GLOBAL FX STRATEGY CURRENCY STRATEGISTS

Foreign Exchange Camilla Sutton, CFA, CMT

(416) 866-5470
Sacha Tihanyi
(416) 862-3154

CFTC Commitments of Traders Camilla_Sutton@scotiacapital.com Sacha_Tihanyi@scotiacapital.com

Friday, August 20, 2010

USD RALLY PUSHES SOME SHORTS OUT OF THE MARKET

- Data in this report covers up to Tuesday August 17 and is released on Friday August 20.

• The net short USD position fell by $4bn to $17.8bn outstanding, with the
largest positioning shifts coming against CAD and EUR, though GBP also
saw a relatively large negative shift in positioning. While AUD and CHF
were the only two major currencies to see constructive positioning shifts
against the USD, the gains were rather subdued.
• The net long CAD position fell by $1.2bn to $3bn outstanding, which is
somewhat surprising considering the performance of CAD through Tuesday
on the announcement of BHP’s interest in buying Potash. It is likely that the
previous week’s sharp weakening in CAD significantly hurt bullish position-
ing, and that the CFTC data actually reflects a good deal of moderation in
this negativity. This begs the question of how negative CAD positioning
would be in the absence of the M&A news. Weak CPI data on Friday and
the subsequent sharp rise in USDCAD will do nothing to support an im-
provement in bullish loonie positioning.
• The net short EUR position increased after almost reaching flat last week.
Shorts increased by a margin of 3 to 1 against longs, leading to a $1.8bn
increase in the net short EUR position. This leaves the overall position at a
still relatively subdued $2.4bn net short.
• GBP bulls backed off as longs were cut and shorts increased almost one-
for-one, placing speculative GBP positioning back into net short territory.
The ability of GBPUSD to close this week above the pivotal 1.55 is positive,
however the pair remains challenged given Friday’s dip below that level,
suggesting shorts will become increasingly emboldened.
• The net short US 10-year Treasury position was virtually unchanged
(falling only marginally), but US economic data has not shown any propen-
sity for sharp improvement, suggesting shorts will continue to be pressured.

Net Long (Short) Non-Commercial Positions

Contracts $mns
w/w 17-Aug 10-Aug 17-Aug
CAD -11,665 29,514 41,179 3,021
EUR -10,896 -14,627 -3,731 -2,419
GBP -9,452 -4,431 5,021 -442
JPY -2,509 49,969 52,478 7,282
CHF 849 11,750 10,901 1,414
AUD 3,327 57,697 54,370 5,266
NZD -405 12,139 12,544 891
MXN -1,816 70,553 72,369 2,804
Total -32,567 212,564 245,131 17,816
CAD — Non-Commercial Futures Positions
Contracts of 100,000 CAD w/w change
Date Long Short Net Long Short Net
17-Aug 34,446 4,932 29,514 -12,170 -505 -11,665
10-Aug 46,616 5,437 41,179 6,281 -716 6,997
3-Aug 40,335 6,153 34,182 13,290 2,976 10,314
27-Jul 27,045 3,177 23,868 3,306 -4,138 7,444
* A trader is classified as “non-commercial” by the Commodity Futures Trading Commis-
sion if the trader is not using futures contracts in a particular 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 institutions engaged in trading the securities for speculative purposes.
Global FX Research Friday, August 20, 2010

EUR — Non-Commercial Futures Positions GBP — Non-Commercial Futures Positions

Contracts of 125,000 EUR w/w change Contracts of 62,500 GBP w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
17-Aug 61,324 75,951 -14,627 5,527 16,423 -10,896 17-Aug 31,467 35,898 -4,431 -4,448 5,004 -9,452
10-Aug 55,797 59,528 -3,731 -4,613 -8,179 3,566 10-Aug 35,915 30,894 5,021 4,857 -414 5,271
3-Aug 60,410 67,707 -7,297 3,788 -10,254 14,042 3-Aug 31,058 31,308 -250 13,951 -3,739 17,690
27-Jul 56,622 77,961 -21,339 1,614 -1,298 2,912 27-Jul 17,107 35,047 -17,940 659 -8,168 8,827

JPY — Non-Commercial Futures Positions CHF — Non-Commercial Futures Positions

Contracts of 12.5M JPY w/w change Contracts of 125,000 CHF w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
17-Aug 62,745 12,776 49,969 -2,569 -60 -2,509 17-Aug 18,041 6,291 11,750 1,266 417 849
10-Aug 65,314 12,836 52,478 3,591 -889 4,480 10-Aug 16,775 5,874 10,901 -3,527 1,795 -5,322
3-Aug 61,723 13,725 47,998 13,235 -4,842 18,077 3-Aug 20,302 4,079 16,223 5,019 -4,988 10,007
27-Jul 48,488 18,567 29,921 -6,245 4,745 -10,990 27-Jul 15,283 9,067 6,216 -4,694 4,203 -8,897

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Global FX Research Friday, August 20, 2010

AUD — Non-Commercial Futures Positions NZD — Non-Commercial Futures Positions

Contracts of 100,000 AUD w/w change Contracts of 100,000 NZD w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
17-Aug 71,020 13,323 57,697 2,667 -660 3,327 17-Aug 17,595 5,456 12,139 -1,397 -992 -405
10-Aug 68,353 13,983 54,370 6,257 602 5,655 10-Aug 18,992 6,448 12,544 -1,361 1,154 -2,515
3-Aug 62,096 13,381 48,715 10,814 2,632 8,182 3-Aug 20,353 5,294 15,059 1,955 570 1,385
27-Jul 51,282 10,749 40,533 6,029 -1,618 7,647 27-Jul 18,398 4,724 13,674 3,875 -826 4,701

MXN — Non-Commercial Futures Positions NYMEX Crude — Non-Commercial Futures Positions

Contracts of 500,000 MXN w/w change Contracts of 1,000 Barrels w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
17-Aug 81,187 10,634 70,553 563 2,379 -1,816 17-Aug 257,563 195,507 62,056 3,021 1,301 1,720
10-Aug 80,624 8,255 72,369 18,121 893 17,228 10-Aug 254,542 194,206 60,336 -377 -5,035 4,658
3-Aug 62,503 7,362 55,141 10,719 896 9,823 3-Aug 254,919 199,241 55,678 19,180 7,815 11,365
27-Jul 51,784 6,466 45,318 8,233 -1,199 9,432 27-Jul 235,739 191,426 44,313 3,992 -4,176 8,168

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Global FX Research Friday, August 20, 2010

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