20181112-法国巴黎银行-US_INTEREST_RATE_FUTURES_AND_OPTIONS_17页_2mb

Summary of CFTC Positioning Report: US Interest Rate Futures and Options (November 9, 2018)

Core Content Overview

This report provides an analysis of the positioning of US interest rate futures and options as of the week ending November 6, 2018, based on data from the Commitment of Traders (CoT) report. The key focus is on the behavior of net speculators, asset managers (AM), and leveraged funds (LF), and their impact on the overall market positioning and the yield curve dynamics.

Main Points

Net Speculators Positioning

• Weekly Change: Net speculators were relatively quiet this week, with a total of USD-0.9mn DV01 sold across all contracts. However, there was small buying in US contracts, which was offset by small selling in WN contracts.
• Total Aggregate Positioning: The net short position across all contracts increased to USD-202mn DV01 due to this week's selling activity.
• Curve Positioning: The yield curve continues to show a steepening bias. The net short position at the long-end now exceeds the short position at the short-end by USD22mn DV01.
• TY Positioning: Net speculators continued buying TY contracts, purchasing 18,500 contracts (USD1.3mn DV01) this week. This is the sixth consecutive week of buying, and the net short position in TY has decreased by 42% over the past six weeks.
• US Positioning: Net speculators bought 9,300 US contracts (USD1.7mn DV01) this week, marking the fourth consecutive week of buying. The net short position in US contracts has been reduced by 57% over the past four weeks.

Asset Managers (AM) and Leveraged Funds (LF)

• AM Activity: Asset managers net sold USD-8.9mn DV01 in futures and options, with the selling concentrated in TY contracts.
• LF Activity: Leveraged funds net sold USD-8.3mn DV01, primarily in WN contracts.
• Offsetting Buying: The selling by AM and LF was largely offset by buying from the "other reportables" (OR) category.
• Net AM + LF Positioning: The combined net positioning of AM and LF fell this week, with a net sale of USD-17.2mn DV01. This contrasts with the previous week, which saw equal buying.

Key Information

• The report highlights the net speculator positions, which reflect non-commercial futures and options positions.
• The CoT report data is sourced from the CFTC and supplemented by external data providers like Macrobond and Bloomberg.
• The document includes legal disclaimers and notices regarding the non-independence of the research, potential conflicts of interest, and the intended audience (e.g., professional clients, institutional investors).
• The report is a marketing communication and not investment research, and it is not intended for retail investors.
• Certain performance data may be based on back-testing and simulations, which are not indicative of actual future results.
• The document is subject to legal restrictions and must be used only by Qualified Institutional Buyers (QIBs) or non-US persons under Regulation S.
• It is distributed by various BNPP subsidiaries in different jurisdictions, each subject to local regulations and legal requirements.

Conclusion

The report illustrates a shift in positioning towards the long-end of the US interest rate curve, with continued buying in TY and US contracts by net speculators. While AM and LF showed net selling, this was counterbalanced by OR buying. The overall net short position increased slightly, but the steepening curve suggests a potential market outlook favoring longer-term rates. The document serves as a market analysis tool for institutional investors and is accompanied by extensive legal disclaimers to clarify its nature and limitations.