Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
Head of Commodity Strategy
Summary: In the week to December 10 speculators sold dollars for the first time in five weeks. This due to emerging short-covering in the major currencies of EUR, CHF, JPY and not least GBP
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.
Speculators sold dollars for the first time in five weeks with the change being driven by short covering in EUR, CHF, JPY and not least GBP ahead of the UK election. Against ten IMM currency futures and dollar Index the gross dollar long was cut by $1.7bn to $20.5 bn.
Ahead of the post-election surge to an 18-month high, the GBP net-short was cut by 7,411 lots to 22,639, the least bearish since May.