imm positioning 1 september 2008
TRANSCRIPT
2
Net short EUR positions are extended • Overall speculative positions were little changed in the week from 19 August to 26
August, as net long USD positions were sustained at levels seen in the previous week.
• There were, however, some changes in the composition of USD longs and in particular net short EUR positions were built further. Net short EUR positions rose by USD 2.4bn to USD 6.2bn in the week that followed a large decline in EUR/USD.
• The second biggest move in speculative positions was seen in net short CAD positions, which were reduced by USD 1.1bn to USD 1.5bn.
• Net long AUD positions were trimmed slightly, leaving speculative investors broadly neutral in AUD. This also implies that the MXN is currently the only currency with significant net long positions against the USD.
• On the commodity market speculative investors extended their net long oil positions slightly.
• On the bond market, both net short positions in 2-year and 10-year notes were reduced.
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IMM net positioning USD bnThousands 2 6 -Aug 19-Aug Change 2 6 -Aug 19-Aug Change
USD* 1 6 .6 1 5 .2 1 .4EUR -3 3 .8 -20.4 -1 3 .4 -6 .2 -3.8 -2 .4JPY -2 0 .0 -23.1 3 .2 -2 .3 -2.6 0 .4GBP -4 5 .1 -43.7 -1 .4 -5 .2 -5.1 -0 .1CHF -1 3 .3 -13.4 0 .1 -1 .5 -1.5 0 .0CAD -1 5 .8 -28.1 1 2 .3 -1 .5 -2.6 1 .1AUD 1 .4 6.0 -4 .6 0 .1 0.5 -0 .4NZD -0 .5 -0.6 0 .1 0 .0 0.0 0 .0MXN 5 3 .9 50.3 3 .6 2 .7 2.5 0 .2
OIL 2 0 .2 11.7 8 .5GOLD 1 0 5 .3 112.4 -7 .1
SILVER 2 7 .6 31.6 -4 .0COPPER -1 1 .1 -9.1 -1 .92-YEAR -3 .3 -22.7 1 9 .4
10-YEAR -5 .3 -63.0 5 7 .8Source: CFTC *Sum of EUR, JPY, GBP, CHF, CAD, AUD and NZD (with a minus sign)
4
- , IMMnon commercial pos itions USD bn
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
USD MXN AUD NZD CAD CHF JPY GBP EUR
26-Aug 19-Aug
5
(Sum of positions against EUR, JPY, GBP, CHF, CAD and AUD) - USD and non commercial pos itioning
.
04 05 06 07 08
perc
ent
70.0
75.0
80.0
85.0
90.0
perc
ent (
billi
ons)
-35-25-15
-55
152535
< < Speculative pos itions
USD bn > >Narrow dollar index
USD long
USD short
6
- " " Non commercial carry pos itioning
.
04 05 06 07 08
per
cen
t (bi
llion
s)
-10
0
10
20
30
40
50
per
cen
t (bi
llion
s)
-10
0
10
20
30
40
50
Equitymarket weaknes s
, , , Long AUD NZD GBP and short CHF JPY
USDbn
7
/ - EUR USD and non commercial pos itioning
.../ figurbibliotek/
04 05 06 07 08
perc
ent
1.15
1.25
1.35
1.45
1.55
perc
ent (
thou
sand
s)
-50-25
0255075
100125
< < Speculative pos itions
/ > >EUR USD
USD long
USD short
Thousands
8
USD/JPY and non-commercial positioning
.../ figurbibliotek/
04 05 06 07 08
perc
ent
95
100
105
110
115
120
125
perc
ent (
thou
sand
s)
-200
-150
-100
-50
0
50
100 < < , Speculative pos itions revers ed
/ > >USD JPY
USD long
Thousands
USD short
9
/ - GBP USD and non commercial pos itioning
.../ figurbibliotek/
04 05 06 07 08
perc
ent
1.70
1.80
1.90
2.00
2.10
perc
ent (
thou
sand
s)
-50
-25
0
25
50
75
100
USD long
USD short
< < Speculative pos itions
Thousands
/ > >GBP USD
10
USD/CHF and non-commercial positioning
.../ figurbibliotek/
04 05 06 07 08
perc
ent
0.951.001.051.101.151.201.251.301.35
perc
ent (
thou
sand
s)
-80-60-40-20
02040
/ > >USD CHF
USD short
USD long
< < , Speculative pos itions revers ed
Thousands
11
/ - USD CAD and non commercial pos itioning
.
04 05 06 07 08
perc
ent
0.90
1.00
1.10
1.20
1.30
1.40
perc
ent (
thou
sand
s)
-100-75-50-25
0255075
100
/ > >USD CAD
USD short
< < , Speculative pos itions revers ed
USD long
Thousands
12
/ - AUD USD and non commercial pos itioning
.
04 05 06 07 08
perc
ent
0.55
0.65
0.75
0.85
0.95
1.05
perc
ent (
thou
sand
s)
-20
0
20
40
60
80
/ > >AUD USD
< < Speculative pos itions USD long
Thousands
Thousands
Thousands
USD short
13
/ - NZD USD and non commercial pos itioning
.
04 05 06 07 08
pe
rce
nt
0.575
0.625
0.675
0.725
0.775
0.825
pe
rce
nt (
thou
san
ds)
-505
1015202530
/ > >NZD USD
< < Speculative pos itions
USD long
Thousands
Thousands
Thousands
Thousands
USD short
14
/ - USD MXN and non commercial pos itioning
.
04 05 06 07 08
perc
ent
9.7510.0010.2510.5010.7511.0011.2511.5011.75
perc
ent (
thou
sand
s)
-50-25
0255075
100125150
< < , Speculative pos itions revers ed
< < , Speculative pos itions revers ed
USD short
Thousands / > >USD MXN
USD long
15
- Oil and non commercial pos itioning
.
04 05 06 07 08
perc
ent
20406080
100120140
perc
ent (
thou
sand
s)
-75
-25
25
75
125
Oil short
Oil long
< < , Speculative pos itions oil
> >Crude oil
/USD barrelThous ands
16
- Gold and non commercial pos itioning
.
04 05 06 07 08
perc
ent
300400500600700800900
10001100
perc
ent (
thou
sand
s)
0
50
100
150
200 < < Speculative pos itions
> >Gold spot price
Thousands
Gold long
17
- Silver and non commercial pos itioning
.
04 05 06 07 08
perc
ent
5.07.5
10.012.515.017.520.022.5
perc
ent (
thou
sand
s)
01020304050607080 Thous ands
Silver long
< < Speculative pos itions > >Silver spot price
18
- Copper and non commercial pos itioning
.
04 05 06 07 08
perc
ent
20003000400050006000700080009000
perc
ent (
thou
sand
s)
-30-20-10
010203040
Copper short
Thousands
Copper long
< < Speculative pos itions
> >Copper
19
2 - - year rate and non commercial pos itioning
.
04 05 06 07 08
perc
ent
1.0
2.0
3.0
4.0
5.0
perc
ent (
thou
sand
s)
-300
-200
-100
0
100
200
Long US treasuries
Thousands
Short US treasuries
< < , Speculative pos itions revers ed
2 - > >yearUS bond yield
20
1 0 - - year rate and non commercial pos itioning
.
04 05 06 07 08
perc
ent
3.25
3.75
4.25
4.75
5.25
perc
en
t (th
ousa
nd
s)
-300
-100
100
300
500
700
1 0 - > >yearUS treasury yield
< < , Speculative pos itions revers ed
Thousands
Thousands
Long US treasuries
Short US treasuries
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