USD Rates Chart Pack: Futures Positions and Curve Analysis

This report provides a comprehensive visual guide to US Treasury futures positioning and curve analysis using CFTC Commitment of Traders data and butterfly spreads. It aims to identify extreme market positioning that could lead to near-term volatility or trend reversals in interest rates.

Key Takeaways

• 1.The report analyzes CFTC Commitment of Traders data to track investor positioning across US Treasury maturity sectors.
• 2.Butterfly analysis is employed as a key relative value indicator for the Treasury and swap yield curve curvature.
• 3.Extreme positioning and curvature levels are highlighted as potential precursors to 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: 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
• Disclosures and certification

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