GLOBAL FX STRATEGY FX SENTIMENT REPORT COMMITMENT OF TRADERS CFTC TRADERS TURN BEARISH CAD; RETAIN BULLISH EUR BETS Data in this report cover up to Tuesday August 27 & were released Friday Aug 3. The net USD posi on widened out to $1., but remains well off its early spring highs. The week over week changes were mainly on the back of developments in the emerging market and the debate around tapering. We con nue to expect broad USD weakness into year end. The CAD net widened to $2.4: Traders added to their already bearish CAD bets, more than doubling their posi ons week over week. The net AUD posi on also widened out to $6.4; while the net MXN posi on was closed out. All of this was on the back of USD posi ve events, including fears of a September taper, rising risk associated with Syria and EM ou lows. The EUR net increased to $6.7, leaving the currency notably vulnerable to posi on squaring as the case for a strong USD builds. We con nue to be (frustrated) EUR bears. Camilla Su on, CFA, CMT Eric Theoret Chief Currency Strategist Currency Strategist (416) 866 47 (416) 863 73 Camilla.Su on@sco abank.com Eric.Theoret@sco abank.com $4 $3 $2 $1 $ $1 $2 1 Friday, August 3, 213 AGGREGATE USD POSITION USD s Net USD Speculative Position $3 CAD VS NET POSITION 's of contracts USDCAD.96 The GBP net was flat at $3.7 the market was likely hesitant to establish new posi ons leading into Governor Carney speech. The divergence in view between EUR and GBP traders is rare and unlikely to hold for. 1.98 1. The JPY net widened to $1.1, traders added to their already bearish JPY posi ons; but realis cally this posi on has been rela ve flat for several months much like spot. Net Long (Short) Non Commercial* Positions Sentiment $mns 27 Aug Bias Trend Position w/w chg. CAD bearish increasing 2,383 1,46 AUD bearish increasing 6,39 69 NZD neutral neutral 2 171 MXN neutral neutral 272 1,12 EUR bullish increasing 6,71 47 GBP bearish neutral 3,714 16 CHF neutral neutral 1 JPY bearish increasing 1,94 877 Total 1,2 3,74 CAD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 27 Aug 2,383 3,37 6,334 24,99 1,41 133,392 2 Aug 918 26,9 36,13 9,44 463 18,282 13 Aug 878 21,71 3,832 9,81 1,3 1,33 6 Aug 1,6 22,629 33,6 1,436 998 16,787 USDCAD (R) 1 1 1 1 CAD: GROSS LONG, SHORT & NET 's of contracts Net Position Gross Long Gross Short 1.2 1.4 1.6 1 Aug 12 Nov 12 Jan 13 Mar 13 Jun 13 Aug 13 * A trader is classified as non commercial by the Commodity Futures Trading Commission if the trader is not using futures contracts in a par cular currency for hedging purposes (as defined by the Commission). This category of futures trader is generally considered to include individual investors, hedge funds and other large financial ins tu ons engaged in trading the securi es for specula ve purposes.
Global FX Strategy Friday, August 3, 213 1 1 COMMODITY CURRENCY NET $ POSITION CAD AUD 1 1 1 1 EUR, GBP & JPY NET $ POSITION GBP EUR JPY 2 LONG / SHORT RATIO 1% % Long % Short 7% % 2% % CAD AUD NZD MXN EUR GBP CHF JPY 7 6 4 3 2 1 MXN & NZD BALANCED POSITIONING NZD MXN 1 1 1 NET LONG / SHORT POSITION VS USD 1 1 1 1 2 WEEK RANGE NET LONG/SHORT POSITION 1 JPY AUD GBP CAD NZD CHF MXN EUR 2 JPY AUD GBP CAD NZD CHF EUR MXN 2
Global FX Strategy Friday, August 3, 213 6 4 2 2 4 EUR VS NET POSITION 's of contracts EURUSD 1.4 1.3 1.3 4 2 2 GBP VS NET POSITION 's of contracts GBPUSD 1.6 1.6 1. 6 8 1 EURUSD (R) 12 1.2 1.2 4 6 GBPUSD (R) 8 1. 1.4 EUR NON COMMERCIAL POSITIONING GBP NON COMMERCIAL POSITIONING ($MM) Position Contracts of 12, EUR ($MM) Position Contracts of 62, GBP 27 Aug 6,71 113,92 73,11 4,81 3,33 248,672 27 Aug 3,714 3,4 68,23 38,226 1,296 149,328 2 Aug 6,163 113,92 76,346 36,746 2,689 249,66 2 Aug 3,87 26,947 66,469 39,22 6,999 138, 13 Aug 2,662 89,984 73,927 16,7 9,996 22,66 13 Aug 4,492 22,29 68,73 46,21 488 14,126 6 Aug 1,8 8,239 79,178 6,61 14,6 228,726 6 Aug 4,416 22,97 68,13 46,33 3,43 14,387 4 2 2 4 6 8 1 JPY VS NET POSITION 's of contracts USDJPY (R) USDJPY 12 7 8 8 9 9 1 1 1 1 1 1 2 2 CHF VS NET POSITION 's of contracts USDCHF (R) USDCHF 3.9.91.92.93.94.9.96.97.98 JPY NON COMMERCIAL POSITIONING CHF NON COMMERCIAL POSITIONING ($MM) Position Contracts of 12.MM JPY ($MM) Position Contracts of 12, CHF 27 Aug 1,94 23,396 11,749 78,33 6,632 17,88 27 Aug 11,96 11,194 42 111 41,682 2 Aug 9,217 19,72 91,441 71,721 2,741 162,168 2 Aug 4 12,61 11,77 291 1,84 41,138 13 Aug 9,478 17,37 91,837 74,462,71 19,496 13 Aug 286 1,626 8,49 2,136 2,461 37,84 6 Aug 1,28 19,421 99,634 8,213 1,922 172,9 6 Aug 44 8,76 9,81 32 936 34,942 3
Global FX Strategy Friday, August 3, 213 1 AUD VS NET POSITION 's of contracts AUDUSD 1. 3 3 2 NZD VS NET POSITION 's of contracts NZDUSD.87.8 AUDUSD (R) 1 1..9.9 2 1 1 NZDUSD (R).83.81.79.77 AUD NON COMMERCIAL POSITIONING NZD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, AUD ($MM) Position Contracts of 1, NZD 27 Aug 6,39 14,662 8,779 71,117 7,934 186,664 27 Aug 2 7,463 7,211 22 2,138 12,193 2 Aug,731 13,676 76,89 63,183 462 184,178 2 Aug 191 9,76 7,37 2,39 2,193 13, 13 Aug,716 12,62 7,346 62,721 14,8 184,822 13 Aug 16 6,632 6,43 197 1,736 11,976 6 Aug 6,899 16,66 93,34 76,779 4,26 21,88 6 Aug 122 4,9 6,134 1,39 1,19 11,72 16 14 12 1 8 6 4 2 MXN VS NET POSITION 's of contracts USDMXN (R) USDMXN 12. 12. 13. 13. 4 3 3 2 2 OIL (WTI) VS NET POSITION 's of contracts WTI (R) $/barrel 1 11 1 1 9 9 8 MXN NON COMMERCIAL POSITIONING NYMEX Crude NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, AUD ($MM) Position Contracts of 1 barrels 27 Aug 272 41,776 34,78 7,198 28,933 19,461 27 Aug 37,623 471,493 126,363 34,13 247 1,8,284 2 Aug 1,392 61,23 2,14 36,131 189 94,48 2 Aug 36,21 47,147 124,77 34,377,98 1,83,367 13 Aug 1,427 66,899 3,79 36,32 4,19 99,846 13 Aug 37,441 474,7 124,82 3,47 7,1 1,934,417 6 Aug 1,273 62,23 3,1 32,12 7,237 94,27 6 Aug 37,647 478,249 12,723 37,26,41 1,879,218 4
Global FX Strategy Friday, August 3, 213 4 6 8 1 12 14 HH NATURAL GAS VS NET POSITION 's of contracts HH Natural Gas (R) $/mmbtu 16 4. 4. 3. 3. 2. 2 1 1 GOLD VS NET POSITION 's of contracts Gold (R) $/oz. 1,9 1,8 1,7 1,6 1, 1,4 1,3 1,2 3 2 S&P VS NET POSITION 's of contracts (e minis) 1,7 1,7 2 1 1Y VS NET POSITION 's of contracts 1.4 % 1.6 2 1 1 S&P (R) 1,6 1,6 1, 1, 1,4 1,4 1,3 1 1 1Y Treasury Yield (R) 1 1.8 2. 2.2 2.4 2.6 2.8 3. This report is prepared by The Bank of Nova Sco a (Sco abank) as a resource for clients of Sco abank. Opinions, es mates and projec ons contained herein are our own as of the date hereof and are subject to change without no ce. The informa on and opinions contained herein have been compiled or arrived at from sources believed reliable but no representa on or warranty, express or implied, is made as to their accuracy or completeness and neither the informa on nor the forecast shall be taken as a representa on for which The Bank or its affiliates or any of their employees incur any responsibility. Neither Sco abank or its affiliates accept any liability whatsoever for any loss arising from any use of this report or its contents. This report is not, and is not constructed as, an offer to sell or solicita on of any offer to buy any of the currencies referred to in this report. Sco abank, its affiliates and/or their respec ve officers, directors or employees may from me to me take posi ons in the currencies men oned herein as principal or agent. Directors, officers or employees of Sco abank and its affiliates may serve as directors of corpora ons referred to herein. Sco abank and/or its affiliates may have acted as financial advisor and/or underwriter for certain of the corpora ons men oned herein and may have received and may receive remunera on for same. This report may include forward looking statements about the objec ves and strategies of members of Sco abank. Such forward looking statements are inherently subject to uncertain es beyond the control of the members of Sco abank including but not limited to economic and financial condi ons globally, regulatory development in Canada and elsewhere, technological developments and compe on. The reader is cau oned that the member's actual performance could differ materially from such forward looking statements. You should note that the manner in which you implement any of strategies set out in this report may expose you to significant risk and you should carefully consider your ability to bear such risks through consulta on with your legal, accoun ng and other advisors. Informa on in this report regarding services and products of Sco abank is applicable only in jurisdic ons where such services and products may lawfully be offered for sale and is void where prohibited by law. If you access this report from outside of Canada, you are responsible for compliance with local, na onal and interna onal laws. Not all products and services are available across Canada or in all countries. All Sco abank products and services are subject to the terms of applicable agreements. This research and all informa on, opinions and conclusions contained in it are protected by copyright. This report may not be reproduced in whole or in part, or referred to in any manner whatsoever nor may the informa on, opinions and conclusions contained in it be referred to without in each case the prior express consent of Sco abank. Sco abank is a Canadian chartered bank. TM Trademark of The Bank of Nova Sco a. Used under license, where applicable. Sco abank, together with Global Banking and Markets, is a marke ng name for the global corporate and investment banking and capital markets businesses of The Bank of Nova Sco a and certain of its affiliates in the countries where they operate, including, Sco a Capital Inc. and Sco a Capital (USA) Inc. all members of Sco abank. Dodd Frank Act Disclaimer: This material has been prepared and distributed by The Bank of Nova Sco a for informa onal and marke ng purposes only and should not be construed as an opinion as to whether you should enter into any swap or trading strategy involving a swap. The general transac on, financial, educa onal and market informa on contained herein is not intended to be, and does not cons tute, a recommenda on of a swap or trading strategy involving a swap. This material is not intended to be individually tailored to your needs or characteris cs and should not be viewed as a call to ac on or sugges on that you enter into a swap or trading strategy involving a swap. You need to exercise independent judgment in evalua ng this material, and you should consult with your own independent financial, legal, accoun ng, tax and other professional advisors as to whether any swap or trading strategy involving a swap is suitable or advisable for you.