20140527-巴黎银行证券-BNP_Paribas_STEER__11页_1mb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a proprietary model used to assess the over- or undervaluation of currency pairs. It evaluates deviations from fair value using a z-score metric, which measures the percentage mis-valuation relative to the standard deviation of mis-valuations over the past year. A deviation greater than 1.5 z-scores is considered a significant predictor of exchange rate movements.

The report provides an analysis of G10, CEEMEA, Asia, and Latin America currency pairs, highlighting those that are over- or undervalued and offering trading signals and targets where applicable. It also includes a regime monitor to assess the stability of the STEER model and a list of FX strategy contacts.

Key Points

Main Trading Signals

• EURSEK is overvalued by 1.2 z-scores and is expected to fall, with a target at 8.9496 and a stop loss at 9.0715.
• USDMYR is undervalued by 1.19 z-scores and has a long signal, targeting a rise to 3.2272 with a stop loss at 3.1984. The signal was triggered on 22 May 2014.
• USDIDR is overvalued by 1.87 z-scores and has a short signal, targeting a decline to 58.7071 with a stop loss at 59.2515. The signal was triggered on 27 May 2014.

Other Currency Pair Analysis

• EURUSD is slightly undervalued, but has not triggered a bullish signal due to not breaking below the +/-1.5 z-score corridor.
• USDJPY, USDCAD, AUDUSD, NZDUSD, EURGBP, EURCHF, EURNOK are trading close to their fair values with deviations below the 1.5 z-score threshold.
• EURPLN, EURCZK, EURHUF, EURRON, USDZAR, USDTRY, USDILS, USDRUB, USDKRW, USDTHB, USDPHP, USDSGD, USDBRL, USDMXN, USDPEN, USDCOP are all trading within or close to their +/-1.5 z-score corridors, with no strong trading signals.

Regime Monitor

• The regime monitor tracks four variables to identify potential instability in the STEER model.
• EURCZK has the highest score at 64, but remains below the 80 threshold for trading.
• USDCOP has started to show increased instability, but the model is currently not passing the 'cointegration filter', so no trading signals are issued.

Trading Signal Interpretation

• A positive z-score indicates overvaluation, suggesting a potential decline.
• A negative z-score indicates undervaluation, suggesting a potential rise.
• The model does not always provide clear signals, especially when it fails the 'cointegration filter', which reduces its forecasting power.

Key Information

• STEER™ is a non-independent marketing communication and not subject to legal independence requirements.
• Trading signals are based on the model's deviation from fair value, but are not always actionable due to the 'cointegration filter'.
• Target and Stop Loss levels are provided for some currency pairs, while others remain neutral.
• The report is intended for professional clients and not for retail investors.
• BNP Paribas may have financial interests in the currencies mentioned, and the report is subject to change without notice.

Summary Table

Additional Notes

• The regime monitor helps identify potential instability in the model, which could affect trading strategy performance.
• EURSEK remains the only currency pair with a significant trading signal.
• The model is not a substitute for independent analysis and should not be relied upon as an authoritative source.
• STEER™ is a trade mark of BNP Paribas and is subject to the company's disclosures and disclaimers.