20170130-法国巴黎银行-BNP_Paribas_STEER_15页_851kb

报告摘要

BNP Paribas FX Strategy Summary – 30 January 2017

Core Content Overview

This document outlines the BNP Paribas STEER™ model's current FX trading signals and analysis for the G10, CEEMEA, Asia, and Latin America currency markets. It provides insights into the short-term fair values (FV), z-scores, and potential trading opportunities, alongside details on the model's performance and the key factors influencing market movements.

Main Trading Signals

Closed Signals (30 January 2017)

27-Jan-17: SHORT USDMXN
- Entry Rate: 21.3609
- Close Rate: 21.1913
- Return: 0.79%

Existing Signals (30 January 2017)

23-Jan-17: LONG USDSGD
- Entry Rate: 1.4190
- Target: 1.4374
- Stop Loss: 1.4098
- Return: 0.55%
27-Jan-17: LONG USDTWD
- Entry Rate: 31.3620
- Target: 31.5338
- Stop Loss: 31.2761
- Return: 0.00%

Recently Closed Signals

23-Jan-17: LONG USDTWD
- Entry Rate: 31.4040
- Close Rate: 31.3156
- Return: -0.28%
24-Jan-17: LONG USDCAD
- Entry Rate: 1.3239
- Close Rate: 1.3154
- Return: -0.64%
25-Jan-17: LONG USDZAR
- Entry Rate: 13.3801
- Close Rate: 13.2956
- Return: -0.63%
25-Jan-17: SHORT USDMXN
- Entry Rate: 21.5822
- Close Rate: 21.4128
- Return: 0.78%
25-Jan-17: LONG USDPEN
- Entry Rate: 3.2845
- Close Rate: 3.2730
- Return: -0.35%

Key Market Insights

G10 Currency Analysis

Overall Status: G10 currencies remain within the +/-1.5 z-score corridor.
Convergence: AUD, NZD, and JPY have converged toward their fair values since the start of the year.
USDJPY: Slightly overvalued at 114.70, compared to its STEER value of 113.62.
EURNOK: Now 1.11 z-scores undervalued, with a STEER value of 9.0053. This overvaluation corresponds with a build-up of long NOK positions.
Equity Market Impact: Strong global equity performance last week has supported G10 FX, particularly for AUD, NZD, CAD, and GBP against the USD.

EM Currency Analysis

Active Signals:
- LONG USDSGD (STEER: 1.4385, Spot: 1.4260, z-score: -0.67)
- LONG USDTWD (STEER: 31.6368, Spot: 31.3620, z-score: -1.60)
Closed Signal: SHORT USDMXN closed for a profit of 0.79%.

Z-Score Analysis by Region

G10 Currencies

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
EURNOK	9.0053	8.9230	-1.11(-0.92%)	9.1167	8.8939
EURCHF	1.0770	1.0690	-0.93(-0.77%)	1.0903	1.0636
USDCAD	1.3229	1.3140	-0.81(-0.67%)	1.3392	1.3067
NZDUSD	0.7343	0.7250	-0.75(-1.31%)	0.7531	0.7154
EURGBP	0.8629	0.8520	-0.66(-1.25%)	0.8873	0.8385
EURUSD	1.0733	1.0700	-0.29(-0.31%)	1.0904	1.0562
EURSEK	9.4434	9.4610	0.15(0.18%)	9.6134	9.2734
GBPUSD	1.2438	1.2560	0.36(0.93%)	1.2947	1.1928
AUDUSD	0.7510	0.7550	0.39(0.50%)	0.7656	0.7364
USDJPY	113.62	114.70	0.71(0.96%)	115.9444	111.2896

CEEMEA Currencies

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
USDILS	3.8114	3.7800	-1.32(-0.83%)	3.8473	3.7756
EURPLN	4.3815	4.3340	-0.94(-1.09%)	4.4570	4.3060
EURCZK	27.0292	27.0220	-0.88(-0.03%)	27.0414	27.0169
USDZAR	13.7147	13.6200	-0.52(-0.69%)	13.9855	13.4439
USDRUB	60.4535	60.1660	-0.36(-0.48%)	61.6454	59.2615
EURHUF	310.29	311.70	0.78(0.44%)	312.9407	307.6477
EURRON	4.4734	4.5070	2.24(0.75%)	4.4961	4.4507
USDTRY	3.6168	3.8630	2.91(6.38%)	3.7439	3.4897

Asia Currencies

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
USDTWD	31.6368	31.3620	-1.60(-0.88%)	31.8944	31.3792
USDSGD	1.4385	1.4260	-0.67(-0.86%)	1.4660	1.4109
USDTHB	35.3233	35.2610	-0.46(-0.18%)	35.5262	35.1205
USDIDR	13334	13375	0.38(0.31%)	13496.5307	13171.4607
USDKRW	1152	1160	0.43(0.65%)	1178.2940	1125.7440
USDINR	67.8457	68.0060	0.58(0.24%)	68.2622	67.4292
USDPHP	49.4071	49.8150	0.97(0.82%)	50.0391	48.7751
USDMYR	4.3842	4.4300	0.98(1.04%)	4.4547	4.3136

Latin America Currencies

Currency	STEER	Spot	z-score	Upper Bound	Lower Bound
USDPEN	3.3266	3.2920	-1.49(-1.05%)	3.3615	3.2918
USDMXN	20.9753	20.9060	-0.40(-0.33%)	21.2302	20.7204
USDCLP	652.07	651.00	-0.22(-0.16%)	659.1638	644.9707
USDBRL	3.1269	3.1410	0.45(0.45%)	3.1735	3.0803
USDCOP	2912	2933	0.80(0.72%)	2951.4493	2872.1263

Driving Factors Behind the Moves

G10: Strong equity market performance has influenced FX values.
EM & Asia: Continued signals for long positions in USD SGD and USD TWD.
Latin America: Some currencies show minor undervaluation or overvaluation, with USD MXN slightly undervalued.

Key Takeaways

G10 currencies are largely in line with their fair values, but USDJPY is overvalued.
EURNOK is undervalued, and long NOK positions are building.
EM currencies show continued long signals, particularly in USD SGD and USD TWD.
USD MXN has shown a small profit when shorted.
The STEER model provides insights into fair values and z-scores for various regions, helping identify potential misalignments.

Contacts

Cross Asset Strategy

Michael Sneyd, CFA – Macro Quantitative Strategist, London
Steven Saywell – Global Head of FX Strategy, London
Sam Lynton-Brown – FX Strategist, London
Clara Leonard – FX Strategist, London
Natalie Rickard – Graduate, London
Daniel Katzive, CFA – Head of FX Strategy North America, New York
Vasilis Koutsaftis – FX Options Strategist, New York

Emerging Markets FX & IR Strategy

Wike Groenenberg – Global Head of EM Strategy, London
Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
Mirza Baig – Head of FX & IR Asia Strategy, Singapore
Altaz Daga – AU/NZ IR Strategist, Singapore
Kun Shan – China Strategist, Shanghai
Tianhe Ji – China Strategist, Shanghai
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

Legal Notice

This document is non-independent research and is not investment research for the purpose of MiFID.
It is intended for Professional Clients and Eligible Counterparties.
BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, or advisory roles.
The information provided is for information purposes only and should not be relied upon as a recommendation or guarantee.
All estimates and opinions are subject to change and based on internal models and assumptions.
This document may contain back-tested performance data, which is not indicative of future results.
The document is strictly confidential and may not be reproduced or distributed without prior consent.