Credit Suisse’s fair value (CSFV) model produces FX valuations driven by macro-economic variables. The key conclusions of our 2011 update are:
- US dollar fair value estimates have been broadly revised stronger versus all G10 currencies compared to the 2010 estimates.
- The US dollar appears to be remarkably cheap against G10 currencies, but remains overall relatively expensive against a broad set of currencies, highlighting a wide cross-sectional dispersion of valuations.
- At one extreme, high-yielding commodity-related currencies have reached record high historical levels. At the other, Non-Japan Asia currencies remain substantially undervalued
- Most of the commodity-block overvaluation can be justified by the rally in commodity prices. Our commodity price augmented fair value estimates show that the commodity-related complex is moderately expensive.
- The Swiss franc is very expensive both on a bilateral and on a trade-weighted basis. Some of the Swiss franc crosses look particularly appealing from a value perspective. Specifically, we see good value in being long GBPCHF and SEKCHF.
Credit Suisse Research & Analytics