20170807-法国巴黎银行-BNP_PARIBAS_STEER_16页_775kb

BNP Paribas STEER™ Model Summary

Core Content

The document provides an overview of the BNP Paribas STEER™ Model trading signals and market analysis for various currency pairs, including G10, CEEMEA, Latin America, and Asia. It outlines the model's current positions, target levels, stop losses, and returns, as well as the deviation from short-term value (z-scores) for key currencies. Additionally, it includes legal notices and disclosures regarding the use and interpretation of the document.

Main Trading Signals

• Closed Signals:

  • 02-Aug-17: SHORT USDMXN, entry rate 17.9053, close rate 17.9806, return -0.42%
  • 25-Jul-17: SHORT USDMXN, entry rate 17.7337, close rate 17.5827, return 0.85%
  • 27-Jul-17: SHORT AUDUSD, entry rate 0.8044, close rate 0.7981, return 0.78%
  • 21-Jul-17: SHORT EURUSD, entry rate 1.1665, close rate 1.1790, return -1.07%
  • 02-Aug-17: LONG USDBRL, entry rate 3.1427, close rate 3.1261, return -0.53%
  • 02-Aug-17: SHORT USDRUB, entry rate 60.3486, close rate 60.6585, return -0.51%

• Existing Signals:

  • 31-Jul-17: SHORT GBPUSD, entry rate 1.3129, target 1.2838, stop loss 1.3317
  • 02-Aug-17: SHORT EURNOK, entry rate 9.3636, target 9.2894, stop loss 9.4217

Currency Deviation Analysis (G10)

Key Observations

• The USD has strengthened after the Friday payrolls release, moving closer to fair value against G10 currencies, but remains undervalued against EUR and NZD.
• GBPUSD and EURNOK are still targeted by the STEER model, with GBPUSD remaining overvalued by 1.0 z-scores.
• Most EM (Emerging Markets) pairs are trading in line with their STEER values.
• STEER remains short GBPUSD and EURNOK, and has closed out a short USDMXN signal with a loss of 0.42%.

Driving Factors Behind the Moves

• The model highlights the influence of macroeconomic factors, market sentiment, and co-integration analysis on currency movements.
• It emphasizes that the STEER model does not always pass the co-integration filter, which may affect the validity of the signals.

Legal and Distribution Notice

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID.
• It is a marketing communication and not investment research.
• The information is for informational purposes only, and no guarantees are made regarding accuracy or completeness.
• No fiduciary duty is assumed by BNP Paribas toward the recipients.
• Transactions based on this document may involve high risk and significant volatility.
• The document may not be distributed without prior written consent from BNP Paribas.

Contact Information

Cross Asset Strategy

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

Emerging Markets FX & IR Strategy

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

Production and Distribution

• The document was produced by BNP Paribas London Branch.
• It is distributed to Relevant Persons only and may not be shared without prior written consent.
• Confidentiality is emphasized, and the information is not to be copied or reproduced without permission.
• Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, and Louise Bylicki are the contact points for production and distribution.

United States Disclosures

• Options are complex instruments and not suitable for all investors.
• ETFs are subject to risks including tracking error, currency risk, and credit risk.
• Disclosures regarding the risks and characteristics of options and ETFs are provided.
• Prospectus should be consulted for detailed information before investing.

Additional Notes

• The document contains charts and z-score analysis for various currency pairs.
• The website www.baogaoba.xyz is noted as the source for exclusive collection and daily updates of the data.
• Indicative prices are provided but not guaranteed and are subject to change.