20130827-巴黎银行证券-BNP_Paribas_STEER_11页_595kb

BNP Paribas STEER™ Summary (August 27, 2013)

Core Content Overview

BNP Paribas STEER™ is a short-term equilibrium exchange rate model that estimates fair values based on interest rates, equity markets, and commodity prices. It highlights over- and under-valuation of currencies and provides insights into potential future movements. The report outlines key findings for various currency pairs, focusing on deviations from STEER™ and their implications.

Key Currency Analysis

Eurozone Currencies

• EURNOK:

  • Spot: 8.0599
  • Fair Value: 7.7810
  • Deviation: +3.06 (overvalued)
  • Forecast Bias: ↓
  • Analysis: EURNOK has risen sharply, but is overbought and overvalued by a z-score of 3.0. STEER™ signals a potential decline.

• GBPUSD:

  • Spot: 1.5516
  • Fair Value: 1.5360
  • Deviation: +1.14 (overvalued)
  • Forecast Bias: ↓
  • Analysis: GBPUSD has fallen within the +/-1.5 z-score corridor, but remains overvalued. STEER™ suggests further weakening against USD and EUR.

• EURGBP:

  • Spot: 0.8604
  • Fair Value: 0.8690
  • Deviation: -0.95 (undervalued)
  • Forecast Bias: ↑
  • Analysis: EURGBP has moved back into the +/-1.5 z-score corridor but is still undervalued. STEER™ indicates potential for a move higher.

• USDCAD:

  • Spot: 1.0531
  • Fair Value: 1.0420
  • Deviation: +1.69 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDCAD is overbought and overvalued, driven by US interest rates. STEER™ signals a potential move lower.

• EURSEK:

  • Spot: 8.7019
  • Fair Value: 8.6010
  • Deviation: +1.38 (overvalued)
  • Forecast Bias: ↓
  • Analysis: EURSEK is overvalued by 1.38 z-scores and is vulnerable to a decline.

• EURCHF:

  • Spot: 1.2295
  • Fair Value: 1.2420
  • Deviation: -1.58 (undervalued)
  • Forecast Bias: ↑
  • Analysis: EURCHF is undervalued and may rise.

Emerging Markets (EM) Currencies

• USDTRY:

  • Spot: 2.0320
  • Fair Value: 1.9580
  • Deviation: +5.09 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDTRY is overvalued by 5 z-scores. Despite recent declines in CDS and interest rate differentials, the pair remains vulnerable to a move lower.

• USDKRW:

  • Spot: 1116
  • Fair Value: 1125
  • Deviation: -1.12 (undervalued)
  • Forecast Bias: ↑
  • Analysis: USDKRW is undervalued and vulnerable to a move higher.

• USDMYR:

  • Spot: 3.3290
  • Fair Value: 3.3400
  • Deviation: -0.39 (undervalued)
  • Forecast Bias: -
  • Analysis: USDMYR has returned to fair value.

• USDIDR:

  • Spot: 11695
  • Fair Value: 11006
  • Deviation: +6.07 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDIDR is overvalued, driven by poor equity performance in the Philippines.

• USDINR:

  • Spot: 66.1900
  • Fair Value: 62.5530
  • Deviation: +4.40 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDINR is overvalued and vulnerable to a decline.

• USDPHP:

  • Spot: 44.5850
  • Fair Value: 43.8070
  • Deviation: +1.85 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDPHP is overbought, despite a recent decline in equity prices. Vulnerable to a move lower.

• USDSGD:

  • Spot: 1.2850
  • Fair Value: 1.2800
  • Deviation: +0.63 (overvalued)
  • Forecast Bias: -
  • Analysis: USDSGD is slightly overvalued.

• USDTWD:

  • Spot: 30.0200
  • Fair Value: 30.0400
  • Deviation: -0.19 (undervalued)
  • Forecast Bias: -
  • Analysis: USDTWD is slightly undervalued.

Latin America Currencies

• USDBRL:

  • Spot: 2.4030
  • Fair Value: 2.3230
  • Deviation: +3.21 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDBRL is overvalued by 3.21 z-scores and remains vulnerable to a decline.

• USDCLP:

  • Spot: 515.50
  • Fair Value: 516.10
  • Deviation: -0.17 (undervalued)
  • Forecast Bias: -
  • Analysis: USDCLP has returned to fair value after breaking below the corridor.

• USDMXN:

  • Spot: 13.3150
  • Fair Value: 12.8650
  • Deviation: +2.86 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDMXN is overbought and overvalued, vulnerable to a decline.

• USDCOP:

  • Spot: 1938
  • Fair Value: 1901
  • Deviation: +3.75 (overvalued)
  • Forecast Bias: ↓
  • Analysis: USDCOP is overvalued and vulnerable to a decline.

• USDPEN:

  • Spot: 2.8100
  • Fair Value: 2.8190
  • Deviation: -0.58 (undervalued)
  • Forecast Bias: -
  • Analysis: USDPEN is slightly undervalued.

Main Drivers

• Rate Differentials: A primary factor in exchange rate movements.
• Risk Appetite: Influences the valuation of currencies, particularly in EM markets.
• Equity Market Performance: Local and global equity trends impact currency valuations.
• Commodity Prices: Especially oil, which affects the USD and other currencies.

Trading Strategy

• Buy Undervalued Currencies: Those trading below their STEER™ are considered undervalued and may rise.
• Sell Overvalued Currencies: Those trading above their STEER™ are overvalued and may fall.
• EURGBP Long Recommendation: A long EURGBP trade was initiated at 0.8565 with a target of 0.8710.

Summary of Key Insights

• EURNOK, GBPUSD, USDCAD, USDTRY, USDIDR, USDINR, and USDPHP are overvalued.
• EURGBP, EURSEK, and EURCHF are undervalued.
• AUDUSD is slightly undervalued, while NZDUSD is fairly valued.
• USDJPY is below its fair value, suggesting potential for appreciation.
• The model highlights the importance of short-term fundamentals and market sentiment in exchange rate movements.

Forecast Bias Summary

• ↑ indicates a potential for the currency to rise.
• ↓ indicates a potential for the currency to fall.
• - indicates no clear forecast bias.

Disclaimer

• This document is classified as non-independent research and is a marketing communication.
• It is not subject to the independence of investment research and may be influenced by conflicts of interest.
• No representation or warranty is made regarding the accuracy or completeness of the information.
• The report is for professional clients only and not for retail clients.
• BNP Paribas may have a financial interest in the currencies mentioned and may engage in related transactions.