USD longs established, JPY shorts build-up – ANZ

Research Team at ANZ, lists down the CFTC positioning data for the week ending 6 September 2016.

Key Quotes

“Leveraged funds were net buyers of USD following four consecutive weeks of selling. Funds increased their overall net long USD positions by USD1.8bn to USD9.5bn. This was despite weaker than expected US economic data during the week, which saw reduced odds of a September rate hike.

Dollar buying was concentrated among JPY, CHF and EUR. After four consecutive weeks of JPY buying, funds reduced their overall net JPY longs by USD1bn to USD6.0bn – a level that is still very elevated by historical standards. CHF too saw net selling worth USD1bn, resulting in a rise in overall net short position to USD1.4bn. EUR net short positions rose by USD0.5bn to USD13.5bn ahead of the ECB meeting on 8 September.

The three commodity currencies saw combined net buying of USD0.7bn, led by the AUD which saw its net long positions rise by USD0.3bn to USD2.7bn. Leveraged funds now have the largest net long NZD exposure since April 2013, following the USD0.2bn increase in their overall net long position to USD2.2bn.

Meanwhile, funds were net buyers of GBP for the second week in a row, reducing their overall net short GBP positions by USD0.1bn USD5.7bn.

EM currencies were dominated by a USD0.7bn increase in net short MXN positions to USD1.2bn. RUB and BRL saw small net buying with leveraged funds maintaining overall net long positions in both currencies. Net long RUB positions are at their highest level since August 2011.

Funds sharply increased their net short 3-month Eurodollar contracts to 677.3k, the highest since October 2014 as the market continues to assess the likelihood of a Fed hike later this year.”