20170925-法国巴黎银行-BNP_Paribas_STEER_16页_777kb

FX Strategy | FX QUANT DAILY - BNP Paribas STEER™ Model Summary (25 September 2017)

Core Content Overview

This document outlines the latest trading signals and market analysis from the BNP Paribas STEER™ model for the FX market as of 25 September 2017. The model provides insights into short-term fair values (FV) and deviations from them, measured in z-scores, for various currency pairs across different regions.

Trading Signals

Summary of Closed Signals

• SHORT EURPLN: Closed with a 0.29% gain
• SHORT USDSGD: Closed with a 0.54% gain
• LONG USDCOP: Closed with a 0.40% loss

Summary of Existing Signals

• SHORT USDCAD: Targeting 1.2146, currently at 1.2330
• SHORT EURSEK: Targeting 9.3814, currently at 9.5350
• LONG USDTRY: Targeting 3.5223, currently at 3.5010

Key Market Insights

G10 Currencies

• USDCAD: Fair value is stable at 1.2146, but spot is higher, indicating a potential short opportunity.
• EURSEK: Spot is significantly higher than fair value (2.61 z-scores), suggesting a short opportunity.
• GBPUSD: Spot is at 1.3570, while fair value is at 1.3442, indicating a 0.86 z-score deviation, suggesting a potential short opportunity.
• AUDUSD: Spot is at 0.7960, fair value at 0.8029, showing a small deviation (-0.59 z-score).
• NZDUSD: Spot is at 0.7270, fair value at 0.7192, indicating a 0.68 z-score deviation, suggesting it is overvalued.
• USDJPY: Spot is at 112.20, fair value at 111.59, showing a 0.37 z-score deviation, indicating it is slightly overvalued.

EM Currencies

• USDTRY: Spot is at 3.5010, fair value at 3.5481, showing a -1.66 z-score deviation, suggesting it is undervalued.
• USDILS: Spot is at 3.5030, fair value at 3.5337, showing a -1.28 z-score deviation.
• USDRUB: Spot is at 57.5530, fair value at 58.0749, showing a -0.79 z-score deviation.
• EURPLN: Spot is at 4.2720, fair value at 4.2721, showing a -0.01 z-score deviation, indicating convergence.
• USDZAR: Spot is at 13.2380, fair value at 13.2287, showing a 0.06 z-score deviation.
• EURCZK: Spot is at 26.0320, fair value at 26.0209, showing a 0.08 z-score deviation.
• EURRON: Spot is at 4.5980, fair value at 4.5975, showing a 0.09 z-score deviation.
• EURHUF: Spot is at 309.90, fair value at 307.45, showing a 1.68 z-score deviation.

Latin America Currencies

• USDCOP: Spot is at 2906, fair value at 2972, showing a -2.63 z-score deviation, suggesting it is undervalued.
• USDCLP: Spot is at 624.30, fair value at 628.07, showing a -0.97 z-score deviation.
• USDMXN: Spot is at 17.7590, fair value at 17.8687, showing a -0.71 z-score deviation.
• USDBRL: Spot is at 3.1250, fair value at 3.1355, showing a -0.37 z-score deviation.
• USDPEN: Spot is at 3.2470, fair value at 3.2469, showing a -0.02 z-score deviation, indicating slight undervaluation.

Notes and Additional Information

• The model has closed three signals, resulting in a net profit of 0.43%.
• The model is prevented from initiating a new signal for USDCOP until 27 September.
• The model does not pass the co-integration filter for certain currency pairs, indicating potential instability or lack of statistical significance.
• The STEER™ model suggests that GBPUSD is overvalued (0.86 z-score), and EURSEK is overvalued (2.61 z-scores).
• The model also highlights that NZDUSD is overvalued by 0.68 z-scores following the New Zealand election.
• EURUSD remains not cointegrated, indicating it is not currently in a stable relationship with its fair value.
• USDJPY is trading close to its fair value, and the model is not issuing a new signal for it at this time.

Driving Factors

• The model considers various economic indicators, market trends, and co-integration analysis to determine fair values.
• Certain currencies are deemed overvalued or undervalued based on their deviation from the fair value in terms of z-scores.
• The recent New Zealand election has affected the valuation of NZDUSD.
• The model is continuously updated and may change based on new market data and analysis.

Contact Information

FX Strategy Team

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
• Sam Lynton-Brown: FX Strategist, London
• Clara Leonard: FX Strategist, London
• Natalie Rickard: FX Strategist, London
• Daniel Katzive, CFA: Head of FX Strategy North America, New York
• Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy Team

• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
• Sai Ulluri: CEEMEA Graduate, London
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore
• Dawn Kwa: Graduate, Singapore
• Altaz Dagna: AU/NZ IR Strategist, Singapore
• Kun Shan: China Strategist, Shanghai
• Tianhe Ji: China Strategist, Beijing
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Production and Distribution

• Barbara Consuelo: Foreign Exchange, London
• Amanda Grantham-Hill: London
• Anna McLauchlin: London
• Louise Bylicki: New York

Legal Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties.
• The information is for informational purposes only and does not constitute investment advice.
• The indicative prices and performance data are based on BNP Paribas' internal models and may not be accurate or reliable.
• BNP Paribas may engage in transactions inconsistent with the views expressed in this document.
• The document may contain back-tested performance data, which is not indicative of future results.
• No guarantees are made regarding the accuracy or completeness of the information provided.