20130806-巴黎银行证券-BNP_Paribas_STEER_11页_548kb

BNP Paribas STEER™ Summary (06 August 2013)

Core Content

BNP Paribas STEER™ is a short-term equilibrium exchange rate model that estimates fair values based on interest rate differentials, equity market performance, and commodity prices. It is used to identify undervalued or overvalued currency pairs and to provide insights into potential exchange rate movements.

Main Views and Key Insights

Global Currency Pairs

• GBPUSD:

  • Fair value has risen to 1.5235 from 1.4950 over the week.
  • Currently trading at 1.5364, slightly overvalued.
  • STEER suggests that if the recent rise in UK yields reverses, GBPUSD could decline towards 1.50.
  • EURGBP may rise towards 0.8850 in such a scenario.

• EURUSD:

  • Trading close to its fair value of 1.3300.
  • Previously overvalued in June, now supported by global and eurozone equity performance.

• USDJPY and EURCHF:

  • Both appear undervalued according to STEER.

• AUDUSD and NZDUSD:

  • Still appear 'cheap', suggesting potential for appreciation.

• EURNOK and EURSEK:

  • Trading near the top of their ±1.5 z-score corridor, indicating overvaluation.
  • EURSEK is overvalued by 1.67 z-scores, while EURNOK is overvalued by 1.44 z-scores.

Asian Currencies

• USDKRW:

  • Converged back in line with its STEER after being undervalued last week.

• USDMYR:

  • Corrected to be in line with STEER following a rise in Malaysian CDS.

• USDIDR:

  • Trading within its ±1.5 z-score corridor.

• USDINR:

  • Broke above its ±1.5 z-score corridor, indicating overbought condition.
  • Fair value is 60.0610, spot is 61.7320, suggesting a potential decline.

• USDTHB, USDSGD, USDPHP:

  • All trading within their ±1.5 z-score corridors.

• USDTWD:

  • Appears slightly undervalued, with a deviation of -0.49 z-scores.

CEEMEA Currencies

• EURPLN and EURRON:

  • Both appear undervalued, with deviations of -1.45 and -1.45 z-scores respectively.
  • EURRON is vulnerable to a rise following a rate cut by the National Bank of Romania.

• USDZAR:

  • Remains undervalued, with a fair value of 10.1770 and spot at 9.8480.
  • CDS for South Africa has continued to rise, supporting the undervaluation.

• EURHUF and USDRUB:

  • Have moved back in line with their STEER after overvaluation signals.

• USDTRY:

  • Slightly undervalued, with a deviation of -0.78 z-scores.

Latin America Currencies

• USDBRL:

  • Overbought, with a deviation of 2.11 z-scores.

• USDCLP:

  • Broke above its ±1.5 z-score corridor, indicating overvaluation.
  • Fair value is 509.80, spot is 513.60, suggesting potential for decline.

• USDMXN, USDCOP, USDPEN:

  • Broadly moved lower in line with their STEER.

Trading Strategy

• A simple trading rule is to buy undervalued currency pairs and sell overvalued pairs.
• This strategy has historically been successful with a Sharpe ratio of around 0.9 for a currency portfolio.
• STEER can also help in understanding the impact of market variables on exchange rates and assist with short-term forecasting.

Summary Table

Disclaimer

• This document is non-independent research and marketing communication.
• It may be subject to conflicts of interest due to interactions with sales and trading.
• The information is not intended to be exhaustive and is based on public sources.
• No representation or warranty is made regarding the accuracy or completeness of the information.
• The report is not an offer or solicitation to buy or sell any securities.
• BNP Paribas may be involved in trading or market-making activities related to the currencies mentioned.
• STEER™ is a trademark of BNP Paribas.

Contacts

• FX Strategy:

  • Michael Sneyd: +44 (0)20 7595 1307, michael.sneyd@uk.bnpparibas.com
  • James Hellawell: +44 (0)20 7595 8485, james.hellawell@uk.bnpparibas.com

• Emerging Markets FX & IR Strategy:

  • Bartosz Pawlowski: +44 (0)20 7595 8195, bartosz.pawlowski@uk.bnpparibas.com
  • Dina Ahmad: +44 (0)20 7595 8620, dina.ahmad@uk.bnpparibas.com
  • Stanislav Petrov: +44 (0)20 7595 1676, stanislav.petrov@uk.bnpparibas.com

• FX & IR Asia Strategy:

  • Mirza Baig: +65 6210 3262, mirza.s.baig@asia.bnpparibas.com
  • Rohit K Garg: +65 6210 3390, rohit.k.garg@asia.bnpparibas.com
  • Jasmine Poh: +65 6210 3418, jasmine.j.poh@asia.bnpparibas.com
  • Yii Hui Wong: +65 6210 3314, yihui.wong@asia.bnpparibas.com

• FX & IR Latam Strategy:

  • Diego Donadio: +55 11 3841 3421, diego.donadio@br.bnpparibas.com
  • Thiago Alday: +55 11 3841 3445, thiago.alday@br.bnpparibas.com

• Distribution:

  • Diana Seifert: +44 20 7595 8486, Diana.seifert@uk.bnpparibas.com

Legal and Regulatory Notes

• The report is intended for professional clients and not for retail clients.
• It is approved for publication in the UK, France, Germany, and Japan.
• BNP Paribas may be regulated by various authorities including the Financial Conduct Authority, Autorité de Contrôle Prudentiel, BaFin, and the Hong Kong Monetary Authority.
• Some information may be previously published on https://globalmarkets.bnpparibas.com.