STIR: RBNZ Dated OIS Pricing Firmer Today, Mixed Vs Pre-RBNZ Decision Levels
RBNZ dated OIS pricing is 1-6bps firmer across meetings today. * Nevertheless, pricing remains mixe...
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FOREX: Leveraged Funds Add To AUD & NZD Shorts
Leveraged funds added to AUD and NZD shorts last week and cut back on GBP longs, per the CFTC positioning update. This data is for the week ending Tuesday the 28th of January. The table below presents the weekly positioning change and outright position by currency and investors type.
- In terms of contracts, leveraged investors added just over 13k in terms of AUD shorts. This puts outright shorts to -44.2k, which is the largest short since early 2022. For NZD, leveraged shorts are their largest since late 2019.
- GBP longs were cut by leveraged investors, down by 13k.
- For EUR and JPY, we saw both leveraged and asset manager investors add to positions in both currencies. For yen this came after the BoJ hike, although both investor types are still short in an outright sense.
- The broader asset manager bias is for long USD positions, albeit not against the EUR.
Table 1: CFTC Positioning Update By Currency & Investor Type
| Leveraged Contracts | Asset manager Contracts | |||
| Weekly Change | Outright Position | Weekly Change | Outright Position | |
| JPY | 5461 | -34175 | 11394 | -1813 |
| EUR | 938 | -34296 | 13518 | 174396 |
| GBP | -13120 | 19928 | -5279 | -69610 |
| AUD | -7622 | -44281 | 141 | -42405 |
| NZD | -4194 | -17935 | 3327 | -36716 |
| CAD | 8426 | -83946 | -6826 | -139704 |
| CHF | -3240 | -15169 | -2960 | -40551 |
| MXN | 1081 | -15631 | 6513 | 10179 |
Source: CFTC/MNI - Market/Bloomberg
US TSYS: Tsys Futures Off Session Lows, Curve Flattens
- Tsys futures are off session lows now with just the TU contract trading lower on the day, last -00⅛ at 102-25⅞, while TY is +12 at 109-07+
- a bullish corrective cycle remains intact and the TY contract is holding on to its recent gains. 109-11, the 50-day EMA, remains exposed. It has been pierced, a clear break of it would strengthen a bullish theme and open 109-31, the Dec 18 high. The medium-term trend condition is bearish. The bear trigger is 107-06, the Jan 13 low. Initial firm support has been defined at 108-06, the Jan 23 low.
- The 2yr yield rose 7bps earlier, and now trade just 3.5bps higher at 4.232%, while the 10yr is -4bps at 4.498%, just above the ytd lows of 4.486%.
- The 2s10s curve has dropped 7.5bps to 26bps having now erased all the steepening made this year, while teh 2s30s is -8.5bps at 50bps.
STIR: RBNZ Dated OIS Pushes Further Below Pre-Q4 CPI Levels
RBNZ-dated OIS pricing is flat to 5bps softer across meetings today, marking a decline of 4-6bps compared to pre-Q4 CPI levels on 22 January.
- The RBNZ’s sector factor model estimate of Q4 core inflation eased 0.2pp to 3.1% y/y, close to the top of the 1-3% target band. Q3 was revised down 0.1pp to 3.3%.
- 49bps of easing is priced for February, with a cumulative 126bps by November 2025.
Figure 1: RBNZ Dated OIS Today vs. Pre-CPI (%)
Source: MNI – Market News / Bloomberg
