Asset Managers Top Bond Positions: US Treasury Bond, Fed Funds lead weekly Bullish & Bearish Bets

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The latest update for the weekly Commitment of Traders (COT) report was released by the Commodity Futures Trading Commission (CFTC) on Friday for data ending on Tuesday October 1st.

This weekly Bonds Financial Futures Leaders report highlights the Top 5 Most Bullish and Top 5 Most Bearish Positions for the Asset Managers category. Extreme positioning in these markets can foreshadow strong moves in the underlying instrument.

To signify an extreme position, we use the Strength Index (also known as the COT Index) of each instrument, which has been a common method among many leading COT practitioners. The Strength Index is simply a comparison of current trader positions against the range of positions over the previous 3 years. We use over 80 percent as extremely bullish and under 20 percent as extremely bearish. (Compare Strength Index scores across all markets in the data tables)


Asset Manager (Institutional Traders) Notes:

The Asset Managers are classified by the CFTC as part of the buy side participants in the futures markets.

Asset Managers or Institutional Traders are in the futures markets as investors for large institutional type entities such as insurance companies, mutual funds, pension funds or endowments as well as other large investment managers.

 


This Week’s Most Bullish Asset Manager Positions:

US Treasury Bond

The US Treasury Bond asset manager’s financial futures position comes in as the most bullish standing this week. The US asset manager level is currently at a 96 percent score of its 3-year range.

The asset manager position totaled 210,358 net contracts this week which was a change by -457 contracts from last week. The asset manager long position was a total of 472,564 contracts compared to the total asset manager short position of 262,206 contracts.


5-Year Deliverable

The 5-Year Deliverable asset manager’s futures position comes next in the bullish standings this week. The FI asset manager position is now at a 90 percent score of its 3-year range.

The asset manager position was 427 net contracts this week, a change by 139 contracts from last week. The asset manager long position was a total of 1,110 contracts versus the total asset manager short position of 683 contracts.


5-Year Swap

The 5-Year Swap asset manager’s futures position follows up next in the bullish standings. The LIW asset manager level resides at a 90 percent score of its 3-year range.

The asset manager position was 427 net contracts this week which marked a change by 139 contracts from last week. The asset manager long position was a total of 1,110 contracts versus the total asset manager short position of 683 contracts.


Ultra Treasury Notes

The Ultra Treasury Notes asset manager’s futures position comes up next in line for the bullish standings this week. The UB asset manager position is at a 79 percent score of its 3-year range.

The asset manager position was 611,401 net contracts this week and changed by 14,904 contracts from last week. The asset manager long position was a total of 657,327 contracts against the total asset manager short position of 45,926 contracts.


10-Year Note

The 10-Year Note asset manager’s futures position rounds out the top leaders in this week’s bullish standings. The TY asset manager level sits at a 67 percent score of its 3-year range.

The asset manager position was 806,289 net contracts this week which was a move of 48,375 contracts from last week. The asset manager long position was a total of 1,468,932 contracts in comparison to the total asset manager short position of 662,643 contracts.


This Week’s Most Bearish Asset Manager Positions:

Fed Funds

The Fed Funds asset manager’s futures position comes in as the most bearish standing this week. The FF asset manager level is at a 0 percent score of its 3-year range.

The asset manager position was -151,602 net contracts this week, a weekly change of -356 contracts from last week. The asset manager long position was a total of 16,918 contracts versus the total asset manager short position of 168,520 contracts.


1-MONTH SOFR (Secured Overnight Financing Rate)

The 1-MONTH SOFR asset manager’s futures position slides in next for the most bearish standing on the week. The SR1 asset manager position is at a 19 percent score of its 3-year range.

The asset manager position was -14,731 net contracts this week which was a change by -1,660 contracts from last week. The asset manager long position was a total of 0 contracts compared to the total asset manager short position of 14,731 contracts.


Ultra 10-Year Notes

The Ultra 10-Year Notes asset manager’s futures position comes in as third most bearish standing of the week. The TN asset manager level resides at a 20 percent score of its 3-year range.

The asset manager position was -830 net contracts this week saw movement by -9,011 contracts from last week. The asset manager long position was a total of 270,564 contracts against the total asset manager short position of 271,394 contracts.


5-Year Bond

The 5-Year Bond asset manager’s futures position comes in as this week’s fourth most bearish standing. The FV asset manager level is at a 28 percent score of its 3-year range.

The asset manager position was 1,184,615 net contracts this week which was a change by 38,416 contracts on the week. The asset manager long position was a total of 1,886,528 contracts versus the total asset manager short position of 701,913 contracts.


Eurodollar

Finally, the Eurodollar asset manager’s futures position comes in as the final most bearish standing for this week. The ED asset manager position is at a 39 percent score of its 3-year range.

The asset manager position was -2,052,404 net contracts this week and changed by -8,326 contracts from last week. The asset manager long position was a total of 589,948 contracts compared to the total asset manager short position of 2,642,352 contracts.


*COT Report: The weekly commitment of traders report summarizes the total trader positions for open contracts in the futures trading markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits), nonreportable traders (usually small traders/speculators), dealers (companies who sell financial products), leveraged money (Hedge funds, money managers, other trading funds) and asset managers (insurance companies, mutual funds, pension funds, endowments). Find CFTC criteria here: (https://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

The Commitment of Traders report is published every Friday by the Commodity Futures Trading Commission (CFTC) and shows futures positions data that was reported as of the previous Tuesday (3 days behind).

Article by CountingPips Research


 

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