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CFTC CoT Shows Hedge Funds Extending Record TU Net Short

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

The latest CFTC CoT report (covering the period through Jun 18) showed hedge funds extending already record net short positioning in TU futures, despite a dovish move in FOMC-dated OIS pricing over the survey period

  • Conversely, the same cohort’s prior net short position in SOFR futures vanished, as they flipped back to net long positioning.
  • Softer-than-expected CPI & PPI readings likely drove the move in their SOFR positioning, providing the major inputs for the dovish adjustment in Fed pricing.
  • The survey period also captured the latest FOMC decision, as well as the onset of the French political uncertainty.
  • Asset managers extended their overall net long duration position, although trimmed net longs in FV & UXY futures.
  • Overall, the report showed a mix of non-commercials extending some existing net shorts (TU, TY, US & WN) and trimming some existing net shorts (FV & UXY).
  • CFTC CoT positioning measures will be skewed by basis trades.

Source: MNI - Market News/CFTC/Bloomberg

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The latest CFTC CoT report (covering the period through Jun 18) showed hedge funds extending already record net short positioning in TU futures, despite a dovish move in FOMC-dated OIS pricing over the survey period

  • Conversely, the same cohort’s prior net short position in SOFR futures vanished, as they flipped back to net long positioning.
  • Softer-than-expected CPI & PPI readings likely drove the move in their SOFR positioning, providing the major inputs for the dovish adjustment in Fed pricing.
  • The survey period also captured the latest FOMC decision, as well as the onset of the French political uncertainty.
  • Asset managers extended their overall net long duration position, although trimmed net longs in FV & UXY futures.
  • Overall, the report showed a mix of non-commercials extending some existing net shorts (TU, TY, US & WN) and trimming some existing net shorts (FV & UXY).
  • CFTC CoT positioning measures will be skewed by basis trades.

Source: MNI - Market News/CFTC/Bloomberg