20180716-法国巴黎银行-FX_QUANT_DAILY_BNP_PARIBAS_STEER_18页_954kb

BNP Paribas STEER™ Model Summary - 16 July 2018

Core Content

This document provides a summary of the BNP Paribas STEER™ Model trading signals and market analysis for the FX market on 16 July 2018. The model generates short-term currency valuation insights based on a proprietary algorithm, and it is used to identify potential trading opportunities. The report includes updated signals, existing positions, z-score deviations, and the driving factors behind the current market conditions.

Main Trading Signals

New Signals (16-Jul-18)

• SHORT USDKRW: The pair's STEER fair value (FV) is at 1111, but the spot rate has risen to 1129.10, indicating an overvaluation. The target is 1121.52, and the stop loss is at 1132.89.

Existing Signals

• SHORT USDILS (13-Jul-18): FV=3.6201, Spot=3.6300, z-score=0.44 (0.28%), indicating the pair is slightly overvalued. Return=0.27%.
• SHORT USDRUB (12-Jul-18): FV=60.8289, Spot=62.5780, z-score=2.51 (2.79%), suggesting the pair is overvalued. Return=0.01%.
• SHORT USDSGD (12-Jul-18): FV=1.3455, Spot=1.3640, z-score=2.31 (1.32%), overvalued. Return=0.02%.
• SHORT USDTHB (12-Jul-18): FV=32.9730, Spot=33.2980, z-score=1.73 (0.98%), overvalued. Return=0.00%.
• SHORT USDTWD (13-Jul-18): FV=30.2175, Spot=30.5580, z-score=1.52 (1.11%), overvalued. Return=-0.10%.
• SHORT USDBRL (13-Jul-18): FV=3.7725, Spot=3.8520, z-score=1.68 (2.06%), overvalued. Return=1.00%.

Key Market Insights

General Theme

• The STEER model highlights that strength in local equity markets has not translated into stronger local currencies, resulting in 7 short USD vs EM signals currently active.
• The model suggests that USD is overvalued against several emerging market (EM) currencies, including KRW, RUB, ILS, SGD, TWD, THB, and BRL.

Z-Score Analysis (G10 Currencies)

• NZDUSD: z-score=-2.07 (-4.96%), under the short-term value.
• GBPUSD: z-score=-1.51 (-2.26%), under the short-term value.
• AUDUSD: z-score=-1.40 (-1.82%), under the short-term value.
• EURUSD: z-score=-1.27 (-1.66%), under the short-term value.
• EURNOK: z-score=-0.32 (-0.39%), slightly undervalued.
• EURGBP: z-score=0.31 (0.58%), slightly overvalued.
• EURCHF: z-score=0.37 (0.35%), slightly overvalued.
• USDCAD: z-score=0.81 (0.69%), overvalued.
• USDJPY: z-score=1.98 (3.60%), significantly overvalued.

Z-Score Analysis (CEEMEA & APAC)

• USDILS: z-score=0.44 (0.28%), slightly overvalued.
• USDTRY: z-score=0.54 (0.61%), slightly overvalued.
• USDZAR: z-score=0.86 (0.92%), slightly overvalued.
• USDKRW: z-score=2.43 (1.63%), overvalued.
• USDSGD: z-score=2.31 (1.32%), overvalued.
• USDTWD: z-score=1.52 (1.11%), overvalued.
• USDTHB: z-score=1.73 (0.98%), overvalued.
• USDIDR: z-score=3.00 (2.02%), significantly overvalued.

Z-Score Analysis (Latin America)

• USDBRL: z-score=1.68 (2.06%), overvalued.
• USDMXN: z-score=-0.45 (-0.39%), slightly undervalued.
• USDCLP: z-score=-0.34 (-0.24%), slightly undervalued.
• USDCOP: z-score=0.01 (0.01%), almost at fair value.
• USDPEN: z-score=-0.69 (-0.25%), slightly undervalued.

Driving Factors

• USDKRW: The recent rise in spot appears overdone due to strengthening Korean equity markets.
• USDRUB: The short-term fair value has declined due to rising Russian equity markets and falling oil prices. The pair has a positive correlation with oil prices, making the recent spot increase unjustified.
• USDBRL: The pair appears overvalued by 1.7 z-scores due to strong Brazilian equity markets.
• USDILS: STEER remains short USD vs ILS in Asia, indicating the pair is overvalued.
• USDTHB, USDSGD, USDTWD: These pairs are also overvalued according to STEER in the Asian region.

Key Notes

• The model does not always pass the 'co-integration filter', which is indicated by the dotted line in the charts.
• The document serves as a marketing communication and is not investment research under MiFID II.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID II.
• No investment, financial, legal, or tax advice is provided in this document.
• The information is based on public sources and internal models, and may be subject to change without notice.

Legal and Disclaimer Information

• This document is non-independent research and may be subject to conflicts of interest.
• No liability is accepted for any loss or damage arising from the use of this document.
• The indicative prices are based on internal models and are not actual transaction terms.
• The document may contain back-tested performance data, which is not indicative of future results.
• It does not constitute a prospectus or public offering and is confidential.

Contact Information

Additional Information

• Online Resources: BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: Fixed Income Research (BPFR), Emerging Markets Research (BPFR), G10 Interest Rate Research (BPBS), Market Economics (BPEC)
• www.baogaoba.xyz: This website is noted as an exclusive collector and daily updater of the document.
• Disclaimer: The document is for information purposes only, and no transaction is guaranteed. No liability is accepted for any loss or damage arising from the use of the information.