Speculators increased net long JPY exposure ahead of the BoJ decision - RBS

Research Team at RBS, lists down the CFTC commitment of trader’s analysis for the week ending September 13 and these data cover the ECB decision and the beginning of the post-ECB steepening impulse.

Key Quotes

“The data also cover the dovish commentary by Fed’s Brainard.

In rates, recent steepening is well reflected in the shift in Levered Funds positioning in the long-end. Levered Funds flipped net short in both TY and US last week. Indeed, the TY net long was reduced by over $15bn in the latest week alone, turning short again after being long in each of the past three weeks. Levered Funds added to shorts in FVs as well. Asset managers, meanwhile, pared shorts in TY and added to longs in US. Positioning among speculators as a whole was little changed in the frontend but turned either more bearish or less bullish in FVs, TYs, and USs. Excluding EDs, total open interest declined across benchmarks this week.

In FX, speculators pared back shorts in both EUR and GBP in the latest week. In EUR, Asset Managers added to longs while Levered Funds reduced shorts. Speculators as a whole increased net long JPY exposure ahead of the BoJ decision. Levered Funds added to JPY longs while Asset Managers increased JPY shorts and Dealers flipped from long to short. In the commodity space, both Asset Managers and Levered Funds reduced longs in AUD and speculative accounts overall trimmed their net long CAD position.”