May 25, 2018 / 8:39 PM / 10 months ago

UPDATE 1-Speculative U.S. 10-year T-note net shorts hit five-week low -CFTC

    * Hedge funds pare 10-year net shorts to least in 2 months
    * Bond dealers' 10-year net shorts highest since Feb 2016
    * Speculators turn net long on 2-year T-note
    * Speculative ultra bond net shorts hit record high

 (Adds details on latest figures)
    By Richard Leong
    May 25 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures fell to a five-week low earlier
this week, as 10-year yields retreated from a near seven-year
peak, 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
358,627 contracts on May 22, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 381,922 net short positions
in 10-year T-note futures.
    Last Friday, benchmark 10-year Treasury yields
rose to 2.128 percent, the highest since July 2011, on bets of
rising inflation and federal borrowing.
    This week, traders exited some of their short 10-year T-note
positions on renewed trade tension between the United States and
China, together with concerns about political instability in
Spain and Italy and the Turkish lira's fall. On Friday, the
10-year yield fell to 2.931 percent after touching its lowest
level in three weeks.
    Hedge funds pared their 10-year T-note net shorts to 540,267
contracts earlier this week, the lowest in nearly two months,
while asset managers increased their net longs in 10-year
T-notes to 796,471, the latest data showed.
    Bond dealers, however, raised their 10-year T-note net
shorts to 206,186 on Tuesday, which was the highest since
February 2016.
    Among other Treasury contracts, speculators turned net long
on two-year T-notes for the first time in a year, while they
pared their net shorts in five-year Treasury futures for a
second week.
    On the other hand, speculators turned net short on T-bonds
for only the third time in the past 12 months, while speculative
net shorts in ultra bond futures set another record high.

    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) 
        22 May 2018       Prior week
 Long         467,934        456,847
 Short        463,410        487,876
 Net            4,524        -31,029
U.S. 5-year T-notes (Contracts of $100,000) 
        22 May 2018       Prior week
 Long         541,531        541,907
 Short      1,171,360      1,184,988
 Net         -629,829       -643,081
U.S. 10-year T-notes (Contracts of $100,000) 
        22 May 2018       Prior week
 Long         710,120        706,685
 Short      1,068,747      1,088,607
 Net         -358,627       -381,922
U.S. T-bonds (Contracts of $100,000) 
        22 May 2018       Prior week
 Long         153,092        148,968
 Short        158,383        137,114
 Net           -5,291         11,854
U.S. Ultra T-bonds (Contracts of $100,000) 
        22 May 2018       Prior week
 Long          80,649         83,571
 Short        275,072        271,475
 Net         -194,423       -187,904
 Eurodollar (Contracts of $1,000,000) 
        22 May 2018       Prior week
 Long         888,504        906,344
 Short      4,669,824      4,709,472
 Net       -3,781,320     -3,803,128
 Fed funds (Contracts of $1,000,000) 
        22 May 2018       Prior week
 Long         304,186        288,028
 Short        224,651        221,207
 Net           79,535         66,821
 (Reporting by Richard Leong
Editing by Susan Thomas and Rosalba O'Brien)
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