By Edward Bolingbroke. (Bloomberg) -- Speculators sharply ... JP Morgan Treasury Client Survey (week ended April 17) o.
Positioning Summary/UPDATES:
AS OF: 04/21/17 [BFW]
Speculators Cover Shorts Across the Yield Curve, CFTC Data Show By Edward Bolingbroke (Bloomberg) -- Speculators sharply covered Treasury futures and eurodollar shorts by a combined $20M/DV01, latest CFTC positioning data shows. Most covering across eurodollars where shorts were cut by $8.5M/DV01, or 108k 10Y equivalents; 5Y futures shorts were reduced by $5.8M/DV01, or 74k 10Y equivalents Asset managers continued trend of cutting eurodollar shorts while adding to longs further out the curve; Eurodollar shorts were trimmed by $1.7M/DV01 while combined $10M/DV01 were added from 5Y to ultra bond futures The CFTC reporting period captures week ending April 18, capturing rally across eurodollars and Treasuries to YTD highs
Fed custody holdings for foreign official accounts (week ended April 19) o o
US government securities: $2.89t Federal agency securities: $259b
ICI Estimated Net New Cash Flow (week ended April 12) o
Taxable bond funds received $1.61b, 19th consecutive net inflow
Japan Securities Transactions (week ended April 14) o
Foreign bonds: -796.2b yen
JP Morgan Treasury Client Survey (week ended April 17) o o o o o o o o
All Long: 18 All Neutral: 64 All Short: 18 All Net: 0 Active Long: 30 Active Neutral: 60 Active Short: 10 Active Net: 20
Primary dealer positions (week ended April 12) o o o o o o o o o o o o
Total: $102b Bills: $13.1b Coupons due 2 yrs or less: $31.4b Coupons due 2-3 yrs: -$9.19b Coupons due 3-6 yrs: $21.1b Coupons due 6-7 yrs: $1.23b Coupons due 7-11 yrs: $2.49b
Coupons due in more than 11 yrs: $29.3b, highest in records back to July 4, 2001 TIPS due in 2 yrs or less: $1.46b TIPS due in 2-6 yrs: $3.46b TIPS due in 6-11 yrs: $2.69b TIPS due in more than 11 yrs: $752m
SMRA Portfolio Manager Survey (week ended April 18) o o o o o o o o o o
Actual/Target Duration, Arithmetic: 99.7 Actual/Target Duration, Asset Weighted: 99.9 Bull/Bear Index, Arithmetic, 1-10 scale: 5 Bull/Bear Index, Asset Weighted, 1-10 scale: 4.6 Agency allocations: 7.5%
MBS allocations: 22.3%, lowest since March 12, 2002 Treasury allocations: 24.5% Corporate allocations: 36.2% Spread product allocations: 69.9% Spread expectations: 4.6
U.S. Total Cross-Border Investment Inflow $19.3b in Feb U.S. net long-term portfolio securities inflows at $53.4b in Feb. • China holds $1.06t of U.S. Treasuries, an increase of $8.6b from last month • Belgium holds $105.2b of U.S. Treasuries, a decrease of $7b from prior month • Russia holds $86.3b of U.S. Treasuries, an increase of $0.1b from prior month • Japan holds $1.12t, an increase of $12.6b from last month • Cayman Islands hold $258.0b, an increase of $1.1b from last month • Saudi Arabia holds $113.8b, an increase of $1.5b from last month • Foreign net selling of Treasuries at $13.5b • Foreign net buying of equities at $19.1b • Foreign net buying of corporate debt at $17.6b • Foreign net buying of agency debt at $12.7b • U.S. Treasury issues monthly report on international capital flows
