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报告摘要

BNP Paribas FX Strategy Summary - 18 March 2014

Core Content

This document is a FX strategy report from BNP Paribas, outlining the current market view based on the STEER™ (Short-Term Equilibrium Exchange Rates) model. The report highlights overvalued and undervalued currency pairs and provides insights into potential exchange rate movements over the coming weeks.

Main Views and Key Information

G10 Currencies Overview

EURUSD is overvalued by 2.3 z-scores, trading at 1.3908 against a fair value of 1.3650. The USD is considered cheap, and long USD positioning is light. The pair is vulnerable to a decline.
GBPUSD is overvalued by 1.7 z-scores, trading at 1.6606 against a fair value of 1.6335. The narrowing interest-rate differential between the USD and GBP could lead to a 1.5% decline.
AUDUSD is overvalued by 1.54 z-scores, trading at 0.9077 against a fair value of 0.8825. The AUD has not reacted to a narrowing interest-rate differential and underperforming equities.
EURNOK is undervalued by 1.3 z-scores, trading at 8.2940 against a fair value of 8.4600. The pair has potential to rise.
EURCHF is undervalued by 0.97 z-scores, trading at 1.2155 against a fair value of 1.2225.
USDCAD is overvalued by 1.31 z-scores, trading at 1.1054 against a fair value of 1.0890.
EURGBP is trading near the top of its ±1.5 z-score corridor, indicating a potential for decline.

Emerging Markets (EM) Overview

EURPLN is overvalued by 2.44 z-scores, trading at 4.2280 against a fair value of 4.1800. The pair is expected to decline.
USDBRL has 1.2% potential to rise, trading at 2.3490 against a fair value of 2.3760.
USDCOP is overvalued but does not pass the cointegration filter, indicating lower forecasting power.
USDMXN is undervalued by 1.23 z-scores, trading at 13.2040 against a fair value of 13.3320.
USDPHP is overvalued by 1.5 z-scores, trading at 44.6900 against a fair value of 44.0740.
USDINR, USDSGD, and USDTHB are close to triggering bullish signals due to their deviation from STEER.
USDKRW and USRIDR could trigger bearish signals if they rally further.

Asia Currencies Overview

All Asian currencies are trading within their ±1.5 z-score corridors.
USDKRW is overvalued by 0.87 z-scores, trading at 1069 against a fair value of 1065.
USDMYR is overvalued by 0.21 z-scores, trading at 3.2740 against a fair value of 3.2660.
USDIDR is overvalued by 1.07 z-scores, trading at 11365 against a fair value of 11111.
USDINR is undervalued by 1.4 z-scores, trading at 61.0720 against a fair value of 61.5550.
USDTHB is undervalued by 0.88 z-scores, trading at 32.1550 against a fair value of 32.3220.
USDSGD is undervalued by 0.97 z-scores, trading at 1.2650 against a fair value of 1.2720.
USDTWD is overvalued by 0.71 z-scores, trading at 30.3560 against a fair value of 30.1910.

CEEMEA Currencies Overview

EURPLN is overvalued by 2.44 z-scores, trading at 4.2280 against a fair value of 4.1800.
EURCZK, EURHUF, and EURRON are trading close to their fair values.
USDZAR is overvalued by 0.62 z-scores, trading at 10.7600 against a fair value of 10.6420.
USDTRY is overvalued by 0.14 z-scores, trading at 2.2260 against a fair value of 2.2230.
USDILS is undervalued by 0.67 z-scores, trading at 3.4640 against a fair value of 3.4730.
USDRUB is undervalued by 1.23 z-scores, trading at 36.5630 against a fair value of 37.1580.

STEER™ Model Overview

STEER™ is a model that estimates short-term fair values based on interest-rate differentials, equity performance, commodity prices, and relative yield-curve steepness.
A simple trading rule of buying undervalued currencies and selling overvalued ones has historically been a successful strategy with a Sharpe ratio of ~0.9.
A z-score deviation greater than 1.5 is considered a significant predictor of exchange rate movements over the coming weeks.
Cointegration filter is used to assess the statistical significance of the model's signals. Currencies that do not pass the filter have lower forecasting power.

Summary of Key Signals

USD is cheap against EUR, GBP, and AUD.
EURUSD, GBPUSD, and AUDUSD are overvalued.
EURNOK and EURCHF are undervalued.
USDBRL has potential to rise.
EURPLN is overvalued.
USDPHP is overvalued.
USDINR, USDSGD, USDTHB are close to triggering bullish signals.
USDKRW and USRIDR could trigger bearish signals.

Contacts for FX Strategy

Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
James Hellawell: Quantitative Strategist, London, Tel: 44 20 7595 8485, Email: james.hellawell@uk.bnpparibas.com
Kiran Kowshik: FX Strategist, London, Tel: 44 20 7595 1495, Email: kiran.kowshik@uk.bnpparibas.com
Phyllis Papadavid: Senior Global FX Strategist, London, Tel: 44 20 7595 8270, Email: phyllis.papadavid@uk.bnpparibas.com
Michael Sneyd: FX Strategist & Lead Quant Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
Daniel Katzive: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com
Vassili Serebriakov: FX Strategist, New York, Tel: 1 212 841 2409, Email: vassili.serebriakov@us.bnpparibas.com

Disclaimer and Legal Information

This document is classified as non-independent research and is a marketing communication.
It is not subject to any independence of investment research requirements.
The information and opinions are based on public sources and should not be relied upon as accurate or complete.
The report does not constitute an offer or solicitation to buy or sell any securities.
BNP Paribas may have financial interests in the currencies mentioned.
The report is intended for professional clients and not for retail clients.
BNP Paribas is incorporated in France and regulated in various jurisdictions.

Summary of Key Highlights

EURUSD, GBPUSD, and AUDUSD are overvalued.
EURNOK and EURCHF are undervalued.
USDBRL has potential to rise.
EURPLN is overvalued.
USDPHP is overvalued.
USDINR, USDSGD, USDTHB are close to triggering bullish signals.
USDKRW and USRIDR could trigger bearish signals.
The USD is undervalued and has potential for strengthening.
The STEER™ model provides short-term fair values based on market fundamentals.