20181026-法国巴黎银行-CFTC_POSITIONING_REPORT_US_INTEREST_RATE_FUTURES_AND_OPTIONS_16页_2mb

Summary of CFTC Positioning Report: US Interest Rate Futures and Options (26 October 2018)

Core Content

This report provides an analysis of the positioning of US interest rate futures and options as of the week ending 23 October 2018, based on data from the Commitment of Traders (CoT) report. The report highlights the activities of net speculators, asset managers (AM), and leveraged funds (LF) across various contracts, with a focus on the overall market sentiment and curve positioning.

Main Points

• Net Speculators Activity:

  • Net speculators were buyers during the survey week, with a total of USD9.3mn DV01 bought across all contracts.
  • Selling was observed only in TU.
  • Total net positioning reduced the net short across all contracts to USD-227.2mn DV01.

• Curve Positioning:

  • The curve positioning shows a steepening bias, with short positions at the long-end exceeding those at the short-end.
  • A total of USD10mn DV01 of flattening trades were added, indicating a shift in market expectations.
  • The net DV01 short position at the long-end now exceeds the short position at the short-end by USD22.3mn DV01.

• TY Positioning:

  • Net speculators bought 49,400 TY contracts (USD3.6mn DV01) during the week.
  • This buying has persisted for four weeks and has reduced the TY short position by nearly 25% from last month's record.

• Asset Managers (AM) Activity:

  • AMs net sold USD-3.3mn DV01 during the survey week, led by UXY and WN.
  • This is the first substantial selling by AMs in eight weeks, indicating a change in their investment stance.

• Leveraged Funds (LF) Activity:

  • LF net bought USD6.5mn DV01 during the week.
  • Buying in UXY and US was offset by smaller selling in ED and TY.

• AM vs. LF Positioning:

  • The net AM vs LF positioning increased by USD3.2mn DV01 during the week.
  • At USD46.7mn, this is the longest such measure since 2016, driven by ongoing buying by AMs and buying from LF.

Key Information

• The report uses DV01 (Dollar Value of a 1 Basis Point Move) as a measure of positioning.
• Net speculator positioning reflects non-commercial futures and options positions.
• The curve positioning proxy is calculated as:
  [Short-end DV01 (ED + TU + FV)] - [Long-end DV01 (TY + UXY + US + WN)].
• Legal and regulatory notices emphasize that the report is non-independent research and is intended for professional clients only.
• The document is subject to conflicts of interest and is not investment advice.
• It is not a prospectus and not suitable for retail investors.

Structure of the Report

• Page 1: Introduction and overview of the report.
• Page 2: Summary of the main findings.
• Pages 3–10: Detailed breakdown of positioning by:
  • Net speculators across all contracts (p. 4).
  • Total aggregate positioning (p. 5).
  • Curve positioning (p. 6).
  • TY positioning (p. 7).
  • AM positioning by contract (p. 8).
  • LF positioning by contract (p. 9).
  • Net AM vs LF positioning (p. 10).

Important Notes

• The report is provided for informational purposes only.
• Indicative prices are included but not actual transaction terms.
• Performance data may be based on back-testing and is not guaranteed.
• The information is not verified independently and may be subject to change.
• Legal disclaimers apply to all jurisdictions, emphasizing that the report is not an offer to buy or sell and is not investment advice.

Conclusion

The report outlines a net bullish stance among speculators, particularly in TY contracts, while asset managers have shifted to selling, and leveraged funds have increased their buying activity. The overall market positioning shows a steepening curve and lengthening net AM vs LF positions, suggesting a potential shift in market expectations towards longer-term interest rate trends.