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Marché
Rapport
Unité

COT US T-Bond 30Y (ZB)

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

Rates · Treasuries · CBOT

What is the US T-Bond 30Y (ZB) futures contract?

30-Year T-Bond (ZB)

A long means…

Exposure to a rise in the T-Bond futures price. When the contract rises, long yields in the deliverable basket fall.

What is this?

The T-Bond is the classic CBOT future on the long end of Treasuries: remaining maturity of at least fifteen years and less than twenty-five. It is set by long rates, inflation and insurers’ liabilities, and it tracks the cheapest-to-deliver. When the contract rises, those long yields fall. Insurers and pension managers adjust long duration here; dealers hedge their bond inventory. The Ultra Bond, deliverable at twenty-five years and beyond, is a different basket.

At expiry, Treasury bonds are delivered by book-entry transfer. Most positions are closed or rolled beforehand.

Pitfalls

  • T-Bond is not T-Note: this is the 30-year (ZB), not the 10-year (ZN).
  • Not the Ultra Bond (UB, 020604), ≥25y deliverable.
  • The CFTC name “UST BOND” is not a generic “US bond” bucket.
  • Long the price = short long yields, not “yields are going up”.

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.