Aggressive Build In CAD Net Short; Aggregate USD Long Extended Data in this report cover up to Tuesday Dec & were released Friday Feb 1. The CFTC releases were interrupted by the US Government shutdown and the data will be released biweekly until they are fully caught up by early March. The Dec positioning adjustments were relatively limited across most of the reporting currencies with the exception of CAD and EUR. The aggregate USD rose $2.8bn w/w to $32.3bn, pushing toward the recent three year high from early December. JPY and EUR are the largest reported s, followed by GBP, CAD, CHF and AUD. MXN and NZD are close to neutral. The net CAD position widened an impressive $2.7bn w/w to $3.3bn as bulls liquidated $1.8bn in gross s and added $1.bn in s. The w/w deterioration was the largest since March 18 and pushed the net CAD position to its widest level since July. The net AUD position narrowed for an eighth consecutive week (just ahead of the flash crash). The w/w change was modest, with a $.3bn narrowing in the net to $2.2bn. 3 1-1 - FOLLOW US ON TWITTER @SCOTIABANKFX Shaun Osborne Chief FX Strategist 416.945.4538 shaun.osborne@scotiabank.com AGGREGATE USD POSITION $ bn USD Position -3 Eric Theoret, CFA, CMT FX Strategist 416.863.73 eric.theoret@scotiabank.com The speculative EUR position widened a modest $.8bn w/w to $8.3bn, drifting back toward the two year wides reached in early December. The most recent adjustments suggest a slight paring of risk to both sides. 8 6 4 - CAD VS NET POSITION 's of contracts USDCAD 1. 1. 1.3 Sentiment $mns -Dec Bias Trend Position w/w chg. CAD bearish increasing -3,288-2,734 AUD bearish decreasing -2, 319 NZD neutral neutral 131-13 MXN neutral neutral 86 15 EUR bearish increasing -8,324-78 GBP bearish decreasing -4,474 323 CHF bearish neutral -2,954-66 JPY bearish neutral -11,228 189 Gold bullish increasing 14,79 4,588 Total USD pos'n (excl. gold) 32,1 2,748 CAD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. -Dec -3,288 27,887 72,579-44,692-37,235 159,195 18-Dec -554 51,566 59,23-7,457 4,212 191,476 11-Dec -871 41,672 53,341-11,669 1,267 161,53 4-Dec -975 38,736 51,672-12,936-4,36 156,75-4 USDCAD (R) -6 1 5 CAD: GROSS LONG, SHORT & NET 's of contracts -5 Net Gross Long Gross Short -1 1.35 1 5-5 -1 1
5 - AGGREGATE USD POSITION $ bn Aggregate USD Position -5 1 11 12 13 14 15 16 17 18 1 5-5 -1-15 JPY: GROSS LONG, SHORT & NET 's of contracts - Net Gross Long Gross Short 1 5-5 -1-15 - 1 7 GBP: GROSS LONG, SHORT & NET 's of contracts 1 7 3 EUR: GROSS LONG, SHORT & NET 's of contracts 3-3 -3 1 1-8 -8-1 -1-13 -13 - - -18 Net Gross Long Gross Short -18 Net Gross Long Gross Short -3 Nov 17Jan 18Mar 18May 18 Jul 18 Sep 18Nov 18-3 5. 2.5. -2.5 NET LONG / SHORT POSITION VS USD bn 15 52 WK RANGE NET LONG/SHORT POSITION $ bn -5. -7.5-1. -12.5-15. JPY EUR GBP CAD CHF AUD MXN NZD 5-5 -15 *red column denotes 52 week range of $ value of net position; black line is current net position. JPY EUR GBP CAD CHF AUD MXN NZD 2
16 14 1 1 8 6 4 - -4-6 -8 EUR VS NET POSITION 's of contracts EURUSD EURUSD (R) 1.24 1.22 1. 1.18 1.16 1.14 1.12 5 3 1-1 -3-5 -7 GBP VS NET POSITION 's of contracts GBPUSD GBPUSD (R) -9 1.4 1.35 1.3 1. EUR NON-COMMERCIAL POSITIONING GBP NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, EUR ($MM) Position - Contracts of 62,5 GBP -Dec -8,324 139,59 197,514-58,455-5,331 58,3 -Dec -4,474 35,76 91,555-56,479 4,244 212,23 18-Dec -7,544 147,654,778-53,124 3,163 55,711 18-Dec -4,797 29,162 89,885-6,723-18,34 4,948 11-Dec -7,962 146,82 2,369-56,287 4,489 613,745 11-Dec -3,311 47,649 9,68-42,419-2,669 5,73 4-Dec -8,617 144,859 5,635-6,776-5,75 545,537 4-Dec -3,16 43,935 83,685-39,75-6 235,74 - JPY VS NET POSITION 's of contracts USDJPY 15. 17.5-1 CHF VS NET POSITION 's of contracts USDCHF.92.94-5 -75-1 -1 USDJPY (R) -15 11. 112.5 115. - -3-4 -5 USDCHF (R).96.98 1. JPY NON-COMMERCIAL POSITIONING CHF NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 12.5MM JPY ($MM) Position - Contracts of 1, CHF -Dec -11,228 33,281 132,37-99,89 3,682 224,458 -Dec -2,954 6,83 3,159-23,329-43 7,711 18-Dec -11,417 26,957 129,728-12,771-5,165 214,868 18-Dec -2,888 8,437 31,363-22,926-4,659 7,943 11-Dec -1,761,495 123,11-97,66 12,16 213,55 11-Dec -2,299 16,858 35,1-18,267 1,528 81,518 4-Dec -12,167 32,717 142,483-19,766-5,442 226,835 4-Dec -2,481 17,913 37,78-19,795 1,273 79,8 3
75 5 - -5 AUD VS NET POSITION 's of contracts AUDUSD AUDUSD (R).8.78.76.74.7 - NZD VS NET POSITION 's of contracts NZDUSD NZDUSD (R).7.7.68.66-75.7-4.64 AUD NON-COMMERCIAL POSITIONING NZD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, AUD ($MM) Position - Contracts of 1, NZD -Dec -2, 22,653 53,914-31,261 3,88 117,693 -Dec 131 17,717 15,777 1,94-1,471 28,524 18-Dec -2,518 17,97 53,39-35,69 1,462 112,262 18-Dec 234 18,8 15,49 3,411 18,652 29,675 11-Dec -3,281 14,5 6,51-45,531 5,224 148,414 11-Dec -1,48 19,127 34,368-15,241 6,56 62,587 4-Dec -3,724 16,743 67,498-5,755 3,148 148,755 4-Dec -1,476 17,694 38,991-21,297-757 56,348 1 1 MXN VS NET POSITION 's of contracts USDMXN 17. 7 OIL (WTI) VS NET POSITION 's of contracts $/barrel 8 75 75 5 - USDMXN (R) -5 18. 19.. 21. 6 5 4 WTI (R) 3 7 65 6 55 5 45 MXN NON-COMMERCIAL POSITIONING NYMEX Crude NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 5, MXN ($MM) Position - Contracts of 1 barrels -Dec 86 64,558 61,129 3,429 4,198 137,78 -Dec #VALUE! 52,719 196,47 36,312-3,296 2,73,992 18-Dec -19 49,996 5,765-769 -12,211 122,61 18-Dec 14,316 52,715 193,17 39,68 12 2,63,376 11-Dec 283 66,195 54,753 11,442 6,919 184,1 11-Dec 15,986 54,584 195,78 39,56 -,64 2,5,634 4-Dec 11 64,314 59,791 4,523-1,84 191,512 4-Dec 17,58 55,292 175,146 33,146-17,975 2,48,735 4
- -75-1 NATURAL GAS VS NET POSITION 's of contracts Natural Gas (R) $/mmbtu -175 4.75 4.5 4. 4. 3.75 3.5 3. 3. 2.75 2.5 15 1 5-5 GOLD VS NET POSITION 's of contracts Gold (R) $/oz. -1 1,35 1,3 1, 1, 1,15 15 S&P VS NET POSITION 's of contracts (e-minis) 3, 2,9 2,8 2,7 4 1-5 - -35 1Y VS NET POSITION 's of contracts 1Y Treasury Yield (R) 2. % 2. 2.5 2.75 S&P 5 (R) 2,6-5 -65 3. 5 2,5-8 3. 5
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