GLOBAL FX STRATEGY CURRENCY STRATEGISTS

Foreign Exchange Camilla Sutton, CFA, CMT

(416) 866-5470
Sacha Tihanyi
(416) 862-3154

CFTC Commitments of Traders Camilla_Sutton@scotiacapital.com Sacha_Tihanyi@scotiacapital.com

Monday, July 26, 2010

NET SHORT USD POSITION HITS HIGHEST LEVEL SINCE LATE 2009
- Data in this report is up to Tuesday July 20 and released Friday April 23.

• The net short USD position increased to $7.7bn from $6.6bn in the previ-
ous week, driven by a sharp increase in AUD longs and a sizable reduction
in GBP shorts. This represents the largest net short USD position since early
December of 2009, boding ill for the currency’s near future as the trade
weighted USD index is currently 5% higher than it was in early December.
• AUD bulls have reentered the market as the net long aussie position con-
tinues to rebound off of the lows of two weeks ago. AUDUSD is higher
than Tuesday’s close, having broken through resistance at its 100-day mov-
ing average on Thursday, and is currently contending with resistance at its
200-day m.a. at 0.8966. Look for a further increase in longs next week.
• EUR positioning saw its most restrained pace of improvement this week,
as shorts fell by 4K contracts (longs fell by 1.2K). This positioning shift is in
line with EURUSD’s inability to close above the 1.30 level and general hesi-
tancy ahead of this week’s stress test results. Markets will have the week-
end to digest the suspiciously positive results of the stress tests and decide
if they are credible. If generally found credible, EUR shorts may not be long
for this world.
• CAD longs fell by 4K contracts, while shorts increased by 1.4K. At 23.7K
contracts, CAD gross longs have hit their lowest level in over a year, indicat-
ing weakening speculative downside pressure on USDCAD in the near term.
• JPY longs fell by 8.5K contracts, 4.2 times more than the reduction in
shorts. With the Japanese government showing greater agitation with the
persistent strength in JPY, speculators are now much more tentative in
betting in favour of the yen.

Net Long (Short) Non-Commercial Positions

Contracts $mns
w/w 20-Jul 13-Jul 20-Jul
CAD -5,614 16,424 22,038 1,574
EUR 2,799 -24,251 -27,050 -3,904
GBP 7,904 -26,767 -34,671 -2,553
JPY -6,448 40,911 47,359 5,844
CHF 523 15,113 14,590 1,794
AUD 9,406 32,886 23,480 2,907
NZD 3,521 8,973 5,452 643
MXN 7,751 35,886 28,135 1,405
Total 19,842 99,175 79,333 7,709

CAD — Non-Commercial Futures Positions

Contracts of 100,000 CAD w/w change
Date Long Short Net Long Short Net
20-Jul 23,739 7,315 16,424 -4,213 1,401 -5,614
13-Jul 27,952 5,914 22,038 -597 -14,541 13,944
6-Jul 28,549 20,455 8,094 -3,026 4,774 -7,800
29-Jun 31,575 15,681 15,894 -6,924 3,535 -10,459

* A trader is classified as “non-commercial” by the Commodity Futures Trading Commis-

sion if the trader is not using futures contracts in a particular currency for hedging purposes (as defined by the Commission). This category of futures trader is generally
considered to include individual investors, hedge funds and other large financial institutions engaged in trading the securities for speculative purposes.
Global FX Research Monday, July 26, 2010

EUR — Non-Commercial Futures Positions GBP — Non-Commercial Futures Positions

Contracts of 125,000 EUR w/w change Contracts of 62,500 GBP w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
20-Jul 55,008 79,259 -24,251 -1,179 -3,978 2,799 20-Jul 16,448 43,215 -26,767 947 -6,957 7,904
13-Jul 56,187 83,237 -27,050 -129 -11,988 11,859 13-Jul 15,501 50,172 -34,671 -2,941 -6,347 3,406
6-Jul 56,316 95,225 -38,909 12,959 -21,802 34,761 6-Jul 18,442 56,519 -38,077 816 4,122 -3,306
29-Jun 43,357 117,027 -73,670 2,344 5,040 -2,696 29-Jun 17,626 52,397 -34,771 1,705 -9,870 11,575

JPY — Non-Commercial Futures Positions CHF — Non-Commercial Futures Positions

Contracts of 12.5M JPY w/w change Contracts of 125,000 CHF w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
20-Jul 54,733 13,822 40,911 -8,472 -2,024 -6,448 20-Jul 19,977 4,864 15,113 1,740 1,217 523
13-Jul 63,205 15,846 47,359 729 -8,704 9,433 13-Jul 18,237 3,647 14,590 10,610 -11,435 22,045
6-Jul 62,476 24,550 37,926 10,755 256 10,499 6-Jul 7,627 15,082 -7,455 -20 -5,413 5,393
29-Jun 51,721 24,294 27,427 22,464 -1,333 23,797 29-Jun 7,647 20,495 -12,848 -1,973 610 -2,583

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Global FX Research Monday, July 26, 2010

AUD — Non-Commercial Futures Positions NZD — Non-Commercial Futures Positions

Contracts of 100,000 AUD w/w change Contracts of 100,000 NZD w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
20-Jul 45,253 12,367 32,886 10,044 638 9,406 20-Jul 14,523 5,550 8,973 1,840 -1,681 3,521
13-Jul 35,209 11,729 23,480 9,324 -6,910 16,234 13-Jul 12,683 7,231 5,452 4,590 1,715 2,875
6-Jul 25,885 18,639 7,246 -2,220 3,388 -5,608 6-Jul 8,093 5,516 2,577 -366 -457 91
29-Jun 28,105 15,251 12,854 -1,704 -2,752 1,048 29-Jun 8,459 5,973 2,486 1,738 74 1,664

MXN — Non-Commercial Futures Positions NYMEX Crude — Non-Commercial Futures Positions

Contracts of 500,000 MXN w/w change Contracts of 1,000 Barrels w/w change
Date Long Short Net Long Short Net Date Long Short Net Long Short Net
20-Jul 43,551 7,665 35,886 6,721 -1,030 7,751 20-Jul 231,747 195,602 36,145 -7,784 -9,284 1,500
13-Jul 36,830 8,695 28,135 5,972 562 5,410 13-Jul 239,531 204,886 34,645 822 -7,608 8,430
6-Jul 30,858 8,133 22,725 -14,854 4,917 -19,771 6-Jul 238,709 212,494 26,215 -47 10,858 -10,905
29-Jun 45,712 3,216 42,496 4,915 -1,942 6,857 29-Jun 238,756 201,636 37,120 372 2,887 -2,515

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Global FX Research Monday, July 26, 2010

This report is prepared by The Bank of Nova Scotia (Scotiabank) as a resource for the clients of Scotiabank and Scotia Capital. Opinions, estimates and projections con-
tained herein are our own as of the date hereof and are subject to change without notice. The information and opinions contained herein have been compiled
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