20180822-法国巴黎银行-CEEMEA__CLEER_signals_broad_undervaluation_10页_650kb

CEEMEA: CLEAR™ Signals Broad Undervaluation Summary

Core Content

BNP Paribas has updated its CLEER™ (CLEAR™) macroeconomic medium-term fair value model to assess the valuation of several emerging market currencies against the U.S. dollar and euro. The analysis highlights that certain currencies are currently undervalued compared to their fair value estimates, while others are neutral or overvalued.

Main Points

1. CLEER™ Model Overview

• CLEER™ estimates exchange rates based on cyclical economic fundamentals.
• It is used to project exchange rates over a 6-24 month horizon.
• Extreme divergence from fair value may signal cyclical turning points in the economy.

2. Currency Valuation Insights

Currency Pair	Spot	Current	End-2018	End-2019	CLEER™ vs Forward (End-2018)	Status
USDTRY	6.09	3.97	4.09	4.70	-38%	Undervalued
USDRUB	67.5	61.9	61.3	62.7	-50%	Undervalued
EURPLN	4.30	4.01	4.06	4.12	-6%	Undervalued
EURCZK	25.8	24.3	24.3	24.0	-6%	Undervalued
EURHUF	324	303	304	303	+1 s.d.	Overvalued

3. Key Currencies Analysis

• ZAR (South African Rand):

  • Moved from overvalued to neutral since the July update.
  • Vulnerable to global economic and geopolitical risks.
  • Further risks include higher inflation and lower growth.
  • Domestic improvements and policy reforms are needed for better performance.

• TRY (Turkish Lira):

  • USDTRY has deviated significantly from CLEER™ fair value.
  • Forward rates are overvalued by 38%.
  • Geopolitical and trade tensions have contributed to lira weakness.
  • Market will receive more information on Turkey’s economic outlook in the near future.

• RUB (Russian Ruble):

  • USDRUB is undervalued.
  • The ruble was squeezed into undervalued territory due to U.S. sanctions on Russia.
  • Strong economic fundamentals are expected to support the ruble in the medium term.

• CZK (Czech Koruna):

  • EURCZK is undervalued.
  • The Czech National Bank (CNB) raised its policy rate by 25bp to 1.25%, contributing to relative outperformance.
  • CNB’s forecasts align with CLEER™ estimates, driven by a productivity differential with the eurozone.

• PLN (Polish Zloty):

  • EURPLN is undervalued.
  • The central bank’s dovish stance and geopolitical risks may impact the currency.

• HUF (Hungarian Forint):

  • EURHUF is overvalued by more than 1 standard deviation.
  • Overvaluation is expected to persist due to global risks and the central bank's accommodative stance.

Key Information

• The CLEER™ model is an input into FX forecasts but does not represent the overall view of the CEEMEA Strategy team.
• The report includes charts for USDZAR, USDTRY, USDRUB, EURCZK, EURHUF, and EURPLN, illustrating the fair value and forward rate comparisons.
• The document serves as a marketing communication and is not investment research under MiFID II.
• It includes important disclosures regarding the non-independent nature of the research, potential conflicts of interest, and the use of simulated performance data.
• Legal disclaimers are provided to highlight that the information is not a prospectus or an offer to sell, and that it may not be suitable for all investors.

Summary of Views

• Undervalued currencies: TRY, CZK, PLN, HUF, and RUB.
• Neutral currency: ZAR.
• Overvalued currencies: EURHUF.
• The analysis suggests that Eastern European currencies (CZK, PLN, HUF) remain heavily undervalued relative to CLEER™ fair value.
• Geopolitical and economic factors play a significant role in the valuation of these currencies.

Disclaimer and Legal Notice

• This document is non-independent research and may be subject to conflicts of interest.
• It is not intended for retail investors and is only for Relevant Persons as defined under MiFID II.
• Simulated performance and back-testing data are included but not indicative of future results.
• BNPP may engage in transactions inconsistent with the views expressed in this document.
• Confidentiality is emphasized, and the document must not be copied or distributed without prior consent.
• ETF and options disclosures are included, highlighting the risks and potential conflicts of interest.

Contacts

• Emerging Markets Strategy Contacts and Production/Editorial Contacts are listed, including names, titles, legal entities, and phone numbers.
• The document is produced by BNP Paribas London Branch and is subject to UK and French regulatory authorities.

Conclusion

The CLEER™ model indicates that several CEEMEA currencies are undervalued, with the exception of ZAR, which is neutral. The report emphasizes the importance of economic fundamentals and policy reforms in influencing currency valuations and provides detailed insights into the current and projected fair value of key currencies.