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UPDATE 1-Speculative U.S. 10-year T-note net shorts hit record -CFTC
January 13, 2017 / 9:08 PM / 8 months ago

UPDATE 1-Speculative U.S. 10-year T-note net shorts hit record -CFTC

* Spec Eurodollar, 5-year T-note net shorts rise to record
highs
    * Speculative net shorts in T-bonds hit highest since 2012
    * Spec fed funds net shorts climb to highest since Aug 2015

 (Adds details on the latest positioning data)
    Jan 13 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures reached another record high in the
latest week even as benchmark yields retreated further,
according to Commodity Futures Trading Commission data released
on Friday.
    The amount of speculators' bearish, or short, positions in
10-year Treasury futures exceeded bullish, or long, positions by
394,689 contracts on Jan. 10, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 344,931 net short positions
in 10-year T-note futures.
    Net shorts in five-year T-note futures and Eurodollar
futures among speculators also climbed to record highs in the
latest week, while speculative T-bond net shorts rose to their
highest level since March 2012, according to CFTC data. 
    Net shorts in federal funds futures among speculators rose
to their highest since August 2015.
    The rise in net shorts among these futures contracts
suggested this group of market participants believes bond prices
will resume their fall despite their rebound since mid-December.
    Some traders have reduced their bearish bond bets as they
reassess how quickly U.S. President-elect Donald Trump and a
Republican-controlled Congress would enact tax cuts, looser
regulations and infrastructure spending they had pledged ahead
of the Nov. 8 election.
    Benchmark 10-year Treasury yield reached 2.64
percent on Dec. 15, which was the highest since September 2014,
in anticipation of these fiscal changes and hints from the
Federal Reserve might raise interest rates at a faster pace in
response to more government actions to bolster the economy. 
    It has, however, retreated on renewed bond appetite among
some investors and the lack of details on fiscal stimulus from
Trump and leading Republican lawmakers.
    Below is a table of the speculative positions in Treasury
futures on the Chicago Board of Trade and in Eurodollar futures
on the Chicago Mercantile Exchange in the latest week:
 U.S. 2-year T-notes (Contracts of $200,000) 
        10 Jan 2017       Prior week
        week           
 Long         238,528        192,341
 Short        253,031        241,739
 Net          -14,503        -49,398
 
U.S. 5-year T-notes (Contracts of $100,000) 
        10 Jan 2017       Prior week
        week           
 Long         248,625        251,749
 Short        686,121        662,611
 Net         -437,496       -410,862
 
U.S. 10-year T-notes (Contracts of $100,000) 
        10 Jan 2017       Prior week
        week           
 Long         455,160        471,225
 Short        849,849        816,156
 Net         -394,689       -344,931
 
U.S. T-bonds (Contracts of $100,000) 
        10 Jan 2017       Prior week
        week           
 Long          84,615         81,565
 Short        128,379        113,724
 Net          -43,764        -32,159
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        10 Jan 2017       Prior week
        week           
 Long          62,634         65,426
 Short        136,887        142,425
 Net          -74,253        -76,999
 Eurodollar (Contracts of $1,000,000) 
        10 Jan 2017       Prior week
        week           
 Long         504,186        582,991
 Short      2,946,321      2,699,095
 Net       -2,442,135     -2,116,104
 Fed funds 
        10 Jan 2017       Prior week
        week           
 Long          84,074         63,833
 Short        219,190        173,314
 Net         -135,116       -109,481
 
 (Reporting by Richard Leong; Editing by David Gregorio and
Marguerita Choy)

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