BNPP Quant analysis for G10

12 October,, London – BNP Paribas analysts have shared the latest FX quant model ‘STEER.’ The following are commentary and weekly update of quant analysis for G10 bloc.

Quant analysis for G10


Currency pair Spot Fair Value Trading signal
EURUSD 1.137 1.099 Bearish
GBPUSD 1.533 1.549 Neutral
USDJPY 120.2 119.9 Neutral
USDCAD 1.292 1.284 Bearish
AUDUSD 0.733 0.743 Bullish
NZDUSD 0.67 0.65 Neutral
EURGBP 0.742 0.71 Bearish
EURNOK 9.189 8.866 Bearish

Source: BNPP quant FX model ‘STEER’

EUR appears to be too expensive for the markets to bear. Currently, EURUSD trades above its fair value of 1.099 at 1.137, suggesting a possible retracement back to the estimated equilibrium. The same applies to the crosses. EURGBP stands at 0.742 and EURNOK trades at 9.189, both above fair values of 0.71 and 8.866 respectively.

Although GBPUSD trades near its fair value of 1.549, BNP Paribas notes that despite pushing back its expectation for BoE rate hike to May from February 2016, “there is still plenty of scope for UK front rates to adjust higher in reaction to stronger data as the market is currently pricing no hikes until Q1 2017.” As such, the major bank expresses the view on cross pair of EURGBP, targeting a decline to 0.70

On the commodity currency front, the AUD remains being driven by a relief from China. Despite AUDUSD bullish rally of 400 pips, the pairs is estimated to be undervalued. The equilibrium point is calculated at 0.743.

USDCAD also benefits from the rebound in global uncertainty. To add to the downward pressure for the pair, weakness in USD due to soft fundamental data has added up to a fair estimation of 1.284 from the current 1.292 point.

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