20170710-法国巴黎银行-BNP_PARIBAS_STEER_15页_773kb

BNP Paribas FX Strategy Summary (July 10, 2017)

Core Content Overview

This document outlines the BNP Paribas STEER™ Model trading signals for foreign exchange (FX) pairs as of July 10, 2017. The model provides short-term fair value estimates and trading signals based on quantitative analysis and co-integration filters. It includes performance data, z-scores, and notes on the model's position and potential outcomes.

Trading Signals

Closed Signals

• 06-Jul-17: SHORT USDCOP
  • Entry Rate: 3080.90
  • Close Rate: 3095.49
  • Return: -0.47%

Existing Signals

• 05-Jul-17: SHORT USDJPY

  • Entry Rate: 113.20
  • Target: 111.65
  • Stop Loss: 114.47
  • Return: -0.90%

• 23-Jun-17: SHORT EURGBP

  • Entry Rate: 0.8783
  • Target: 0.8752
  • Stop Loss: 0.8910
  • Return: -0.57%

• 06-Jul-17: SHORT USDTRY

  • Entry Rate: 3.6339
  • Target: 3.5978
  • Stop Loss: 3.6519
  • Return: 0.62%

• 07-Jul-17: SHORT USDKRW

  • Entry Rate: 1155.70
  • Target: 1144.25
  • Stop Loss: 1161.42
  • Return: 0.55%

Recently Closed Signals

• 05-Jul-17: SHORT EURPLN

  • Entry Rate: 4.2395
  • Close Rate: 4.2502
  • Return: -0.25%

• 21-Jun-17: SHORT USDTWD

  • Entry Rate: 30.4510
  • Close Rate: 30.5640
  • Return: -0.37%

• 05-Jul-17: SHORT USDBRL

  • Entry Rate: 3.3133
  • Close Rate: 3.3254
  • Return: -0.36%

Key Insights

• USDJPY is still in a short position, with a target at 111.65 and a stop at 114.47. The model indicates that the currency has appreciated too much despite the rise in US 10-year yields.

• EURGBP remains in a short position, targeting 0.8752. The fair value has drifted higher due to rising German 10-year yields, but the model suggests a potential decline.

• USDTRY and USDKRW are in short positions in the Emerging Markets (EM) segment. Both CDS (Credit Default Swaps) have widened, pushing fair values higher, but the FX rallies appear overdone.

• STEER™ continues to signal short positions in several currencies, indicating overvaluation based on model analysis and market dynamics.

FX Pairs and Z-Scores

EM FX Pairs and Z-Scores

Driving Factors

• USDJPY and EURGBP have moved away from their fair values, indicating potential overvaluation.
• USDTRY and USDKRW have seen increased CDS spreads, suggesting higher risk and pushing fair values upward.
• The model uses z-scores to measure deviation from short-term values, with higher z-scores indicating greater deviation and potential for correction.
• The model continues to signal short positions in several EM and Latin American currencies, reflecting market overbought conditions.

Global Strategy Contacts

Legal and Disclaimer Notes

• The document is non-independent research and may be subject to conflicts of interest.
• It is a marketing communication and not investment research.
• The information is for Relevant Persons only and is not intended for general public use.
• STEER™ is a trademark of BNP Paribas.
• No liability is accepted for any reliance on the document or its content.
• Indicative prices and performance data are simulated and not actual transaction terms.
• Past performance is not indicative of future results.
• The information is confidential and may not be distributed without prior consent.

US Disclosures

• Options are complex instruments with high risk and may not be suitable for all investors.
• ETFs are subject to tracking error, currency, and geopolitical risks.
• BNP Paribas may have conflicts of interest due to its involvement in market-making, advisory, or underwriting activities.
• The document does not constitute a prospectus or public offering.
• It is not intended to provide investment, tax, or legal advice.

Additional Notes

• The document is exclusive to www.baogaoba.xyz and updated daily.
• It is produced by BNP Paribas London Branch.
• All estimates and opinions are based on the model's internal calculations and may change without notice.