20170814-法国巴黎银行-BNP_Paribas_STEER_16页_775kb

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER™ Model Summary

Core Content

This document provides an overview of the BNP Paribas STEER™ Model trading signals and insights for various currency pairs across different regions, including G10, CEEMEA, Asia, and Latin America. The model is based on short-term value (FV) and z-scores to identify overvalued or undervalued pairs for trading opportunities.

Main Trading Signals

Active Signals (Updated Today)

• GBPUSD: Short position, targeting 1.2721, current fair value is 1.2721, with a z-score of 1.32 (2.26% deviation).
• EURSEK: Short position, targeting 9.4801, current fair value is 9.4801, with a z-score of 1.61 (1.16% deviation).
• USDCAD: Short position, targeting 1.2599, current fair value is 1.2599, with a z-score of 0.74 (0.66% deviation).
• EUROK: Short position, targeting 9.2843, current fair value is 9.2843, with a z-score of 1.20 (0.92% deviation).
• USDTHB: Long position, triggered on Friday, targeting 33.4396, current fair value is 33.6482, with a z-score of -2.17 (1.25% deviation).

Recently Closed Signals

• USDMXN: Closed short position at 17.9806, with a return of -0.42%.
• USDRUB: Closed short position at 60.1292, with a return of -0.50%.
• USDBRL: Closed short position at 3.1676, with a return of -0.22%.

Key Observations

• GBPUSD and EURSEK remain overvalued, with z-scores above 1.3, and the model continues to signal short positions.
• USDCAD is overvalued by 0.74 z-scores, and the model maintains a short signal.
• USDTHB is undervalued by 2.17 z-scores, and the model signals a long position.
• The model uses z-scores to measure deviation from short-term value, with values above 1 or below -1 indicating overvaluation or undervaluation.
• STEER™ is a trade mark of BNP Paribas and is used to generate trading signals based on quantitative models.

Regional Insights

G10 Currencies

• USDJPY: STEER value is 109.02, spot is 109.50, z-score is 0.31 (0.44% deviation).
• AUDUSD: STEER value is 0.7841, spot is 0.7900, z-score is 0.50 (0.68% deviation).
• NZDUSD: STEER value is 0.7245, spot is 0.7320, z-score is 0.67 (1.00% deviation).
• EURGBP: STEER value is 0.8975, spot is 0.9090, z-score is 0.73 (1.30% deviation).
• EURSEK: STEER value is 9.2843, spot is 9.5910, z-score is 1.61 (1.16% deviation).
• EURCHF: STEER value is 1.0996, spot is 1.1410, z-score is 3.08 (3.61% deviation).
• EURUSD: STEER value is 1.1417, spot is 1.1840, z-score is 3.42 (3.54% deviation).

CEEMEA & Asia

• USDILS: STEER value is 3.6179, spot is 3.5750, z-score is -1.91 (1.20% deviation).
• USDTRY: STEER value is 3.5171, spot is 3.5280, z-score is 0.30 (0.31% deviation).
• USDTHB: STEER value is 33.6482, spot is 33.2340, z-score is -2.17 (1.25% deviation).
• USDSGD: STEER value is 1.3710, spot is 1.3600, z-score is -1.78 (0.81% deviation).
• USDKRW: STEER value is 1145, spot is 1140, z-score is -0.50 (0.44% deviation).
• USDINR: STEER value is 64.1696, spot is 64.0150, z-score is -0.41 (0.24% deviation).
• USDMYR: STEER value is 4.3005, spot is 4.2940, z-score is -0.36 (0.14% deviation).
• USDTWD: STEER value is 30.2591, spot is 30.2930, z-score is 0.17 (0.11% deviation).
• USDIDR: STEER value is 13365, spot is 13402, z-score is 1.07 (0.27% deviation).
• USDPHP: STEER value is 50.2825, spot is 50.9930, z-score is 2.90 (1.39% deviation).

Latin America

• USDMXN: STEER value is 17.8582, spot is 17.7760, z-score is -0.56 (0.46% deviation).
• USDCOP: STEER value is 2975, spot is 2977, z-score is 0.11 (0.09% deviation).
• USDCLP: STEER value is 645.89, spot is 646.80, z-score is 0.17 (0.14% deviation).
• USDPEN: STEER value is 3.2328, spot is 3.2440, z-score is 0.95 (0.34% deviation).
• USDBRL: STEER value is 3.1365, spot is 3.1940, z-score is 2.31 (1.79% deviation).

Driving Factors

• The model indicates that global equities weakness has influenced fair value estimates for several currency pairs.
• GBPUSD and EURSEK are overvalued, with short signals maintained due to the upcoming UK and Swedish CPI releases.
• USDTHB is undervalued, and the long signal is driven by the model's fair value increasing, despite global equities weakness.

Legal and Disclaimer Notes

• This document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• No liability is accepted for any use of the information or for any losses incurred.
• Indicative prices are not actual transaction terms and are based on internal models.
• Performance data is simulated and not indicative of future results.
• Confidentiality is emphasized, and the document is intended for professional clients only.
• Options and ETFs mentioned in the document are complex instruments with high risk and require sophisticated understanding.

Contact Information

Distribution and Legal Disclaimer

• The document is intended for professional clients and eligible counterparties.
• It is strictly confidential and must not be distributed without prior written consent.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No guarantees are made regarding the accuracy or completeness of the information.
• No investment advice is provided, and the document should not be relied upon for investment decisions.