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CFTC CoT Shows Asset Managers Adding To Duration & SOFR Longs Into FOMC & CPI

US TSY FUTURES

Last week’s CFTC CoT report (reference period cut off Tuesday 11 June) noted that non-commercial net positioning remains short across all Tsy futures contracts (this will be skewed by basis trade positions).

  • In terms of the weekly movement, net shorts in the wings (TU & WN futures) were added to ahead of last week’s FOMC decision and CPI data, while net shorts were trimmed elsewhere (FV, TY, UXY & US futures).
  • Asset managers added to their net long duration position across much of the curve, although trimmed net longs in both TY & UXY futures.
  • Further forwards, that investor group flipped to net long positioning in SOFR futures for the first time since July ’23.
  • Meanwhile, hedge funds extended their net shorts in SOFR futures (to the deepest level seen since April ’23) and trimmed net shorts in TY futures.
  • A reminder that we suggested hedge fund short cover may have played into the move higher in SOFR futures during the second half of last week, as softer-than-expected inflation data and French political uncertainty provided dovish inputs for the market-implied Fed policy rate path.

Source: MNI - Market News/CFTC/Bloomberg

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Last week’s CFTC CoT report (reference period cut off Tuesday 11 June) noted that non-commercial net positioning remains short across all Tsy futures contracts (this will be skewed by basis trade positions).

  • In terms of the weekly movement, net shorts in the wings (TU & WN futures) were added to ahead of last week’s FOMC decision and CPI data, while net shorts were trimmed elsewhere (FV, TY, UXY & US futures).
  • Asset managers added to their net long duration position across much of the curve, although trimmed net longs in both TY & UXY futures.
  • Further forwards, that investor group flipped to net long positioning in SOFR futures for the first time since July ’23.
  • Meanwhile, hedge funds extended their net shorts in SOFR futures (to the deepest level seen since April ’23) and trimmed net shorts in TY futures.
  • A reminder that we suggested hedge fund short cover may have played into the move higher in SOFR futures during the second half of last week, as softer-than-expected inflation data and French political uncertainty provided dovish inputs for the market-implied Fed policy rate path.

Source: MNI - Market News/CFTC/Bloomberg