GLOBAL FX STRATEGY FX SENTIMENT REPORT COMMITMENT OF TRADERS CFTC EUR & JPY BULLS WERE VULNERABLE AHEAD OF FED Data in this report cover up to Tuesday Sept 16, ahead of the FOMC, Scotland s referendum, the ECB s TLTRO, and the SNB mee ng. Data were released Sept 19. With risk events looming traders scaled back one way bets against most currencies, leading to a decrease in the bullish AUD, CAD, GBP and MXN trend and a shi in the bearish EUR and JPY posi ons. The overarching theme is unchanged, a large USD posi on against EUR and JPY; with most other posi ons rela vely modest (see bo om le chart on page 2). Traders are net AUD, CAD and NZD ($2, $.7 and $.1, respec vely) but momentum behind these posi ons is fading. AUD and NZD s took some risk off the table; while CAD traders added to both the and posi ons, sugges ng there is a building debate on whether CAD appreciates or depreciates from here. EUR sen ment remains bearish with a $22.2 net posi on, however this week s $3.3 build in EUR s le posi oning vulnerable ahead of Wednesday s Fed mee ng, and likely aggravated the decline in spot that occurred therea er. Developments in JPY were similar to those in EUR, with a $2.4 build in JPY s driving much of the narrowing in the net posi on to $9.7. The violent decline in spot that followed Wednesday s Fed highlights the vulnerability facing these newly built bullish bets as they were likely forced to reverse course and close their posi ons. Camilla Su on, CFA, CMT Eric Theoret, CFA, CMT Chief Currency Strategist Currency Strategist (416) 86647 (416) 863 73 Camilla.Su on@sco abank.com Eric.Theoret@sco abank.com $4 $3 $3 $2 $2 $1 $1 $ $ $ 4 2 2 4 Friday, September 19, 214 AGGREGATE USD POSITION USD s Net USD Position $1 CAD VS NET POSITION 's of contracts USDCAD (R) USDCAD 1.2 1.4 1.6 1.8 Sentiment $mns 16 Sep Bias Trend Position w/w chg. CAD bullish decreasing 688 371 AUD bullish decreasing 2,13 1,781 NZD neutral neutral 92 693 MXN bullish decreasing 838 621 EUR bearish decreasing 22,218 3,22 GBP bearish increasing 669 3,36 CHF bearish decreasing 1,27 32 JPY bearish decreasing 9,76 2,144 Gold bullish decreasing 8,919 3,26 Total USD pos'n (excluding gold) 3,49 1,1 CAD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 16 Sep 688 37,347 29,83 7,44 4,86 11,27 9 Sep 1,9 33,4 21,77 11,63 2,439 12,91 2 Sep 841 3,333 26,142 9,191 3,28 1,984 26 Aug 17 38,22 32,89,663 1,618 18,441 6 8 7 2 2 7 CAD: GROSS LONG, SHORT & NET 's of contracts 1 Net Gross Short Gross Long 12 1.1 1.12 7 2 2 7 1 12 * 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, September 19, 214 6 4 2 2 4 6 COMMODITY CURRENCY NET $ POSITION 8 CAD AUD NZD 1 1 1 1 2 2 EUR & GBP NET $ POSITION GBP EUR 3 LONG / SHORT RATIO 1% % Short % Long 7% % 1 SAFE HAVEN CURRENCY NET $ POSITION 2% 1 JPY CHF % CAD AUD NZD MXN EUR GBP CHF JPY 2 1 1 2 NET LONG / SHORT POSITION VS USD $ 1 1 1 1 2 2 2 WEEK RANGE NET LONG/SHORT POSITION *red column denotes 2 week range of $ value of net position; black line is current net position. 2 EUR JPY CHF GBP NZD CAD MXN AUD 3 EUR JPY CHF GBP NZD CAD MXN AUD 2
GLOBAL FX STRATEGY Friday, September 19, 214 1 EUR VS NET POSITION 's of contracts EURUSD 1.4 1.38 1.36 6 4 3 GBP VS NET POSITION 's of contracts GBPUSD 1.7 1.7 1.34 2 1.6 1 1 EURUSD (R) 1.32 1.3 1 1 GBPUSD (R) 1.6 2 1.28 2 1. EUR NON COMMERCIAL POSITIONING GBP NON COMMERCIAL POSITIONING ($MM) Position Contracts of 12, EUR ($MM) Position Contracts of 62, GBP 16 Sep 22,218 79,2 216,71 137,149 2,36 397,62 16 Sep 669,617 62,198 6,81 33,38 134,6 9 Sep 2,471 9,376 216,881 17, 3,918 484,36 9 Sep 2,69 81,33 4,63 26,727 17,279 26,91 2 Sep 26, 9,398 22,821 161,423 1,766 419,8 2 Sep 973 67,38 8,9 9,448 6,19 238,973 26 Aug 24,796 3,989 24,646 1,67 11,832 42,79 26 Aug 1,99 71,2,3 1,467 2,18 233,43 7 9 11 13 JPY VS NET POSITION 's of contracts USDJPY USDJPY (R) 1 96 98 1 12 14 16 18 2 1 1 CHF VS NET POSITION 's of contracts USDCHF (R) 2 USDCHF.86.88.9.92.94 JPY NON COMMERCIAL POSITIONING CHF NON COMMERCIAL POSITIONING ($MM) Position Contracts of 12.MM JPY ($MM) Position Contracts of 12, CHF 16 Sep 9,76 37,617 12,799 83,182 17,491 28,23 16 Sep 1,27 12,889 24,28 11,396 2,429 4,929 9 Sep 11,849 17,28 117,93 1,673 16,63 2,624 9 Sep 1,82 9,86 23,681 13,82 68 77,317 2 Sep 13,93 1,48 132,793 117,38 14,417 23,937 2 Sep 1,791 9,166 22,333 13,167 128 6,436 26 Aug 12,36 19,12 122,43 12,891 1,62 218,9 26 Aug 1,776 7,466 2, 13,39 2,43 3,761 3
GLOBAL FX STRATEGY Friday, September 19, 214 6 4 2 2 4 6 AUD VS NET POSITION 's of contracts AUDUSD AUDUSD (R) 8.98.96.94.92.9.88.86 2 2 1 1 1 1 NZD VS NET POSITION 's of contracts NZDUSD (R) 2 NZDUSD.87.8.83.81.79.77 AUD NON COMMERCIAL POSITIONING NZD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, AUD ($MM) Position Contracts of 1, NZD 16 Sep 2,13,88 33,448 22,14 19,89 97,839 16 Sep 92 9,814 8,694 1,12 8,42 16, 9 Sep 3,794 73,321 32,92 41,229 7,818 126,831 9 Sep 78 14,369 4,847 9,22 6 24,92 2 Sep 4,49 77, 28,3 49,47 7,19 114,146 2 Sep 846 1,623,41 1,172 1,669 23,319 26 Aug 3,93 71,68 29,72 41,938,364 17,819 26 Aug 987 16,4 4,64 11,841 191 23,619 1 MXN VS NET POSITION 's of contracts USDMXN (R) USDMXN 12. 12.7 12.9 13.1 13.3 4 4 3 3 OIL (WTI) VS NET POSITION 's of contracts WTI (R) $/barrel 11 1 1 9 13. 2 9 MXN NON COMMERCIAL POSITIONING NYMEX Crude NON COMMERCIAL POSITIONING ($MM) Position Contracts of, MXN ($MM) Position Contracts of 1 barrels 16 Sep 838 69,43 47,384 22,46 16,472 134,44 16 Sep 28,26 434,417 137,136 297,281 2,71 1,28,614 9 Sep 1,49 71,21 32,3 38,18 646 1,26 9 Sep 27,823 426,8 126,98 299,982 2,82 1,3,16 2 Sep 1,494 7,444 36,28 39,164 2,494 144,2 2 Sep 28,12 421,8 118,494 32,64 1,163 1,9,33 26 Aug 1,4 71,68 3,1 36,67 24,263 141,66 26 Aug 29,822 424,2 16,23 317,727,746 1,,23 4
GLOBAL FX STRATEGY Friday, September 19, 214 NATURAL GAS VS NET POSITION 's of contracts $/mmbtu 6... 16 14 12 1 GOLD VS NET POSITION 's of contracts $/oz. 1,4 1,3 1,3 1 4. 8 1,2 1 Net (L) Natural Gas (R) 4. 3. 6 4 2 Gold (R) 1,2 1,1 2 3. 1,1 1 1 1 S&P VS NET POSITION 's of contracts (e minis) S&P (R) 1 2, 2, 1,9 1,9 1,8 1,8 1,7 1,7 1,6 1,6 1 1 1 1 1Y VS NET POSITION 's of contracts 1Y Treasury Yield (R) 2 1.6 % 1.8 2. 2.2 2.4 2.6 2.8 3. IMPORTANT NOTICE and DISCLAIMER: This publica on has been prepared by The Bank of Nova Sco a (Sco abank) for informa onal and marke ng purposes only. 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 Sco abank, its affiliates or any of their employees incur any responsibility. Neither Sco abank nor its affiliates accept any liability whatsoever for any loss arising from any use of this informa on. This publica on 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 herein, nor shall this publica on be construed as an opinion as to whether you should enter into any swap or trading strategy involving a swap or any other transac on. 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 within the meaning of U.S. Commodity Futures Trading Commission Regula on 23.434 and Appendix A thereto. 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 or any other transac on. You should note that the manner in which you implement any of the strategies set out in this publica on may expose you to significant risk and you should carefully consider your ability to bear such risks through consulta on with your own independent financial, legal, accoun ng, tax and other professional advisors. 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, and may have received remunera on as financial advisor and/or underwriter for certain of the corpora ons men oned herein. Directors, officers or employees of Sco abank and its affiliates may serve as directors of corpora ons referred to herein. All Sco abank products and services are subject to the terms of applicable agreements and local regula ons. This publica on and all informa on, opinions and conclusions contained in it are protected by copyright. This informa on 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 the prior express wri en consent of Sco abank. 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, all members of the Sco abank group and authorized users of the mark. The Bank of Nova Sco a is incorporated in Canada with limited liability and is authorised and regulated by the Office of the Superintendent of Financial Ins tu ons Canada. The Bank of Nova Sco a and Sco abank Europe plc are authorised by the UK Pruden al Regula on Authority. The Bank of Nova Sco a is subject to regula on by the UK Financial Conduct Authority and limited regula on by the UK Pruden al Regula on Authority. Sco abank Europe plc is authorised by the UK Pruden al Regula on Authority and regulated by the UK Financial Conduct Authority and the UK Pruden al Regula on Authority. Details about the extent of The Bank of Nova Sco a's regula on by the UK Pruden al Regula on Authority are available on request. Sco abank Inverlat, S.A., Sco a Inverlat Casa de Bolsa, S.A. de C.V., and Sco a Inverlat Derivados, S.A. de C.V., are each authorized and regulated by the Mexican financial authori es.not all products and services are offered in all jurisdic ons. Services described are available in jurisdic ons where permi ed by law.