GBP and EUR shorts extended amid Brexit fallout – Deutsche Bank

Research Team at Deutsche Bank, notes that the investors continued to liquidate USD longs significantly, reducing about a third of their long dollar exposure over the past two weeks.

Key Quotes

“Implied USD longs as a fraction of open interest reduced to 9.4% from 11.3% in the previous week. As a consequence of Brexit, bearish positioning in both EUR and GBP extended considerably. Among the risk-off currencies, bullish sentiment increased in JPY, but decreased in CHF. Investors were slightly more bullish on the dollar bloc currencies, as they added net longs in CAD, pared net shorts in NZD, while positioning in AUD switched from net short to net long. Elsewhere, bearish sentiment in MXN was trimmed significantly.

Traders in Financial Futures data show that both leveraged funds and asset managers have increased their implied dollar longs considerably. In EUR and GBP, leveraged funds added a significant amount of net shorts, while asset managers extended their bearish sentiment moderately. Notably, net long positions held by leveraged funds in JPY increased to reach the highest level since December 2011.

On the other hand, asset managers trimmed their net shorts marginally. Sentiment in the antipodeans improved over the past week, as leveraged funds added net longs in NZD (highest level since April 2013), while positioning in AUD flipped to net longs. By contrast, asset managers added net shorts in NZD and pared net longs in AUD. Worth noting, net shorts held by leveraged funds in MXN were trimmed significantly, while asset managers reduced their bullish exposure. Elsewhere, both communities show improvement in CAD sentiment.”