January 3, 2018 / 5:41 PM / in a year

Net shorts on U.S. longer-dated bonds hit 11-week low -JPMorgan

    NEW YORK, Jan 3 (Reuters) - The margin of investors who said
they had fewer longer-dated Treasuries than their benchmarks
over those who held more than their benchmarks fell to an
11-week low, JPMorgan Chase & Co's latest client survey showed
on Wednesday.
    Investors had ramped up holdings of longer-dated government
debt at year-end following the most dramatic overhaul of the
U.S. tax code in 30 years and on expectations that inflation
would remain muted and the Federal Reserve would raise
short-term interest rates further in 2018.
    On Tuesday, they scaled back long bond positions partly in
reaction to hawkish comments from two European Central Bank
officials. Benoit Coeure and Ewald Nowotny in separate published
interviews on Monday suggested the ECB may not extend its 2.55
trillion euro bond purchase program which expires in September
if the euro zone economy shows more strength.

    The share of investors who said on Monday they were "short"
longer-dated Treasuries fell to 40 percent from 45 percent on
Dec. 18.
    JPMorgan skipped publishing its survey last week over the
Christmas holiday. 
    The share of investors who said they were "long" rose to 15
percent from 11 percent on Dec. 18.
    The net shorts decreased to 25 percent from 34 percent two
weeks earlier.
     Among active clients including market makers and hedge
funds, net shorts in longer-dated Treasuries fell to 50 percent
from 60 percent two weeks ago.
    At 12:31 p.m. (1725 GMT), the 10-year Treasury yield
 was 2.442 percent, down 2 basis points from late on
Tuesday but up from 2.392 percent two weeks earlier.
    JPMorgan surveyed clients including bond fund managers,
central banks and sovereign wealth funds, as well as market
makers and hedge funds.
    The chart below displays the latest survey results of
JPMorgan's Treasury clients:

  All clients     Long   Neutral  Shorts     Net
 Jan. 2, 2018      15      45       40       -25
 Dec. 18, 2017     11      44       45       -34
 Dec. 11, 2017     9       44       47       -38
 Active clients                                
 Jan. 2, 2018      20      10       70       -50
 Dec. 18, 2017     10      20       70       -60
 Dec. 11, 2017     10      20       70       -60
 * NOTE: Positive value denotes net long, negative value denotes
net short

 (Reporting by Richard Leong; Editing by Meredith Mazzilli)
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