US Rates: Weekly CFTC Report

Transcription

1 $ Billion (1yr Equivalent) $ Billion (1yr equivalents) US Rates: Weekly CFTC Report Rates, FX and Commodities Research 13 January 217 TD Securities New York US RATES: WEEKLY CFTC REPORT Note: The CFTC data is reported as of January 1th, 217. The speculators net short positions were extended for the third consecutive week, with total 1yr equivalent net shorts increasing to -$1.7B from -$94.3B the week before. This refreshed the record level of Treasury futures net short positions. Overall fast money accounts still put on massive short bet on the Treasury futures while real money accounts maintained net long positions. TU (2yr): Speculators net short positions were cut significantly. Asset managers and leveraged funds added net long positions while dealers extended their net shorts. FV (yr): Speculators and leveraged funds net shorts were once again extended, both hit the largest level on record. However, asset managers increased their net long holdings to the biggest level in the history. TY (1yr): Speculators net short positions surged to the new record. However, commercial category continued to add net long positions and commercial to non-commercial spread widened to the widest level ($14B) on record. Asset managers net long positions were extended to the highest level since February US (3yr): Speculators net shorts were increased to the highest level since 212. However, asset managers extended their net long positions to the largest level since January 21. WN (Ultra Long): Net short positions held by speculators and leveraged funds declined modestly. Asset managers still largely maintained net long positions. ED (Eurodollar): Speculators and leveraged funds net short positions were extended to the largest level on the record. Asset managers and leveraged funds largely held net short positions. However dealers net long positions were extended to the highest level in the history. 2 Total Treasury Implied CFTC Positioning 1.2 Cheng Chen, New York Net Treasury Futures Positions 1yr Yield (RHS) Breakdown of Total Treasury Positioning 6 Ultras 3s 1s 4 s 2s Net yr Yield (%), Inverted CFTC Positioning Z-Score Summary Current Week Past Week Total Treasury 2yr Futures yr Futures 1yr Futures Classic Bond Futures Ultra Bond Futures Treasury Curve Eurodollars DJIA S&P Aug-1 Nov-1 Feb-16 May-16 Sep-16 Dec-16 Nasdaq Russell

2 $ Billion (1yr equivalents) $ Billion (1yr equivalents) $ Billion (1yr equivalents) $ Billion (1yr equivalents) $ Billion (1yr equivalents) $ Billion (1yr equivalents) US Rates: Weekly CFTC Report 13 January 217 TD Securities New York Treasury Futures Positioning (1yr Equivalents) 1 2yr Futures (TU) Implied CFTC Positioning.1 yr Futures (FV) Implied CFTC Positioning yr Yield (RHS) yr Yield (%), Inverted yr Yield (%), Inverted yr Yield (RHS) yr Futures (TY) Implied CFTC Positioning 1. 2 Classic Bond Futures (US) Implied CFTC Positioning yr Yield (RHS) Ultra Bond Futures (ZX) Implied CFTC Positioning yr Yield (RHS) yr Yield (%), Inverted 3yr Yield (%), Inverted yr Yield (RHS) Eurodollar Implied CFTC Positioning White Pack Implied Yield (RHS) yr Yield (%), Inverted White Pack Implied (%), Inverted 2

3 13 January 217 TD Securities New York 2yr Treasury Futures (TU) Positioning Breakdowns 3

4 13 January 217 TD Securities New York yr Treasury Futures (FV) Positioning Breakdowns 4

5 13 January 217 TD Securities New York 1yr Treasury Futures (TY) Positioning Breakdowns

6 13 January 217 TD Securities New York Treasury Bond Futures (US) Positioning Breakdowns 6

7 13 January 217 TD Securities New York Ultra Long Term Treasury Futures (WN) Positioning Breakdowns 7

8 13 January 217 TD Securities New York 3m Eurodollar Futures (ED) Positioning Breakdowns 8

9 $ Billion $ Billion $ Billion $ Billion US Rates: Weekly CFTC Report 13 January 217 TD Securities New York DJIA Implied CFTC Positioning 2, 6 S&P Implied CFTC Positioning 2,4 4 19, 4 2,3 3 18, 2 2, , DJIA Index 2,1 2, S&P Index 16, -2 1,9-1 1, DJIA Index (RHS) -2 14, -4 1,8 S&P Index (RHS) -6 1,7 3 2 NASDAQ Implied CFTC Positioning NASDAQ (RHS),8,3 4 2 Russell Implied CFTC Positioning 1,4 1, ,8 4,3 3,8 NASDAQ Index ,2 1,1 1, 9 Russell 2 Index 3,3 2,8 Jul-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-1 Aug Russell 2 (RHS) -8 7 Jul-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-1 Aug-1 Explanatory Primer: US Rates Strategy Team: Priya Misra Head of Global Rates Strategy Priya.misra@tdsecurities.com Global Disclaimer: Gennadiy Goldberg US Rates Strategist gennadiy.goldberg@tdsecurities.com Cheng Chen US Rates Strategist cheng.chen@tdsecurities.com