Halister News

(Bloomberg) -- Brexit risk premium for EUR/GBP is around 5 to 8 big figures and USD/JPY’s upside is “substantial,” according to regression analysis by Goldman Sachs, analysts led by Robin Brooks say in note received today.

• EUR/GBP is trading materially above fitted value of 0.74 in two internal models
• Adjusting for fact that Brexit risk premium has moved rate differentials against GBP, fitted value for EUR/GBP moves to 0.70, which is also Goldman’s 12-month forecast
• “We think EUR/GBP could move sharply lower in the event the ‘remain’ vote prevails”
  • NOTE: EUR/GBP up 0.1% to 0.76222; last time cross traded at 0.70 was in late Nov.
• Yen has an over-valuation signal for first time since 2012 as nominal rate differentials have failed to adequately capture regime shift at BOJ
  • USD/JPY seen at 115 in 3 months, 120 in 6 months and 125 in 12 months
• NOTE: USD/JPY up 0.1% to 110.09
• Goldman now sees EUR/USD at 1.05 in 12 months from 0.95 previously as “recent ECB meetings have disappointed”
• AUD/USD still seen at 0.67 in 12 months on additional easing by RBA, China risk premium