20170515-法国巴黎银行-FX_QUANT_INSIGHT_15页_773kb

FX Strategy | FX Quant Insight Summary

Core Content

This document is a report from BNP Paribas London Branch, authored by Michael Sneyd, CFA (Macro Quantitative Strategist) and Natalie Rickard (Graduate), providing FX trading signals and insights based on the BNP Paribas STEER™ model. It outlines the current market positions, target levels, stop losses, and returns for various currency pairs, along with z-scores indicating deviation from short-term fair value.

Main Trading Signals

Closed Signals

• 12-May-17: SHORT USDTWD

  • Entry Rate: 30.1780
  • Close Rate: 30.1190 (15-May-17)
  • Return: 0.20%

• 05-May-17: SHORT USDSGD

  • Entry Rate: 1.4081
  • Close Rate: 1.4020 (09-May-17)
  • Return: 0.45%

• 10-May-17: SHORT EURNOK

  • Entry Rate: 9.4594
  • Close Rate: 9.3315 (11-May-17)
  • Return: 1.35%

Existing Signals

• 27-Apr-17: LONG NZDUSD

  • Entry Rate: 0.6914
  • Target: 0.6987
  • Stop Loss: 0.6802
  • Return: -0.36%

• 05-May-17: SHORT EURSEK

  • Entry Rate: 9.7076
  • Target: 9.6252
  • Stop Loss: 9.7981
  • Return: 0.51%

Key Currency Insights

G10 Currencies

• NZDUSD: Still undervalued, long position targeting 0.6987.
• EURSEK: Overvalued, short position targeting 9.6252.
• USDSGD: Short position, closed with a positive return.
• USDTWD: Short position closed with a slight loss.
• EURNOK: Short position closed with a positive return.
• CAD/USD: Trade 1.26 z-scores below fair value, indicating undervaluation.
• AUD/USD: Trade 2.11 z-scores below fair value, but with low confidence.

CEEMEA Currencies

• EURCZK: Deviation of -2.89, indicating undervaluation.
• USDTRY: Deviation of -1.00, undervalued.
• EURPLN: Deviation of -0.69, undervalued.
• EURHUF: Deviation of -0.40, undervalued.
• EURRON: Deviation of 0.00, fair value.
• USDZAR: Deviation of 0.45, overvalued.
• USDILS: Deviation of 0.66, overvalued.
• USDRUB: Deviation of 1.36, overvalued.

Asia Currencies

• USDPHP: Deviation of -1.35, undervalued.
• USDMYR: Deviation of -0.81, undervalued.
• USDINR: Deviation of -0.49, undervalued.
• USDIDR: Deviation of 0.23, fair value.
• USDTHB: Deviation of 0.27, fair value.
• USDKRW: Deviation of 0.88, overvalued.
• USDSGD: Deviation of 0.99, overvalued.
• USDTWD: Deviation of 1.50, overvalued.

Key Notes

• STEER continues to signal NZDUSD is undervalued and remains long the pair targeting a move to 0.6987.
• EURSEK is overvalued and remains short, with a recent increase in fair value due to EUR 2y swap rates.
• USDTWD signal was closed due to the model not passing the co-integration filter.
• The z-scores for various currency pairs reflect their deviation from short-term fair value, with some showing significant undervaluation or overvaluation.
• CAD, NZD, and AUD are the shortest positions in G10, along with NOK, based on FX Positioning Analysis.

Strategy Contacts

Cross Asset Strategy

• Michael Sneyd, CFA: Macro Quantitative Strategist, London, 44 20 7595 1307, michael.sneyd@uk.bnpparibas.com
• Steven Saywell: Global Head of FX Strategy, London, 44 20 7595 8487, steven.saywell@uk.bnpparibas.com
• Sam Lynton-Brown: FX Strategist, London, 44 20 7595 8467, sam.lynton-brown@uk.bnpparibas.com
• Clara Leonard: FX Strategist, London, 44 20 7595 1424, clara.leonard@uk.bnpparibas.com
• Daniel Katzive, CFA: Head of FX Strategy North America, New York, 1 212 841 2408, daniel.katzive@us.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg: Global Head of EM Strategy, London, 44 20 7595 8746, wike.groenenberg@uk.bnpparibas.com
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London, 44 20 7595 8715, piotr.chwiejczak@uk.bnpparibas.com
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, 90 216 635 2987, erkin.isik@teb.com.tr
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore, 65 6210 3262, mirza.s.baig@asia.bnpparibas.com
• Altaz Daga: AU/NZ IR Strategist, Singapore, 65 6210 4994, altaz.dagha@asia.bnpparibas.com
• Kun Shan: China Strategist, Shanghai, 86 21 2896 2773, kun.shan@asia.bnpparibas.com
• Tianhe Ji: China Strategist, Shanghai, 86 21 2896 2785, tianhe.ji@asia.bnpparibas.com
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, 55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3492, samuel.castro@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com

Legal and Distribution Notice

• This document is non-independent research for UK FCA rules and is a marketing communication under MiFID.
• It is not investment research and is not subject to any prohibition on dealing ahead of dissemination.
• The document is intended for Relevant Persons and may not be available to all investors.
• BNP Paribas and its affiliates may have financial interests in the securities mentioned and may have acted on the information before publication.
• No liability is accepted for any loss arising from the use of this document.
• The document is for information purposes only and is not a prospectus or public offering.
• Indicative prices and performance data are based on simulations and may vary significantly from actual market conditions.

United States Disclosures

• Options are complex and may involve a high degree of risk, suitable only for sophisticated investors.
• ETFs discussed have risks including tracking error, currency, geopolitical, and credit risks.
• BNP Paribas may have potential conflicts of interest relating to ETFs and may act as an Authorized Participant, underwriter, or market maker.
• Investors are advised to consult independent legal, tax, and financial advisors before making any investment decisions.