US TSY FUTURES
The latest CFTC CoT report (covering the week ending 4 February) showed leveraged funds, asset managers and non-commercial investors extending on their respective net positioning biases.
- Leveraged funds added over $15mln DV01 equivalent of fresh net shorts across the curve. FV drove the bulk of that swing (over $12mln DV01 equivalent of fresh net shorts added), while net shorts were also added in UXY & US futures. Meanwhile, they trimmed their net shorts across the remainder of the curve (TU, TY & WN futures). The cohort remains net short across all contracts.
- Asset managers marginally extended on their net long position in curve-wide DV01 equivalent terms, adding just over $1mln of fresh net longs. Relatively aggressive trimming of TY net longs (over $9mln DV01 equivalent) and cover of some TU longs limited the overall positioning swing, with net long setting seen across the remainder of the curve. The cohort remains net long across all contracts.
- Non-commercial investors flipped to net short US futures from net long, while adding to existing net shorts across the remainder of the curve (see table below).
Source: MNI - Market News/CFTC/Bloomberg
182 words