IMM Positioning Update - Research.danskebank
Investment ResearchIMM Positioning UpdateKristoffer Kjær LomholtSenior Analystklom@danskebank.dk 45 45 12 85 29Joachim Waldemar BratlieAssistant Analystjobr@danskebank.dk 45 91 93 04 0517 April 2019Follow us on Twitter @Danske Researchhttps://research.danskebank.comImportant disclosures and certifications are contained from page 18 of this report
Non-commercial FX positioningFX summaryThe latest IMM data covers the week from 2 April to 09 April 2019LevelCommodity summaryStretched shortOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNeutralWeekly changesStretched long Abs. positionPositioning ongLongEURJPYGBPCHFCADAUDNZDMXNBRLRUBUSD*84. percentile16. percentile*Adjusted according to USD value of contracts Latest Second latestNote that percentiles are not based on any distributional assumption.Positioning trend is defined as follows. Two/three consecutive weekly changes in positioning (% of open interest) of the same sign: Four or more consecutive weekly changes in positioning (% of open interest) of the same sign:** Over a two-year periodSource: Commodity Futures Trading Commission, Danske Bankoror.2
Non-commercial commodity positioningFX summaryThe latest IMM data covers the week from 2 April to 09 April 2019LevelCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDStretched shortNeutralWeekly changesStretched long Abs. hortOil*GoldCopperWheatCornSoybeanOats2Y USMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyPositioning trend10Y USS&P500*16. percentile84. percentile*'Oil': Light Sweet NYMEX Futures*'S&P500': E-mini S&P 500 Futures Latest Second latestNote that percentiles are not based on any distributional assumption.Positioning trend is defined as follows. Two/three consecutive weekly changes in positioning (% of open interest) of the same sign: Four or more consecutive weekly changes in positioning (% of open interest) of the same sign:** Over a two-year periodSource: Commodity Futures Trading Commission, Danske Bankoror.3
IMM overview table for FX and commoditiesFX summaryCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNon-commercialpositioning000 contracts% of open Corn****Wheat****Soybean****Oats****2Y US Treasury10Y US TreasuryE-mini 0.6-2.6-5.80.41.22.1-0.6-1.6-0.112.8-1-0.8-0.6USD 0.38StatisticsChange Percentile .51-0.25-1.24-0.14-0.50-0.860.00* Adjusted according to USD value of contracts** NYMEX Light Sweet WTI Crude Futures*** COMEX**** CBOTSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank4
FX summaryCommodity summaryOverview tableDetailsUSD, ‘carry’, EURDetailsJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy history5
Historical FX (1 of 6)FX summaryAggregate USD as sum of EUR, JPY, GBP, CHF,CAD, AUD, NZD, MXN, BRL and RUBNon-commercial ‘carry’ positioningNet-long EUR positioningEUR positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)6
Historical FX (2 of 6)FX summaryNet-long JPY positioningNet-long JPY positioningNet-long GBP positioningNet-long GBP positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)7
Historical FX (3 of 6)FX summaryNet-long CHF positioningNet-long CHF positioningNet-long CAD positioningNet-long CAD positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)8
Historical FX (4 of 6)FX summaryNet-long AUD positioningNet-long AUD positioningNet-long NZD positioningNet-long NZD positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)9
Historical FX (5 of 6)FX summaryNet-long MXN positioningNet-long MXN positioningNet-long RUB positioningNet-long RUB positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)10
Historical FX (6 of 6)FX summaryNet-long BRL positioningNet-long BRL positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historyNote: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reportsSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)11
Historical commodities (1 of 2)FX summaryOil* and non-commercial positioningOil** and non-commercial positioning* NYMEX Light Sweet WTI Crude Futures* *ICE Light Sweet Brent Crude Futures EuropeGold and non-commercial positioningCopper and non-commercial positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historySource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)12
Historical commodities (2 of 2)FX summaryWheat and non-commercial positioningOats and non-commercial positioningSoybean and non-commercial positioningCorn and non-commercial positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historySource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)13
Historical financialsFX summaryNet-long 2Y US Treasury positioningNet-long 10Y US Treasury positioningCommodity summaryOverview tableDetailsUSD, ‘carry’, EURJPY & GBPCHF & CADAUD & NZDNet-long E-mini S&P 500 positioningMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy historySource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)14
IMM data descriptionFX summaryThe IMM dataCommodity summaryOverview tableDetailsUSD,USD,‘carry’,‘carry',EUREUR & JPYJPY & GBPThe IMM data is part of the Commitments of Traders (COT) reports published by the U.S. Commodity FuturesTrading Commission (CFTC). The IMM data provides a breakdown of each Tuesday’s open futures positions onthe International Money Market (IMM) a division of the Chicago Mercantile Exchange. All of a trader's reportedfutures positions in a commodity are classified as commercial if the trader uses futures contracts in thatparticular commodity for hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may beclassified as a commercial trader in some commodities and as a non-commercial trader in other commodities.Source: Commodity Futures Trading Commission, Danske BankCHF & CADAUD & NZDMXN & RUBBRLOil, gold & CopperWheat, oats,soybean & cornFinancialsData descriptionStrategy history15
Trading strategies over time (1 of 2)FX summaryAccumulated return* for each currencyEURCommodity summaryIndexOverview tableTrendJPYContrarianPercent of openinterest% OI 80GBPMXN & RUBIndexTrendCHFContrarianPercent of openinterest% OI (rhs)Index1608014012014060Oil, gold & Copper12040Wheat, oats,soybean & 1/0701/08001/05-8001/06Percent of openinterest0-6001/03% OI ategy history800AUD & NZDData descriptionPercent of openinterest40-20Financials% OI (rhs)60100BRLContrarian14020USD, ‘carry’, EURCHF & CADTrend60150JPY & GBPIndex* Returns are based on a ‘trend’ strategy and a ‘contrarian’ strategy where trigger levels are defined as the 16th and the 84th percentileSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank16
Trading strategies over time (2 of 2)Accumulated return* for each currencyCADCommodity summaryIndex% OI (rhs)14060120401008025040150201000Percent of open 1/0880Percent of openinterestContrarian10001/0710040Trend14001/06% OI (rhs)01/05Contrarian16001/01Strategy historyTrendMXN01/04IndexData description01/07NZDMXN & 0-4001/0340AUD & NZDWheat, oats,soybean & corn60200-20CHF & CADOil, gold & Copper80060BRLPercent of openinterestContrarian20USD, ‘carry’, EURJPY & GBPTrend01/02DetailsContrarian01/03Overview tableTrendAUDPercent of open Indexinterest01/02FX summary* Returns are based on a ‘trend’ strategy and a ‘contrarian’ strategy where trigger levels are defined as the 16th and the 84th percentileSource: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank17
DisclosuresThis research report has been prepared by Danske Bank A/S (‘Danske Bank’). The authors of the research report are Kristoffer Kjær Lomholt,Analyst, and Joachim Waldemar Bratlie, Assistant Analyst.Analyst certificationEach research analyst responsible for the content of this research report certifies that the views expressed in the research report accuratelyreflect the research analyst’s personal view about the financial instruments and issuers covered by the research report. Each responsibleresearch analyst further certifies that no part of the compensation of the research analyst was, is or will be, directly or indirectly, related to thespecific recommendations expressed in the research report.RegulationDanske Bank is authorised and subject to regulation by the Danish Financial Supervisory Authority and is subject to the rules and regulation ofthe relevant regulators in all other jurisdictions where it conducts business. Danske Bank is subject to limited regulation by the FinancialConduct Authority and the Prudential Regulation Authority (UK). Details on the extent of the regulation by the Financial Conduct Authority andthe Prudential Regulation Authority are available from Danske Bank on request.The research reports of Danske Bank are prepared in accordance with the recommendations of the Danish Securities Dealers Association.Conflicts of interestDanske Bank has established procedures to prevent conflicts of interest and to ensure the provision of high-quality research based on researchobjectivity and independence. These procedures are documented in Danske Bank’s research policies. Employees within Danske Bank’sResearch Departments have been instructed that any request that might impair the objectivity and independence of research shall be referredto Research Management and the Compliance Department. Danske Bank’s Research Departments are organised independently from and donot report to other business areas within Danske Bank.Research analysts are remunerated in part based on the overall profitability of Danske Bank, which includes investment banking revenues, butdo not receive bonuses or other remuneration linked to specific corporate finance or debt capital transactions.Financial models and/or methodology used in this research reportCalculations and presentations in this research report are based on standard econometric tools and methodology as well as publicly availablestatistics for each individual security, issuer and/or country. Documentation can be obtained from the authors on request.Risk warningMajor risks connected with recommendations or opinions in this research report, including a sensitivity analysis of relevant assumptions, arestated throughout the text.Expected updatesThis report is updated weekly.Date of first publicationSee the front page of this research report for the date of first publication18
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AUD & NZD USD, 'carry', EUR The latest IMM data covers the week from 2 April to 09 April 2019 Stretched short Neutral Stretched long Abs. position Positioning trend EUR Short JPY Short GBP Short CHF Short CAD Short AUD Short NZD Short MXN Long BRL Short RUB Long USD* Long *Adjusted according to USD value of contracts
MELSEC iQ-F FX5 User's Manual (Positioning Control) 7 FX Series Programmable Controllers Introduction to FX Positioning Control Systems 1 The Basics of Positioning Control 1.1 What is positioning control? 1 The Basics of Positioning Control 2 Positioning by AC Servo System 3 Components of Positioning Control 4
As shown in Figure 1, positioning systems can be classified into two categories: 1) Global Positioning 2) Local Positioning Global Positioning Systems (GPS) allow each mobile to find its own position on the globe. Local Positioning System (LPS) is a relative positioning system and can be classified into Self and Remote Positioning.
the EU 'Game of Thrones' begin, 27 May). 12 June 2019 Senior Analyst Aila Mihr 45 45 12 85 35 amih@danskebank.dk Assistant Analyst Rune Thyge Johansen 45 45 13 76 15 rujo@danskebank.dk Euro Area Macro Monitor Increasing risks – but baseline persists Key points Increased risks surrounding the euro area. ECB will react if needed.
Application for Temporary Resident Visa Made Outside of Canada (IMM 5257) Document Checklist (IMM 5484) Family Information (IMM 5645) Schedule 1 – Application for a Temporary Resident Visa Made Outside of Canada (IMM5257 – Schedule 1), if applicable Statutory Declaration of Common-law Union (IMM 5409), if applicable
Visa Appendix B Photo Specifications Forms Application for Study Permit Made Outside of Canada (IMM 1294) Family Information (IMM 5645) Document Checklist (IMM 5483) Schedule 1 Application for a Temporary Resident Visa Made Outside of Canada (IMM5257 Schedule 1) Statutory Declaration of Common-law Union (IMM 5409)
JPY & GBP Data description Strategy history CHF & CAD MXN & RUB Oil, gold & Copper Wheat, oats, soybean & corn Financials BRL AUD & NZD USD, 'carry', EUR The latest IMM data covers the week from 21 May to 28 May 2019 Stretched short Neutral Stretched long Abs. position Positioning trend EUR Short JPY Short GBP Short CHF Short CAD Short AUD .
Positioning Yourself and Your Career You can benefit by using positioning strategy to advance your own career. Key principle: Don't try to do everything yourself. Find a horse to ride Chapter 24. Positioning Your Business To get started on a positioning program, there are six questions you can ask yourself Chapter 25. Playing the Positioning Game
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