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CFTC / Large Trader


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CFTC / Large Trader

  #21 (permalink)
comegetme
Los Angeles, CA
 
Posts: 7 since May 2015
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SMCJB View Post
It's all volume based. SOFR is a much much smaller contract in liquidity terms.

Probably falls into the 25 lot category.

Glad you worked it out.

On an unrelated note now that we are already talking about SOFR futures: I am using short positions in 3-month SOFR futures, ca. 1 year to expiration, as a hedge against rising interest rates for a treasury futures portfolio. Basically a carry trade on the slope of the yield curve. Can you think of any better alternatives?

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  #22 (permalink)
 myrrdin 
Linz Austria
 
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SMCJB View Post
My positions definitely exceed the level required for reporting. I'm a spread trader so that's actually a lot easier than you might think. Have you considered the total position summed across all accounts as thats what the CFTC look at. With regards to your specific situation I'm sorry I have nothing to offer. As @myrrdin found out, 25 lots of the "Bloomberg Commodity Index" contract - which is a tiny contract - fell into the 'other commodity' positions. Is it possible you have a position in a smaller less known contract that doesn't have a specific position limit?

Correct, I had to fill out this form although my account size is moderate.

All contracts without a defined position limit are summarized as "Other commodity positions". If the contracts you hold are small contracts, you will soon fall into this category of traders.

But: After filling out the form some time ago, which was easy, I never heard again from CFTC, and never had to do any reporting or answering questions.

Best regards, Myrrdin

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  #23 (permalink)
 
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 Schnook 
Munich, Germany
 
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comegetme View Post
On an unrelated note now that we are already talking about SOFR futures: I am using short positions in 3-month SOFR futures, ca. 1 year to expiration, as a hedge against rising interest rates for a treasury futures portfolio. Basically a carry trade on the slope of the yield curve. Can you think of any better alternatives?

Carry and rolldown trades work well in a stable rate environment, but if and when tapering becomes a reality, the belly of the curve could blow out, wiping out all of your carry and then some while your hedge does nothing to protect you. To be perfectly honest I don't like the trade you have on in large part because Powell and co. have made it abundantly clear that "tapering is not tightening," so if they follow through on their promise, intermediate to long-dated Treasuries could sell off pretty hard while the SOFR stays pinned at near zero. Real rates are deeply negative at present, largely due to QE, but massive deficit financing needs will cause issuance (supply) to remain substantial, potentially overwhelming private and foreign demand for US debt over the next year or two.

Overall I just don't find it an attractive risk-return proposition, but this is my opinion only and not meant to discourage anyone from reaching their own conclusions.

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Last Updated on September 4, 2021


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