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Marché
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COT Bloomberg IG Credit

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Credit · investment grade · CBOT

What is the Bloomberg IG Credit futures contract?

Bloomberg Investment Grade Credit

Satellite of Bloomberg HY Credit

A long means…

Exposure to a rise in the Bloomberg investment-grade credit index — higher-quality corporate bonds.

What is this?

Bloomberg investment-grade credit is an index of higher-quality corporate bonds in dollars — more than 800 industrial, financial and utility issuers, U.S. and foreign. The rating is BBB- or better. When the credit spread tightens versus Treasuries, bond prices rise and the index rises; when it widens, the reverse.

The CBOT future is used to take a view on that spread, or to hedge it, without buying the bonds. It is not the 10-year T-Note: this is investment-grade corporate risk, not sovereign duration. At expiry there are no bonds.

Pitfalls

  • Not the US 10Y Note (043602) and not the T-Bond.
  • Not HY (221605 / HYB): this is 221606, multiplier 30.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.