Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
Head of Commodity Strategy
Summary: Speculators turned small sellers of dollars in the week to September 10 with most currencies except for EUR, GBP and BRL being bought. Not least JPY where the net-long expanded to near the highest since November 2016
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.
Hedge funds and other large speculators reduced their dollar long against ten IMM currency futures by 6% to $12.7 billion in the week to September 10.
Most currencies except for EUR, GBP and BRL were bought. Not least JPY where the net-long reached one of the most bullish positions since November 2016. Buying of CHF took the net to the least short since September while the CAD net-long more than doubled. Selling took the GBP short to near the highest in more than two years while the BRL short reached a five-year high.