Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
Head of Commodity Strategy
Summary: During the week to August 20 and ahead of last week’s major risk events speculators opted to cut bullish dollar bets against ten IMM currency futures.
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
Ahead of last week’s major risk events speculators opted to cut bullish dollar bets against ten IMM currency futures by $1.5bn to $10.9bn, a 14-month low. Continued buying of JPY lifted the net-long by 26% to the highest since November 2016.
The biggest contributor to the reduced dollar long came perhaps a bit surprisingly from the Euro after speculators bought into the weakness below €1.11.