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Mixed Swings, Hedge Funds Set Fresh Record TU Short Position

US TSY FUTURES
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Friday’s CFTC CoT report points to mixed net positioning movement in Tsy futures in the wake of the monthly CPI data.

  • There was a reduction in net short positioning across FV, TY, US & WN futures, while net short positioning in UXY futures increased.
  • Net TU positioning was little changed.
  • Note that net TY positioning registered the shallowest net short of the last 52 weeks (in outright and % of OI terms), as the recent reduction extended.
  • Net short positioning in US futures moved towards the shallowest levels seen in the last 52 weeks.
  • Diving deeper into the data, hedge fund net shorts in TU futures rose to a record level.
  • The CFTC CoT report covered April 10-16, meaning that the CPI, PPI, UoM and retail sales data were all released during the reporting period.
  • Also note that the well-documented comments from Fed Chair Powell & Vice Chair Jefferson (which seemed to cool on the idea of imminent rate cuts) hit during the reporting window.
  • As such, the period covered by this CFTC CoT report saw the bulk of the recent hawkish repricing for the market-implied ’24 Fed rate path.
  • Positioning will be skewed by basis trades, as ever.

Source: MN - Market News/Bloomberg

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Friday’s CFTC CoT report points to mixed net positioning movement in Tsy futures in the wake of the monthly CPI data.

  • There was a reduction in net short positioning across FV, TY, US & WN futures, while net short positioning in UXY futures increased.
  • Net TU positioning was little changed.
  • Note that net TY positioning registered the shallowest net short of the last 52 weeks (in outright and % of OI terms), as the recent reduction extended.
  • Net short positioning in US futures moved towards the shallowest levels seen in the last 52 weeks.
  • Diving deeper into the data, hedge fund net shorts in TU futures rose to a record level.
  • The CFTC CoT report covered April 10-16, meaning that the CPI, PPI, UoM and retail sales data were all released during the reporting period.
  • Also note that the well-documented comments from Fed Chair Powell & Vice Chair Jefferson (which seemed to cool on the idea of imminent rate cuts) hit during the reporting window.
  • As such, the period covered by this CFTC CoT report saw the bulk of the recent hawkish repricing for the market-implied ’24 Fed rate path.
  • Positioning will be skewed by basis trades, as ever.

Source: MN - Market News/Bloomberg