Quarterly Outlook
Macro Outlook: The US rate cut cycle has begun
Peter Garnry
Chief Investment Strategist
Head of Commodity Strategy
Summary: The COT report on FX, bonds and stocks positions and changes during the week to April 14 covered the reaction to the Feds additional USD 2.3tn package to support capital markets
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.
The below summary highlights futures positions and changes made by speculators across forex, bonds and stocks up until last Tuesday, April. This period, besides the Easter break, covered the aftermath of the Fed’s additional $2.3tn package to support capital markets. Stocks jumped while the dollar and US 10-year bond yields ticked lower
In forex the selling of dollars extended into a seventh week with the net-short against ten IMM currency futures and the Dollar Index rising by 9% to $9bn. As the table below highlights most currency, despite the Fed bailout news, saw limited changes during a relative quiet Easter holiday period.
The dollar selling was once again primarily driven by euro buying after hedge funds and other large speculators added 7k lots to bring the net-long to 87k ($11.9 bn equivalent), a level not seen since 2018.
Elsewhere light selling was seen in CHF, RUB and not least the Mexican peso which despite rallying witnessed an 11th consecutive week of net selling.