As suggested in the CFTC Commitments of Traders report in the week ended March 3, NET LENGTH in USD Index droped -2 589 contracts to 22 488. Speculative long positions fell -7 880 contracts and short positions declined -5 291 contracts. Bets on both sides obviously shrank as the Fed adopted emergency rate cut by -50 bps. CME’s 30 day Fed funds futures have fully priced further cut at the March 18 meeting. Concerning European currencies, NET SHORT for EUR futures plunged -27 318 contracts to 86 703. The reduction came in as we anticipated. It is likely that NET SHORT will trim further given the strength of the single currency although a number of Eurozone’s members are seriously affected by the coronavirus outbreak. ECB will be meeting next week. Yet, the outlook over monetary policy is mixed as policy rate has been staying negative for years NET LENGTH for GBP futures gained +5 564 contracts to 35 162.
On safe-haven currencies, CHF futures returned to NET SHORT of 3 242 contracts. NET SHORT of JPY futures declined -14 065 contracts to 42 324. Japanese yen resumed the safe-haven status amidst the current risk-aversion period. This is probably because the number of coronavirus cases reported in Japan was surpassed by South Korea and some European countries. This made Japan less in focus. On commodity currencies, NET SHORT for AUD futures rose +8 101 contracts to 51 953. Speculative long positions gained +8 162 contracts while shorts jumped +16 263 contracts. Separately, NET SHORT for NZD futures gained +1 646 contracts to 16 957 during the week while NET LENGTH for CAD futures fell -4 045 to 10 579. Both RBA and BOC lowered their policy rates in order to stimulate growth last week.