Weekly forex futures positioning data for the CFTC for the week ending March 30, 2021
- EUR long 68K vs 74K long last week. Longs trimmed by 6K
- GBP long 20K vs 25K long last week. Longs trimmed by 5K
- JPY short 58K vs 59K short last week. Shorts trimmed by 1K
- CHF long 3K vs 4K long last week. Longs trimmed by 1K
- AUD long 4K vs 12K long last week. Longs trimmed by 8K
- NZD long 3K vs 4K long last week. Longs trimmed by 1K
- CAD long 3K vs 7K long last week. Longs increased by 4K
- All net positions trimmed
- The new positions show long currencies, and short the USD with the exception of the JPY which shows short JPY and long the USD
- The AUD long was trimmed the most (8k).
- JPY, CHF and NZD only saw positions trimmed by 1K
Decent US dollar move, but certainly nothing sensational
Main survey results here
- CPI seen at 0.4% y/y in 12 months time
- 0.8% in 3 years
- 1.0% in 5 years
Further yen weakness, USD/JPY and yen crosses have accelerated higher on the session here.
- high is circa 110.97
- a one year high
Falls below daily trend line.
USD in focus
At the start of the COVID-crisis we saw the USD and US 10 year yields move in negative correlation to one another. When 10 year yields rose, the USD fell. Why was this? This is because both were acting as safe havens. A worried world wanted to buy US treasuries (this causes bond yields to fall) and they wanted the USD as the most liquid currency
Then in March the world started to focus on the US growth story. This more optimistic footing allows US 10 year yields to rise alongside the USD.
Why has the above changed again?
Germany in extended lockdowns, oil prices falling, AstraZeneca roll outs slowing + health scares have all led to the reflation trade being questioned last week. So, this is why we are seeing the COVID relationship between the US 10 year yields and the USD return.
So, in summary.
A worried world:
Rising US 10 year yields – falling dollar
Falling US 10 year yields – rising dollar
A world focused on US recovery:
Rising US 10 year yields – rising dollar
Falling US 10 year yields – falling dollar
Hope this helps to see what is driving the USD and when.