FX SENTIMENT REPORT Friday, January 13, 2017

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USD SENTIMENT BROADLY BULLISH, UNCHANGED W/W
Data in this report cover up to Tuesday Jan 10 & were released Friday Jan 13.
• This week’s changes in sentiment were relatively limited as investors maintained their existing short positions in all currencies vs. the USD. Risk was reduced in JPY, CAD, and AUD as investors pared back positions to both sides. EUR was the only currency to see an increase in risk. The aggregate long USD position was relatively steady, unchanged w/w at $27.6bn (top right p1). Investors continue to hold their largest short positions in the G4 currencies EUR, JPY, and GBP (bottom p2).
• CAD risk was reduced on both sides (bottom right p1), delivering a modest $0.3bn deterioration in the net short position to $0.6bn. Investors also reduced AUD risk while leaving the net short unchanged at $0.3bn.
• EUR was the only currency to see a meaningful w/w build in risk as investors added to positions on both the long and short side (middle right p2). EUR has marginally edged out JPY to regain its position as the largest held ($8.7bn) net short vs. the USD (bottom p2).
• Position squaring was greatest for JPY as investors reduced gross shorts by $1.8bn and gross longs by $1.2bn, delivering a modest $0.6bn improvement in the net short JPY position to $8.6bn. The bulk of the gross JPY shorts have been established in the postelection period (top right p2), leaving the currency vulnerable to the impact of an unwind.
Regards.
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