1、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|GLOBAL10 June 2019 Please refer to important information at the
2、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 10-Jun-19 SHORT USDIDR 14306 14199 14359-0.00 Closed Signals no closed signals today Existing Signals 31-May-19 LONG AUDUSD 0.6916 0.7040 0.6865-0
3、.77 Recently Closed Signals 04-Jun-19 SHORT EURHUF 322.6700-321.9000(05-Jun-19)0.24 04-Jun-19 LONG USDBRL 3.8864-3.8720(04-Jun-19)-0.37 04-Jun-19 LONG USDCOP 3328.0000-3315.3700(04-Jun-19)-0.38 04-Jun-19 LONG USDILS 3.6089-3.5984(05-Jun-19)-0.29 05-Jun-19 LONG USDKRW 1178.2500-1181.4000(07-Jun-19)0.
4、27 Notes:STEER initiates a short USDIDR signal.USDIDR fair value declined over the past week as a result of global equities rising,whilespot has remained stable making USDIDR appear 1.6 z-scores overvalued according to STEER.STEER remains long AUDUSD targeting a move to 0.7040.The pairs fair value h
5、as declined recently as a result of 2y swap ratedifferentials re-widening with AUD 2y yields falling by more than US 2y swap rates.STEER continues to see scope for AUDUSD to appreciate from current levels.All G10 FX pairs and crosses are trading within their fair value bands with the exception of NZ
6、DUSD which appears 2.4 z-scorescheap.Note NZDUSD STEER is currently non-cointegrated suggesting less statistical confidence that spot will converge with itsfair value.SEE MAR disclosure here.AUDUSD short term value(FV=0.7040)USDIDR short term value(FV=14141)BNP Paribas STEER Model-Trading Signals 0.
7、670.680.690.700.710.720.730.7413-Mar-201913-Apr-201913-May-2019STEERAUDUSD13942141421434214542147421494213-Mar-201913-Apr-201913-May-2019STEERUSDIDRMACRO QUANT STRATEGY|G10 FX 10 June 2019 2 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model G10 Deviation from short-term value(z-score)Currenc
8、y NZDUSD GBPUSD AUDUSD EURCHF USDCAD EURNOK USDJPY EURUSD EURSEK EURGBP STEER 0.6838 1.2917 0.7040 1.1242 1.3256 9.7478 108.36 1.1251 10.5089 0.8710 Spot 0.6630 1.2710 0.6970 1.1200 1.3260 9.7570 108.60 1.1310 10.6360 0.8900 z-score-2.35(-3.10%)-1.37(-1.66%)-1.14(-0.99%)-0.49(-0.36%)0.01(0.01%)0.12(
9、0.09%)0.28(0.25%)0.50(0.54%)1.08(1.19%)1.37(2.16%)Upper Bound 0.6969 1.3147 0.7131 1.1363 1.3424 9.8658 109.8156 1.1436 10.6842 0.8920 Lower Bound 0.6707 1.2688 0.6949 1.1120 1.3089 9.6298 106.9016 1.1065 10.3337 0.8499 Note:Dotted line shows when the model does not pass the co-integration filter Ch
10、art 1:NZDUSD short term value(FV=0.6838)Chart 2:GBPUSD short term value(FV=1.2917)Chart 3:AUDUSD short term value(FV=0.7040)Chart 4:EURCHF short term value(FV=1.1242)-5.0-4.0-3.0-2.0-1.00.01.02.03.0NZDUSD GBPUSD AUDUSD EURCHF USDCAD EURNOK USDJPY EURUSD EURSEK EURGBP03-Jun-201910-Jun-20190.640.650.6
11、60.670.680.690.700.7113-Mar-201913-Apr-201913-May-2019STEERNZDUSD1.261.281.301.321.341.3613-Mar-201913-Apr-201913-May-2019STEERGBPUSD0.670.680.690.700.710.720.730.7413-Mar-201913-Apr-201913-May-2019STEERAUDUSD1.091.101.111.121.131.141.1513-Mar-201913-Apr-201913-May-2019STEEREURCHFMACRO QUANT STRATEG
12、Y|G10 FX 10 June 2019 3 All sources:BNP Paribas,Bloomberg Chart 5:USDCAD short term value(FV=1.3256)Chart 6:EURNOK short term value(FV=9.7478)Chart 7:USDJPY short term value(FV=108.36)Chart 8:EURUSD short term value(FV=1.1251)Chart 9:EURSEK short term value(FV=10.5089)Chart 10:EURGBP short term valu
13、e(FV=0.8710)Driving Factors Behind the Moves 1.281.291.301.311.321.331.341.351.3613-Mar-201913-Apr-201913-May-2019STEERUSDCAD9.459.559.659.759.859.9513-Mar-201913-Apr-201913-May-2019STEEREURNOK10410510610710810911011111211313-Mar-201913-Apr-201913-May-2019STEERUSDJPY1.101.111.121.131.141.151.161.171
14、.181.1913-Mar-201913-Apr-201913-May-2019STEEREURUSD10.2210.3210.4210.5210.6210.7210.8213-Mar-201913-Apr-201913-May-2019STEEREURSEK0.830.840.850.860.870.880.890.900.9113-Mar-201913-Apr-201913-May-2019STEEREURGBP-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%2.5%EURUSDGBPUSDAUDUSDNZDUSDUSDJPYUSDCADEURNO
15、KEURSEKEURCHF%w/w contribution to change in STEER OilEquitiesRelative Yield CurveRate DiffRelative Equitiesw/w change in SpotMACRO QUANT STRATEGY|G10 FX 10 June 2019 4 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model-CEEMEA Deviation from short-term value(z-score)Currency EURRON EURCZK USDI
16、LS EURPLN USDZAR USDRUB USDTRY EURHUF STEER 4.7480 25.7073 3.6087 4.2713 14.9347 64.7737 5.7718 317.42 Spot 4.7180 25.6000 3.5840 4.2600 14.8910 64.7600 5.8420 320.00 z-score-1.81(-0.62%)-1.38(-0.42%)-1.29(-0.69%)-1.05(-0.27%)-0.19(-0.30%)-0.04(-0.02%)0.78(1.20%)0.97(0.82%)Upper Bound 4.7724 25.8242
17、 3.6375 4.2879 15.2865 65.3413 5.9068 321.5003 Lower Bound 4.7235 25.5903 3.5799 4.2547 14.5828 64.2061 5.6369 313.3302 Note:Dotted line shows when the model does not pass the co-integration filter Chart 11:EURRON short term value(FV=4.7480)Chart 12:EURCZK short term value(FV=25.7073)Chart 13:USDILS
18、 short term value(FV=3.6087)Chart 14:EURPLN short term value(FV=4.2713)-2.0-1.5-1.0-0.50.00.51.01.52.0EURRONEURCZKUSDILSEURPLNUSDZARUSDRUBUSDTRYEURHUF03-Jun-201910-Jun-20194.704.714.724.734.744.754.764.774.784.794.8013-Mar-201913-Apr-201913-May-2019STEEREURRON25.4925.5425.5925.6425.6925.7425.7925.84
19、25.8913-Mar-201913-Apr-201913-May-2019STEEREURCZK3.543.563.583.603.623.643.663.6813-Mar-201913-May-2019STEERUSDILS4.254.264.274.284.294.304.314.324.3313-Mar-201913-Apr-201913-May-2019STEEREURPLNMACRO QUANT STRATEGY|G10 FX 10 June 2019 5 All sources:BNP Paribas,Bloomberg Chart 15:USDZAR short term va
20、lue(FV=14.9347)Chart 16:USDRUB short term value(FV=64.7737)Chart 17:USDTRY short term value(FV=5.7718)Chart 18:EURHUF short term value(FV=317.42)Driving Factors Behind the Moves 13.5413.7413.9414.1414.3414.5414.7414.9415.1413-Mar-201913-Apr-201913-May-2019STEERUSDZAR63.0363.5364.0364.5365.0365.5366.
21、0366.5367.0313-Mar-201913-Apr-201913-May-2019STEERUSDRUB5.325.425.525.625.725.825.926.026.126.2213-Mar-201913-May-2019STEERUSDTRY31131331531731932132332532713-Mar-201913-Apr-201913-May-2019STEEREURHUF-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%2.5%3.0%EURPLNEURCZKEURHUFEURRONUSDZARUSDTRYUSDILSUSDRUB%w/w
22、 contribution to change in CEEMEA ComdtyWorld EquitiesRate DiffLocal EqutiesLocal CDSSpotMACRO QUANT STRATEGY|G10 FX 10 June 2019 6 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model-Asia Deviation from short-term value(z-score)Currency USDINR USDKRW USDTHB USDTWD USDMYR USDPHP USDSGD USDIDR
23、STEER 69.6712 1183 31.3190 31.3942 4.1547 51.8436 1.3591 14141 Spot 69.4740 1185 31.3650 31.4180 4.1600 52.1400 1.3660 14306 z-score-0.36(-0.28%)0.17(0.14%)0.17(0.15%)0.23(0.08%)0.26(0.14%)1.14(0.57%)1.20(0.52%)1.55(1.16%)Upper Bound 70.4902 1198.4295 31.7243 31.5483 4.1878 52.2336 1.3679 14300.7991
24、 Lower Bound 68.8522 1168.4445 30.9137 31.2401 4.1216 51.4536 1.3502 13980.5191 Note:Dotted line shows when the model does not pass the co-integration filter Chart 19:USDINR short term value(FV=69.6712)Chart 20:USDKRW short term value(FV=1183)Chart 21:USDTHB short term value(FV=31.3190)Chart 22:USDT
25、WD short term value(FV=31.3942)-2.0-1.5-1.0-0.50.00.51.01.52.0USDINRUSDTHBUSDKRWUSDTWDUSDMYRUSDPHPUSDSGDUSDIDR03-Jun-201910-Jun-201968.0468.5469.0469.5470.0470.5471.0471.5413-Mar-201913-Apr-201913-May-2019STEERUSDINR11201130114011501160117011801190120013-Mar-201913-Apr-201913-May-2019STEERUSDKRW30.5
26、530.7530.9531.1531.3531.5531.7531.9532.1532.3513-Mar-201913-Apr-201913-May-2019STEERUSDTHB30.6830.8831.0831.2831.4831.6813-Mar-201913-Apr-201913-May-2019STEERUSDTWDMACRO QUANT STRATEGY|G10 FX 10 June 2019 7 All sources:BNP Paribas,Bloomberg Chart 23:USDMYR short term value(FV=4.1547)Chart 24:USDPHP
27、short term value(FV=51.8436)Chart 25:USDSGD short term value(FV=1.3591)Chart 26:USDIDR short term value(FV=14141)Driving Factors Behind the Moves 4.004.054.104.154.2013-Mar-201913-Apr-201913-May-2019STEERUSDMYR51.4451.6451.8452.0452.2452.4452.6452.8453.0413-Mar-201913-Apr-201913-May-2019STEERUSDPHP1
28、.331.341.351.361.371.381.3913-Mar-201913-Apr-201913-May-2019STEERUSDSGD13942141421434214542147421494213-Mar-201913-Apr-201913-May-2019STEERUSDIDR-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%USDKRWUSDMYRUSDIDRUSDINRUSDTHBUSDSGDUSDPHPUSDTWD%w/w contribution to change in Asia bloc ComdtyWorld EquitiesRate D
29、iffLocal EqutiesLocal CDSSpotMACRO QUANT STRATEGY|G10 FX 10 June 2019 8 All sources:BNP Paribas,Bloomberg BNP Paribas STEER Model Latin America Deviation from short-term value(z-score)Currency USDMXN USDPEN USDCLP USDBRL USDCOP STEER 19.4778 3.3446 697.07 3.8967 3283 Spot 19.1700 3.3270 691.90 3.880
30、0 3269 z-score-2.49(-1.61%)-1.97(-0.52%)-1.32(-0.74%)-0.57(-0.44%)-0.56(-0.45%)Upper Bound 19.6631 3.3578 702.9098 3.9418 3322.3059 Lower Bound 19.2925 3.3315 691.2304 3.8517 3244.3089 Note:Dotted line shows when the model does not pass the co-integration filter Chart 27:USDMXN short term value(FV=1
31、9.4778)Chart 28:USDPEN short term value(FV=3.3446)Chart 29:USDCLP short term value(FV=697.07)Chart 30:USDBRL short term value(FV=3.8967)-3.0-2.0-1.00.01.02.03.04.0USDMXNUSDPENUSDCLPUSDBRLUSDCOP03-Jun-201910-Jun-201918.3418.5418.7418.9419.1419.3419.5419.7413-Mar-201913-Apr-201913-May-2019STEERUSDMXN3
32、.263.283.303.323.343.363.3813-Mar-201913-Apr-201913-May-2019STEERUSDPEN65666667668669670613-Mar-201913-Apr-201913-May-2019STEERUSDCLP3.683.733.783.833.883.933.984.034.084.1313-Mar-201913-Apr-201913-May-2019STEERUSDBRLMACRO QUANT STRATEGY|G10 FX 10 June 2019 9 All sources:BNP Paribas,Bloomberg Chart
33、31:USDCOP short term value(FV=3283)Driving Factors Behind the Moves 298330333083313331833233328333333383343313-Mar-201913-Apr-201913-May-2019STEERUSDCOP-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%USDBRLUSDCLPUSDMXNUSDPENUSDCOP%w/w contribution to change in Latam bloc ComdtyWorld EquitiesRate DiffLocal EqutiesLo
34、cal CDSSpotMACRO QUANT STRATEGY|G10 FX 10 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,
35、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
36、 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 Li
37、mited (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
38、.(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 LOCA
39、TION 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 W
40、ebsite Bloomberg BNP Paribas research RES/BNP MACRO QUANT STRATEGY|G10 FX 10 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 exh
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