20181019-法国巴黎银行-CFTC_POSITIONING_REPORT__US_INTEREST_RATE_FUTURES_AND_OPTIONS_16页_2mb

报告摘要

US Interest Rate Futures and Options Positioning Report Summary

Overview

This report, dated 19 October 2018, provides an analysis of the positioning in US interest rate futures and options markets, focusing on net speculators, asset managers (AM), and leveraged funds (LF). The report highlights the overall market sentiment, changes in positioning, and implications for the yield curve.

Core Content

Net Speculator Positioning

Weekly Change: There was nearly zero change in net speculator positioning during the week ending 16 October 2018. A total of USD 0.3mn DV01 was bought across all contracts.
Aggregate Positioning: The net short position across all contracts was reduced to USD-236.5mn DV01, indicating a slight shift towards buying.
Curve Positioning: The yield curve is showing a steepening bias. Net short positions at the long-end exceeded those at the short-end by USD32.2mn DV01.
WN Positioning: Persistent selling in the 2-year (WN) contracts continued, with 19,000 contracts sold (USD-4.9mn DV01), marking the sixth consecutive week of selling in WN. The net short position in WN reached -245,500 contracts (USD-63.8mn DV01).

Asset Managers (AM)

Weekly Change: AM net bought USD14.3mn DV01 in the latest survey week, with significant contributions from TY (10-year) and WN (2-year) contracts.
Role in Market Analysis: AM positioning is being tracked to better understand the market dynamics, as it helps determine if the net speculator position reflects true market sentiment.

Leveraged Funds (LF)

Weekly Change: LF net sold USD-4mn DV01 in the latest survey week. This selling was offset by buying in the US (10-year) contract, but net selling occurred in TY (10-year) and WN (2-year) contracts.

AM vs. LF Positioning

Net Difference: The net AM vs. LF positioning increased by USD9.3mn DV01, indicating a longer stance. This is the longest such measure since the beginning of 2016, driven by ongoing buying by AM.
Implication: The divergence between AM and LF positions suggests a shift in market sentiment, with AM taking a more bullish stance compared to LF.

Key Information

The report uses Commitment of Traders (CoT) data to analyze market positioning.
DV01 (Dollar Value of 1 Basis Point) is the primary metric used to quantify changes in positions.
Steepening bias in the curve suggests that investors are betting on a widening gap between short-term and long-term rates.
WN (2-year) contracts have been under consistent selling pressure, reflecting a bearish outlook on short-term rates.
The report distinguishes between non-commercial (speculator) and commercial positions, with a focus on the former for market sentiment analysis.

Legal and Regulatory Information

This document is non-independent research and is intended for Relevant Persons as defined by MiFID II.
It contains marketing communication and is not investment research.
The document may include performance data based on back-testing, which is for illustrative purposes only.
It is subject to conflicts of interest due to BNPP's involvement in trading and investment banking activities.
The document is not a prospectus, advertisement, or public offering in the US, EU, or other jurisdictions.
Qualified Institutional Buyers (QIBs) and non-US persons under Regulation S are the target audience for the US disclosures.
The report is subject to legal restrictions and must be used only by those who are authorized to receive such information.

Conclusion

The US interest rate futures and options market showed a neutral net speculator position with a steepening curve bias and persistent selling in WN contracts. Asset managers were net buyers, while leveraged funds were net sellers, creating a positive net AM vs. LF positioning. These findings suggest a mixed market sentiment, with AM showing more bullish behavior and LF being more bearish. The report serves as a market positioning tool and should be used with caution due to its legal and regulatory caveats.

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