巴黎银行-全球-外汇策略-巴黎银行外汇指南-20190617-17页.pdf

MACRO QUANT STRATEGY|G10 FX Michael Sneyd,CFAAlex Jekov,Head of Macro Quantitative&Derivatives Strategy|Kris Gjini,FX Strategist|,Macro Quant Strategist|Benedicte Lowe ,Cross Asset Strategist|BNP Paribas London Branch BNP PARIBAS STEER|GLOBAL17 June 2019 Please refer to important information at the end of the report|All sources:BNP Paribas,Bloomberg Entry Date Position Entry Rate Target Stop Loss Close Rate Return(%)Signals Updated Today New Signals 17-Jun-19 LONG USDMXN 19.1487 19.2586 19.0938-0.00 Closed Signals Existing Signals Recently Closed Signals 04-Jun-19 LONG USDILS 3.6089-3.5984(05-Jun-19)-0.29 05-Jun-19 LONG USDKRW 1178.25-1181.40(07-Jun-19)0.27 06-Jun-19 LONG USDCLP 691.75-689.84(06-Jun-19)-0.28 31-May-19 LONG AUDUSD 0.6916-0.6914(13-Jun-19)-0.03 10-Jun-19 SHORT USDIDR 14306.00-14359.00(12-Jun-19)-0.37 Notes:STEER signals long USDMXN.USDMXN spot had been appearing rich versus fair value in early June.However,STEER signals thesubsequent strengthening of the MXN has gone too far and now triggers a long USDMXN signal.There are currently no other STEER trading signals most G10 and EM pairs are currently trading within their fair-value bands.EURUSD is trading at fair value.The fair value for most USDLATAM pairs has been falling in recent weeks,as a result of good performance in local equities and improving CDS spreads.See MAR disclosures here.USDMXN short term value(FV=19.3437)EURUSD short term value(FV=1.1240)BNP Paribas STEER Model-Trading Signals 18.3418.5418.7418.9419.1419.3419.5419.7420-Mar-201920-Apr-201920-May-2019STEERUSDMXN1.101.111.121.131.141.151.161.171.181.1920-Mar-201920-Apr-201920-May-2019STEEREURUSDMACRO QUANT STRATEGY|G10 FX 17 June 2019 2 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model G10 Deviation from short-term value(z-score)Currency NZDUSD GBPUSD AUDUSD EURNOK EURUSD EURCHF USDJPY EURSEK EURGBP USDCAD STEER 0.6822 1.2861 0.6949 9.8193 1.1240 1.1223 108.03 10.5180 0.8740 1.3245 Spot 0.6510 1.2580 0.6870 9.7710 1.1210 1.1200 108.60 10.6420 0.8910 1.3410 z-score-3.29(-4.86%)-1.81(-2.23%)-1.26(-1.11%)-0.61(-0.49%)-0.26(-0.29%)-0.24(-0.18%)0.61(0.54%)1.05(1.17%)1.20(1.91%)1.48(1.24%)Upper Bound 0.6966 1.3094 0.7040 9.9373 1.1426 1.1344 109.4723 10.6959 0.8952 1.3414 Lower Bound 0.6678 1.2628 0.6859 9.7014 1.1055 1.1102 106.5778 10.3401 0.8528 1.3077 Note:Dotted line shows when the model does not pass the co-integration filter Chart 1:NZDUSD short term value(FV=0.6822)Chart 2:GBPUSD short term value(FV=1.2861)Chart 3:AUDUSD short term value(FV=0.6949)Chart 4:EURNOK short term value(FV=9.8193)-4.0-3.0-2.0-1.00.01.02.0NZDUSD GBPUSD AUDUSD EURNOK EURUSD EURCHF USDJPY EURSEK EURGBP USDCAD10-Jun-201917-Jun-20190.640.650.660.670.680.690.700.7120-Mar-201920-Apr-201920-May-2019STEERNZDUSD1.251.271.291.311.331.351.3720-Mar-201920-Apr-201920-May-2019STEERGBPUSD0.670.680.690.700.710.720.730.7420-Mar-201920-Apr-201920-May-2019STEERAUDUSD9.459.559.659.759.859.9520-Mar-201920-Apr-201920-May-2019STEEREURNOKMACRO QUANT STRATEGY|G10 FX 17 June 2019 3 All sources:BNP Paribas,Bloomberg Chart 5:EURUSD short term value(FV=1.1240)Chart 6:EURCHF short term value(FV=1.1223)Chart 7:USDJPY short term value(FV=108.03)Chart 8:EURSEK short term value(FV=10.5180)Chart 9:EURGBP short term value(FV=0.8740)Chart 10:USDCAD short term value(FV=1.3245)Driving Factors Behind the Moves 1.101.111.121.131.141.151.161.171.181.1920-Mar-201920-Apr-201920-May-2019STEEREURUSD1.091.101.111.121.131.141.1520-Mar-201920-Apr-201920-May-2019STEEREURCHF10410510610710810911011111211320-Mar-201920-Apr-201920-May-2019STEERUSDJPY10.2210.3210.4210.5210.6210.7210.8220-Mar-201920-Apr-201920-May-2019STEEREURSEK0.830.840.850.860.870.880.890.900.9120-Mar-201920-Apr-201920-May-2019STEEREURGBP1.281.291.301.311.321.331.341.351.3620-Mar-201920-Apr-201920-May-2019STEERUSDCAD-3.0%-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNOKEURSEKEURCHF%w/w contribution to change in STEER OilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in SpotMACRO QUANT STRATEGY|G10 FX 17 June 2019 4 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model-CEEMEA Deviation from short-term value(z-score)Currency EURCZK USDRUB USDZAR EURRON EURPLN USDILS USDTRY EURHUF STEER 25.6390 64.6555 14.9448 4.7213 4.2548 3.6038 5.8505 318.29 Spot 25.5370 64.3820 14.7850 4.7220 4.2570 3.6070 5.8920 322.40 z-score-1.38(-0.40%)-0.75(-0.42%)-0.69(-1.08%)0.04(0.01%)0.18(0.05%)0.21(0.10%)0.46(0.70%)1.43(1.26%)Upper Bound 25.7498 65.2032 15.2915 4.7460 4.2713 3.6301 5.9842 322.5519 Lower Bound 25.5281 64.1078 14.5982 4.6966 4.2384 3.5775 5.7169 314.0332 Note:Dotted line shows when the model does not pass the co-integration filter Chart 11:EURCZK short term value(FV=25.6390)Chart 12:USDRUB short term value(FV=64.6555)Chart 13:USDZAR short term value(FV=14.9448)Chart 14:EURRON short term value(FV=4.7213)-2.0-1.5-1.0-0.50.00.51.01.52.0EURCZKUSDRUBUSDZAREURRONEURPLNUSDILSUSDTRYEURHUF10-Jun-201917-Jun-201925.4925.5425.5925.6425.6925.7425.7925.8425.8920-Mar-201920-Apr-201920-May-2019STEEREURCZK63.0363.5364.0364.5365.0365.5366.0366.5320-Mar-201920-Apr-201920-May-2019STEERUSDRUB13.5413.7413.9414.1414.3414.5414.7414.9415.1415.3420-Mar-201920-Apr-201920-May-2019STEERUSDZAR4.694.714.734.754.774.7920-Mar-201920-Apr-201920-May-2019STEEREURRONMACRO QUANT STRATEGY|G10 FX 17 June 2019 5 All sources:BNP Paribas,Bloomberg Chart 15:EURPLN short term value(FV=4.2548)Chart 16:USDILS short term value(FV=3.6038)Chart 17:USDTRY short term value(FV=5.8505)Chart 18:EURHUF short term value(FV=318.29)Driving Factors Behind the Moves 4.234.244.254.264.274.284.294.304.314.324.3320-Mar-201920-Apr-201920-May-2019STEEREURPLN3.543.563.583.603.623.643.663.6820-Mar-201920-May-2019STEERUSDILS5.325.425.525.625.725.825.926.026.126.2220-Mar-201920-May-2019STEERUSDTRY31131331531731932132332532720-Mar-201920-Apr-201920-May-2019STEEREURHUF-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%EURPLNEURCZKEURHUFEURRONUSDZARUSDTRYUSDILSUSDRUB%w/w contribution to change in CEEMEA ComdtyWorld EquitiesRate DiffLocal EqutiesLocal CDSSpotMACRO QUANT STRATEGY|G10 FX 17 June 2019 6 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model-Asia Deviation from short-term value(z-score)Currency USDTWD USDINR USDTHB USDMYR USDKRW USDIDR USDPHP USDSGD STEER 31.5347 69.8353 31.2318 4.1706 1178 14287 51.8622 1.3623 Spot 31.5030 69.8210 31.2720 4.1770 1186 14407 52.1620 1.3710 z-score-0.32(-0.10%)-0.03(-0.02%)0.17(0.13%)0.30(0.15%)0.89(0.72%)1.15(0.83%)1.19(0.57%)1.63(0.63%)Upper Bound 31.6850 70.6098 31.5827 4.2031 1192.3013 14443.7057 52.2415 1.3702 Lower Bound 31.3844 69.0609 30.8809 4.1381 1163.4333 14130.8457 51.4830 1.3543 Note:Dotted line shows when the model does not pass the co-integration filter Chart 19:USDTWD short term value(FV=31.5347)Chart 20:USDINR short term value(FV=69.8353)Chart 21:USDTHB short term value(FV=31.2318)Chart 22:USDMYR short term value(FV=4.1706)-2.0-1.5-1.0-0.50.00.51.01.52.0USDTWDUSDINRUSDTHBUSDMYRUSDKRWUSDIDRUSDPHPUSDSGD10-Jun-201917-Jun-201930.6830.8831.0831.2831.4831.6820-Mar-201920-Apr-201920-May-2019STEERUSDTWD68.0468.5469.0469.5470.0470.5471.0420-Mar-201920-Apr-201920-May-2019STEERUSDINR30.5530.7530.9531.1531.3531.5531.7531.9532.1532.3520-Mar-201920-Apr-201920-May-2019STEERUSDTHB4.004.054.104.154.2020-Mar-201920-Apr-201920-May-2019STEERUSDMYRMACRO QUANT STRATEGY|G10 FX 17 June 2019 7 All sources:BNP Paribas,Bloomberg Chart 23:USDKRW short term value(FV=1178)Chart 24:USDIDR short term value(FV=14287)Chart 25:USDPHP short term value(FV=51.8622)Chart 26:USDSGD short term value(FV=1.3623)Driving Factors Behind the Moves 11201130114011501160117011801190120020-Mar-201920-Apr-201920-May-2019STEERUSDKRW13942141421434214542147421494220-Mar-201920-Apr-201920-May-2019STEERUSDIDR51.3751.5751.7751.9752.1752.3752.5752.7752.9720-Mar-201920-Apr-201920-May-2019STEERUSDPHP1.331.341.351.361.371.381.3920-Mar-201920-Apr-201920-May-2019STEERUSDSGD-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%USDKRWUSDMYRUSDIDRUSDINRUSDTHBUSDSGDUSDPHPUSDTWD%w/w contribution to change in Asia bloc ComdtyWorld EquitiesRate DiffLocal EqutiesLocal CDSSpotMACRO QUANT STRATEGY|G10 FX 17 June 2019 8 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model Latin America Deviation from short-term value(z-score)Currency USDMXN USDBRL USDCOP USDPEN USDCLP STEER 19.3437 3.9084 3271 3.3393 696.06 Spot 19.1470 3.8970 3274 3.3470 699.90 z-score-1.79(-1.03%)-0.39(-0.30%)0.12(0.10%)0.92(0.24%)0.98(0.55%)Upper Bound 19.5086 3.9538 3309.7024 3.3525 701.9353 Lower Bound 19.1789 3.8630 3231.7764 3.3261 690.1776 Note:Dotted line shows when the model does not pass the co-integration filter Chart 27:USDMXN short term value(FV=19.3437)Chart 28:USDBRL short term value(FV=3.9084)Chart 29:USDCOP short term value(FV=3271)Chart 30:USDPEN short term value(FV=3.3393)-2.0-1.5-1.0-0.50.00.51.01.52.0USDMXNUSDBRLUSDCOPUSDPENUSDCLP10-Jun-201917-Jun-201918.3418.5418.7418.9419.1419.3419.5419.7420-Mar-201920-Apr-201920-May-2019STEERUSDMXN3.723.773.823.873.923.974.024.074.1220-Mar-201920-Apr-201920-May-2019STEERUSDBRL298430343084313431843234328433343384343420-Mar-201920-Apr-201920-May-2019STEERUSDCOP3.263.283.303.323.343.363.3820-Mar-201920-Apr-201920-May-2019STEERUSDPENMACRO QUANT STRATEGY|G10 FX 17 June 2019 9 All sources:BNP Paribas,Bloomberg Chart 31:USDCLP short term value(FV=696.06)Driving Factors Behind the Moves 65966967968969970920-Mar-201920-Apr-201920-May-2019STEERUSDCLP-3.0%-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%USDBRLUSDCLPUSDMXNUSDPENUSDCOP%w/w contribution to change in Latam bloc ComdtyWorld EquitiesRate DiffLocal EqutiesLocal CDSSpotMACRO QUANT STRATEGY|G10 FX 17 June 2019 10 All sources:BNP Paribas,Bloomberg STRATEGY CONTACTS STRATEGIST JOB TITLE LEGAL ENTITY PHONE Michael Sneyd,CFA Head of Macro Quantitative&Derivatives Strategy BNP Paribas London branch 44 20 7595 1307 Sam Lynton-Brown,CFA Head of G10 FX Strategy,Europe BNP Paribas London branch 44 20 7595 8467 Parisha Saimbi G10 FX and Sterling Rates Strategist BNP Paribas London branch 44 20 75958351 Alex Jekov FX Strategist BNP Paribas London branch 44 20 7595 4185 Daniel Katzive,CFA Head of FX Strategy North America BNP Paribas Securities Corp(New York)1 212 841 2408 Vasilis Koutsaftis FX Options Strategist BNP Paribas Securities Corp(New York)1 212 471 7973 Altaz Dagha APAC IR Strategist BNP Paribas Singapore Branch 65 6210 4994 Dawn Kwa Asia FX&IR Strategist BNP Paribas Singapore Branch 65 6210 3263 Tianhe Ji China Strategist BNP Paribas China Limited (Beijing)86 10 6535 0836 Gabriel Gersztein Head of Global Emerging Markets Strategy Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3421 Samuel Castro FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3492 Luca Maia FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3447 Andre Digiacomo FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3445 Kris Gjini Macro Quantitative Strategist BNP Paribas London branch 44 20 7595 1603 Benedicte Lowe Cross Asset Strategist BNP Paribas London branch 44 20 7595 1993 EDITORIAL LOCATION LEGAL ENTITY PHONE Amanda Grantham-Hill London BNP Paribas London branch 44 20 7595 4107 Anna McLauchlin London BNP Paribas London branch 44 20 7595 3754 Varghese Joseph New York BNP Paribas Securities Corp(New York)1 212 841 3698 Online BNP Paribas Global Markets Website BNP Paribas Strategy Website Bloomberg BNP Paribas research RES/BNP MACRO QUANT STRATEGY|G10 FX 17 June 2019 11 All sources:BNP Paribas,Bloomberg Legal Notice This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent research constitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition on dealing ahead of the dissemination of investment research.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules and have signed up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use the Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.This document constitutes a marketing communication and has been prepared by BNPP for,and is directed at,(a)Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to investments falling within Article 19(5)of the Financial Services and Markets Act 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responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of the information or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any part of it nor the fact of