CFTC data on leveraged & real money FX positioning

CFTC data on leveraged & real money FX positioning

This is ANZ on the Commitments of Traders report from the Commodity Futures Trading Commission for the week ended May 8 2018

In brief:

Leveraged funds turned net long USD for the first time since mid-January

  • dollar buying extended to the fourth consecutive week
  • Funds were a net USD buyer of USD3.1bn, turning from a net short into a long USD position of USD0.5bn. Thus, much of the short USD covering by funds has already taken place.
  • Real asset managers, too, trimmed their overall net short USD position for the second straight week by USD4.6bn to USD21.7bn. Post the cut-off date, the USD has retraced lower on weaker-than-expected US CPI prints.

USD buying was seen against most currencies (CHF, JPY, GBP and commodity currencies) with EUR being the main exception.

  • Funds were a net EUR buyer for the first time in three weeks, to turn from a marginally short into a net EUR long position of USD0.7bn despite the EUR’s weak price action
  • Asset managers, however, cut their record net EUR longs by USD2.5bn to USD26bn
  • EUR positioning of asset managers retraced lower from the record 100th percentile.

CHF saw the most net selling by leveraged funds in the week

JPY too saw net selling for the fifth straight week by leveraged funds, reducing their net long JPY position to nearly flat 

  • Asset managers also cut their net long JPY position for the second straight week, by USD0.4bn to USD1.9bn

Funds …  reducing their net GBP longs by USD0.6bn to USD2.5bn

  • Asset managers net GBP sellers, by USD0.8bn

Commodity currencies saw net selling for the second straight week, of USD1.0bn by leveraged funds

  • However, it was a mixed bag. While AUD and NZD saw net selling of USD1bn and USD0.2bn to trim their net longs to USD0.5bn and USD0.8bn respectively, CAD saw net buying of USD0.2bn
  • Rising oil prices and talks of a Nafta deal have provided support to the CAD.
  • Meanwhile, asset managers were bearish for the third week, with all three commodity currencies being sold 

ANZ look at the US Commodity Futures Trading Commission (CFTC) a little differently to elsewhere:

In a brutally summarised description of how they use it (any errors are mine):

  • There are two reports compiled by the CFTC: the Commitment of Traders (COT) and the Traders in Financial Futures (TFF)
  • The TFF report provides a richer breakdown of traders into the ‘sell side’ and ‘buy side’
  • ANZ use the parts of the TFF report (combined futures and options position of Leveraged Funds) as a proxy for leveraged positioning, where available

Adam posted on the report when it was released last week:

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