Hedge Funds Net Short Ultra Bonds: U.S. Rates Positioning
7yy as cheap as they've been on FX hedged basis (and more, all via Bloomberg...)
While I still have access TO a terminal (and my position infographics), I thought I’d share a few highlights.
11/22/2021 10:12:49[BFW]
(Bloomberg) -- Weekly summary of U.S. rates positioning:
Hedge Funds Most Net Short Ultra Bonds Since March 2020
(Bloomberg) -- Hedge funds extended their net short position in long-end of the Treasury curve, adding to shorts in both Ultra Bond and Classic Bond futures, according to Commitments of Traders data for the week ended Nov. 16 from the Commodity Futures Trading Commission.
Hedge funds’ net short in Ultra Bond increased by $6.6m/DV01 to biggest since March 2020; their net short in Classic Bond futures increased by $1.9m/DV01
Asset managers were bearish across the curve, cutting net long positions, particularly in 10-year contracts by $7m/DV01; they added to net short in Ultra 10-year note futures by $5.9m/DV01 on the week
Fed custody holdings for foreign official accounts (week ended Nov. 17)
ICI Estimated Net New Cash Flow (week ended Nov. 10)
Japan Securities Transactions (week ended Nov. 12)
JP Morgan Treasury Client Survey (week ended Nov. 15) — shorts increasing
Primary dealer positions (week ended Nov. 10) — liquidation of COUPONS continues …
AND ahead of 7yr auction (cheapening) … Coupons due 6-7 yrs: $8.2b
SMRA Portfolio Manager Survey (Note: Subscription required; week ended Nov. 16)
Actual/Target Duration, Arithmetic: 99.2
Actual/Target Duration, Asset Weighted: 98.4
Bull/Bear Index, Arithmetic, 1-10 scale: 4.5
Bull/Bear Index, Asset Weighted, 1-10 scale: 3.4
Treasury allocation: 25%
Corporate allocation: 37.3%
MBS allocation: 21.1%
Agency allocation: 7.7%
Spread product allocations: 69.7%
Spread expectations: 4.82
AND for some SMRA context, I’ll leave you with this from BMO