20181123-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 (23 November 2018)

Core Content Overview

This report provides an analysis of the positioning of US interest rate futures and options as of the week ending 20 November 2018, based on data from the Commodity Futures Trading Commission (CFTC). The key focus is on the behavior of net speculators, asset managers, and leveraged funds in the context of the US Treasury yield curve and broader market conditions.

Main Points

Net Speculator Positioning

• Weekly Change in Positioning: Net speculators bought a total of USD15.4 million DV01 across all contracts during the survey week. Only modest selling was observed in UXY and US.
• Total Aggregate Positioning: The net short position across all contracts was reduced to USD-190 million DV01.
• Curve Positioning: There is a steepening bias in the curve. Net DV01 short positions at the long-end now exceed those at the short-end by USD32.2 million DV01.
• Large Buying in ED$: Net speculators bought 333,500 ED$ contracts (USD8.3 million DV01), marking the largest week of ED$ buying since late May.
• Large Buying in FV: Net speculators bought 142,800 FV contracts (USD6.5 million DV01), contributing to a 48% reduction in the FV futures and options short position over the last six weeks.

Asset Managers (AM) Positioning

• Asset managers net bought USD16.5 million DV01 during the week, with USD8 million coming from ED$ contracts. This reflects strong buying activity by institutional investors.

Leveraged Funds (LF) Positioning

• Leveraged funds net bought USD3 million DV01, spread across the yield curve, indicating a more cautious but still positive stance in the market.

10Y UST RSI Analysis

• The 10-year U.S. Treasury RSI remains nearly overbought, despite a slight rebound in yields. This suggests that the market is still in a bullish phase for 10Y USTs, influenced by weak equity markets and Fed rhetoric.
• The rates market continues to be influenced by equity market performance, Fed communication, and trade policy developments.

Key Information

• The report uses CFTC Commitment of Traders (CoT) data to analyze market positioning.
• Net speculator positioning is defined as the net non-commercial futures and options positions.
• The steepening bias is calculated using a proxy that compares short-end and long-end DV01 positions.
• The RSI (Relative Strength Index) for 10Y USTs is used as an indicator of market overbought conditions.
• The report is a non-independent research document and is intended for Relevant Persons as defined by MiFID II and other regulatory frameworks.
• The legal disclaimer emphasizes that the document is for informational purposes only and not for investment advice.

Conclusion

The report highlights a bullish net speculator positioning in US interest rate futures and options, particularly in ED$ and FV contracts, with a steepening curve bias. Despite a slight rebound in 10Y UST yields, the RSI remains overbought, suggesting continued market strength. The analysis underscores the importance of monitoring market sentiment, Fed policy, and global economic factors in shaping the interest rate market outlook.