Fast FX Fair Value Model

The Crédit Agricole CIB FAST FX model reports that the EUR remains undervalued against the NOK and JPY, though no new trades have been triggered. The report details the performance and valuation metrics for various G10 currency pairs.

Key Takeaways

• 1.The model identifies EUR as undervalued against both JPY and NOK, though current Z-scores are just below the 1.5 standard deviation threshold required for a trade trigger.
• 2.No new trades were triggered this week following last week's loss of -0.63% on a long EUR/JPY position.
• 3.NOK/SEK has moved into overvalued territory, but the signal strength is currently insufficient to initiate a sell trade.

Table of Contents

• FAST FX Fair Value Model
• The EUR looking undervalued vs the NOK and JPY
• Related publications
• New trades this week
• Short-term fair value charts
• t-statistic charts
• Historical trade performance
• FX Research advanced tools
• Red Mount Analytics
• Our new interactive data website features:
• Global Markets Research contact details
• Certification
• Foreign exchange disclosure statement to clients of CACIB
• Additional recommendation obligations – available from analyst(s) upon request:
• Valuation and methodology
• MiFID II contact details
• Disclaimer

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