20181130-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

This report provides an analysis of the net speculator positioning in US interest rate futures and options as of the week ending 27 November 2018. It includes insights into the overall positioning, curve positioning, and specific changes in positioning for different contracts. The report also highlights the impact of recent market developments, such as the 10-year US Treasury yield movements following Chair Powell's speech and the G-20 meetings.

Main Points

Net Speculator Positioning

• Weekly Change: Net speculators increased their positions across all contracts, marking six weeks of net buying since early October.
• Total DV01 Bought: A total of USD12.7 million DV01 was bought in the latest survey week.
• Net Short Position: The net short position across all contracts was reduced to USD-178 million DV01, the lowest since early July.
• Curve Positioning: The curve continues to show a steepening bias, with the net short position at the long-end exceeding the short position at the short-end by USD31.7 million DV01.

Contract-Specific Positioning

• FV (2-Year Treasury Notes) Positioning:

  • Net specs bought 126,700 FV contracts, equivalent to USD5.5 million DV01.
  • Short positions in FV have decreased by 62% over the last seven weeks, driven by large buying in three out of the last five weeks.

• TY (10-Year Treasury Notes) Positioning:

  • Net specs bought 120,000 TY contracts, equivalent to USD8.8 million DV01.
  • The net short position in TY is 70% less than its peak in the last week of September.

Asset Managers (AM) Positioning

• Weekly Change: Little change in net AM futures and options positioning.
• Net Sales: AM net sold USD-3 million DV01, with buying in ED offset by selling in WN.

Leveraged Funds (LF) Positioning

• Weekly Change: LF net bought USD10 million DV01.
• Curve Spread: No net selling in any contracts, indicating a broad-based buying across the curve.

10-Year US Treasury (UST) RSI

• RSI Status: The 10-year UST RSI has been overbought for most of the last two weeks.
• Yield Movements: After a slight recovery on Tuesday, 10-year yields fell 8 basis points since Chair Powell's dovish speech on Wednesday and approached sub-3% levels by the weekend.

Key Information

• The report is based on data from the CFTC and other sources, including Macrobond, Bloomberg, and BNP Paribas.
• The net speculator positioning reflects non-commercial futures and options positions.
• The report contains legal disclaimers and is intended for professional clients and relevant persons only.
• It is not investment research for the purposes of MiFID II and is not subject to independence requirements.
• The document may contain simulated performance data and is not a prospectus or public offering.

Legal Disclaimer

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for "Relevant Persons" as defined under MiFID II and other regulatory frameworks.
• It does not constitute an offer to sell or issue any financial instrument and is for informational purposes only.
• No assurance is given that any indicated returns or results will be achieved.
• The document may contain performance data based on back-testing and is not a recommendation for investment.

Regulatory Context

• The report is distributed in compliance with the legal requirements of various jurisdictions, including the US, UK, France, Germany, Ireland, Italy, Netherlands, Portugal, Spain, Switzerland, and Turkey.
• In the US, it is intended for institutional investors and is subject to FINRA and CFTC regulations.
• In the UK, it is communicated by BNPP London Branch, authorized by the ECB and ACPR.
• In France, it is produced by BNPP SA and BNPP Arbitrage, supervised by ACPR and AMF.
• In Germany, it is distributed by BNPP Niederlassung Deutschland, supervised by ECB and BaFin.
• In Switzerland, it is intended for Qualified Investors and is authorized by FINMA.
• In Turkey, it is distributed by TEB Investment and TEB, in accordance with local regulations.

Conclusion

The report highlights a significant shift in net speculator positioning towards buying in US interest rate futures and options, particularly in FV and TY contracts. The overall net short position has decreased, indicating a more bullish sentiment in the market. The 10-year UST RSI is overbought, suggesting potential overvaluation. The document is a comprehensive market analysis but comes with important legal and disclaimers, emphasizing its use is restricted to professional clients and relevant persons.