20181214-法国巴黎银行-US_INTEREST_RATE_FUTURES_AND_OPTIONS_17页_2mb

CFTC Positioning Report Summary: US Interest Rate Futures and Options

Document Overview

This report, dated 14 December 2018, provides an analysis of the positioning of US interest rate futures and options as of the week ending 11 December 2018. It is authored by Timothy High, US Rates Strategist at BNP Securities Corp. The report includes insights into net speculator positioning, leveraged fund activity, and market indicators such as the 10-year US Treasury (UST) RSI.

Core Content

Net Speculator Positioning

• Weekly Change in Positioning by Contract (p. 4):

  • Net speculators increased their positions by USD3mn DV01 across all contracts.
  • There was modest buying in FV, US, and WN, while selling occurred in TU and TY.

• Total Aggregate Positioning (p. 5):

  • The total net positioning decreased the short to USD-179mn DV01.
  • This level is the least short since early July, indicating a shift in market sentiment.

• Curve Positioning (p. 6):

  • Curve positioning shows a steepening bias.
  • The net DV01 short position at the long-end now exceeds the short-end by USD27mn DV01.
  • A proxy for curve positioning is calculated as:
    [Short-end DV01 (ED + TU + FV)] - [Long-end DV01 (TY + UXY + US + WN)]

• FV Positioning (p. 7):

  • Short-covering returned in FV after a week of small size selling.
  • Net speculators bought 76,000 FV contracts (USD3.5mn DV01), pushing the position to the least short in 2018 at -273,000 contracts.

• US Positioning (p. 8):

  • Short-covering also continued in US.
  • Net speculators bought 24,300 US contracts (USD4mn DV01), making it the least short in 2018 at -43,500 contracts.

• TY Hedging Continues (p. 9):

  • Hedging activity in TY futures has increased, with 25% of the short TY futures position hedged with options.
  • This reflects a trend that was observed as early as June 2018, when hedging reached 30%.
  • The 10-year UST yield is near H2 2018 lows at 2.88%, contributing to the increased hedging.

• Leveraged Funds (LF) Positioning (p. 10):

  • Leveraged Funds net bought USD9.5mn DV01 during the survey week.
  • Selling was observed only in FV.

• 10Y UST RSI Remains Nearly Overbought (p. 11):

  • The 10-year UST RSI has been overbought or nearly overbought for nearly a month.
  • This is a long period by historical standards.
  • BNPP economists expect a dovish hike at the upcoming FOMC meeting, which could relieve the overbought condition.

Key Points and Main Views

• Market Sentiment: There is a notable shift towards short-covering in FV and US contracts, suggesting a more bullish outlook.
• Curve Dynamics: The curve remains steepened, with more short positions at the long end than the short end.
• TY Hedging: Hedging activity in TY futures continues to rise, indicating increased risk management in the market.
• Leveraged Funds: Leveraged funds are showing a net buying bias, though limited to certain contracts.
• RSI Indicator: The 10-year UST RSI remains in overbought territory, raising concerns about potential market corrections.

Important Information

• The report reflects net non-commercial positions, excluding commercial positions.
• Specific asset manager, leveraged fund, dealer, and other reportable positions may fall under non-commercial or commercial categories.
• The document contains non-independent research and is considered a marketing communication under MiFID II.
• It is intended for Relevant Persons and not for general public use.
• The content may include Research as defined under MiFID II unbundling rules and is subject to specific legal conditions.
• The document does not constitute an offer to sell or issue any financial instruments.
• The information is based on public sources and may not be independently verified.
• Performance data may be based on back-testing and is for illustrative purposes only.
• Conflicts of Interest: BNPP may have financial interests in the issuers or entities mentioned, and may engage in transactions inconsistent with the views expressed in the report.

Legal Disclaimer

• This document is a marketing communication and not investment research.
• It is not a prospectus, advertisement, or public offering.
• It is subject to UK, EU, and other jurisdictional legal notices, including restrictions on distribution and use.
• Confidentiality: The document is provided on a strictly confidential basis.
• Liability Disclaimer: BNPP and its affiliates disclaim any liability for the accuracy or completeness of the information or for any use of the document.
• Regulatory Compliance: The document is compliant with MiFID II, UK FCA, CFTC, and other relevant regulatory frameworks.
• No Investment Advice: The report does not provide investment, tax, or legal advice.
• Qualified Investors: In Switzerland, the document is intended solely for Qualified Investors.
• Distribution Restrictions: The document may only be distributed to institutional investors, major U.S. institutional investors, or qualified institutional buyers.
• No Registration: Some securities mentioned in the report are not registered under the U.S. Securities Act, and may not be offered or sold in the U.S. without registration or exemption.

Conclusion

The report highlights a moderate net buying activity by speculators, with increased short-covering in FV and US contracts. The curve remains steepened, and TY hedging continues at elevated levels. The 10Y UST RSI is in overbought territory, suggesting potential for a market correction. The report is a non-independent marketing communication and is not intended for general public use. It is subject to strict legal and regulatory compliance and is provided only to Qualified Persons.