U.S. Rates Positioning No Impediment to Further Selloff: BofA
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Carol Zhang (Bank of America Corp)
Shyam Rajan (Bank of America Corp)
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UUID: 7947283
(Bloomberg) -- Short positioning by speculators in U.S. rate futures “is not as stretched as widely believed” for three reasons, BofA strategists Shyam Rajan and Carol Zhang say in note.
- First, performance of total return funds suggests that they were short duration during September selloff and covered when 10Y yield was in 2.25%-2.30% range
- Second, auction allotment data suggests investment funds “used the weakness to buy the belly of the curve” in late September
- Third, payer skews “have not moved noticeably in this selloff,” suggesting there’s been little change in positioning
- Some of the move “has been driven more by speculation of a more hawkish Fed chair,” and has potential to reverse when the announcement is made, especially if Taylor isn’t named chair or vice chair
- Proportion of the move explained by rise in term premiums (as opposed to repricing in Fed expectations) is lower than in prior selloffs
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Carol Zhang (Bank of America Corp)
Shyam Rajan (Bank of America Corp)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283