20150928-法国巴黎银行-BNP_Paribas_STEER_11页_772kb

BNP Paribas STEER™ Summary (28 September 2015)

Core Content

BNP Paribas STEER™ is a model used to assess the over- or under-valuation of currency pairs based on statistical analysis. The model evaluates deviations from fair value using z-scores and provides trading signals for potential market movements. It is important to note that the views in this document are derived from the model signals rather than the overall FX Strategy team's opinion. Additionally, the model may not always be reliable due to potential instability, as indicated by the Regime Monitor.

Main Points

• EURNOK is overbought: The NOK has overreacted to the Norges Bank's rate cut, indicating a potential recovery against the EUR. The pair is trading 2.76 z-scores above its fair value of 9.1740.
• EURGBP has further to fall: EURGBP is overvalued by 1.06 z-scores, suggesting a potential decline toward the STEER target of 0.7220.
• Bullish signals for AUDUSD and USDILS, USDBRL, USDMXN: The AUDUSD has a bullish signal with a target at 0.7208. USDILS, USDBRL, and USDMXN are also seen as undervalued and are expected to rise.
• Bearish signals for USDTHB, USDTWD, USDIDR: These pairs are overvalued and are expected to decline.
• USD overvaluation in EM and Latam markets: USDILS, USDBRL, and USDMXN are undervalued, while USDTHB, USDTWD, and USDIDR are overvalued. USDCAD is also overvalued.
• Regime Monitor highlights instability: The Regime Monitor indicates that USDPEN and USDMXN have elevated scores, reflecting uncertainty in their STEER signals. The model is not automatically filtered but supports discretionary trading decisions.

Key Information

G10 Currency Pairs

• EURUSD: Spot = 1.1180, Fair Value = 1.1110, Deviation = 0.30 (0.63%), No signal
• GBPUSD: Spot = 1.5180, Fair Value = 1.5390, Deviation = -0.89 (-1.36%), No signal
• USDJPY: Spot = 120.30, Fair Value = 118.60, Deviation = 1.06 (1.43%), No signal
• USDCAD: Spot = 1.3330, Fair Value = 1.3030, Deviation = 2.50 (2.30%), Signal = ↓, Stop loss triggered at 1.3361
• AUDUSD: Spot = 0.7030, Fair Value = 0.7210, Deviation = -1.44 (-2.50%), Signal = ↑, Target = 0.7208, Entry Date = 23-Sep-15
• EURGBP: Spot = 0.7360, Fair Value = 0.7220, Deviation = 1.12 (1.94%), No signal
• EURCHF: Spot = 1.0960, Fair Value = 1.1210, Deviation = -0.59 (-2.23%), No signal
• EURNOK: Spot = 9.5530, Fair Value = 9.1740, Deviation = 2.76 (4.13%), Signal = ↓, Stop loss triggered at 9.3614
• EURSEK: Spot = 9.4160, Fair Value = 9.3710, Deviation = 0.54 (0.48%), No signal

CEEMEA Currency Pairs

• EURPLN: Spot = 4.2270, Fair Value = 4.2260, Deviation = 0.03 (0.02%), No signal
• EURCZK: Spot = 27.2560, Fair Value = 27.1330, Deviation = 1.32 (0.45%), No signal
• EURHUF: Spot = 314.90, Fair Value = 311.90, Deviation = 1.53 (0.96%), Signal = ↓, Target = 312.96, Stop loss = 315.56, Entry Date = 28-Sep-15
• EURRON: Spot = 4.4130, Fair Value = 4.4250, Deviation = -0.84 (-0.27%), No signal
• USDZAR: Spot = 13.8710, Fair Value = 13.7380, Deviation = 0.97 (0.97%), No signal
• USDTRY: Spot = 3.0430, Fair Value = 3.0490, Deviation = -0.20 (-0.20%), No signal
• USDILS: Spot = 3.9380, Fair Value = 3.9900, Deviation = -2.14 (-1.30%), Signal = ↑, Target = 3.9619, Stop loss = 3.9253, Entry Date = 28-Sep-15
• USDRUB: Spot = 65.5250, Fair Value = 67.4650, Deviation = -2.02 (-2.88%), Signal = ↑, Stop loss triggered at 65.9833

Asia Currency Pairs

• USDKRW: Spot = 1195, Fair Value = 1182, Deviation = 1.53 (1.10%), Signal = ↓, Stop loss triggered at 1195.50
• USDMYR: Spot = 4.4060, Fair Value = 4.3480, Deviation = 1.20 (1.33%), No signal
• USDIDR: Spot = 14995, Fair Value = 14773, Deviation = 1.80 (1.50%), Signal = ↓, Target = 14872, Stop loss = 15057, Entry Date = 28-Sep-15
• USDINR: Spot = 66.1000, Fair Value = 65.8410, Deviation = 0.74 (0.39%), No signal
• USDTHB: Spot = 36.2650, Fair Value = 35.7750, Deviation = 1.68 (1.37%), Signal = ↓, Target = 35.9727, Stop loss = 36.4112, Entry Date = 28-Sep-15
• USDSGD: Spot = 1.4260, Fair Value = 1.4150, Deviation = 1.34 (0.78%), No signal
• USDPHP: Spot = 46.8500, Fair Value = 46.7500, Deviation = 0.46 (0.21%), No signal
• USDTWD: Spot = 33.0970, Fair Value = 32.7180, Deviation = 1.92 (1.16%), Signal = ↓, Target = 32.8995, Stop loss = 33.1958, Entry Date = 28-Sep-15

Latin America Currency Pairs

• USDBRL: Spot = 3.9760, Fair Value = 4.0790, Deviation = -2.40 (-2.53%), Signal = ↑, Target = 4.0184, Stop loss = 3.9540, Entry Date = 28-Sep-15
• USDCLP: Spot = 701.50, Fair Value = 705.40, Deviation = -0.99 (-0.55%), No signal
• USDMXN: Spot = 16.9570, Fair Value = 17.1280, Deviation = -1.42 (-1.00%), No signal
• USDPEN: Spot = 3.2240, Fair Value = 3.2480, Deviation = -1.31 (-0.74%), No signal
• USDCOP: Spot = 3074, Fair Value = 3120, Deviation = -1.73 (-1.47%), Signal = ↑, Target = 3100.67, Stop loss = 3060.41, Entry Date = 28-Sep-15

Trading Signals Overview

• Bullish signals: AUDUSD, USDILS, USDBRL, USDMXN, USDCOP
• Bearish signals: EURUSD, EURGBP, EURNOK, USDCAD, USDTHB, USDTWD, USDIDR
• No clear signals: GBPUSD, USDJPY, USDMYR, USDSGD, USDPHP, USDCLP, USDPEN

Trade History (Last 15 Trades)

Disclaimer

• This document is a marketing communication and not independent investment research.
• The views and signals are based on BNP Paribas' models and may not be objective due to potential conflicts of interest.
• The Regime Monitor is used to identify instability in the model and support discretionary trading decisions.
• The information provided is for reference only and should not be relied upon as authoritative or as a substitute for professional judgment.
• No liability is accepted for any losses arising from the use of this document.
• This document is for professional clients only and may not be distributed to retail clients.