19 Jan 2015
Market was very short CHF into SNB - Nomura
FXStreet (Bali) - According to the CFTC futures report, the market was very short CHF into SNB, notes Nomura FX Strategists.
Key Quotes
"According to the IMM data for the week ended January 13, non-commercial accounts were significantly short CHF. Positioning in CHF was -$3.2bn, the lowest since June 2013. Accounts had also added $0.2bn of shorts on the week, suggesting there was little suspicion of the SNB dropping the EURCHF floor."
"Our real time model shows that noncommercial accounts flipped to longs ($1.7bn) quickly, although we are cautious with the real time forecasts given the magnitude of the variable moves are out of historical norms."
"USD was bought on the week to the tune of $2.7bn. This brought spec positioning to $55.6bn by Tuesday, a new record net long. Since then however, our model estimates that $5.1bn of USD was sold, although this is as a counter party to the $4.9bn of CHF buying according to our model."
"Non-commercial sold $0.5bn worth of the EUR on the week ended Tuesday, and an estimated $0.3bn since. This brought positioning to -$24.7bn by Tuesday and -$25.1bn by Friday’s close. Shorts are still off of the lows from November (-$28.0bn)."
• Specs sold $1.1bn of the GBP on the week, bringing positioning to -$3.5bn. This is the lowest that positioning has been since September 2013. We estimate this has been unchanged through the end of the week.
Key Quotes
"According to the IMM data for the week ended January 13, non-commercial accounts were significantly short CHF. Positioning in CHF was -$3.2bn, the lowest since June 2013. Accounts had also added $0.2bn of shorts on the week, suggesting there was little suspicion of the SNB dropping the EURCHF floor."
"Our real time model shows that noncommercial accounts flipped to longs ($1.7bn) quickly, although we are cautious with the real time forecasts given the magnitude of the variable moves are out of historical norms."
"USD was bought on the week to the tune of $2.7bn. This brought spec positioning to $55.6bn by Tuesday, a new record net long. Since then however, our model estimates that $5.1bn of USD was sold, although this is as a counter party to the $4.9bn of CHF buying according to our model."
"Non-commercial sold $0.5bn worth of the EUR on the week ended Tuesday, and an estimated $0.3bn since. This brought positioning to -$24.7bn by Tuesday and -$25.1bn by Friday’s close. Shorts are still off of the lows from November (-$28.0bn)."
• Specs sold $1.1bn of the GBP on the week, bringing positioning to -$3.5bn. This is the lowest that positioning has been since September 2013. We estimate this has been unchanged through the end of the week.