Karl Steiner FX Quant and Positioning Weekly€¦ · 8/05/2017 · FX Quant and Positioning Weekly Karl Steiner Global Macro & FX Research Twitter: @karlsteiner_ May 8, 2017 You

FX Quant and Positioning WeeklyKarl Steiner

Global Macro & FX Research

Twitter:@karlsteiner_

May 8, 2017

You can also find our research materials at our website: www.mb.seb.se. This report is produced by Skandinaviska Enskilda Banken AB (publ) for institutional investors only. Information and

opinions contained within this document are given in good faith and are based on sources believed to be reliable, we do not represent that they are accurate or complete. No liability is accepted

for any direct or consequential loss resulting from reliance on this document. Changes may be made to opinions or information contained herein without notice.

Main conclusions

Speculative positioning

• Very strong EUR and GBP sentiment indicates that the

EUR positive outcome of the French 2nd round election was

quite priced in.

• The report on IMM positioning also shows that NZDnormalized, CAD is clearly out of favor and the USDsentiment was negative.

Short-term fair values

• EUR/SEK began to correct a SEK undervaluation on Friday

but 1.9 standard deviations above STFV there is still

downside pressure.

• EUR/USD quite fairly valued ahead of the French election.

• GBP/USD stuck between the upper 1 and 2 standard

deviation level.

2017-05-08 | FX QUANT AND POSITIONING WEEKLY 2

Scandie data

• The main Scandie events this week are inflation numbers

from Norway (Wednesday) and Sweden (Thursday).

• EUR/NOK and EUR/SEK tends to be volatile on these days

• The surprise in CPI-ATE y/y respective CPIF y/y greatly

explains the direction and size of the daily moves in the

currencies and SEB expects small upside surprises to support the Scandie currencies on these occasions.

Scandie positioning• Speculators have net sold SEK during the equity dividend

season - this is the final week with large dividends

scheduled.

• Speculators have net sold NOK since late January adding to

the weak NOK this year.

Seasonality

• Weak SEK during the Swedish equity dividend season has

really followed the usual pattern. However this is the final

week with large scheduled dividends.

• USD has a strong May seasonal pattern

FX-O-Meters

• Strongest trends are currently seen in strong EUR. However,

the risk is that these trends are based on “buy the rumor” – if

so we will see turn in trends this week (“sell the fact”).

• Largest stretches are seen on the upside in EUR/NOK and

USD/CAD. However, normalization is probably contingent on

a stabilization or correction of the fall in oil prices.

| FX QUANT AND POSITIONING WEEKLY

Seasonality

2017-05-08

Weak SEK pattern approaching the endSEK has as expected been weak during the Swedish equity

dividend season. This week has the second largest dividends

scheduled which could contribute to further weakness but

after that the flow component is no longer SEK negative.

Besides a fall in the beginning (due to inflation numbers) EUR/SEK has risen in line with the pattern.

Strong USD in May

3

USD has a strong seasonal pattern in MayUSD tends to strengthen versus other G10 currencies in May.

After weak USD in April there is scope for a correction. However,

this is probably contingent on Fed. If they are going for a hike

already at the June meeting they will try to increase the market

probability for a hike which before the March hike was done by

hawkish speeches.

Final week with large equity dividends scheduled

2012 2013 2014 2015 2016 % of time

Average

change (%)

USD/NOK 6.7 1.7 0.4 3.1 4.0 100% 3.2

USD/SEK 7.8 2.1 2.8 2.2 3.7 100% 3.7

USD/JPY -1.9 3.1 -0.5 4.0 4.2 60% 1.8

USD/CAD 4.6 3.0 -1.1 3.1 4.2 80% 2.8

EUR/USD -6.8 -1.3 -1.7 -2.1 -2.8 100% -3.0

AUD/USD -6.7 -7.7 0.2 -3.3 -4.9 80% -4.5

NZD/USD -7.9 -7.2 -1.4 -6.7 -3.1 100% -5.3

GBP/USD -5.1 -2.2 -0.7 -0.4 -0.9 100% -1.8


Speculative FX positioningIMM data from CFTC’s Commitment of traders report (Apr 26- May 2)

2017-05-08

WE

EK

LY S

EN

TIM

EN

TB

ULLS

IH/B

EA

RIS

H P

OS

ITIO

N

4

• Very strong EUR and GBP sentiment• NZD normalizing• CAD clearly out of favour• USD sentiment was negative

Very strong EUR A tentative positive EUR sentiment in the previous report (net increase

of only +750 contracts) was replace by a massive sentiment in this

report (+19,242 contracts) which is the third largest increase the past 52

weeks. Thus it seems that the EUR positive result of the 2nd round of the

French Presidential election with Macron as winner was quite priced in.

The current net short EUR position (-1,653 contracts) is the smallest

since May 2014.

Positive GBP sentimentThe sentiment was GBP positive for a third straight week and the net

short position (-81,364 contracts) is now close to normal levels (only 0.3

standard deviations below).

NZD normalizingNZD positioning began to normalize as the net short position rose to -

11,970 contracts from the previous 52 week record large short position

at -15,404 contracts.

CAD clearly out of favourThe negative sentiment towards CAD continued for a 9th straight week

and net positioning is excessively bearish with the largest short position

since Feb 2016 some massive 2.3 standard deviations below its 52 week

average.

USD sentiment was negativeAll in all the sentiment was USD negative for a third straight week.

However, the aggregated net long position of 133,092 contracts, is so far

only 0.5 standard deviations below its 52 week average.


Speculative FX positioningIMM data from CFTC’s Commitment of traders report (Apr 26- May 2)

2017-05-08

Positioning Sentiment (change)

Positive weekly sentiment

Negative weekly sentiment

5

-27

-5,062

-391

19,242

9,818

-3,614-923

3,434

-22,477-25000

-20000

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

AUD CAD CHF EUR GBP JPY MXN NZD Net

USD

Change in net positions

46 44 42

73 1

-12

-29

-37

-50

-40

-30

-20

-10

0

10

20

30

40

50

EUR GBP NZD CHF MXN AUD JPY Net

USD

CADPerc

entil

e de

viat

ion

from

med

ian

(max

50/

min

50)

Normalized change in net position

2.4

2.0

0.9

-0.3-0.5 -0.6

-1.0-1.3

-2.3-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

MXN EUR AUD GBP Net

USD

JPY CHF NZD CAD

Stan

dard

dev

iatio

ns fr

om 5

2 w

eek

aver

age

Net position deviation from average

Previous Current

42,675

-47,704

-17,708-1,653

-81,364

-30,483

15,115

-11,970

133,092

-150000

-100000

-50000

0

50000

100000

150000

200000

AUD CAD CHF EUR GBP JPY MXN NZD Net

USD

Net positions this week and last

Previous Current


Speculative positioningIMM data from CFTC’s Commitment of traders report (Apr 26- May 2)

2017-05-08

Oil

Specs scaled down on their net long position for a second straight week. Meanwhile oil prices continued to fall and much sharper than

the limited cut in the long position. Continued downscaling expected.

* Percentile score is the 3y percentile minus the median (i.e. 50). Excess positioning is

anything above 40 or below -40.

6


Speculative positioningIMM data from CFTC’s Commitment of traders report (Apr 26- May 2)

2017-05-08

US 10y Bond

Slight reduction of the fresh net long position.

Yield rose somewhat after the cut-off data indicating probable continued reduction in the next report.

Gold

• As expected speculators scaled down on their net long gold

position as the gold price continued to slide and the past four

weekly additions to the net long additions should be out-of-the

money.

• Continued downscaling expected in the next report

7

SEK speculative positioningSpecs selling SEK during dividend season – ready to buy again next week?

Net SEK selling by foreign speculators during the Swedish equity dividend season

• In the beginning of the year speculators net bought SEK but

coinciding with the start of the Swedish equity dividend

period, which usually leads to weak SEK in mid-March to

mid-May, they begun net selling SEK probably adding to the

SEK weakness during the period.

• There is now only one weeks left with large dividends

scheduled and question is if specs will resume SEK buying

once the equity dividend season is past us. The net buying,

in above average volumes, that took place last week could be

an indication that they will.

• However, if the foreign speculators share the domestic

actors’ assessment (based on the survey in SEK Views) they

will wait for the Riksbank to turn in a hawkish direction

before adding any larger long SEK positions.


EUR/SEK versus Spec position index

SEK (versus EUR) sentiment index

* Since the inception of our indices Oct 2011

Speculative positioning index is the aggregated weekly net flow from clients categorized as

speculative investors.

The sentiment index is the net signed flow which is calculated as the total net flow divided by total

volume. 100% (-100%) indicates that all flow from client was SEK buying (selling) which would

signify a very strong (weak) SEK sentiment during the week.

All flows are aggregated on a weekly basis as well as for all clients within the category in order to

ensure client confidentiality.

9.00

9.10

9.20

9.30

9.40

9.50

9.60

9.70

9.80

9.90

10.00-2,950,00 0,000

-2,750,000,0 00

-2,550,000 ,000

-2,350,000,0 00

-2,150,00 0,000

-1,950,000,000

-1,7 50,000 ,0 00

-1,550,00 0,000

-1,350,000 ,000

-1,150 ,0 00,00 0

Sep-

15

Oct

-15

Nov

-15

Dec

-15

Jan-

16

Feb-

16

Mar

-16

Apr-

16

May

-16

Jun-

16

Jul-1

6

Aug-

16

Sep-

16

Oct

-16

Nov

-16

Dec

-16

Jan-

17

Feb-

17

Mar

-17

Apr-

17

May

-17

EUR/SEK (reversed)

Speculative positioning (lhs) EUR/SEK (rhs)

Aggr

egat

ed S

EK p

ositi

onH

ighe

r=>

addi

ng S

EK /

Low

er =

> re

duci

ng S

EK‐90%‐70%‐50%‐30%‐10%10%30%50%70%90%

‐90%‐70%‐50%‐30%‐10%10%30%50%70%90%

2016

.01.04

2016

.01.18

2016

.02.01

2016

.02.15

2016

.02.29

2016

.03.14

2016

.03.28

2016

.04.11

2016

.04.25

2016

.05.09

2016

.05.23

2016

.06.06

2016

.06.20

2016

.07.04

2016

.07.18

2016

.08.01

2016

.08.15

2016

.08.29

2016

.09.12

2016

.09.26

2016

.10.10

2016

.10.24

2016

.11.07

2016

.11.21

2016

.12.12

2016

.12.26

2017

.01.09

2017

.01.23

2017

.02.06

2017

.02.20

2017

.03.06

2017

.03.20

2017

.04.03

2017

.04.17

2017

.05.01

Buy high volume Buy avg volume Buy low volumeSell high volume Sell avg volume Sell low volume

NOK speculative positioningGenerally specs have net sold NOK 2017

Net NOK selling by foreign speculators since late January

• Speculators build a short NOK position Oct-Dec 2016 but as

EUR/NOK continued sideways during this period they took the

position off the last week of 2016 and first ones in 2017.

However, from the later part of January they resumed adding a

short NOK position that was out-of-the-money until late

February but has since paid as EUR/NOK has risen since end of

February.

• Beginning of April specs net bought NOK in accordance with

the strong NOK seasonal pattern usually seen in April. This paid

off the first two weeks but then a fall in oil prices pushed

EUR/NOK higher and consequently specs, once again, net sold

NOK last week (in above average volumes).

• All in all, the flows shows that speculators have been positioned

for and thus supported the rise in EUR/NOK this year.

• Last week containing a Norges Bank rate decision specs net

bought NOK, among larger than usual volume, with the largest

sentiment index since early Jan. Quite possibly this was

trimming of the large short NOK position ahead of NB which

passing mainly as a non-event could lead to renewed selling

this week.


EUR/NOK versus Spec position index

NOK (versus EUR) sentiment index

* Since the inception of our indices Oct 2011

Speculative positioning index is the aggregated weekly net flow from clients categorized as speculative investors.

The sentiment index is the net signed flow which is calculated as the total net flow divided by total volume. 100% (-

100%) indicates that all flow from client was SEK buying (selling) which would signify a very strong (weak) SEK

sentiment during the week.

All flows are aggregated on a weekly basis as well as for all clients within the category in order to ensure client

confidentiality.

8.18.28.38.48.58.68.78.88.99.09.19.29.39.49.59.69.79.8‐580,00 0,000

‐480,00 0,000

‐380,00 0,000

‐280,00 0,000

‐180,00 0,000

‐80,000,000

20, 000,000

120,000,000

220,000,000

320,000,000

Feb‐15

Mar‐15

Apr‐1

5May‐15

Jun‐15

Jul‐1

5Au

g‐15

Sep‐15

Oct‐1

5No

v‐15

Dec‐1

5Jan

‐16

Feb‐16

Mar‐16

Apr‐1

6May‐16

Jun‐16

Jul‐1

6Au

g‐16

Sep‐16

Oct‐1

6No

v‐16

Dec‐1

6Jan

‐17

Feb‐17

Mar‐17

Apr‐1

7May‐17

EUR/NOK (reversed)Aggregated

NOK

position

Higher =>

addin

g NOK

/ low

er =>

redu

cing N

OK

Speculative positioning

‐100%‐80%‐60%‐40%‐20%0%20%40%60%80%100%

‐100%‐80%‐60%‐40%‐20%0%

20%40%60%80%

100%

Jan 4

Jan 1

8Feb 0

1Feb 1

5Feb 2

9Mar 14

Mar 28

Apr 1

1Ap

r 25

May 09

May 23

Jun 0

6Jun 2

0Jul 04

Jul 18

Aug 0

1Au

g 15

Aug 2

9Sep 1

2Sep 2

6Oc

t 10

Oct 2

4No

v 07

Nov 2

1De

c 05

Dec 1

9Jan 0

2Jan 0

9Jan 3

0Feb 1

3Feb 2

7Mar 13

Mar 27

Apr 1

0Ap

r 24

Buy high volume Buy avg volume Buy low volumeSell high volume Sell avg volume Sell low volume

Trends: EUR is very strong versus all ccy except GBP and

PLN

Stretches: EUR/NOK, USD/CAD are the most stretched

currency pairs and with a stabilization/correction in oil

prices both currency pairs should see normalization

lower.

Volatility: About half of the currency pairs experience

higher than average realized volatility with EUR/JPY

leading while the other half has below average realized

volatility with USD/CAD the lowest (indicating a smooth

trend higher).


FX-O-MetersStandardized measures of the strength of trends, stretches and volatility

-3 -2 -1 0 1 2 3

EURPLN

NOKSEK

NZDUSD

AUDUSD

EURGBP

USDSEK

EURUSD

EURSEK

USDJPY

GBPUSD

USDNOK

EURJPY

EURAUD

EURCAD

EURNZD

USDCAD

EURNOK

SEB FX Stretch-o-meter

-3.0 -2.0 -1.0 0.0 1.0 2.0 3.0

NOKSEK

USDSEK

AUDUSD

EURPLN

EURGBP

NZDUSD

USDNOK

EURSEK

USDJPY

USDCAD

GBPUSD

EURUSD

EURNZD

EURNOK

EURAUD

EURJPY

EURCAD

SEB FX Trend-o-meter

-40% -20% 0% 20% 40%

USDCAD

NZDUSD

USDJPY

GBPUSD

USDNOK

AUDUSD

EURSEK

EURGBP

USDSEK

NOKSEK

EURPLN

EURUSD

EURCAD

EURNOK

EURAUD

EURNZD

EURJPY

SEB FX Vol-o-meter

Short-term fair values


Standard Deviations

EUR/SEK began to correct SEK undervaluation but at 1.9 standard deviations there is more downside pressure. Final week with large

Swedish equity dividends scheduled could open up for further downside action at the end of this week.

EUR/NOK headed lower on Friday in accordance with reversal pattern the day after NB and lowered NOK undervaluation.

EUR/USD ended the week only slightly above (+0.4 st dev) its trending higher STFV (at 1.0953).

GBP/USD: Remained in the +1-2 standard deviation band.

USD/CAD: Below its STFV for the first time in 24 days – finally a correction of the rise since mid-April could be on its way as also the STFV

fell for the first time in 18 days.

-3 -2 -1 0 1 2 3

AUD/USD

EUR/CHF

USD/NOK

USD/CAD

EUR/NOK

USD/SEK

EUR/USD

NOK/SEK

NZD/USD

USD/JPY

GBP/USD

EUR/SEK

Upside deviation today Upside deviation y-day

Downside deviation today Downside deviation y-day

Ccy StDev STFV Y-day close 8-May Correction potentia Trend

EUR/SEK 1.9 9.5979 9.6713 9.6589 -0.6% EUR/NOK 0.2 9.4295 9.4509 9.4435 -0.1% EUR/USD 0.4 1.0953 1.0998 1.0953 0.0% GBP/USD 1.8 1.2700 1.2982 1.2960 -2.0% NZD/USD 0.5 0.6860 0.6918 0.6929 -1.0% AUD/USD -1.2 0.7509 0.7424 0.7404 1.4% USD/JPY 0.6 111.54 112.71 112.59 -0.9% USD/CAD -0.2 1.3690 1.3652 1.3687 0.0% EUR/CHF -0.5 1.0886 1.0859 1.0879 0.1% Cross models

NOK/SEK 0.5 1.0179 1.0233 1.0227 -0.5% USD/SEK 0.4 8.7629 8.7962 8.8185 -0.6%

USD/NOK -0.3 8.6091 8.5926 8.6219 -0.1%

SEB Short-term fair values

Short-term fair valuesScandies and their main drivers


Key Economic Scandie Indicators & Events


Norwegian data ranked in importance based on the median range of EUR/NOK on the release day

Swedish data ranked in importance based on the median range of EUR/SEK on the release day

Focus this week will be on

Norwegian inflation

Wednesday and Swedish

inflation on Thursday.

See next page for empirically estimated expected EUR/NOK and EUR/SEK changes based on our

inflation forecasts as well as

for other outcomes.

5.1

5.5

5.5

5.7

5.7

6.1

6.7

7.1

9.4

4 5 6 7 8 9 10

No event

PMI manufact.

Unemployment

NIER survey

Retail sales

Industrial prod.

Inflation

GDP

Riksbank

Median range (figs)

5.3

5.8

5.9

6.4

6.4

6.5

6.5

6.6

12.0

4 5 6 7 8 9 10 11 12 13

No event

Unemployment

Industrial prod

Retail sales

Inflation

PMI manufact

FX purch

GDP

Norges Bank

Median range (figs)


Riksbank rate decision & SEK

EUR/NOK and Surprises in CPI-ATE y/y EUR/SEK and Surprises in CPIF y/y

-1.0

-3.3

y = -29.1x - 0.4R2 = 0.8

-15

-10

-5

0

5

10

15

-0.5 -0.3 -0.1 0.1 0.3 0.5

y = EU

R/SE

K cha

nge (

figs)

x = Surprise (%-point)

Historical outcomes Mar outcomeSEB expected Apr Linear (Historical outcomes)

C P I -

A T E ( % )

S u r p r i s e

( % - p o i n t s )

E U R / N O K C h g

( f i g s )

1 . 3 - 0 . 6 5 . 2

1 . 4 - 0 . 5 4 . 2

1 . 5 - 0 . 4 3 . 3

1 . 6 - 0 . 3 2 . 3

1 . 7 - 0 . 2 1 . 3

1 . 8 - 0 . 1 - - - < - T o o s m a l l s u r p r i s e

1 . 9 0 - - -

2 . 0 0 . 1 - - - < - T o o s m a l l s u r p r i s e

2 . 1 0 . 2 - 2 . 5

2 . 2 0 . 3 - 3 . 5

2 . 3 0 . 4 - 4 . 5

2 . 4 0 . 5 - 5 . 4

2 . 5 0 . 6 - 6 . 4

2 . 6 0 . 7 - 7 . 4

2 . 7 0 . 8 - 8 . 3

2 . 8 0 . 9 - 9 . 3

A v e r a g e s p a n

S E B e x p e c t e d s u r p r i s e

< = H i s t m a x n e g a t i v e s u r p r i s e

< = H i s t m a x p o s i t i v e s u r p r i s e

y = ‐10.0x ‐ 0.1R² = 0.4

‐15

‐10

‐5

0

5

10

15

‐0.7 ‐0.2 0.3

y= EU

R/NO

K cha

nge (

figs)

x = Surprise (Act‐Exp)Historical outcomes Previous monthSEB expected Apr Linear (Historical outcomes)

Actual Surprise in Expected change 1.3 -0.5 14.1

1.4 -0.4 11.2

1.5 -0.3 8.3 <= Hist max

1.6 -0.2 5.4

1.7 -0.1 2.5

1.8 0 <= Consensus

1.9 0.1 -3.3 <= SEB

2 0.2 -6.3

2.1 0.3 -9.2 <= Hist max

2.2 0.4 -12.1

2.3 0.5 -15.0

SEB forecast

Range between average downside and average upside surpise

SEB expects a 0.1ppt upside surprise SEB expects a 0.1ppt upside surprise

| FX QUANT AND POSITIONING WEEKLY 15

Appendix: Speculative positions Percentile rank development

High beta currencies

Safe haven currencies

European currencies

USD vs. EUR

2017-05-08


Appendix: Speculative positions Speculative positions in AUD and CAD

AUD positioning vs. USD CAD positioning vs. USD

2017-05-08


Appendix: Speculative positions Speculative positions in CHF and EUR

CHF positioning vs. USD EUR positioning vs. USD

2017-05-08


Appendix: Speculative positions Speculative positions in GBP and JPY

GBP positioning vs. USD JPY positioning vs. USD

2017-05-08


Appendix: Speculative positions Speculative positions in MXN and NZD

MXN positioning vs. USD NZD positioning vs. USD

2017-05-08


Appendix: Speculative positions Speculative positions in USD – net aggregated and directly investible USD future

2017-05-08

USD future


Appendix: Speculative positions Speculative positions in S&P 500 & Nikkei

S&P 500 Nikkei

2017-05-08


Appendix: Short-term fair values*Scandies

* Mail [email protected] for introduction to the models

2017-05-08


Appendix: Short-term fair values *USD

* Mail [email protected] for introduction to the models

2017-05-08


Appendix: Economic surprise indicesPercentile rank

Source: Macrobond and SEB

Current 52 week percentile

2017-05-08

-50 -40 -30 -20 -10 0 10 20 30 40 50

AUD

EUR

CAD

SEK

CHF

NOK

USD

JPY

NZD

GBP

Current week Current week Previous Previous


Appendix: Economic surprise indicesPercentile rank

Source: Macrobond and SEB

2017-05-08

Disclaimer•All research (reports, studies and publications) produced by SEB Merchant Banking, a division of Skandinaviska Enskilda Banken AB (publ) ("the Bank"), is produced for institutional investors only. It is not

intended for private clients or Private Customers (as defined by the UK Financial Services Authority, (the "FSA”)) and must not be distributed to private clients or Private Customers.

•The Bank has offices in Copenhagen, Frankfurt, Helsinki, London, New York, Oslo, Paris, Singapore and Stockholm. This report is produced for private information of recipients and SEB Merchant

Banking's research department is not soliciting any action based upon it. Opinions contained in this research report represent SEB Merchant Banking's research department present opinion only and are

subject to change without notice.

•All information contained in this report has been compiled in good faith from sources believed to be reliable. However, no representation or warranty, expressed or implied, is made with respect to the

completeness or accuracy of its contents and the report is not to be relied upon as authoritative. Recipients are urged to base their investment decisions upon such investigations, as they deem necessary.

To the extent permitted by applicable law, no liability whatsoever is accepted for any direct or consequential loss arising from the use of this document or its contents.

•Your attention is drawn to the fact that the Bank, a member of, or any entity associated with the Bank or its affiliates, officers, directors, employees or shareholders of such members may from time to time

(a) have a long or short position or holding in the securities or options of such companies mentioned herein, (b) buy or sell or participate in an issue of such securities or options, (c) provide corporate

finance services to such companies or in relation to such securities or options, (d) be represented on the board of directors or similar supervisory entity of such companies. The Bank may make a market in

the securities mentioned in this report.

•Authors' statement of independence (Analyst Certification)We, the authors of this report, hereby confirm that notwithstanding the existence of any potential conflicts of interest referred to herein, the views expressed in this report accurately reflect our personal

views about the companies and instruments covered. We further confirm that we have not been, nor are or will be, receiving direct or indirect compensation in exchange for expressing any of the views or

the specific recommendation contained in the report. We are not registered or qualified as research analysts, representatives or associated persons under the rules of any US exchange, regulatory

organization or State

•This statement affects your rights This report is confidential and may not be reproduced, redistributed or republished by any recipient for any purpose or to any person.

•RecipientsSEB Research is approved and issued by Skandinaviska Enskilda Banken AB (publ) (“SEB”), a bank organized under the laws of the Kingdom of Sweden, on behalf of itself and its affiliates for institutional

investors. SEB is not a registered Broker-Dealer under the US Securities and Exchange Act of 1934. This report must not be distributed to retail clients except those of SEB Oslo Branch and, in case of

research distributed via SEB Helsinki Branch, to its retail clients located in Finland.

•UseThis research report is produced for the private information of recipients - if you are not a client of ours, you are not entitled to this research report, and should destroy it. The document is not, and should

not be construed as, an offer to sell or solicitation of an offer to buy any securities. Opinions contained in the report represent the author's present opinion only and may be subject to change. In the event

that the author's opinion should change or a new analyst with a different opinion becomes responsible for our coverage of the company concerned, we shall endeavour (but do not undertake) to

disseminate any such change, within the constraints of any regulations, applicable laws, internal procedures within SEB, or other circumstances.

•Good faith and limitationsAll information, including statements of fact, contained in this research report have been obtained from SEB, Bloomberg or Macrobond and compiled in good faith from sources believed to be reliable.

However, no representation or warranty, express or implied, is made by SEB with respect to the completeness or accuracy of its contents, and it is not to be relied upon as authoritative and should not be

taken in substitution for the exercise of reasoned, independent judgement by you. Recipients are urged to base their investment decisions upon such investigations as they deem necessary. To the extent

permitted by applicable law, no liability whatsoever is accepted by SEB for any direct or consequential loss arising from the use of this document or its contents.

•DistributionThis research report has been prepared by SEB or its affiliates and is being distributed by SEB offices in Stockholm, Copenhagen, Oslo, Helsinki, Frankfurt, London, Tallinn, Vilnius, Singapore and Hong

Kong. Research reports are prepared and distributed in Lithuania by AB SEB bankas and in Estonia by AS SEB Pank in accordance with the requirements of the local laws and Financial Supervision

Authority’s conduct of business rules. It is being distributed in the United States by SEB Securities Inc. ('SEBSI'), a wholly owned subsidiary of SEB organized under the laws of the State of Delaware, USA.

Any United States institutional investor receiving the report, who wishes to obtain further information or to effect a transaction in any security discussed in the report, should do so only through SEBSI and

not its affiliates. Addresses and Phone numbers for each office can be found at the end of the report.

| FX QUANT AND POSITIONING WEEKLY2017-05-08 26

•The SEB Group: members, memberships and regulatorsSEB is a member of, inter alia, Nasdaq OMX Nordic, Oslo Stock Exchange, the London Stock Exchange, NYSE Euronext, Frankfurt Stock Exchange, Tallinn Stock Exchange as well as certain European MTF’s

such as BATS-Chi-X, Turquoise, Burgundy, XUBS, POSIT and Sigma-X. SEB is regulated by Finansinspektionen in Sweden and, for the conduct of investment services business, in (i) Denmark by

Finanstilsynet, (ii) Norway by Finanstilsynet, (iii) Finland by Finanssivalvonta, (iv) Germany by Bundesanstalt für Finanzdienstleistungsaufsicht, (v) the UK by the Financial Conduct Authority and Prudential

Regulation Authority (details about the extent of our regulation by the Financial Conduct Authority and Prudential Regulation Authority are available from us on request), (vi) Estonia by the Estonian Financial

Supervision Authority, (vii) Lithuania by the Bank of Lithuania, (viii) Singapore by the Monetary Authority of Singapore, and (ix) Hong Kong by Securities and Futures Commission. SEBSI is a U.S. broker-

dealer, registered with the Financial Industry Regulatory Authority (FINRA). SEBSI is a subsidiary of SEB. SEBSI is authorized to engage in the underwriting of securities but does not make markets or

otherwise engage in any proprietary trading in any securities. SEB’s research reports are prepared in accordance with the industry standards and codes of conduct applicable to financial analysts in the

countries where they are based. In Denmark, Finland, Norway and Sweden, analysts act in accordance with the rules of ethics of each country’s Society of Financial Analysts. Analysts comply with the

recommendations and industry standards of the Danish, Norwegian and the Swedish Securities Dealers Associations and with those of the Federation of Finnish Financial Services. Analysts certified by the

CFA Institute also comply with the Code of Ethics of the CFA Institute.

•Prevention and avoidance of conflicts of interestAll research reports are produced by SEB’s Research department, which is separated from the rest of its activities by an Information Barrier; as such, research reports are independent and based solely on

publicly available information. Following standard practice, recommendations and target share prices are removed from research on companies which are the subject of public offers on which SEB is

advising. The remuneration of staff within the Research department is determined exclusively by research management and senior management and may include discretionary awards based on the firm’s

total earnings, including investment banking income; however, no such staff receive remuneration based upon specific investment banking transactions. SEB’s Compliance department monitors the

production of research and the observance of the group's procedures designed to prevent any potential conflicts of interest from affecting the content of research.

•Your attention is also drawn to the fact that:The current market price of the instruments shown in this report is the price prevailing at the close of the business day preceding the date of publication or when applicable a more recent price than that.

Unless explicitly stated otherwise in this report, SEB expects (but does not undertake) to issue updates to this report following the publication of material new figures or forecasts relevant to the instruments

covered, or upon the occurrence of other events which could potentially have a material effect on it. The instruments discussed in this research report may not be eligible for sale in all countries, and such

instruments may not be suitable for all types of investors. Offers and sales of instruments discussed in this research report, and the distribution of this report, may be made only in countries where such

instruments are exempt from registration or qualification or have been so registered or qualified for offer and sale, and in accordance with applicable broker-dealer and agent/salesman registration or

licensing requirements. Additional recommendation history for the instrument is available at http://www.seb.se/research

•Methodology

SEB Research & Strategy determines the global economic backdrop and outlook for fixed income, FX and commodity markets using; 1) own analysis and aggregation tools, including proprietary models and

indicators and amended by publicly available data providers (free and fee-based) such as Macrobond, Bloomberg and others; 2) input from other research units within SEB; 3) Various research reports (free

and fee-based). The various sources being integrated must fulfil the principles of consistency, plausibility and must be backed by fact. Final consideration as to any valuations, projections and forecasts

contained in this report are based on a number of assumptions and estimates and are subject to contingencies and uncertainties, and their inclusion in this report should not be regarded as a representation

or warranty by or on behalf of the Group or any person or entity within the Group that they or their underlying assumptions and estimates will be met or realized. Different assumptions could result in

materially different results. Past performance is not a reliable indicator of future performance. Foreign currency rates of exchange may adversely affect the value, price or income of any security or related

investment mentioned in this report. In addition, investors in securities, such as ADRs, whose values are influenced by the currency of the underlying security, effectively assume currency risk

•THIS REPORT IS NOT INTENDED TO BE PUBLISHED OR DISTRIBUTED IN THE UNITED STATES.

•The Bank is incorporated in Stockholm Sweden with limited liability and is a member of the Stockholm Stock Exchange, The London Stock Exchange, the IPE, and the OM, EDX, Euronext Liffe, Euronext Paris, Eurex and Pulpex exchanges. The Bank is regulated by Finansinspektionen (the Swedish Financial Supervisory Authority), and, for the conduct of designated investment business in the UK, by the FSA.

•Confidentiality Notice This report is confidential and may not be reproduced or redistributed to any person. Skandinaviska Enskilda Banken AB (publ). All rights reserved


Disclaimer

Documents

Karl Steiner FX Quant and Positioning Weekly€¦ · 8/05/2017 · FX Quant and Positioning Weekly Karl Steiner Global Macro & FX Research Twitter: @karlsteiner_ May 8, 2017 You