The corporate hedging monitor is slightly less bullish EUR/USD than two months ago as a result of the EUR being less undervalued on a FEER basis. It continues to be moderately bearish USD/JPY, but is now also moderately bearish EUR/JPY as well. This is due to JPY being expensive versus EUR on a PPP and BEER basis and risk reversals and forward points both being favourable to hedge EUR upside.
The monitor continues to be bearish GBP against USD and EUR. GBP is overvalued against USD on a PPP and FEER basis and forward points and risk reversals are favourable to hedge GBP/USD upside.
The monitor has turned bullish USD/CHF having been neutral two months ago. This is due to more favourable momentum and the franc having become more overvalued on a PPP and BEER basis.
The monitor remains bearish on the dollar bloc, but slightly less so on NZD and CAD than three months ago with momentum less favourable. The monitor sees AUD, NZD and CAD as overvalued on all three of our valuation measures, however.
Read the full report: FX Research
Deutsche Bank