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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
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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