***Latest Commitment of Traders......>

US TSY FUTURES: ***Latest Commitment of Traders data were released on Friday for

week to Dec 19th.

- Levered investors went into the end of the year with some of their largest

ever short positions once all the contracts are summed together and weighted

according to duration. MNI calculates a E218bln of 10Y equivalents. However, a

buying splurge in eurodollar contracts has reduced that short slightly in the

past week.

- Generally, asset managers sit on flatteners (and these investors usually have

a greater impact upon prices when positions unwind).

- Over the past month, asset managers appears to have bought 10Y futures from

levered investors, the latter have about the largest short that has been seen

since the data was introduced.

- US Futures positioning uses the newer version of the Commitment of Traders

Report that splits between "asset Managers/Leveraged/Dealers/Other Reportables.

See https://tinyurl.com/znjt6z6 for charts of Current 10-year equivalent

positions.