20140630-法国巴黎银行-BNP_Paribas_STEER_11页_1mb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the fair value of currency pairs and identify potential trading opportunities based on deviations from this fair value. The model evaluates exchange rates using a z-score metric, which measures the percentage mis-valuation relative to the standard deviation of mis-valuations over the past year. A deviation greater than 1.5 z-scores is considered significant and may signal a potential reversal in the exchange rate.

Key Themes and Analysis

G10 Currency Pairs

• AUDUSD: Trading at 0.9430, it is overvalued by 1.57 (2.84%) against its STEER of 0.9170. The model suggests a sell signal with a target of 0.9167 and a stop loss at 0.9400. The shift from domestic to global factors is noted, with the pair now more sensitive to global risk appetite.
• NZDUSD: Overvalued by 2.12 (2.34%) at 0.8760, with a target of 0.8560 and a stop loss at 0.8600. The model indicates a sell signal, and the overvaluation is attributed to global factors.
• EURSEK: Overvalued by 1.72 (1.28%) at 9.1950, with a sell signal triggered on 25 June. The pair is expected to move lower, and the model notes that the recent 2% rally has not been supported by fundamentals.
• USDCAD: Overvalued by 2.41 (3.09%) at 1.0670, with a stop loss triggered on 23 June. The model is currently sidelined due to instability and a long period of mis-alignment.
• EURHUF: Overvalued by 2.55 (1.27%) at 309.80. The recent rise since the central bank cut rates has not been supported by fundamentals, indicating potential for a decline.
• USDJPY: Undervalued by 1.02 (1.27%) at 101.30. No trading signal is currently active.
• EURUSD: Trading at 1.3650, slightly overvalued by 0.53 (0.37%) against its STEER of 1.3600. No trading signal.
• GBPUSD: Undervalued by 0.55 (0.47%) at 1.7040. No trading signal.
• EURGBP: Slightly overvalued by 0.77 (0.88%) at 0.8010. No trading signal.
• EURCHF: Undervalued by 0.47 (0.16%) at 1.2160. No trading signal.
• EURNOK: Overvalued by 0.83 (1.28%) at 8.3610. No trading signal.

CEEMEA Currency Pairs

• EURPLN: Slightly undervalued by 0.11 (0.05%) at 4.1590. No trading signal.
• EURCZK: Slightly overvalued by 0.52 (0.10%) at 27.4540. No trading signal.
• EURHUF: Overvalued by 2.55 (1.27%) at 309.80. A sell signal is suggested, and the pair may decline.
• EURRON: Slightly overvalued by 0.24 (0.11%) at 4.3920. No trading signal.
• USDZAR: Slightly overvalued by 0.16 (0.18%) at 10.5850. No trading signal.
• USDTRY: Slightly overvalued by 0.16 (0.14%) at 2.1230. No trading signal.
• USDTWD: Slightly undervalued by 1.39 (0.47%) at 29.8560. No trading signal.
• USDILS: Undervalued by 1.76 (0.67%) at 3.4300. A buy signal is suggested, but the model does not pass the cointegration filter, indicating lower forecasting power.

Asia Currency Pairs

• USDKRW: Slightly undervalued by 0.78 (0.78%) at 1012. No trading signal.
• USDMYR: Slightly undervalued by 0.10 (0.03%) at 3.2120. No trading signal.
• USDIDR: Overvalued by 0.66 (1.07%) at 11918. No trading signal.
• USDINR: Overvalued by 1.57 (1.55%) at 60.0650. The model does not pass the cointegration filter, suggesting less reliability.
• USDTHB: Slightly overvalued by 1.01 (0.47%) at 32.4410. No trading signal.
• USDPHP: Slightly undervalued by 0.63 (0.39%) at 43.6200. No trading signal.
• USDSGD: Slightly undervalued by 0.65 (0.24%) at 1.2490. No trading signal.

Latin America Currency Pairs

• USDBRL: Undervalued by 2.17 (1.66%) at 2.1940. A buy signal is suggested with a target of 2.2138 and a stop loss at 2.1883.
• USDCLP: Slightly overvalued by 0.04 (0.04%) at 551.70. No trading signal.
• USDMXN: Slightly overvalued by 0.96 (0.62%) at 12.9690. No trading signal.
• USDPEN: Slightly overvalued by 0.46 (0.18%) at 2.7960. No trading signal.
• USDCOP: Slightly undervalued by 0.91 (0.90%) at 1880. No trading signal.

Trading Signals

Regime Monitor

• The Regime Monitor assesses the stability of the STEER model by tracking four parameters: coefficient stability, corridor stability, cointegration, and regime change identification using a Markov Switching model.
• Currently, no currencies have scores exceeding 80, the threshold for trading.
• USDCAD score increased to 76 from 69, indicating instability in the model.
• USDPEN score also increased, suggesting rising instability.
• EURUSD score dropped significantly to 44 from 65, indicating improved stability.

Trade History (Last 15 Trades)

Important Notes

• The STEER™ model is not independent and is considered marketing communication.
• The model does not pass the cointegration filter for certain currency pairs, which reduces its forecasting power.
• The report is not intended for retail clients and is for professional clients only.
• No liability is accepted for any losses arising from the use of the information contained in this report.
• The information and opinions are based on public sources and may be subject to change without notice.