Cot Report

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

UNCERTAINTY DRIVES POSITION REDUCTION
Data in this report cover up to Tuesday Sep 22 & were released Friday Sep 25.

• IMM‐based investors responded to the vola������lity in global markets
that followed in the wake of the FOMC’s rate decision on September
17th in rather mixed fashion but the overall result was a
further reduc������on in the aggregate bull bet on the USD on the IMM
to the lowest in a li������le more than a year.

• Investors were not exactly discrimina������ng in posi������oning, however.
Data reflect a decent reduc������on in the net short bet on the
JPY—which makes sense from a risk aversion point of view as
holding the JPY is typically preferable in periods of vola������lity. But
Investors flipped a small bull bet on the CHF in the previous week
to a rela������vely smaller net bearish posi������on— not what one would
expect in a generally risk‐averse environment, as the CHF also typically
picks up refuge support during risk averse market phases.

• Along similar lines, investors boosted net short AUD posi������ons in
the latest week but cut the bearish bet on the CAD back significantly;
this may reflect a view on the commodity block’s rela������ve
exposure to China‐driven uncertain������es and, as a cross trade, it is a
view we would concur with a������er the AUDCAD cross’s recent turn
lower from the 0.95+ area (spot terms).

• Net short EUR s������ll represents the largest exposure for IMM players
and the EUR’s squeeze higher to 1.15 (spot) following the
Fed—while short‐lived—clearly forced investors to the sidelines.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

SPECULATORS EDGE BACK TO THE SHORT EUR TRADE
Data in this report cover up to Tuesday Sep 29 & were released Friday Oct 2.

• CFTC data for the week through September 29th showed rela‐
vely limited posioning changes among the speculave and leveraged
investor community. Aer three weeks of moderang exposure
to the long USD trade (as reflected by aggregated posioning
in all the major currencies), however, IMM data suggest these
counterpares stepped up the big dollar bull bet once more. The
aggregate USD long amounts to USD23.2bn this week, from
USD21.0bn in the prior week.

• As usual, posioning in the EUR contract is the swing factor.
Net short EUR posions rose by around 5.5k contracts this week,
or the equivalent of just over USD 1bn to a total bear bet (net) of
USD12.3bn. Other majors reflected rather neutral posioning
changes—minor net shorng acvity remains evident in the GBP
and CHF. Investors retain a net short JPY posion in the JPY
(equang to a lile more than USD2.3bn) but exposure in the Japanese
currency remains really quite flat.

• In fact, behind posioning in the EUR, net shorts in the AUD and
CAD represent the next most significant vehicles for expressing a
bullish USD view. It remains to be seen whether the CAD posion
can withstand the rather sharp squeeze seen today (we suspect
not). Investors sll appear to lack convicon though. Last week’s
bump up in net AUD shorts and reducon in net CAD longs (which
we thought—and connue to believe—made sense from a cross
posion perspecve) was reversed this week.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC


CAD SENTIMENT DETERIORATES AS MOST OTHERS IMPROVE
Data in this report cover up to Tuesday Dec 15 & were released Friday Dec 18, reflecting positions ahead of the Fed meeting while encompassing the SNB meeting.

• Investors lightened up their USD exposure into Wednesday’s
Fed, pressuring the aggregate USD long position with a remarkable
$9.3bn w/w drop. Investors pared shorts in all currencies with the
exception of NZD and CAD, with deterioration in the latter allowing
it to become the second largest held net short after EUR. JPY
and CHF had the largest w/w swings, the latter’s incorporating the
Dec 10 SNB decision. CHF is now held net long.

• CAD sentiment continues to deteriorate as investors position for
further decline, with gross shorts building in five of the last six
weeks. The net short $3.7bn position is relatively modest, leaving
it with ample scope to reach and exceed the $5.1bn level observed
in late summer. AUD sentiment continues to improve, narrowing
an impressive $4.0bn over the past four weeks. The details also
hint to confidence as we note that four weeks of short covering
have been compounded by this week’s sizeable build in longs.

• EUR sentiment has improved for a second consecutive week, the
net impact of short covering somewhat restrained by this week’s
drop in longs. We highlight EUR’s ongoing vulnerability to positioning
adjustment given the sizeable $21.9bn net short.

• Short covering in JPY has accelerated, the net short narrowing an
impressive $4.2bn to $2.7bn.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

• Changes in FX sentiment were limited for the week ended December
22nd, leaving EUR as the largest held net short (-$22.1bn),
with CAD a far away second given its net short -$4.0bn position.
The aggregate USD long improved modestly for the first time in
four weeks, rising $2.4bn to $34.5bn. Minor deteriorations were
observed in GBP, AUD, JPY and CAD. CHF is the only currency held
net long (bottom left p2).

• CAD sentiment has deteriorated for six consecutive weeks,
providing for a cumulative $2.7bn widening in the net short since
mid-November—to its current -$4.0bn level. The position is still
shy of the widest level observed for 2015 (bottom right p2), its mid
-July net short of $5.1bn. The all-time record CAD net short stood
at -$7.4bn in April 2013. AUD sentiment has deteriorated for the
first week in five, the $0.8bn widening in the net short entirely
driven by a drop in longs. AUD sentiment remains close to neutral,
at the upper end of its 2015 range (bottom right p2).

• GBP sentiment appears vulnerable as we consider this week’s
sizeable $1.1bn build in gross shorts, widening the net short to
$2.5bn. Considerable risk has been added to both sides over the
past two months, leaving newly added longs vulnerable to the
recent deterioration in spot.

• EUR sentiment was remarkably quiet, the net short -$22.1bn
position basically unchanged on a w/w basis. The sizeable short
remains the greatest vulnerability for EUR.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

JPY NET LONG FOR THE FIRST TIME SINCE OCTOBER 2012
Data in this report cover up to Tuesday Jan 5 & were released Friday Jan 8.

• This week’s changes in sentiment have been limited to JPY, its
$2.2bn w/w swing pushing it into net long territory for the first
time since 2012. CHF is also held net long, and the combination of
bullish sentiment in both CHF and JPY underscores an important
signal to the underlying tone of broader markets. EUR remains the
largest held net short with a sizeable $21.6bn position, followed by
relatively minor net short positions in CAD ($4.3bn) and GBP
($2.8bn). The aggregate USD long is at three month lows.

• This week’s minor stabilization in the CAD net short position,
narrowing $0.1bn to $4.3bn, follows seven consecutive weeks of
deterioration that had provided for a cumulative $3.0bn build in
the net short. The deterioration mirrors that observed in spot
(middle right p1), suggesting little risk arising from positioning adjustment.
Conversely, we highlight considerable positioning risk in
AUD given the limited bearish sentiment represented by its modest
$1.0bn net short.

• EUR’s sizeable $21.6bn net short position presents considerable
risk in the current environment, leaving it vulnerable to squaring
the event of further turbulence.

• JPY’s bullish shift in sentiment is the most notable development
of the week given its $2.2bn swing into net long territory. This represents
the first net long JPY position since October 2012, and its
occurrence is all the more remarkable as it has been driven almost
entirely by a build in longs, rather than shorts running for cover

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

HOLIDAYS & VOLATILITY DRIVE SPECULATIVE POSITIONING
Data in this report cover up to Tuesday Jan 19 & were released Friday Jan 22.

• Changes in speculave posioning in aggregate appear subdued in the latest CFTC report covering the week through January 19th,perhaps reflecng the MLK holiday on the 18th. The market’s aggregate long USD posion this week stood at USD27.3bn—more or less exactly the same as the prior week’s posion. Sll, some fairly large posioning shis were taking place below the surface as investors connued to shun riskier currencies and favour the JPY.

• Investors moved to trim short posioning in the EUR this week,reducing the net speculave bet against the EUR to a lile less than USD 19bn. We suspect that strong hints from ECB President Draghi Thursday that further policy accommodaon is likely in the next few weeks will boost speculave bets against the EUR again— especially if the FOMC messaging remains construcve at next week’s Fed policy meeng.

• Investors boosted net short CAD posioning through January 19th as the CAD’s losing start to 2016 connued. Posioning here should moderate, however, considering the CAD bounce and apparent turn in the CAD trend following the unchanged BoC policy decision Wednesday. Net CAD shorts have perhaps peaked out at 66.4k contracts this week, right on the most recent peak short of 67k contracts seen last July.

• Risk aversion helped define posioning changes elsewhere; investors increased net bets against the AUD significantly (less so versus the NZD) and increased defensive posioning in the JPY where the net long equates to the biggest bull bet since late 2012.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

SPECULATIVE INVESTORS IGNORE CENTRAL BANK CUES
Data in this report cover up to Tuesday Jan 26 & were released Friday Jan 29.

• IMM posioning data for the week through Tuesday suggest investors are less convinced by the USD’s bullish credenals these days. The aggregate bull bet on the USD dropped a lile over USD 1bn to USD26.2bn, the smallest aggregate posion reflected in this data series since mid‐October.

• The changes are somewhat surprising, we think, considering the central bank policy backdrop. Firstly, investors failed to add significantly to their bearish bets on the EUR despite strong hints from ECB President Draghi last week that policy could be eased further. In fact, net bull bets on the EUR fell by USD1.4bn this week, mainly a reflecon of investors covering the EUR shorts. Speculave accounts connued to boost bull bets on the JPY, meanwhile, but (following today’s BoJ easing and JPY sell‐off) we assume this trend will reverse next week. Net JPY longs rose USD1.2bn through Tuesday to the highest in four years.

• A second surprise in this week’s posioning is the lack of change in net CAD bear bets. In fact, the net posioning edged a lile more CAD‐negave through Tuesday, despite last week’s unchanged BoC decision. Investors were happy to fade the inial CAD rebound at least but may be less inclined to do so now. Bearish CAD bets remain at a relave extreme, suggesng plenty of room for the CAD to bounce.

• The IMM’s net short GBP posion was boosted by some 9k contracts this week (equang to a USD850 mn boost) as expectaons of BoE rate hike this year connue to fade.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

CAD SENTIMENT IMPROVES ON BACK OF SHORT COVERING

Data in this report cover up to Tuesday Feb 2 & were released Friday Feb 5. Data include the Fed and BoJ policy decisions as well as Fed VC Fischer’s comments.• The aggregate USD long position has fallen to a fresh multimonth low, dropping $5.4bn w/w to $20.9bn (top right p1) at levels last seen in late October. This week’s changes were largely driven by a moderation in bearish sentiment toward CAD and EUR, offset somewhat by a decline in the JPY net long. All three changes are likely the result of shifting central bank policy risks as the position date incorporates both the Fed and BoJ meetings as well as public appearances from the Fed’s Fischer and ECB’s Draghi.

• CAD sentiment improved materially, the net short CAD position narrowing $1.0bn to $3.7bn in a somewhat belated response to the BoC’s Jan 20 policy hold. Details include an overall paring of risk, as we note a decline in both long and short positions (bottom right p1)—suggesting uncertainty rather than confidence in the near term path for CAD.

• The net short EUR position narrowed a remarkable $5.4bn to $11.9bn at levels last seen in mid-October (top right p2). The position has narrowed nearly $12.5bn from the pre-ECB levels from early December with a nearly unbroken liquidation of shorts over the past 9 weeks. Rising confidence among bulls is also noted, with a three-week run of rising gross longs (middle right p2).

• JPY sentiment deteriorated for the first week in six, with a $1.4bn narrowing in the net long to $3.9bn. Subsequent movement in JPY would suggest a reversal of this week’s changes.