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IMM positioning: Moving Out Of CAD, GBP And Into EUR‏

ByDanske Markets
Published 02/04/2013, 07:40 AM
Updated 05/14/2017, 06:45 AM

The latest IMM data covers the week from 22 January to 29 January.

LTRO repayment supports the euro: The latest IMM data covers the Friday when 278 European banks surprised the market and repaid EUR137bn borrowed in the first 3-year LTRO. The high amount repaid accelerated the move higher in EONIA rates that had started when the ECB ruled out a new rate cut on 9 January. The euro support is also visible in the IMM data that shows that market added further to net long euro positions to 11.5% of open interest in the week ending 29 January. This is the highest net long euro positioning since July 2010. However, positioning is in no way stretched and further euro longs can still be added going forward if the positive risk sentiment continues.

Market losing faith in sterling: Net long sterling positions were scaled back further in the week that Cameron gave his famous EU speech, more of the euro tail risk was priced out, as the need for a safe haven fell further and not least as focus turned increasingly on possible changes to UK monetary policy when Mark Carney will take over from Sir Mervyn King at the Bank of England. Net long sterling positions fell by close to 5 percentage points to 6.4 percent of open interest. Hence, positioning was still long sterling as the sterling sell-off accelerated the last three days.

CAD no longer an investor favourite: One of the biggest changes in positioning was seen in CAD, where net long positions were scaled back from 40.9 to 24.2 percent of open interest, the move partly reflecting less need for an alternative safe haven after the euro recovery and the softer than expected news from Bank of Canada on 23 January.

To Read the Entire Report Please Click on the pdf File Below.

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