CFTC positions June 25th: AMs shed some long-end duration in the post-FOMC

Data captures the sharp rally out of the dovish June FOMC meeting. The curve bull steepened aggressively  as 2y yields dipped below 1.70% as the market moved to price in ~35bps cut in July. 2s10s steepened to a 28-30bps range while 5s30s broke above 80bps.

AMs appeared to be shedding some duration in the longer-end into the rally, notably in TY where they more than off-set prior week’s purchases, selling -157k contracts or $12.7m/01. Further out the curve, net longs in USU9 climbed by just 7k contracts while the reduced WN longs by $3.2m/01. In the front-end, they were net buyers with longs in TU & FV growing by a combined $5.3m/01.

Large spec investors on the other hand appeared to be fading the curve steepening move, reducing shorts further out the curve. Largest duration purchase was in TY where they reduced net shorts by almost $10m/01 (122k contracts). Further out the curve, combined purchases in US & WN contracts totaled $2.5m/01. In the front-end, spec increased net shorts in TU by $4.8m/01 while once again buying ED$s. Net longs in ED$s swelled by $6.6m/01 with the position growing to 1273k, the largest in over 10ys. The combination of TU selling an ED$ buying may have played a part as TU invoice spreads back near 5bps coming out of the FOMC meeting.