Rates

Overall non-price evidence still leans toward futures bulls (i.e., expectation of lower short-end yields): CFTC positions show recent-month net short size has been partially covered, a much larger-than-expected trade deficit and weak consumer confidence support expectations of short-end rate cuts; however, a slight uptick in the implied policy rate and an unexpected rise in core CPI offset part of the downward momentum. Overall maintain bullish view, but confidence is somewhat diminished versus the previous edition due to unfavorable signals in the implied policy path and inflation data.

• Futures implied policy rate 3.955 (当前) vs 上一版隐含 3.93, 略上移
• CFTC net positions covered from 2026-09-22's -1,350,740 to 2026-09-29's -1,165,980 (短仓减少, 利好期货多头)
• us_cpi_core_mom 2026-10-14 actual 0.3% vs expected 0.2% (moderate, 利空多头)
• us_trade_balance 2026-10-06 actual -105,572,000,000 vs expected -100,800,000,000 (major, 显著不利, 支持短端利率下行)
• MOVE 波动率 99.06 (当前), 较此前 ~101 降低, 市场波动性中性偏低

Maintain buy 5-year Treasury futures (long), because CFTC positions still show large net shorts, creating potential forced-covering upside; but recent macro and policy signals lean toward higher yields, weakening long certainty. Specifically, CFTC net shorts persist (as of 2026-09-29 net_position -1,985,787, OI 6,789,241), supporting futures price upside; at the same time 10-14 core CPI m/m 0.3% (above 0.2% expected), trade deficit widened to -105.572B (expected -100.8B) and futures-implied policy rate 3.955 and MOVE 99.06 strengthened yield-upward momentum. Evidence is conflicting, so maintain the original direction but lower confidence.

• CFTC net positions: 2026-09-29 net_position -1,985,787, long_contracts 662,168, short_contracts 2,647,955, open_interest 6,789,241
• CFTC prior-week data: 2026-09-22 net_position -1,858,062, open_interest 6,599,737 (shows large net short persists)
• Futures-implied policy rate: 3.955 (reflects tighter policy expectations)
• MOVE volatility index: 99.06 (risk premium/uncertainty at moderately high)
• US core CPI (2026-10-14): m/m 0.3%, expected 0.2% (moderate upside surprise, supports higher rates)
• US trade balance (2026-10-06): actual -105,572,000,000, expected -100,800,000,000 (material miss versus expectations, reinforces macro and risk uncertainty)
• 5Y yield (corroboration): 5.0% (past week -6bp、past month +22bp、past 3 months +69bp, price/yield movement is a secondary corroboration)

Continue to be short 10Y futures (sell futures, expect yields to rise). The rationale is based on non-price signals: speculative/hedge net shorts expanded from -1,868,126 on 9/15 to -2,036,432 on 9/29, indicating the market is betting on higher rates; the futures-implied policy rate remains high (3.955), and the 10-year term premium is still elevated (1.0729), providing structural support for higher nominal yields. Recent macro developments contain materially inflation-positive signals — core CPI month-on-month 0.3% exceeded the 0.2% expectation, and the trade deficit -105,572,000,000 was much worse than the -100,800,000,000 expectation, which also supports higher rates. Price is only secondary corroboration: 10Y yield 5.21% (10/13), +25bp in the past month, +63bp in the past three months.

• CFTC net_position 9/15 = -1,868,126 -> 9/29 = -2,036,432 (net short increased)
• futures-implied policy rate = 3.955 (high)
• 10-year term premium = 1.0729 (elevated, supports nominal yields rising)
• 10-year real yield = 2.88
• core CPI (US) 2026-10-14: 0.3% vs expected 0.2% (moderate surprise)
• trade balance 2026-10-06: -105,572,000,000 vs expected -100,800,000,000 (large surprise, external demand/inflationary pressure)
• MOVE index = 99.06 (volatility neutral)
• 10Y yield 2026-10-13 = 5.21%, past month +25bp (price is secondary corroboration)

Based on non-price evidence, short term (1–3 months) inclined to sell 30-year Treasury futures (betting on higher yields). CFTC shows speculative net short remains substantial, futures-implied policy rate has risen and recent core CPI month-on-month exceeded expectations, these factors together point to higher medium- to long-term rates; although the large trade deficit and the decline in MOVE provide some safe-haven support, they are insufficient to offset upward pressure. Overall judgment: short-term bias toward being short.

• CFTC net positions: 2026-09-29 report net short -251,395 contracts (long 159,474 / short 410,869)
• Futures-implied policy rate 3.955 (tightening, upward pressure on short end/medium- to long-term)
• Core CPI month-on-month 2026-10-14 actual 0.3% vs expected 0.2% (moderate surprise, inflation on the hot side)
• MOVE interest-rate volatility index 99.06 (has fallen, safe-haven support for long-term Treasuries weakened relative to earlier environment)
• U.S. trade balance 2026-10-06 actual -105,572,000,000 vs expected -100,800,000,000 (much worse than expected, provides limited support for long-term bonds)

Maintain the sell (short) judgement on Canada 10-year rate futures: upward momentum on the US side transmitted across markets still primarily drives risk. Recent key US data continue to signal tightness (core CPI and trade deficit unexpectedly large), supporting US Treasury yields rising and transmitting to Canadian bonds. Because the evidence level for this pillar is low (no domestic holdings/options/auction data), confidence is limited, and local Canadian price action is only secondary corroboration and cannot change the directional conclusion.

• US core CPI (2026-10-14) 0.3% m/m vs 0.2% expected (moderate upside surprise)——supports higher US Treasury yields
• US trade balance (2026-10-06) -105,572,000,000 vs -100,800,000,000 expected (major deficit widening)——adds uncertainty to US yields moving higher
• Canada 10Y yield 3.87% (2026-10-13); 1w -9.0bp, 1m -7.0bp, 3m +36.0bp——the short-term decline provides price corroboration but 3m still higher
• US-CA 10Y spread -134.0bp ——US Treasuries relatively have more upside momentum, cross-market transmission path exists
• Evidence level: Low (no positions, no options, no auction data), basis mainly cross-market transmission and macro)