20130910-巴黎银行证券-BNP_Paribas_STEER_11页_588kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a tool used to estimate short-term fair values of exchange rates based on a range of financial market variables, including interest rates, equity performance, and commodity prices. It is designed to provide insights into exchange rate movements over the weeks ahead, highlighting overvalued or undervalued currency pairs.

Main Points

Key Currencies and Their Status

• AUD, NZD, CAD: These currencies have risen along with risk appetite but are now significantly overvalued. STEER suggests that unless they re-establish their link with global risk appetite, they may decline back towards their STEER levels:

  • AUDUSD: Fair Value = 0.9015, Spot = 0.9296 (Overvalued by 1.73 z-scores)
  • NZDUSD: Fair Value = 0.7815, Spot = 0.8058 (Overvalued by 2.23 z-scores)
  • USDCAD: Fair Value = 1.0460, Spot = 1.0354 (Undervalued by 1.65 z-scores)

• USDJPY: Trading broadly in line with its STEER of 101.50 (Spot = 100.33)

• EURCHF: Trading around 1 standard deviation below its STEER of 1.2445 (Spot = 1.2396)

• EURUSD: Trading very close to its fair value of 1.3260 (Spot = 1.326)

• EURNOK: Has moved back in line with its STEER of 7.8630 (Spot = 7.8594)

• EURSEK: Trading within its ±1.5 z-score corridor, but still appears overstretched (Fair Value = 8.5870, Spot = 8.6892)

Emerging Markets (EM) Currencies

• USDZAR: Appears oversold, with a fair value of 10.2270 (Spot = 9.9870), indicating potential for a rebound.
• USDINR: Appears oversold and may rebound, with a fair value of 65.7460 (Spot = 64.3380)
• USDKRW, USDTWD, USDPHP: All appear undervalued and are liable to rise.
• USDTHB: Trading at the top of its corridor, with a fair value of 31.8830 (Spot = 32.1450), suggesting potential for a decline.
• USDBRL, USDMXN: Have declined back in line with their STEERs, following strong local equity performance and declining CDS.
• USDCOP, USDCLP: Trading in line with their STEERs, but due to fair value adjustments rather than exchange rate movements.
• USDRUB, USDTRY: Fair values have declined, driven by favorable interest rate differentials and local equity rebounds.

G10 Currency Summary

Key Insights

• Risk Appetite: The MSCI world equity index has rebounded sharply, indicating increased investor risk appetite.
• Currency Sensitivity: USDJPY and EURCHF are the most sensitive to global equity performance, while AUD, NZD, and CAD are more influenced by domestic variables.
• Overvaluation and Undervaluation: Currencies like GBPUSD, AUDUSD, and NZDUSD are overvalued, while USDZAR, USDINR, and USDTHB are undervalued.
• Forecast Bias: A deviation greater than 1.5 z-scores is considered a significant predictor of future exchange rate movements.

Summary of STEER™ Strategy

• Trading Rule: Buy "cheap" currency pairs and sell "expensive" ones, as this strategy has historically yielded a Sharpe ratio of around 0.9.
• Drivers: STEER™ uses interest-rate differentials, equity performance, and commodity prices to estimate fair values.
• Z-Score Corridors: Currencies within ±1.5 z-scores are considered fairly valued, while those outside are seen as over- or undervalued.

Contacts

• Global Strategy Contacts:
  • Steven Saywell: Global Head of FX Strategy, London
  • James Hellawell: Quantitative Strategist, London
  • Kiran Kowshik: FX Strategist, London
  • Phyllis Papadavid: Senior Global FX Strategist, London
  • Michael Sneyd: FX Strategist & Lead Quant Strategist, London
  • Daniel Katzive: Head of FX Strategy North America, New York
  • Vasilis Koutsaftis: FX Options Strategist, New York
  • Vassili Serebriakov: FX Strategist, New York
  • Mirza Baig: Head of FX & IR Asia Strategy, Singapore
  • Rohit K Garg: FX & IR Asia Strategy, Singapore
  • Jasmine Poh: FX & IR Asia Strategy, Singapore
  • Yii Hui Wong: FX & IR Asia Strategy, Singapore
  • Bartosz Pawlowski: Global Head of EM Strategy, London
  • Dina Ahmad: FX & IR CEEMEA Strategist, London
  • Stanislav Petrov: FX & IR CEEMEA Strategist, London
  • Diego Donadio: Head of FX & IR Latam Strategy, Sao Paulo
  • Thiago Alday: FX & IR Latam Strategist, Sao Paulo

Important Disclosures

• This document is a marketing communication and not independent investment research.
• It is not intended to be an exhaustive analysis and may be subject to conflicts of interest.
• No liability is accepted for any loss arising from the use of the information.
• The information and opinions are subject to change without notice and should not be relied upon as authoritative.

Distribution and Legal Information

• Production and Distribution: Contact Diana Seifert for further inquiries.
• Regulatory Information: The report is intended for professional clients and is not suitable for retail investors.
• Authorization and Regulation:
  • In the UK, the report is approved by BNP Paribas London Branch.
  • In France, the report is approved by BNP Paribas SA.
  • In Germany, it is distributed by BNP Paribas London Branch or Frankfurt Branch.
  • In Japan, it is distributed by BNP Paribas Securities (Japan) Limited.
  • In Hong Kong, it is distributed by BNP Paribas Hong Kong Branch.

Conclusion

BNP Paribas STEER™ provides a framework for short-term exchange rate forecasting, emphasizing the importance of equity market performance, interest rate differentials, and commodity prices. It highlights the overvaluation of AUD, NZD, and CAD, and the potential for rebounds in USDZAR, USDINR, and USDTHB. The strategy is based on the idea that currencies tend to revert to their fair values over time, and that deviations from these values can be used to identify potential trading opportunities.