USD Rates Chart Pack: Futures Positions & Curve Analysis

This report provides a comprehensive overview of US Treasury and interest rate futures positioning using CFTC COT data and includes detailed curve and butterfly analysis. It serves as a tool for identifying potential relative value opportunities in fixed income markets.

Key Takeaways

• 1.The report provides an aggregation of CFTC Commitment of Traders (COT) data to monitor investor positioning in US Treasury and interest rate futures.
• 2.Butterfly analysis serves as a relative value indicator for Treasury and swap yield curve curvature, where extremes may signal near-term rate or curve shifts.

Table of Contents

• Summary
• Explanatory Note
• Futures contract specifications
• CFTC Commitment of Traders: Non-commercial net positions in Treasury futures
• CFTC Commitment of Traders: Non-commercial net positions in futures
• CFTC Commitment of Traders: Net positions in Treasury futures by trader types
• CFTC Commitment of Traders: Net positions in futures by trader types
• Swap curve
• Treasury curve
• Swap butterflies
• Treasury butterflies
• SOFR futures open interest
• Treasury to bund and JGB spreads
• Fed SOMA Holdings
• Red Mount Analytics – Interest Rates Research specific dashboards
• Disclosures and certification
• Disclaimer

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