20161121-法国巴黎银行-BNP_Paribas_STEER_14页_790kb

报告摘要

FX Strategy Summary - BNP Paribas STEER™ Model (21 November 2016)

Core Content

This document outlines the BNP Paribas STEER™ Model trading signals for the FX market as of 21 November 2016. The model provides fair value estimates (FV) for various currency pairs and assesses their deviation from short-term values using z-scores. It highlights the current state of trades and the underlying factors influencing them, with a focus on G10, Emerging Markets (EM), Asia, and Latin America currencies.

Main Trading Signals

Closed Signals

14-Nov-16: LONG EURUSD
- Entry Rate: 1.0758
- Close Rate: 1.0580 (18-Nov-16)
- Return: -1.65%
17-Nov-16: SHORT USDCLP
- Entry Rate: 674.9500
- Close Rate: 677.0400 (18-Nov-16)
- Return: -0.31%

Existing Signals

10-Nov-16: LONG GBPUSD
- Entry Rate: 1.2429
- Target: 1.2982
- Return: -0.53%
10-Nov-16: LONG EURNOK
- Entry Rate: 9.0564
- Target: 9.1965
- Return: 0.43%
18-Nov-16: SHORT USDZAR
- Entry Rate: 14.5520
- Target: 14.2949
- Return: 1.16%
18-Nov-16: SHORT USDTWD
- Entry Rate: 32.0060
- Target: 31.8452
- Return: 0.08%

Currency Pair Analysis

G10 Currencies

USDJPY: Trading close to its STEER of 111.44 (z-score: -0.19), previously undervalued.
AUDUSD: Trading slightly cheap vs STEER of 0.7411 (z-score: -0.85), previously overvalued.
NZDUSD: Declined in line with its STEER of 0.7009 (z-score: 0.04).
EURUSD: Fair value at 1.1085, slightly undervalued (z-score: -2.81).
GBPUSD: Fair value at 1.2982, currently undervalued (z-score: -2.96).
EURNOK: Fair value at 9.1965, currently undervalued (z-score: -0.95).
EURCHF: Fair value at 1.0889, undervalued (z-score: -2.17).
EURGBP: Fair value at 0.8539, undervalued (z-score: 0.37).
EURSEK: Fair value at 9.4218, overvalued (z-score: 2.62).
USDCAD: Fair value at 1.3426, slightly overvalued (z-score: 0.32).

Emerging Markets (EM) Currencies

USDZAR: Trading slightly overvalued (z-score: 1.43), short position remains open.
USDTWD: Trading slightly overvalued (z-score: 1.43), short position remains open.
USDILS: Overvalued (z-score: 1.07), fair value at 3.8103.
USDRUB: Overvalued (z-score: 1.10), fair value at 63.7700.
USDTRY: Overvalued (z-score: 2.79), fair value at 3.2219.
EURCZK: Slightly overvalued (z-score: 0.26), fair value at 27.0292.
EURRON: Slightly overvalued (z-score: 0.28), fair value at 4.5104.
EURHUF: Slightly overvalued (z-score: 0.73), fair value at 307.84.
EURPLN: Overvalued (z-score: 2.55), fair value at 4.3511.

Asia Currencies

USDIDR: Slightly overvalued (z-score: 0.08), fair value at 13563.
USDTHB: Overvalued (z-score: 1.18), fair value at 35.3862.
USDPHP: Overvalued (z-score: 1.28), fair value at 49.3005.
USDTWD: Overvalued (z-score: 1.43), fair value at 31.7528.
USDKRW: Overvalued (z-score: 2.08), fair value at 1162.
USDINR: Overvalued (z-score: 3.18), fair value at 67.4433.
USDSGD: Overvalued (z-score: 3.77), fair value at 1.3834.

Latin America Currencies

USDBRL: Slightly undervalued (z-score: -0.83), fair value at 3.4064.
USDPEN: Slightly undervalued (z-score: -0.63), fair value at 3.4181.
USDMXN: Slightly undervalued (z-score: -0.61), fair value at 20.6987.
USDCOP: Overvalued (z-score: 1.34), fair value at 3141.
USDCLP: Overvalued (z-score: 2.13), fair value at 669.37.

Key Insights

G10 Pairs: The fair value of USDJPY has approached its STEER, while AUDUSD and NZDUSD have aligned with their STEER values. EURUSD, GBPUSD, and EURNOK are still undervalued according to the model.
EM Currencies: USDZAR and USDTWD remain overvalued, and the model continues to signal short positions. Other EM currencies like USDILS, USDRUB, and USDTRY are also overvalued.
Asia Currencies: All Asia currency pairs are overvalued, with USDINR and USDSGD showing the highest deviations.
Latin America Currencies: USDBRL is slightly undervalued, while USDCLP and USDCOP are overvalued.
Main Drivers: The primary factor influencing these currency pairs has been US 2y and 10y yields.

Contact Information

Cross Asset Strategy

Michael Sneyd, CFA – Macro Quantitative Strategist, London
- Tel: 44 20 7595 1307
- Email: michael.sneyd@uk.bnpparibas.com
Steven Saywell – Global Head of FX Strategy, London
- Tel: 44 20 7595 8487
- Email: steven.saywell@uk.bnpparibas.com
Sam Lynton-Brown – FX Strategist, London
- Tel: 44 20 7595 8467
- Email: sam.lynton-brown@uk.bnpparibas.com
Clara Leonard – FX Strategist, London
- Tel: 44 20 7595 1424
- Email: clara.leonard@uk.bnpparibas.com
Natalie Rickard – Graduate, London
- Tel: 44 20 7595 8270
- Email: natalie.rickard@uk.bnpparibas.com
Daniel Katzive, CFA – Head of FX Strategy North America, New York
- Tel: 1 212 841 2408
- Email: daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis – FX Options Strategist, New York
- Tel: 1 212 471 7973
- Email: vasilis.koutsaftis@americas.bnpparibas.com

Emerging Markets FX & IR Strategy

Wike Groenenberg – Global Head of EM Strategy, London
- Tel: 44 20 7595 8746
- Email: wike.groenenberg@uk.bnpparibas.com
Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
- Tel: 44 20 7595 8715
- Email: piotr.chwiejczak@uk.bnpparibas.com
Erkin Isik, CFA – FX & IR CEEMEA Strategist, Istanbul
- Tel: 90 216 635 2987
- Email: erkin.isik@teb.com.tr
Mirza Baig – Head of FX & IR Asia Strategy, Singapore
- Tel: 65 6210 3262
- Email: mirza.s.baig@asia.bnpparibas.com
Jennifer Kusuma – FX & IR Asia Strategist, Singapore
- Tel: 65 6210 3263
- Email: jennifer.kusuma@asia.bnpparibas.com
Altaz Daga – AU/NZ IR Strategist, Singapore
- Tel: 65 6210 4994
- Email: altaz.dagha@asia.bnpparibas.com
Kun Shan – China Strategist, Shanghai
- Tel: 86 21 2896 2773
- Email: kun.shan@asia.bnpparibas.com
Tianhe Ji – China Strategist, Shanghai
- Tel: 86 21 2896 2785
- Email: tianhe.ji@asia.bnpparibas.com
Gabriel Gersztein – Head FX & IR Latam Strategy, Sao Paulo
- Tel: 55 11 3841 3421
- Email: gabriel.gersztein@br.bnpparibas.com
Samuel Castro – FX & IR Latam Strategist, Sao Paulo
- Tel: 55 11 3841 3492
- Email: samuel.castro@br.bnpparibas.com
Gustavo Mendonca – FX & IR Latam Strategist, Sao Paulo
- Tel: 55 11 3841 3445
- Email: gustavo.mendonca@br.bnpparibas.com

Disclaimer

This document is a non-independent research for the purpose of FCA rules and is intended for Relevant Persons only. It is not investment research and should not be relied upon for making investment decisions. The model may be subject to conflicts of interest due to its interaction with sales and trading teams. BNP Paribas may have a financial interest in the securities mentioned, and this document is not intended to be an offer or solicitation to buy or sell any securities. It is for informational purposes only and may not be reproduced or distributed without prior written consent.

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