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BNP Paribas FX Strategy Summary (16 October 2017)

Core Content Overview

This document provides FX trading signals and insights from the BNP Paribas STEER™ Model across various currency pairs, including G10, CEEMEA, Latin America, and Asia. It outlines current positions, target levels, stop losses, and returns, while also discussing the deviation of currencies from their short-term values using z-scores. The document is part of the firm's FX strategy and is intended for professional clients and relevant market participants.

Main Trading Signals

New Signals (16-Oct-17)

• LONG EURPLN at 4.2522, targeting 4.2754, with a stop loss at 4.2406. Return: 0.00%.

Existing Signals

• LONG GBPUSD at 1.3205, targeting 1.3487, with a stop loss at 1.3088. Return: 0.57%.
• SHORT USDCAD at 1.2578, targeting 1.2363, with a stop loss at 1.2687. Return: 0.80%.
• SHORT EURNOK at 9.3752, targeting 9.2502, with a stop loss at 9.4320. Return: 0.62%.

Recently Closed Signals

• SHORT EURSEK at 9.5247, closed at 9.5750 (12-Oct-17). Return: -0.53%.
• SHORT USDTRY at 3.6357, closed at 3.6516 (12-Oct-17). Return: -0.44%.
• SHORT USDMXN at 18.7891, closed at 18.8639 (12-Oct-17). Return: -0.40%.

Key Insights and Analysis

GBPUSD

• GBPUSD is currently 1.4 z-scores undervalued according to the STEER model.
• The pair is expected to gain further this week.
• The STEER model suggests a long position targeting 1.3487.

USDCAD & EURNOK

• CAD and NOK appear to have scope to strengthen.
• The firm remains short USDCAD targeting 1.2363 and short EURNOK targeting 9.2502.
• A notable reduction in CAD long positions has been observed, which may indicate a shift in market sentiment.

EURPLN

• EURPLN is considered undervalued, with a decline that is not justified by short-term fundamentals.
• The STEER model has initiated a long EURPLN signal.

G10 Currency Deviations

• GBPUSD is undervalued by 1.42 z-scores.
• AUDUSD, USDJPY, EURSEK, NZDUSD, EURNOK, USDCAD, EURUSD, and EURGBP show deviations ranging from -1.56% to 3.12%.
• EURCHF and EURGBP are the most overvalued with z-scores of 1.33 and 1.67 respectively.

CEEMEA Currency Analysis

• EURPLN is 2.11 z-scores undervalued.
• EURRON is 0.87 z-scores undervalued.
• USDRUB is 0.49 z-scores undervalued.
• USDZAR is 0.30 z-scores undervalued.
• USDTRY is 1.71 z-scores overvalued.
• USDTWD, USDINR, USDKRW, USDPHP, USDMYR, USDIDR, and USDSGD show various deviations from their short-term values.

Latin America Currency Analysis

• USDCOP is 0.81 z-scores undervalued.
• USDPEN is 0.79 z-scores undervalued.
• USDCLP is 0.28 z-scores overvalued.
• USDBRL is 0.54 z-scores overvalued.
• USDMXN is 1.54 z-scores overvalued.

Key Drivers and Notes

• The STEER model highlights that GBPUSD has potential for further gains due to political uncertainty.
• CAD and NOK are seen as undervalued, leading to short positions.
• Most EM pairs are trading in line with their STEER values, except EURPLN.
• The z-scores reflect the deviation from short-term value, with higher values indicating overvaluation and lower values indicating undervaluation.
• The model uses a co-integration filter to assess the validity of signals.

Strategy Contacts

Legal and Disclaimer Information

• This document is non-independent research and is a marketing communication.
• It is not investment research and should not be relied upon as such.
• The firm may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• Performance data is based on back-testing and is for illustrative purposes.
• Indicative prices may vary significantly from other sources and are not guaranteed.
• The document does not constitute an offer to sell or solicitation of an offer to buy.
• It is confidential and not to be reproduced without written consent.

This summary captures the key elements of the document, including the current trading signals, their rationale, and the relevant legal disclaimers.