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Positioning into CPI

MACRO ANALYSIS
  • Reports we've seen point to moderation in long positioning last week. CFTC data from Friday (for week ending Jan 2) showed reduction in long positions in SOFR futures (bbg); "Hedge funds cut net long in SOFR futures by $3.5m/DV01 on the week, have now seen a drop in net long of almost 300,000 contracts over the past three weeks". On the flipside AM did add net longs in long-end & Ultra's. JP Treasury client survey also showed a sharp reversal away from Dec highs in long positioning - now at "most neutral levels since early-October".
  • Our US Eco sees "even without a beat, the realization of still relatively sticky core CPI inflation could help continue a trimming of Fed rate cut expectations compared to extremes seen late last year".

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