GLOBAL FX STRATEGY FX SENTIMENT REPORT

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1 Friday, April 27, 218 EUR Bulls Cut Longs, CAD Bears Miss Out Again Data in this report cover up to Tuesday April 24 & were released Friday April 27. The latest snapshot of speculative market sentiment reflects a sharp paring back of EUR bullish sentiment and a sizeable reduction in the IMM s aggregate bearish bet on the USD. In the latest week s data (through Tuesday), the aggregate USD position was cut by nearly USD4.4bn to USD23.9bn, a six week low. 2 1 FOLLOW US ON Shaun Osborne Chief FX Strategist shaun.osborne@scotiabank.com AGGREGATE USD POSITION $ bn Eric Theoret, CFA, CMT FX Strategist eric.theoret@scotiabank.com USD Position Perhaps not surprisingly the EUR contract saw the biggest positioning shift after net EUR s reached a record in the April 17th data; EUR s were reduced by USD3.5bn in the week as the EUR rally stalled, equating to a reduction of around 2k contracts in the net position. Additional liquidation seems a risk this week. Net bullish bets on the GBP were cut by USD995mn while net s were cut in the MXN (USD46mn) and NZD (USD29mn). Net CAD positioning was steady last week and we had thought that the CAD s weak performance would lead to speculators adding to net s. Instead, however, bearish CAD bets were reduced by around USD46mn in the week, coinciding with the CAD s renewed weakness. Positioning data in the CAD has been a poor form guide for the markets in recent weeks serving more as a contrary indicator than a confirming signal for the market direction. Elsewhere, traditional safe havens were out of fashion. Net JPY positioning remains essentially flat while speculators maintained bearish bets on the CHF (and cut gold net s by USD3.8bn). Sentiment $mns 24-Apr Bias Trend Position w/w chg. CAD bearish decreasing -1, AUD neutral neutral NZD bullish decreasing 1, MXN bullish decreasing 2, EUR bullish decreasing 19,969-3,453 GBP bullish decreasing 3, CHF bearish neutral -1,36 55 JPY neutral neutral Gold bullish decreasing 18,179-3,795 Total USD pos'n (excl. gold) -23,876 4,391 CAD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 24-Apr -1,959 23,559 48,73 -,144 5,18 12,46 17-Apr -2,416 28,5 58,899-3,324 1, ,174 1-Apr -2,513 28,27 59,699-31, ,621 3-Apr -2,489 29,558 61,43-31,872-4, , CAD VS NET POSITION USDCAD USDCAD (R) CAD: GROSS LONG, SHORT & NET Net Gross Long Gross Short

2 Friday, April 27, AGGREGATE USD POSITION $ bn Aggregate USD Position JPY: GROSS LONG, SHORT & NET Net Gross Long Gross Short GBP: GROSS LONG, SHORT & NET EUR: GROSS LONG, SHORT & NET Net Gross Long Gross Short -1-3 Net Gross Long Gross Short NET LONG / SHORT POSITION VS USD bn WK RANGE NET LONG/SHORT POSITION $ bn *red column denotes 52 week range of $ value of net position; black line is current net position CAD CHF AUD JPY NZD MXN GBP EUR -15 CAD CHF AUD JPY NZD MXN GBP EUR 2

3 Friday, April 27, EUR VS NET POSITION EURUSD 1. 4 GBP VS NET POSITION GBPUSD EURUSD (R) GBPUSD (R) EUR NON-COMMERCIAL POSITIONING GBP NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, EUR ($MM) Position - Contracts of 62,5 GBP 24-Apr 19, ,944 86,35 13,594-2, , Apr 3,264 9,186 52,821 37,365-1, , Apr 23, ,829 87, ,476 4,13 59,32 17-Apr 4,26 113,2 65,55 47,72 4,686,523 1-Apr 22, ,344 88, ,463 13,82 58,24 1-Apr 3,811 95,267 52,1 43,16 2, ,784 3-Apr 2, ,327 86, ,381-6, ,677 3-Apr 3,544 86,643 46,35 4,338 6, ,17 - JPY VS NET POSITION USDJPY (R) USDJPY 15. CHF VS NET POSITION USDCHF USDCHF (R) JPY NON-COMMERCIAL POSITIONING CHF NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 12.5MM JPY ($MM) Position - Contracts of 1, CHF 24-Apr 67 59,3 58, ,8 155, Apr -1,36 29,376 39,61-1, ,4 17-Apr 33 49,433 46,842 2, , Apr -1,361 24,967 35,488-1, ,12 1-Apr ,855 47,94 2, ,22 1-Apr -1,43 18,37 29,114-1, ,144 3-Apr ,53 44,481 3,572 7,24 148,818 3-Apr -1,292 17,98 27,819-9, ,734 3

4 Friday, April 27, AUD VS NET POSITION AUDUSD AUDUSD (R) NZD VS NET POSITION NZDUSD (R) NZDUSD AUD NON-COMMERCIAL POSITIONING NZD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, AUD ($MM) Position - Contracts of 1, NZD 24-Apr -8 49,58 52,976-3,396 6,9 122, Apr 1,74 39,933 15,499 24,434-3,169 55, Apr ,832 39,987-1,155-7,359 99,72 17-Apr 2,27 47,5 19,652 27,63 4,776 61,437 1-Apr ,793 41,589-2,796-2,721 14,29 1-Apr 1,681 41,652 18,8 22,827 4,45 55,938 3-Apr -6 46,152 46,227-8,149 18,83 3-Apr 1,333 32,948 14,571 18, , MXN VS NET POSITION USDMXN OIL (WTI) VS NET POSITION $/barrel USDMXN (R) WTI (R) MXN NON-COMMERCIAL POSITIONING NYMEX Crude NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 5, MXN ($MM) Position - Contracts of 1 barrels 24-Apr 2,359 14,739 51,956 88,783-13,58 232, Apr 48, , ,4 712,423-15,78 2,574,82 17-Apr 2, ,624 53,783 11, , Apr 48, , , ,131 21,51 2,596,578 1-Apr 2, ,519 45,31 12,218 3, ,499 1-Apr 46, , ,273 77,8 7,535 2,48,33 3-Apr 2, ,812 37,732 99,8 9,293 29,945 3-Apr 44, , , ,545-16,2 2,547,337 4

5 Friday, April 27, 218 NATURAL GAS VS NET POSITION $/mmbtu 3.5 GOLD VS NET POSITION $/oz. 1, Natural Gas (R) Gold (R) 5 1,3 1, 1,2 3 2 S&P VS NET POSITION (e-minis) S&P 5 (R) 2,85 2, 2,65 2, Y VS NET POSITION 2. % ,45 2,35 2, Y Treasury Yield (R)

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