December 23, 2024 11:06 GMT
US TSY FUTURES: CFTC Shows Hedge Funds & A Managers Trimming Exposure Into FOMC
US TSY FUTURES
The latest CFTC CoT report pointed to both hedge funds and asset managers reducing net exposure ahead of last week’s FOMC decision (survey cut off 17 December).
- Hedge funds trimmed net shorts in most contracts (TU, FV, TY & WN), comfortably outweighing additions to existing net shorts in UXY & US. The cohort remains net short across all contracts.
- Asset managers added to longs in TU, TY & US, but cut net longs across the remainder of the curve, with the latter dominating from a net DV01 equivalent perspective. The cohort remains net long across all contracts.
- Non-commercial net positioning saw a mix of net shorts being added to (TU, UXY, US & WN) and trimmed (FV & TY). The cohort remains net short across all contracts.
- CFTC CoT positioning metrics will be skewed by the presence of basis trades.
Source: MNI - Market News/CFTC/Bloomberg
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