20181012-法国巴黎银行-CFTC_POSITIONING_REPORT_US_INTEREST_RATE_FUTURES_AND_OPTIONS_16页_2mb

CFTC Positioning Report Summary: US Interest Rate Futures and Options (12 October 2018)

Core Content Overview

This report provides an analysis of the positioning of US interest rate futures and options as of the week ending 9 October 2018, based on data from the CFTC Commitment of Traders (CoT) report. The focus is on the behavior of net speculators, which refers to non-commercial positions in futures and options markets. The report highlights the implications of these positions on market trends and offers insights into potential misinterpretations of the data.

Main Points

1. Weekly Positioning Changes

• Net speculators bought a total of USD17mn DV01 across all contracts during the week.
• The net short position across all contracts was reduced to USD-236.8mn DV01, indicating a significant short-covering activity.

2. Curve Positioning

• The curve positioning showed a flattening bias, with USD2.5mn DV01 of flattening trades added.
• The net short position at the long-end exceeded the short position at the short-end by USD31.4mn DV01.
• The curve proxy is calculated as:
  [Short-end DV01 (ED + TU + FV)] - [Long-end DV01 (TY + UXY + US + WN)]

3. Positioning by Contract

• TY (10-year Treasury Note): Net speculators bought 102,500 contracts (USD7.5mn DV01), representing a 13% reduction from the previous week's record short.
• WN (2-year Treasury Note): Net speculators bought 14,500 contracts (USD3.8mn DV01), a 6% reduction from the previous week's record short.

4. 10Y UST Neutral Status

• The 10-year U.S. Treasury (UST) yield peaked on 8 October 2018 before the U.S. equity market weakness.
• By the end of the survey week (9 October), the 10Y UST returned to neutral levels, suggesting a potential shift in market sentiment.

5. Positioning Less Short Than It Appears?

• The CFTC introduced the Traders in Financial Futures (TFF) report in 2010, which categorizes traders into asset managers (AM), leverage funds (LF), dealers/intermediaries (DLR), and other reportables (OR).
• Leverage funds (LF) are considered similar to net speculators, while asset managers (AM) have shown a tripled long position since spring 2018.
• The net of AM and LF has been mostly positive since June, which may explain the gradual shortening of net speculator positions without triggering a short squeeze.
• The report suggests that AM positions are more stable, which may reduce the analytical impact of net speculator data.

Key Insights

• The net short position in US interest rate futures and options is reducing, with significant short-covering observed.
• The curve is flattening, indicating a shift in expectations about the yield curve's future shape.
• TY and WN have seen notable reductions in short positions, suggesting a potential shift in speculative activity.
• The 10Y UST has returned to neutral, which may signal a reversal of the prior bearish trend.
• The analysis of AM and LF positions offers an alternative perspective to net speculator data, suggesting that net specs may not fully reflect market sentiment due to the stickiness of AM positions.

Important Considerations

• This report is non-independent research and may be subject to conflicts of interest.
• The information is for professional clients and eligible counterparties only.
• Performance data included in the report is based on back-testing and is illustrative only.
• The document is not investment advice and is not tailored to the recipient's needs.

Legal Disclaimer

• This document is a marketing communication and not investment research.
• Securities may not be eligible for sale in all jurisdictions or to certain investors.
• The information is not verified and should not be relied upon as accurate or complete.
• Indicative prices are based on BNPP's internal models and may vary significantly from other sources.
• The report is subject to legal restrictions in various jurisdictions, including the UK, France, Germany, Ireland, Italy, Netherlands, Portugal, Spain, and Switzerland.
• U.S. disclosures emphasize that the report is not a prospectus and is intended for institutional investors only.

Conclusion

The report indicates a shift in speculative positioning, with net short positions decreasing and the curve flattening. It also raises questions about the interpretation of net speculator data, suggesting that AM positions may provide a more accurate reflection of market sentiment than net specs alone. The analysis of TFF categories adds a new dimension to understanding market dynamics in U.S. interest rate futures and options.