The SEB FX Scorecard is updated on a monthly basis. It includes both changes to individual currency scores and alterations to weights to reflect FX market themes and drivers. In May the scorecard portfolio was almost flat over the month, despite our accurate forecasts for six of the nine scorecard currencies vs. the SEK. After a solid start in May due to the weaker JPY, CHF and NZD, and a stronger NOK, the unexpected decision by the RBA to cut the cash rate early in the month, and the negative impact on commodity related currencies of broad-based USD appreciation led to a huge sell-off in AUD which undermined the portfolio’s overall performance. Heading into June, we retain our very high weighting, this time of 25%, for monetary policy which we believe will remain a key FX market driver. Our June portfolio is long in NOK and AUD, both of which attract the greatest total scores, while CAD and NZD represent our biggest short exposures. Otherwise we are largely neutral in all major currencies, with differences in scores fairly limited, near the average for all scorecard currencies.
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