ANZ on the CFTC positioning data: Levered funds net buy USD again

Author: Eamonn Sheridan | Category: News

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
For the most recent data*, ANZ findings, in brief:
  • Leveraged funds continued to be net buyers of the USD for the third consecutive week
  • The amount was a modest USD0.4bn, taking overall net long USD positions to USD17.4bn
  • The proposed announcement of a new tax plan by President Trump this week will likely have an impact on positioning in the coming weeks
  • EUR saw the largest selling against the USD during the week, ahead of the first round of the French Presidential election
  • CAD and NZD saw buyers return after six consecutive weeks of net selling
  • AUD however, bucked the trend to see net selling for the third consecutive week, reducing leveraged funds' overall net long position
Away from FX:
  • Funds flipped their net short position in 10Y USTs to turn net long for the first time since October 2016 (see Figure 16)
*If you are unfamiliar with the CFTC data release, its on a Friday for data up to Tuesday of that week ... so Friday 21 April release had data up to Tuesday 18 April. People unkinder than me have said this can be ancient history in the financial markets (OK, I'll admit it, I have said this :-D )
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