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Investment Research — General Market Conditions

02 August 2010

IMM positioning
Non-commercial investors reduce long JPY and CHF
positions
 The latest IMM data cover the week from 20 to 27 July.
IMM non-commercial positions
 Speculative investors have recently reduced net long JPY and CHF positions. The moves
occurred in a week with strong gains in the equity market where the safe-haven currencies GBP
27-Jul 20-Jul
underperformed. EUR

CHF
 Net short GBP positions have been reduced while short EUR positions have been
JPY
unchanged. Both are well below the panic levels observed earlier this year.
CAD
 Net long non-commercial NZD, MXN an AUD positions remain at stretched levels and AUD
have been extended further. Risk of a ‘long squeeze’ remains. MXN
NZD
% of open interest
-60 -10 40 90

Source: CFTC

IMM non-commercial positioning

1000 contracts % of open interest USD bn


27-Jul 20-Jul Change 27-Jul 20-Jul Change 27-Jul 20-Jul Change
USD* -6.7 -6.3 -0.4
EUR -21.3 -24.3 2.9 -9.2 -10.5 1.3 -3.5 -3.9 0.4
JPY 29.9 40.9 -11.0 24.0 32.0 -8.0 4.3 5.8 -1.6
GBP -17.9 -26.8 8.8 -14.6 -21.4 6.8 -1.7 -2.6 0.8
CHF 6.2 15.1 -8.9 11.2 27.5 -16.4 0.7 1.8 -1.1
CAD 23.9 16.4 7.4 28.0 19.7 8.3 2.3 1.6 0.7
AUD 40.5 32.9 7.6 45.3 41.0 4.4 3.7 2.9 0.7
NZD 13.7 9.0 4.7 59.7 48.2 11.5 1.0 0.6 0.4
MXN 45.3 35.9 9.4 56.5 49.8 6.7 1.8 1.4 0.4

OIL 44.3 36.1 8.2 3.6 3.0 0.6


GOLD 188.9 178.3 10.6 33.7 31.9 1.9
COPPER 11.3 3.9 7.3 8.3 3.0 5.3
2-YEAR -24.3 -28.2 3.9 -3.0 -3.3 0.2
10-YEAR -140.6 -144.5 4.0 -7.7 -7.8 0.2
S&P500 -21.4 -31.0 9.6 -6.9 -10.1 3.2

Source: CFTC

Senior Analyst
John Musaeus Hydeskov
+45 45 12 84 97
johy@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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Financial models and/or methodology used in this research report


Calculations and presentations in this research report are based on standard econometric tools and methodology
as well as publicly available statistics for each individual security, issuer and/or country. Documentation can be
obtained from the authors upon request.

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Major risks connected with recommendations or opinions in this research report, including as sensitivity analysis
of relevant assumptions, are stated throughout the text.

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