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10y Positioning Deteriorated Further Last Week

CFTC

Fixed Income: Markets continue to build short 10y

  • The 10y future position drifted further in the week ending Nov 30, with the net short rising to 8.2% of open interest and a new multi-year high.
  • Short-end positioning improved, with 2yr flipping back to neutral, while markets maintained a short position in the long-end via Ultras.



Foreign Exchange: Commodity FX exposure slashed

  • Markets slashed exposure to commodity-tied FX in the week ending Nov 30, with AUD, CAD and NZD all seeing their net positions deteriorate.
  • This leaves markets most short AUD, JPY and MXN, while NZD maintains an increasingly fragile net long.


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