EMFX positioning index estimates that the market turned more neutral - Nomura

Analysts at Nomura explains that their global EMFX positioning index estimates that the market turned more neutral on USD/EM positioning at +0.2 standard deviations (sd) as of 2 February 2018 from -0.4sd the previous week.

Key Quotes

“This was attributable to USD/EM positioning in Asia and EEMEA turning from net short to relatively neutral, and net long USD positioning in LatAm increasing slightly.”

“Asia: The USD/Asia positioning index suggests broadly neutral positioning at +0.2sd as of 2 February from -0.6sd the previous week. Individually, our country positioning indices saw a broad shift towards a long USD bias for most of the currencies in the region, led by USD/CNH (to +0.7sd vs. -0.6sd), USD/INR (to +0.4sd vs. -0.9sd) and USD/THB (to +0.7sd vs. -1.0sd). On the other hand, there was reduction of net short positioning on USD/KRW (to -0.5sd vs. -0.6sd) and USD/TWD (to -0.2sd vs. -0.9sd), while the USD/PHP positioning index showed a small reduction of its marginal net long USD positioning (to +0.1sd vs. +0.2sd).”

“LatAm: Long USD/LatAm positioning rose for the second consecutive week (to +0.4sd vs. +0.2sd last week). This is the highest level of long USD/LatAm positioning since midDecember 2017. The increase in long USD positioning was led primarily by an increase in long USD/CLP positioning (to +1.0sd vs. +0.8sd) while USD/BRL positioning turned to a marginal net long reading from heavily net short last week (to +0.1sd net long vs. - 1.0sd net short). This is the first time USD/BRL positioning flipped to net long since the first week of December 2017 and net long USD/CLP positioning is at its highest level since mid-December. The broad increase in long USD/LatAm positioning was partly offset by a fall in net long USD/MXN positioning from +0.9sd to +0.1sd.”

“EMEA: Between 26 January and 2 February, our EMEA positioning index suggests that the market moved from long EEMEA (with a positioning score of -0.3sd) to a neutral stance (0.0sd). The biggest mover in EEMEA over the past week was TRY, where the positioning score shifted from -0.6sd on 26 January to -0.1sd on 2 February. Our positioning score for ZAR, RUB and HUF also suggested that market positioning was relatively neutral for these currencies as of 2 February.”