As of Tuesday 15th March 2022:
- The Australian dollar and euro futures contracts saw the largest weekly repositioning, with AUD net-short exposure falling by -33.3k contracts and EUR net-longs falling by -40.1 contracts.
- Net-long exposure to the US dollar index fell to its least bullish level in 24-weeks.
- Interestingly, net-long exposure to euro futures also fell, to their least bullish level in 9-weeks.
- Net-short exposure to CHF futures fell to their least bearish level since September.
- Traders remained net-long Russian rubles by 7.5k contracts (down from 19.5k end of February) but open interest is its lowest since December 2020.
- Traders were their most bearish on GBP futures in 11-weeks.
Traders flipped to net-long exposure to NZD futures for the first time in 3-months. And like AUD, we saw a strong reduction of gross shorts (-10.3k contracts) and increase of longs (5.7k contracts). Money markets have fully priced in a further 3 hikes over the next six months with the 6-month OIS rising to 1.75%. And the surge in commodities pricing with global inflation on the rise doing little to dispel expectations of further hikes which remain supportive of NZD.
Traders were net-long the USD by US $8.7 billion according to IMM (International Money Market, $709 billion of which was against G10 currencies. We saw a sharp drop on exposure to emerging FX, with USD exposure rising by $1.6 billion last week alone, which is its fastest rise since March 2020.