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Foreign Exchange

IMM: first JPY net short since June 2011; AUD exposure hits record high

Currency traders on the CME sold the Japanese yen heavily for the third consecutive week, bringing the currency into a small net short, while the notional value of their total AUD exposure reached record highs.

The latest CFTC report shows that investors cut all 17,000 outstanding JPY contracts, bringing the market net short by 1,200 contracts. While the CFTC data show that the short side of USDJPY had hardly changed since last week, going from $9.1 billion to $9.3 billion, the long side fell by more than $2 billion to $7.4 billion.

In contrast, the report shows that non-commercial traders sharply reduced EUR shorts. The net short fell by more than 32,000 contracts, the largest weekly wave of net EUR buying on the IMM since January 18, 2011. The market still remains substantially short at 110,000 contracts with a notional value of $9 billion.

Elsewhere, the report shows that both the long and short side of AUD positions held by leveraged funds reached record highs.

“Having both sides at record levels simultaneously is unique and highlights that AUD’s share of total FX volumes continues to grow,” says Greg Anderson, FX strategist at Citi.

 Leveraged fund positioning data on IMM

 Source: Citigroup, CFTC

Positioning of all non-commercial traders in AUD is now at a net long of $8.4 billion, the biggest net long position of any currency traded on the IMM. Citi says that while records in currencies such as GBP and JPY are still bigger than those seen in AUD, this could soon change as AUD usage grows.

“We don’t interpret record AUD longs as being anywhere equivalent to the market being near its limit, and we continue to think that further upside is possible,” says Anderson.

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