Update
Goldman: Expect Short Positions in Bond Futures
Goldman Sachs observed some CTA (Commodity Trading Advisors) positions in the long side last week and expects more short positions, particularly in significant amounts. The firm anticipates that CTA/strategists will buy some government bond futures in the base scenario. They have seen changes in the short-term trend in Eurex, Japan, and longer-dated futures in the US. Goldman expects the community to be short on a significant $164M/bp DV01 globally, and to have covered or taken profits on $12M/bp in the last week. For the upcoming week, Goldman expects additional short positions of $20M, and cumulative short positions of $64M in the next month. This would leave the position still short, but not as significantly as before.