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📈 5年SOFR互换 COT持仓

5Y ERIS SOFR Swap · 核心指标: Asset Manager净多头
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报告日期
2026-06-23
每周五更新 (周二发布)
未平仓合约 OI
172,273
-5,526 周变化
AM净多头
-19,593
+142 周变化
AM 多头
16,913
空头 36,506
Lev.Money净多
-46,296
Dealer净多
+26,206

Asset Manager 持仓走势

历史数据

日期 OI AM多 AM空 AM净 LM多 LM空 LM净 Dealer多 Dealer空 Dealer净 Other多 Other空
2026-06-23 172,273 16,913 36,506 -19,593 6,202 52,498 -46,296 43,231 17,025 +26,206 68,226 28,476
2026-06-16 177,799 16,913 36,648 -19,735 6,202 54,905 -48,703 42,956 17,685 +25,271 70,281 27,054
2026-06-09 183,115 16,913 36,082 -19,169 6,162 52,141 -45,979 43,026 16,690 +26,336 68,475 29,592
2026-06-02 171,859 16,500 19,869 -3,369 2,632 44,793 -42,161 41,131 9,280 +31,851 14,743 19,450
2026-05-26 161,872 9,413 36,922 -27,509 6,956 53,216 -46,260 47,128 714 +46,414 56,627 29,214
2026-05-19 163,857 9,594 36,831 -27,237 6,925 53,838 -46,913 47,128 944 +46,184 57,444 29,416
2026-05-12 187,396 50,944 36,424 +14,520 6,048 68,136 -62,088 30,545 14,679 +15,866 59,413 27,654
2026-05-05 190,301 50,944 34,388 +16,556 5,995 70,110 -64,115 31,180 16,339 +14,841 58,838 26,063
2026-04-28 208,810 50,944 34,041 +16,903 5,995 72,321 -66,326 31,398 15,597 +15,801 59,932 26,253
2026-04-21 204,653 50,944 34,404 +16,540 5,995 75,999 -70,004 31,621 15,637 +15,984 63,399 25,852
2026-04-14 198,187 40,944 34,410 +6,534 6,092 75,978 -69,886 33,068 5,932 +27,136 61,937 25,664
2026-04-07 194,154 40,944 34,351 +6,593 4,458 73,094 -68,636 32,269 5,265 +27,004 61,537 26,441
2026-03-31 192,287 40,944 34,127 +6,817 4,343 75,322 -70,979 32,280 4,416 +27,864 59,467 23,112
2026-03-24 185,469 51,067 33,630 +17,437 4,753 65,406 -60,653 10,482 3,971 +6,511 60,782 24,020
2026-03-17 185,838 50,515 33,454 +17,061 5,175 67,443 -62,268 11,056 3,941 +7,115 61,191 23,042
2026-03-10 174,329 50,515 30,375 +20,140 4,896 65,608 -60,712 10,922 3,961 +6,961 58,950 25,275
2026-03-03 158,565 50,638 29,550 +21,088 3,273 66,976 -63,703 9,981 3,961 +6,020 61,974 25,315
2026-02-24 156,439 50,638 29,659 +20,979 3,671 64,474 -60,803 10,120 4,197 +5,923 59,733 25,751
2026-02-17 156,359 50,638 29,659 +20,979 4,811 65,124 -60,313 10,120 3,991 +6,129 58,516 25,237
2026-02-10 160,585 50,638 29,456 +21,182 4,885 64,487 -59,602 10,120 3,910 +6,210 56,699 24,415
2026-02-03 147,071 50,638 29,341 +21,297 9,268 47,009 -37,741 10,070 4,010 +6,060 35,268 24,789
2026-01-27 140,053 50,350 29,240 +21,110 8,503 40,932 -32,429 10,070 4,010 +6,060 31,651 26,331
2026-01-20 142,099 50,350 29,436 +20,914 8,318 41,879 -33,561 10,000 4,010 +5,990 32,503 25,772
2026-01-13 142,434 50,350 29,336 +21,014 8,132 42,001 -33,869 10,000 4,010 +5,990 32,253 25,314
2026-01-06 119,654 30,350 28,913 +1,437 27,470 40,874 -13,404 11,037 4,010 +7,027 30,726 25,720
2025-12-30 116,177 30,350 28,913 +1,437 24,430 34,304 -9,874 11,037 4,010 +7,027 33,616 25,808
2025-12-23 126,827 30,350 28,913 +1,437 22,587 39,957 -17,370 11,037 4,010 +7,027 34,428 25,458
2025-12-16 124,354 30,350 28,691 +1,659 21,721 38,325 -16,604 10,887 4,010 +6,877 33,504 25,372
2025-12-09 132,618 28,850 27,716 +1,134 20,016 37,090 -17,074 12,387 3,950 +8,437 31,980 24,407
2025-12-02 121,054 0 28,015 -28,015 18,455 36,947 -18,492 13,342 3,950 +9,392 62,022 24,842
2025-11-25 141,523 0 27,900 -27,900 11,684 57,115 -45,431 13,227 4,020 +9,207 89,022 24,838
2025-11-18 138,438 0 27,638 -27,638 13,101 56,118 -43,017 13,297 4,000 +9,297 85,873 24,451
2025-11-10 137,392 0 24,957 -24,957 11,925 55,077 -43,152 13,297 4,050 +9,247 86,055 27,128
2025-11-04 123,134 0 24,236 -24,236 13,041 41,342 -28,301 13,087 4,100 +8,987 71,015 27,400
2025-10-28 114,349 0 24,500 -24,500 12,930 32,433 -19,503 13,087 4,150 +8,937 62,704 27,553
2025-10-21 109,481 0 23,230 -23,230 18,842 29,514 -10,672 12,982 4,240 +8,742 52,479 27,258
2025-10-14 111,692 0 23,048 -23,048 21,046 31,990 -10,944 12,982 4,200 +8,782 52,739 27,469
2025-10-07 110,986 0 22,611 -22,611 21,106 32,187 -11,081 12,882 4,200 +8,682 51,978 26,910
2025-09-30 109,428 0 19,129 -19,129 22,889 34,314 -11,425 10,292 4,200 +6,092 51,484 26,964
2025-09-23 113,230 0 18,680 -18,680 12,760 36,284 -23,524 9,807 6,715 +3,092 65,354 26,184
2025-09-16 111,141 0 17,627 -17,627 20,311 34,066 -13,755 9,687 7,085 +2,602 55,904 27,066
2025-09-09 118,708 0 17,158 -17,158 20,957 36,561 -15,604 10,087 7,482 +2,605 54,603 24,390
2025-09-02 102,579 0 13,456 -13,456 21,426 34,892 -13,466 11,342 4,347 +6,995 44,817 24,834
2025-08-26 101,563 0 13,381 -13,381 21,695 34,336 -12,641 11,337 4,347 +6,990 43,637 24,564
2025-08-19 99,984 40 12,970 -12,930 21,449 33,225 -11,776 11,196 16,347 -5,151 42,178 12,262
2025-08-12 98,285 40 12,375 -12,335 20,466 32,569 -12,103 10,296 16,347 -6,051 42,542 11,997
2025-08-05 97,024 40 12,249 -12,209 20,232 32,236 -12,004 9,920 16,347 -6,427 42,093 11,413
2025-07-29 98,262 40 11,711 -11,671 9,416 33,428 -24,012 9,920 16,347 -6,427 54,237 12,097
2025-07-22 95,794 40 10,937 -10,897 6,609 34,314 -27,705 9,920 16,347 -6,427 54,504 9,435
2025-07-15 94,857 40 9,628 -9,588 5,541 33,918 -28,377 9,920 16,247 -6,327 54,635 10,303
2025-07-08 94,053 40 9,628 -9,588 5,986 34,390 -28,404 9,920 15,497 -5,577 53,225 9,629
2025-07-01 92,364 40 9,336 -9,296 3,596 33,211 -29,615 9,920 15,497 -5,577 53,678 9,150
2025-06-24 125,601 40 9,170 -9,130 2,776 58,773 -55,997 9,987 25,904 -15,917 90,403 9,319
2025-06-17 127,844 40 9,170 -9,130 3,571 59,014 -55,443 9,967 25,775 -15,808 89,269 8,848
2025-06-10 86,892 40 60 -20 4,407 32,389 -27,982 24,917 14,475 +10,442 35,632 18,031
2025-06-03 90,445 62 54 +8 4,935 36,588 -31,653 27,837 14,333 +13,504 35,705 17,503
2025-05-27 122,336 65 50 +15 1,105 70,772 -69,667 12,887 12,447 +440 86,420 17,117
2025-05-20 117,141 65 50 +15 705 71,877 -71,172 12,887 12,347 +540 85,920 15,205
2025-05-13 62,816 65 43 +22 3,462 24,293 -20,831 12,887 12,473 +414 35,652 15,176
2025-05-06 64,168 65 43 +22 3,495 25,650 -22,155 12,887 12,550 +337 36,721 14,844
2025-04-29 63,864 65 43 +22 3,830 25,297 -21,467 12,867 12,370 +497 36,103 15,074
2025-04-22 62,460 65 37 +28 5,019 30,189 -25,170 12,867 12,147 +720 33,546 9,048
2025-04-15 64,345 65 37 +28 4,721 30,595 -25,874 12,867 12,147 +720 35,692 10,490
2025-04-08 65,499 65 39 +26 5,160 37,127 -31,967 12,867 12,147 +720 36,457 5,180
2025-04-01 62,661 65 39 +26 3,808 33,240 -29,432 12,867 12,147 +720 34,666 5,929
2025-03-25 62,268 65 42 +23 2,979 32,143 -29,164 12,867 12,147 +720 34,698 6,226
2025-03-18 61,648 65 40 +25 2,385 31,488 -29,103 12,867 12,147 +720 34,717 6,308
2025-03-11 59,799 65 40 +25 3,507 22,226 -18,719 12,997 12,147 +850 23,993 6,098
2025-03-04 53,741 65 40 +25 5,612 23,199 -17,587 12,922 12,147 +775 22,813 5,979
2025-02-25 52,743 65 39 +26 5,087 22,527 -17,440 13,082 12,147 +935 22,823 6,297
2025-02-18 50,771 65 39 +26 5,753 20,782 -15,029 12,292 11,457 +835 20,975 6,760
2025-02-11 51,502 65 39 +26 6,584 21,395 -14,811 12,292 11,457 +835 20,875 6,878
2025-02-04 52,069 65 39 +26 7,596 21,654 -14,058 12,242 11,457 +785 20,480 7,186
2025-01-28 51,773 65 39 +26 7,420 21,740 -14,320 12,242 11,457 +785 20,360 6,804
2025-01-21 51,040 65 39 +26 6,727 20,847 -14,120 12,242 11,457 +785 20,320 6,964
2025-01-14 50,322 65 40 +25 6,203 19,754 -13,551 12,202 11,103 +1,099 20,166 7,692
2025-01-07 43,773 65 40 +25 4,364 13,557 -9,193 7,342 11,103 -3,761 20,316 7,340
2024-12-31 47,482 65 40 +25 8,628 17,290 -8,662 7,162 10,772 -3,610 19,941 7,647
2024-12-24 98,948 65 40 +25 3,232 72,533 -69,301 7,162 10,772 -3,610 80,381 7,428
2024-12-17 98,470 65 40 +25 2,038 69,619 -67,581 7,162 10,772 -3,610 78,271 7,038
2024-12-10 106,088 65 40 +25 1,777 70,818 -69,041 7,162 10,772 -3,610 79,466 6,766
2024-12-03 101,492 65 40 +25 3,609 69,833 -66,224 7,052 10,772 -3,720 79,271 9,278
2024-11-26 101,312 65 40 +25 4,210 68,884 -64,674 7,012 10,772 -3,760 78,521 10,047
2024-11-19 99,063 65 35 +30 1,951 67,067 -65,116 7,012 10,522 -3,510 78,771 10,116
2024-11-12 99,201 65 31 +34 779 67,581 -66,802 7,012 10,522 -3,510 80,134 9,797
2024-11-05 99,350 65 38 +27 825 68,503 -67,678 7,012 9,867 -2,855 80,334 9,750
2024-10-29 97,162 65 38 +27 1,742 66,870 -65,128 7,012 9,867 -2,855 76,534 8,500
2024-10-22 100,119 65 38 +27 1,004 71,285 -70,281 7,012 9,867 -2,855 80,249 7,062
2024-10-15 91,965 65 36 +29 825 62,994 -62,169 7,012 9,867 -2,855 72,179 7,125
2024-10-08 91,920 65 36 +29 825 62,965 -62,140 7,012 9,867 -2,855 72,184 7,159
数据说明
• Asset Manager (AM): 资产管理人/机构投资者，以养老金、共同基金、ETF为主，偏向中长期配置
• Leveraged Money (LM): 杠杆资金/对冲基金，偏向趋势跟踪和短期交易
• Dealer: 做市商/交易商，提供市场流动性，通常持有对冲头寸
• Other Reportables: 其他需报告的交易者，用现货而非期货对冲风险
• Non-Reportable: 未达报告门槛的小型交易者

净多头 = 多头 − 空头，正值表示整体偏多，负值表示整体偏空。洗价(spread)头寸不计入净多头计算。
数据来源: CFTC Commitments of Traders Legacy Report (Futures Only)
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