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US TSY FUTURES: CFTC CoT Shows Hedge Fund Short Trimming Ahead Of Election

US TSY FUTURES
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The latest CFTC CoT report showed some slightly more pronounced rounds of cover than we have generally seen in recent times, as participants reduced some exposure ahead of the election results (survey cut off was Tuesday November 5).

  • Hedge funds covered shorts across TY, US & WN futures, while they added to shorts in TU, FV & UXY futures. Their overall net positioning remains short across all contracts but net DV01 exposure moderated from the week prior.
  • Asset managers covered net longs in both TY & WN futures, although long setting across the remainder of the curve meant that their overall net long position was still added to in DV01 terms. The cohort remains net long across all contracts.
  • Net non-commercial positioning swings are outlined in the table below.
  • A reminder that the presence of basis trades skews the positioning metrics observed in the CFTC CoT.

Source: MNI - Market News/CFTC/Bloomberg

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The latest CFTC CoT report showed some slightly more pronounced rounds of cover than we have generally seen in recent times, as participants reduced some exposure ahead of the election results (survey cut off was Tuesday November 5).

  • Hedge funds covered shorts across TY, US & WN futures, while they added to shorts in TU, FV & UXY futures. Their overall net positioning remains short across all contracts but net DV01 exposure moderated from the week prior.
  • Asset managers covered net longs in both TY & WN futures, although long setting across the remainder of the curve meant that their overall net long position was still added to in DV01 terms. The cohort remains net long across all contracts.
  • Net non-commercial positioning swings are outlined in the table below.
  • A reminder that the presence of basis trades skews the positioning metrics observed in the CFTC CoT.

Source: MNI - Market News/CFTC/Bloomberg