20181221-法国巴黎银行-CFTC_POSITIONING_REPORT__US_INTEREST_RATE_FUTURES_AND_OPTIONS_17页_2mb

CFTC Positioning Report Summary: US Interest Rate Futures and Options (21 December 2018)

Core Content Overview

This report provides an analysis of the positioning of US interest rate futures and options as of the week ending 21 December 2018, based on data from the Commitment of Traders (CoT) report. It outlines the net speculative positions across different contracts, curve positioning, and the implications of these positions on market dynamics.

Key Highlights

1. Net Speculator Positioning

• Weekly Change: Net speculators continued to engage in short covering, with a total of USD13mn DV01 bought across all contracts.
• Total Aggregate Positioning: The net short position across all contracts decreased to USD-176mn DV01, the lowest since early July 2018.
• Curve Positioning: The curve shows a steepening bias, with short positions at the long-end exceeding those at the short-end by USD34mn DV01. This is calculated using a curve proxy:
  [Short-end DV01 (ED+TU+FV)] - [Long-end DV01 (TY+UXY+US+WN)].

2. FV Positioning

• Short Covering in FV: Net speculators bought 17,000 FV contracts (USD0.8mn DV01), pushing the net short position in FV to the least short in 2018 at -255,000 contracts.

3. US Positioning

• Short Covering in US: Net speculators bought 7,600 US contracts (USD1.4mn DV01), leading to the least short position in US contracts in 2018 at -35,800 contracts.

4. TY Hedging

• TY Hedging Continues: 37% of the short TY futures position is hedged with options, indicating increased hedging activity as the 10y UST yield approached 2.8%. This is a new high for the year.

5. AM + LF Total Positioning

• Highest in 2018: The total positioning of Asset Managers (AM) and Leveraged Funds (LF) reached USD92.6mn DV01, the highest level of the year, showing a net buy of USD13.2mn DV01 by AM and a net sell of USD-11.3mn DV01 by LF.

6. 10Y UST Overbought Condition

• RSI Overbought: The 10y UST RSI has remained overbought or nearly overbought for over a month, which is unusual by historical standards.
• Yield Movement: The 10y UST yield dropped below 2.82% support after a dovish hike at the FOMC meeting, but the overbought condition remained unresolved.

Main Views and Implications

• Market Sentiment: Despite the dovish FOMC meeting, market sentiment remained strong, with continued short covering across various contracts.
• Curve Steepening: The positioning suggests a bias toward a steeper yield curve, as short positions at the long end are more pronounced than at the short end.
• Hedging Activity: Increased hedging in TY futures, particularly with options, indicates a shift in risk management strategies as yields approach key levels.
• Overbought Concerns: The prolonged overbought condition of the 10y UST suggests potential for a correction, especially given the lack of significant relief from the recent yield drop.

Important Notes

• The report defines net speculator positioning as net non-commercial positions, excluding commercial entities.
• The information is not investment research and is subject to legal disclaimers under MiFID II and other regulatory frameworks.
• The content may contain performance data based on back-testing and is not a guarantee of future results.
• The document is intended for professional clients and relevant investors only, and may not be suitable for retail investors.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the report.
• Legal and regulatory disclaimers apply to various jurisdictions, including the US, UK, France, Germany, Ireland, Netherlands, Portugal, Spain, Switzerland, Turkey, Israel, South Africa, and Australia.

Conclusion

The report highlights a shift in market positioning towards short covering, with a steepening curve bias and increased hedging in TY futures. While the 10y UST remains overbought, the overall speculative positioning suggests a cautious but supportive stance from market participants. These insights are crucial for understanding market dynamics and potential future movements in US interest rate markets.