The latest IMM data covers the week from April 1 to April 9.
- Investors reduced short EUR positions: Non-commercial investors reduced net short EUR positions in the wake of the aggressive policy response from Bank of Japan (BoJ) on 4 April. The aggressive move from BoJ is assumed to be the main driver behind the recent rally in the semi-core and the peripheral European sovereign bonds. However, while the JPY has depreciated significantly since the announcement from BoJ, IMM data shows that investors actually reduced, albeit marginally, speculative short JPY positions in that period. This, on the other hand, supports the presumption that a major part of the recent JPY weakness has not been speculatively driven, but has instead been due to portfolio flows into European bonds from Japanese investors who shredded Japanese bonds in the face of ultra-low rates for an extended period and looked abroad for higher yields.
- Short GBP and CAD positions added: While EUR shorts were reduced, investors added to short GBP and CAD positions as the two ‘safe-haven currencies’ suffered from the reduction in European sovereign risk premiums. Thus, short CAD positions have now reached 43.9% of open interest – levels not seen since 2007. In that respect, is it worth noting that the peak in CAD shorts was followed by a strong CAD rally in both 2007 and 2009.
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