November 9, 2018 / 9:25 PM / 8 months ago

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

    * Speculative Eurodollar net shorts fall to lowest this year
    * Asset managers' 10-year T-note net longs slip from record
    * Speculators built record net shorts in 2-year notes, ultra

 (Adds background, details on latest data)
    By Richard Leong
    Nov 9 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures rose early this week before the
U.S. congressional elections, a record amount of 10-year debt
supply and the Federal Reserve's policy meeting, 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
539,186 contracts on Nov. 6, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 502,839 net short positions
in 10-year T-note futures, which was the lowest level
since July 17.
    The Treasuries market ended mixed for the week after yields
swung sharply on uncertainty whether Democrats would take
control of the House of Representative and amid strong demand
for $19 billion worth of 10-year Treasury notes, which was part
of the week's $83 billion quarterly refunding.
    Shorter- to medium-dated yields touched decade highs on
Thursday as the Federal Reserve hinted the economy is strong
enough to warrant further interest rate increases.
    Benchmark 10-year yields ended 2 basis points
lower on the week at 3.193 percent after reaching 3.250 percent
on Wednesday, which was roughly 1 basis point below the 7-1/2
year peak hit a month ago.
    Asset managers' net longs in 10-year T-notes scaled back to
1.124 million contracts from a record high of 1.165 million a
week earlier, while dealers' net shorts fell to 249,770
contracts from an all-time peak of 327,270 contracts.
    Hedge funds' net shorts in 10-year T-notes rose to a
six-week peak at 944,256 contracts.
    Among other T-note contracts, speculative net shorts in
two-year T-note futures increased to a record high at 333,480
contracts on Tuesday.
    The two-year Treasury yield recorded a 10-1/2
year high at 2.977 percent on Thursday on bets of more Fed rate
    Speculators rebuilt some of their net shorts in five-year
futures, adding 18,128, for a total of 556,369 contracts. Last
week, their five-year T-note net shorts totaled 538,251, which
was the lowest since June 19.
    Speculative net shorts in ultra bond futures hit an all-time
peak at 259,949 contracts on Tuesday.
    Among interest rates futures, speculative net shorts in
Eurodollar futures fell by 47,123 to 2.467 million contracts,
the lowest level since the end of last December.
    Below are tables 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) 
        06 Nov 2018       Prior week
 Long         451,315        491,061
 Short        784,795        813,564
 Net         -333,480       -322,503
U.S. 5-year T-notes (Contracts of $100,000) 
        06 Nov 2018       Prior week
 Long         620,319        598,305
 Short      1,176,698      1,136,556
 Net         -556,379       -538,251
U.S. 10-year T-notes (Contracts of $100,000) 
        06 Nov 2018       Prior week
 Long         586,963        579,889
 Short      1,126,149      1,082,728
 Net         -539,186       -502,839
U.S. T-bonds (Contracts of $100,000) 
        06 Nov 2018       Prior week
 Long         110,606        103,175
 Short        181,837        185,186
 Net          -71,231        -82,011
U.S. Ultra T-bonds (Contracts of $100,000) 
        06 Nov 2018       Prior week
 Long          98,060        100,638
 Short        358,009        350,763
 Net         -259,949       -250,125
 Eurodollar (Contracts of $1,000,000) 
        06 Nov 2018       Prior week
 Long       1,082,454      1,015,457
 Short      3,549,455      3,529,581
 Net       -2,467,001     -2,514,124
 Fed funds (Contracts of $1,000,000) 
        06 Nov 2018       Prior week
 Long         163,155        168,742
 Short        226,074        238,565
 Net          -62,919        -69,823
 (Reporting by Richard Leong
Editing by Susan Thomas and Dan Grebler)
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