巴黎银行-全球-外汇策略-巴黎银行指南-20171106-bnp_paribas-bnp_paribas_steer

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1、Thisdocumenthasbeenproducedby:BNPParibasLondonBranchMichaelSneyd,CFA,GlobalHeadofFXStrategy&Cross-AssetStrategistNatalieRickard,FXStrategistAUDUSDshorttermvalue(FV=0.7754)USDCADshorttermvalue(FV=1.2590)0.831.290.821.270.810.801.250.790.781.230.771.210.760.751.1909-Aug-201709-Sep-2

2、01709-Oct-201709-Aug-201709-Sep-201709-Oct-2017STEERAUDUSDSTEERUSDCADBNPParibasSTEER™Model-TradingSignalsEntryDatePositionEntryRateTargetStopLossCloseRateReturn(%)SignalsUpdatedTodayNewSignals06-Nov-17SHORTUSDCAD1.27691.25901.2864-0.00ClosedSignals–nonewclosedsignalsExistingSignal

3、s27-Oct-17LONGAUDUSD0.76410.77540.7557-0.13RecentlyClosedSignals27-Oct-17SHORTUSDZAR14.2341--14.3366(27-Oct-17)-0.7201-Nov-17SHORTUSDZAR14.1400--13.9309(02-Nov-17)1.4801-Nov-17SHORTUSDTRY3.7972--3.8184(01-Nov-17)-0.56Notes:USDCADappearsovervaluedaccordingtoSTEER™,andSTEERinitiate

4、sashortUSDCADrecommendationwithatargetof1.2590.USDCAD’sSTEERhasrisenoverthemonthasCanadian2yyieldshavedeclinedandUS2yyieldshaverisen.STEERremainslongAUDUSDaheadoftheRBAmeetingonTuesday,targeting0.7754.LowerAustralian10-yearyieldshavedrivenAUDUSD’sSTEERlower,butthepairstillappears

5、undervalued.USDJPYappearsovervaluedversusitsSTEERof112.18.Thepair’sfairvaluehasfallenasUS10yyieldshavedeclined,sotherallyinUSDJPYoverthepastmonthappearsoverdone.GBPUSDcontinuestotradebelowitsfairvalueof1.3168whichhasdeclinedfollowingthelargepost-BoEdeclineinUK2yearyields.Except

6、forCZKandPLN,whichbothappearovervalued,mostEMpairsappeartobetradinginlinewiththeirSTEERs.Pleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comBNPParibasSTEER™Model–G10Deviationfromshort-termvalue(z-score)4.03.02.01.00.0-1.0-2.0AUDUSDGBPUSDNZDUSDEURUS

7、DEURGBPEURCHFUSDJPYUSDCADEURSEKEURNOK26-Oct-201702-Nov-2017CurrencyAUDUSDGBPUSDNZDUSDEURUSDEURGBPEURCHFUSDJPYUSDCADEURSEKEURNOKSTEER0.77541.31680.69021.17230.89031.1604112.181.25909.66629.2743Spot0.76501.30700.68801.16100.88801.1630114.401.27709.79409.4860z-score-0.93(-1.35%)-0.67

8、(-0.73%)-0.22(-0.36%)-0.69(-0.96%