.
• EURCHF has a z-score of -0.82, also indicating undervaluation.
• The model continues to signal SHORT USDJPY, LONG USDCAD, and LONG EURCHF.

CEEMEA Currencies

• USDRUB and USDILS have z-scores of -1.92 and -1.72, respectively, indicating they are undervalued.
• The model signals LONG USDRUB and LONG USDILS due to their undervaluation.
• USDTRY has a z-score of 1.74, indicating it is overvalued and the model has closed a short position.

Asia Currencies

• USDTWD has a z-score of -1.69, suggesting undervaluation.
• The model signals LONG USDTWD.
• USDSGD, USDIDR, USDKRW, USDMYR, and USDPHP show varying degrees of deviation from their fair value, with USDKRW, USDMYR, and USDPHP being overvalued.

Latin America Currencies

• USDBRL has a z-score of 1.68, indicating overvaluation.
• The model signals SHORT USDBRL.
• USDCOP, USDMXN, and USDCLP show minor overvaluation.

Driving Factors Behind the Moves

The report includes charts and analysis showing the deviation of currency pairs from their short-term fair value (FV) and z-scores. These deviations are used to determine trading signals based on the STEER™ model's cointegration filter, which assesses statistical confidence in the signals.

Strategy Contacts

Emerging Markets FX & IR Strategy Contacts

Production and Distribution

The document is produced by BNP Paribas and distributed to professional clients and eligible counterparties. It is a marketing communication and not investment research. The document may be subject to conflicts of interest and should not be relied upon as a substitute for independent judgment.

Legal Disclaimer

This document is for informational purposes only and is not intended to be an offer to sell or purchase any financial instruments. It does not constitute a prospectus or public offering. BNP Paribas may have a financial interest in the securities discussed and may engage in transactions that may be inconsistent with the views expressed in this document. The information is not guaranteed for accuracy and may be subject to change. It is important to consult with professional advisors before making any investment decisions.

United States Disclosures

• Options: Complex instruments not suitable for every investor. May involve a high degree of risk. Only for sophisticated investors.
• ETFs: May include currency, geopolitical, credit, and interest rate risks. BNP Paribas may have potential conflicts of interest. Please refer to the prospectus for detailed information.

Summary

The report provides a detailed analysis of FX trading signals from the BNP Paribas STEER™ model, highlighting undervalued and overvalued currency pairs across G10, CEEMEA, Asia, and Latin America. It includes z-scores and fair value estimates to guide trading decisions. The document serves as a marketing communication and is intended for professional clients, with important legal and disclosure notes regarding the nature of the information and potential conflicts of interest.