ITC – CFTC Positioning (week ending Sept 25th)

CFTC COT data for the week ending Sept 25th:  Data captures continued weakness in USTs which were under pressure ahead of the FOMC meeting with the curve bear flattening. Data shows leveraged investors backed off record shorts in TY while adding steepener exposure further with net shorts in WN hitting another record. Large spec were sellers across most of the curve with combined sales in TY/US/WN totalling $12.7m/01. Asst Mgrs continued to add duration across much of the curve with record net long positions in TY & WN contracts

Leveraged: Bought $4.7m/01 in TY, backing off a record short. Continued to sell back-end however; flipping back to net short in US contracts after selling $4.8m/01 while net shorts in ultras hit another record at -440k. In the front-end, they were big sellers in the TU contracts –($5.8m/01) where net shorts hit a record but continued to reign in ED$s shorts where net shorts are smallest since Sept of 2017.

Large Spec: Heavy selling across most of the curve was focused in the long-end with combined sales in TY/US/WN totaling $12.7m/01 with net shorts in TY at a record -765k. Net shorts in US contracts largest since 2008 after having hit a record high (+104k) in Dec 2017. In the front-end, similar to the leveraged investors, they were sellers in TU while covering shorts in EDs.

Asst Mgrs: Continued to add duration across the curve, buying a combined $18.5m/01 in FV/TY/US/WN contracts. They are at or near record long in FV, TY, & Wn contracts.