20170829-法国巴黎银行-BNP_PARIBAS_STEER_16页_783kb

FX STRATEGY | FX QUANT INSIGHT - BNP Paribas STEER Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to generate FX trading signals based on short-term value and z-score deviations. The document outlines the current trading signals, fair value estimates, and the rationale behind the model's positions for various currency pairs across different regions.

Main Trading Signals

New Signals (29-Aug-17)

• LONG USDSGD: Entry rate 1.3534, Target 1.3604, Stop Loss 1.3499
• LONG USDCLP: Entry rate 628.18, Target 632.25, Stop Loss 626.15 (Indicative entry; to be updated on market open)
• SHORT USDMXN: Entry rate 17.9416, Target 17.7952, Stop Loss 18.0148
• LONG USDTHB: Entry rate 33.2500, Target 33.4396, Stop Loss 33.1552

Closed Signals

• SHORT USDBRL: Closed at 3.1613 (28-Aug-17), Return -0.26%

Existing Signals

• LONG NZDUSD: Entry rate 0.7208, Target 0.7367, Stop Loss 0.7122, Return 0.40%
• SHORT EURSEK: Entry rate 9.5036, Target 9.4713, Stop Loss 9.5657, Return -0.39%
• LONG USDTHB: Entry rate 33.2500, Target 33.4396, Stop Loss 33.1552, Return -0.32%

Key Currency Pairs and Z-Score Analysis

G10 Currencies

• NZDUSD: Undervalued by 1.2 z-scores; STEER remains long with a target of 0.7367.
• USDJPY: Fair value is now 108.80, slightly below the spot rate.
• EURGBP and EURCHF show significant overvaluation (z-scores of 1.76 and 2.52, respectively).

CEEMEA & APAC

• USDSGD is significantly undervalued (-2.84 z-score).
• USDIDR and USDINR are slightly overvalued (z-scores of 1.24 and 1.73, respectively).
• USDPHP is highly overvalued (z-score of 2.40).

Latin America

• USDCLP is slightly undervalued (-1.53 z-score).
• USDMXN is overvalued by 2.15 z-scores, indicating a potential short position.
• USDBRL is overvalued by 2.22 z-scores, also suggesting a short position.

Driving Factors

• NZDUSD: The fair value remains stable due to offsetting effects from US yield declines and New Zealand equity underperformance.
• USDMXN: The rally appears overdone, leading to a short signal.
• USDTHB: STEER remains long, with a fair value slightly above the spot rate.
• EURSEK: The fair value has increased due to rising Swedish 2y yields.
• USDJPY: The fair value is slightly below the spot rate.
• USDSGD: The undervaluation is attributed to market conditions and the model's internal calculations.
• USDKRW and USDMYR: Both show minor undervaluation.
• USDIDR and USDINR: Show slight overvaluation.
• USDPHP: Highly overvalued, suggesting a potential short position.

Strategic Insights

• STEER continues to maintain long positions in NZDUSD and USDTHB, and short positions in USDMXN and EURSEK.
• The model suggests that certain currency pairs are either overvalued or undervalued, based on the z-score deviation from the short-term fair value.
• The model uses a co-integration filter to assess the validity of signals, and if the z-score is less than 1.5, the signal may not be initiated.

Contacts

FX Strategy & Macro Quantitative Strategist

• Michael Sneyd, CFA: London, +44 20 7595 1307, michael.sneyd@uk.bnpparibas.com
• Natalie Rickard: London, +44 20 7595 8270, natalie.rickard@uk.bnpparibas.com

Emerging Markets FX & IR Strategy

• Wike Groenenberg: London, +44 20 7595 8746, wike.groenenberg@uk.bnpparibas.com
• Marcelo Carvalho: Sao Paulo, +55 11 3841 3418, marcelo.carvalho@br.bnpparibas.com
• Piotr Chwiejczak: London, +44 20 7595 8715, piotr.chwiejczak@uk.bnpparibas.com
• Sai Ulluri: London, +44 20 7595 1872, sai.ulluri@uk.bnpparibas.com
• Erkin Isik, CFA: Istanbul, +90 216 635 2987, erkin.isik@teb.com.tr
• Mirza Baig: Singapore, +65 6210 3262, mirza.s.baig@asia.bnpparibas.com
• Dawn Kwa: Singapore, +65 6210 3263, dawn.kwa@asia.bnpparibas.com
• Altaz Dagna: Singapore, +65 6210 4994, altaz.dagna@asia.bnpparibas.com
• Kun Shan: Shanghai, +86 21 2896 2773, kun.shan@asia.bnpparibas.com
• Tianhe Ji: Beijing, +86 10 6535 0836, tianhe.ji@asia.bnpparibas.com
• Gabriel Gersztein: Sao Paulo, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: Sao Paulo, +55 11 3841 3492, samuel.castro@br.bnpparibas.com
• Gustavo Mendonca: Sao Paulo, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com

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 for investment decisions.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The information is provided for informational purposes only and is subject to change without notice.
• No liability is accepted for any use of the information contained in this document.
• The document may contain simulated performance data and is not a prospectus or public offering.