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Mixed Swings, Hedge Funds Set Fresh Record TU Short Position

US TSY FUTURES

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

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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