Investment Research — General Market Conditions

09 August 2010

IMM positioning
Non-commercial investors add to short USD positions
 The latest IMM data cover the week from 27 July to 3 August.
IMM non-commercial positions
 Non-commercial investors added further to short USD positions, which have now reached
USD17bn. The dollar has lost close to 10% since its early July peak and with Friday’s EUR
03-Aug 27-Jul
disappointing US labour market report (released after the collection of IMM data) GBP
positioning is likely to have turned even more against the dollar. As short USD positioning CHF
becomes more stretched so does the upside risk to USD from a potential position squeeze. CAD
JPY
 Coinciding with the strong rebound in EUR/USD over the past month speculative
AUD
investors have unwound their short EUR positions. EUR positions are now back at neutral
MXN
levels (net shorts at 3% of open interest) for the first time since December last year.
NZD
 Net long positions in the commodity currencies (AUD, CAD and NZD) have become even
-60 -10 40 90
more stretched with NZD looking most vulnerable with net longs at 62% of open interest. % of open interest

A position squeeze, potentially driven by oil prices correcting fast back below USD80 per Source: CFTC
barrel (watch Wednesday’s IEA oil market report), could see AUD, CAD and NZD correct
lower.

 Net long JPY positions have now reached 36% of open interest despite the current strong
JPY level fuelling speculation in the market about the potential for interventions by the
Bank of Japan.

IMM non-commercial positioning

1000 contracts % of open interest USD bn

03-Aug 27-Jul Change 03-Aug 27-Jul Change 03-Aug 27-Jul Change
USD* -16.6 -6.7 -9.9
EUR -7.3 -21.3 14.0 -3.1 -9.2 6.1 -1.2 -3.5 2.3
JPY 48.0 29.9 18.1 35.9 24.0 11.8 7.0 4.3 2.7
G BP -0.3 -17.9 17.7 -0.2 -14.6 14.5 0.0 -1.7 1.7
CHF 16.2 6.2 10.0 28.0 11.2 16.8 2.0 0.7 1.2
CAD 34.2 23.9 10.3 34.4 28.0 6.4 3.3 2.3 1.0
AUD 48.7 40.5 8.2 49.1 45.3 3.8 4.4 3.7 0.8
NZD 15.1 13.7 1.4 61.7 59.7 2.1 1.1 1.0 0.1
MXN 55.1 45.3 9.8 59.8 56.5 3.3 2.2 1.8 0.4

OIL 55.7 44.3 11.4 4.5 3.6 0.9

GOLD 185.5 188.9 -3.4 35.8 33.7 2.0
COPPER 13.0 11.3 1.7 9.1 8.3 0.9
2-YEAR -10.1 -24.3 14.2 -1.3 -3.0 1.8
10-YEAR -191.2 -140.6 -50.6 -10.6 -7.7 -2.9
S&P500 -16.7 -21.4 4.7 -5.3 -6.9 1.6

Source: CFTC

Senior Analyst
Kasper Kirkegaard
+45 45 13 70 18
kaki@danskebank.com

www.danskeresearch.com
IMM positioning

Chart 1. Sum of EUR, JPY, GBP, CHF, CAD, AUD and NZD

92.5 40
Dollar index << Narrow USD index USD bn
90.0 30
Net long USD
87.5 20
85.0 10
82.5 0
80.0 -10
77.5 -20
USD positions >>
75.0 -30
72.5 -40
Net short USD
70.0 -50

04 05 06 07 08 09 10

Source: CFTC, Danske Markets

Chart 2. Non-commercial ‘carry’ positioning

35 35
USD bn USD bn
30 30
Long AUD, NZD vs. Short CHF, JPY
25 25
20 20
15 15
10 10
5 5
0 0
-5 -5
-10 -10

03 04 05 06 07 08 09 10

Source: CFTC

Chart 3. EUR/USD and non-commercial positioning

1.65 125
EUR/USD Net long EUR vs. USD 1000 contracts
1.60 100
1.55 75
Speculative positions >>
1.50 50
1.45 25
1.40 0
1.35 -25
1.30 -50
<< EUR/USD spot
1.25 -75
1.20 -100
Net short EUR vs. USD
1.15 -125

04 05 06 07 08 09 10

Source: CFTC

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IMM positioning

Chart 4. USD/JPY and non-commercial positioning

85 USD/JPY (reversed) 150

Net long JPY vs. USD 1000 contracts
90 100
Speculative positions >>
95 50
100 0
105 -50
110 -100
115 -150
<< USD/JPY spot
120 -200
125 Net short JPYvs. USD -250

04 05 06 07 08 09 10

Source: CFTC

Chart 5. GBP/USD and non-commercial positioning

2.2 125
Net long GBP vs. USD 1000 contracts
2.1 100
GBP/USD << GBP/USD spot
2.0 75
1.9 50
1.8 25
1.7 0
1.6 -25
Speculative positions >>
1.5 -50
1.4 -75
Net short GBP vs. USD
1.3 -100

04 05 06 07 08 09 10

Source: CFTC

Chart 6. USD/CHF and non-commercial positioning

0.85 USD/CHF (reversed)

Net long CHF vs. USD 1000 contracts 40
0.95
Speculative positions >> 20
1.05
0
1.15
-20
1.25
-40
1.35
<< USD/CHF spot -60
1.45
Net short CHF vs. USD -80

04 05 06 07 08 09 10

Source: CFTC

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IMM positioning

Chart 7. USD/CAD and non-commercial positioning

0.90 125
USD/CAD (reversed) 1000 contracts
0.95 100
Net long CAD vs. USD
1.00 75
Speculative positions >>
1.05 50
1.10 25
1.15 0
1.20 -25
1.25 -50
1.30 -75
<< USD/CAD spot
1.35 -100
Net short CAD vs. USD
1.40 -125

04 05 06 07 08 09 10

Source: CFTC

Chart 8. AUD/USD and non-commercial positioning

1.10 90
AUD/USD 1000 contracts
1.05 80
Speculative positions >> << AUD/USD spot
1.00 70
Net long AUD vs. USD
0.95 60
0.90 50
0.85 40
0.80 30
0.75 20
0.70 10
0.65 0
0.60 -10
0.55 Net short AUD vs. USD -20

04 05 06 07 08 09 10

Source: CFTC

Chart 9. NZD/USD and non-commercial positioning

0.85 30
NZD/USD Net long NZD vs. USD 1000 contracts
0.80 25
<< NZD/USD spot
0.75 20
0.70 15
0.65 10
0.60 5
0.55 0
Speculative positions >>
0.50 -5
Net short NZD vs. USD
0.45 -10

04 05 06 07 08 09 10

Source: CFTC

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IMM positioning

Chart 10. Oil and non-commercial positioning

$/bbl 1000 contracts

140 175
Speculative positions >> Net long oil << Crude oil
120 125

100 75

80 25

60 -25

40 Net short oil -75

20 -125

04 05 06 07 08 09 10

Source: CFTC

Chart 11. Gold and non-commercial positioning

1300 400
$/troy ounce Net long gold 1000 contracts
1200 350
1100 Speculative positions >> 300
1000 << Gold spot 250
900 200
800 150
700 100
600 50
500 0
400 -50
300 Net short gold -100

04 05 06 07 08 09 10

Source: CFTC

Chart 12. Copper and non-commercial positioning

9000 40
$/Ton Net long copper 1000 contracts
8000 30

7000 20

6000 10

5000 0
<< 3M forward, LME
4000 -10

3000 -20
Net short copper Speculative positions >>
2000 -30

04 05 06 07 08 09 10

Source: CFTC

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IMM positioning

Chart 13. 2-year Treasuries and non-commercial positioning

0.5 250
% Net long 2Y Treasuries 1000 contracts
1.0 200
1.5 150
2.0 Speculative positions >> 100
2.5 50
3.0 0
3.5 -50
4.0 -100
4.5 -150
5.0 << Yield (reverse scale) -200
5.5 -250
Net short 2Y treasuries
6.0 -300

04 05 06 07 08 09 10

Source: CFTC

Chart 14. 10-year Treasuries and non-commercial positioning

1.5 700
% Net long 10Y Treasuries 1000 contracts
2.0 600
2.5 500
3.0 Speculative positions >> 400
3.5 << Yield (reverse scale) 300
4.0 200
4.5 100
5.0 0
5.5 -100
6.0 -200
6.5 Net short 10Y treasuries -300

04 05 06 07 08 09 10

Source: CFTC

Chart 15. S&P500 and non-commercial positioning

1600 75
Index Net long S&P500 1000 contracts
1500
1400 50
<< Index
1300 25
1200
1100 0
1000
-25
900
Speculative positions >>
800
-50
700
600 Net short S&P500 -75

04 05 06 07 08 09 10

Source: CFTC

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IMM positioning

The IMM data

The IMM data is part of the Commitments of Traders (COT) reports published by the U.S.
Commodity Futures Trading Commission (CFTC). The IMM data provides a breakdown of each
Tuesday’s open futures positions on the International Money Market (IMM) a division of the
Chicago Mercantile Exchange. All of a trader's reported futures positions in a commodity are
classified as commercial if the trader uses futures contracts in that particular commodity for
hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may be classified as a
commercial trader in some commodities and as a non-commercial trader in other commodities.

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IMM positioning

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