20170206-法国巴黎银行-BNP_Paribas_STEER_15页_837kb
报告摘要
FX Strategy Summary - BNP Paribas STEER™ Model (06 February 2017)
Core Content Overview
This document outlines the BNP Paribas STEER™ FX Strategy for 06 February 2017, detailing trading signals, currency valuations, and market positioning based on the STEER model. The model provides fair value estimates, z-scores, and target levels for various currency pairs, with a focus on commodity bloc currencies, G10 currencies, and emerging market (EM) currencies.
Main Trading Signals
New Signals
- 06-Jan-17: Long USDPEN at 3.2600, targeting 3.2845, stop loss at 3.2477, return 0.00%.
Closed Signals
- 03-Feb-17: Long USDTWD closed at 30.9361, return -0.31%.
- 03-Feb-17: Long USDPEN closed at 3.2729, return 0.75%.
Existing Signals
- 03-Feb-17: Short AUDUSD, target 0.7535, stop loss at 0.7734, return -0.04%.
- 02-Feb-17: Long EURNOK, target 8.9637, stop loss at 8.7948, return -0.11%.
Recently Closed Signals
- 31-Jan-17: Long USDPEN closed at 3.2808, return -0.35%.
- 27-Jan-17: Long USDTWD closed at 31.2761, return -0.27%.
- 02-Feb-17: Long USDZAR closed at 13.3358, return -0.69%.
Currency Valuation and Z-Scores
G10 Currencies
| Currency | STEER Value | Spot Value | Z-Score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| EURNOK | 8.9637 | 8.8400 | -1.64% | 9.0772 | 8.8501 |
| USDCAD | 1.3171 | 1.3030 | -1.30% | 1.3338 | 1.3004 |
| EURCHF | 1.0755 | 1.0690 | -0.73% | 1.0890 | 1.0620 |
| EURSEK | 9.4802 | 9.4460 | -0.32% | 9.6414 | 9.3191 |
| USDJPY | 112.88 | 112.70 | -0.10% | 115.0772 | 110.6889 |
| NZDUSD | 0.7315 | 0.7310 | -0.03% | 0.7503 | 0.7127 |
| EURGBP | 0.8612 | 0.8620 | 0.05% | 0.8855 | 0.8369 |
| GBPUSD | 1.2443 | 1.2470 | 0.09% | 1.2949 | 1.1937 |
| EURUSD | 1.0716 | 1.0750 | 0.31% | 1.0887 | 1.0545 |
| AUDUSD | 0.7535 | 0.7660 | 1.30% | 0.7675 | 0.7396 |
Key Observations
- Commodity bloc currencies (e.g., AUDUSD, USDCAD, EURNOK, EURSEK, EURCHF) appear overvalued, with AUDUSD and USDCAD showing the highest z-scores.
- USDJPY and EURGBP are slightly overvalued.
- EURUSD is slightly undervalued.
- GBPUSD and NZDUSD are fairly valued.
- All other G10 currencies are fairly valued.
Emerging Market (EM) Currencies
| Currency | STEER Value | Spot Value | Z-Score | Upper Bound | Lower Bound |
|---|---|---|---|---|---|
| USDILS | 3.8025 | 3.7540 | -2.04% | 3.8380 | 3.7670 |
| USDZAR | 13.5891 | 13.2760 | -1.66% | 13.8726 | 13.3055 |
| USDRUB | 59.8531 | 58.7290 | -1.40% | 61.0614 | 58.6448 |
| USDTRY | 3.4919 | 3.6760 | 1.99% | 3.6301 | 3.3537 |
| USDTWD | 31.5354 | 30.9130 | -3.05% | 31.8415 | 31.2292 |
| USDTHB | 35.3471 | 35.0370 | -2.00% | 35.5793 | 35.1148 |
| USDSGD | 1.4487 | 1.4100 | -2.00% | 1.4778 | 1.4195 |
| USDINR | 67.6842 | 67.1920 | -1.70% | 68.1183 | 67.2502 |
| USDCOP | 2868 | 2852 | -0.58% | 2911.0862 | 2825.4112 |
| USDPEN | 3.3080 | 3.2600 | -1.96% | 3.3448 | 3.2712 |
| USDMXN | 20.5936 | 20.3500 | -1.41% | 20.8533 | 20.3340 |
Key Observations
- USDTRY is overvalued with a z-score of 1.99%.
- USDILS, USDZAR, USDRUB, USDTWD, USDTHB, USDSGD, and USDINR are overvalued.
- USDPEN is overvalued by 1.96%.
- USDMXN is overvalued by 1.41%.
- USDCOP is slightly undervalued.
- STEER™ has reinitiated a long USDPEN signal after taking profit on the previous one.
Key Market Drivers
- Commodity bloc currencies (e.g., AUDUSD, USDCAD) are overvalued, reflecting a build-up of long positions.
- USDJPY and EURGBP are slightly overvalued, with the USD falling against the EUR and JPY due to a decline in US 2y yields.
- EM currencies (e.g., USDILS, USDTRY) show overvaluation, likely due to interest rate differentials and economic sentiment.
- STEER™ is targeting AUDUSD at 0.7535 and EURNOK at 8.9637.
- Performance data is based on back-testing and simulations, which may not reflect real-world market conditions due to liquidity, fees, and transaction costs.
Global Strategy Contacts
| Name | Role | Location | Phone | |
|---|---|---|---|---|
| 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 |
Legal and Disclaimer Notes
- This document is non-independent research and may be subject to conflicts of interest.
- It is intended for professional clients and relevant persons as defined by MiFID.
- No investment, tax, or legal advice is provided.
- Indicative prices are based on internal models and may vary from market prices.
- Back-tested performance is for illustrative purposes and does not guarantee future results.
- Confidentiality: The document is strictly confidential and may not be distributed without prior written consent.
Important Disclosures
- Options are complex instruments with high risk.
- ETFs carry tracking error, currency risk, and geopolitical risk.
- BNP Paribas may have conflicts of interest due to its role as advisor, underwriter, or market maker in certain instruments.
- No assurance is given that any returns or results will be achieved.
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