20181207-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

Core Content Overview

This report provides a detailed analysis of the positioning of US interest rate futures and options as of the week ending 4 December 2018. It is authored by Timothy High, a US Rates Strategist at BNP Securities Corp. The key focus areas include net speculator positioning, asset manager (AM) and leveraged fund (LF) activities, and the state of the 10-year US Treasury (10Y UST) RSI.

Main Points

Net Speculator Positioning

• Weekly Change: Net speculators sold a total of USD-4mn DV01 across all contracts during the most recent survey week, marking a shift from prior weeks of buying.
• Total Aggregate Positioning: The total net short position across all contracts increased to USD-182mn DV01, which is still close to the least short since early July.
• Curve Positioning: The curve continues to show a steepening bias, with short positions at the long-end exceeding those at the short-end by USD31mn DV01. A flattening trade of USD0.7mn DV01 was also added.
• WN Positioning: Selling in the 2-year US Treasury (WN) continued, with specs selling 14,000 contracts (USD-3.5mn DV01), pushing the total short position to -295,000 contracts.
• TY Hedgers Return: There is a resurgence in hedging activity for the 10-year Treasury (TY), with 15% of the short TY futures position hedged using options. This reflects a return to the hedging dynamics observed in June when the percentage reached 30%.

Asset Managers (AM) and Leveraged Funds (LF)

• AM Positioning: Asset managers net sold USD-3mn DV01 during the week, with buying in UXY offset by selling in WN.
• LF Positioning: Leveraged funds net bought USD0.7mn DV01, with buying and selling spread across the yield curve.

10Y UST RSI

• The 10Y UST RSI has remained overbought for eight consecutive trading days, hovering around 2.82%.
• Historically, this overbought condition suggests the market may be due for a correction, potentially bringing positive news for the economy and risk assets.

Key Information

• Data Sources: The report uses data from the CFTC, Macrobond, Bloomberg, and BNP Paribas.
• DV01 Calculation: DV01 (Dollar Value of a 01 basis point) is used as a measure of position size.
• Legal Disclaimer: This document is a marketing communication and not independent research. It is intended for professional clients and eligible counterparties, and may involve conflicts of interest. It is not investment advice and does not constitute a prospectus or public offering.
• Jurisdictional Restrictions: The document contains legal notices for various jurisdictions, including the US, UK, France, Germany, Netherlands, Portugal, Spain, Switzerland, Turkey, Israel, and South Africa, emphasizing that it is not suitable for all investors and must be used accordingly.

Summary Table

Conclusion

The report outlines a net selling environment among speculators, with a continued short bias in the WN contracts and a return of hedging activity in TY. The 10Y UST remains overbought, indicating a possible market correction. The positioning data is informative for professional investors but comes with significant legal and regulatory caveats, emphasizing the non-investment advice nature of the content and jurisdiction-specific restrictions.