IMM positioning 1 September 2008

IMM positioning

1 September 2008

Kasper [email protected] , +45 45137018

Investment Research

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)

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- , 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


/ > >EUR USD

USD long

USD short

Thousands

8

USD/JPY and non-commercial positioning


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


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


Thousands

/ > >GBP USD

10

USD/CHF and non-commercial positioning


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


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


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



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


> >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


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


Thousands

Thousands

Long US treasuries

Short US treasuries

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Disclosure

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Disclaimer

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IMM positioning 1 September 2008

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