October 5, 2018 / 8:18 PM / 8 months ago

UPDATE 1-Speculative U.S. 10-year T-note net shorts slip from record high -CFTC

    * Fund manager's 10-year T-note net longs fall from record
    * Speculative T-bond net shorts hit highest since Aug 2009
    * Speculators build record net shorts in ultra bond futures

 (Adds details on latest data)
    By Richard Leong
    Oct 5 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures fell earlier this week before a
dramatic selloff gripped the bond market, according to Commodity
Futures Trading Commission data released on Friday.
    Upbeat economic data and hawkish remarks from Federal
Reserve officials touched off heavy selling in Treasuries since
Wednesday, pushing 10-year yield to a seven-year
peak and 30-year yield to a four-year high.

    The selloff in U.S. bond and interest rate futures was
driven by above-average volume, while futures and options open
interest has jumped since Wednesday, suggesting possibly more
bets that bond yields will climb further, analysts said.

    The amount of speculators' bearish, or short, positions in
10-year Treasury futures exceeded bullish, or long, positions by
740,192 contracts on Oct. 2, according to the CFTC's latest
Commitments of Traders data. 
    A week earlier, speculators held a record high 756,316 in
net short positions in 10-year T-note futures.
    By investor groups, asset managers' net longs in 10-year
T-notes fell to 1.045 million contracts on Tuesday from the
record high of 1.067 million a week earlier.
    Hedge funds' net 10-year T-note net shorts fell further from
the record high set two week ago to 879,238 contracts.
    Bond dealers' net shorts in 10-year T-notes increased to
188,094 contracts from 163,485 last week.
    On Friday, 10-year Treasury yield touched 3.248 percent,
while 30-year yield hit 3.424 percent. 
    Among other bond futures, speculators increased their net
shorts in Treasury bond futures to 119,808 contracts on Tuesday,
which was the highest level since August 2009.
    Speculative net shorts in ultra bond futures increased to a
record peak of 240,737 contracts on Tuesday.
    Speculators raised their net shorts in two-year T-notes to
293,018 contracts, the most since January. 
    Among interest rates futures, speculative net shorts in
Eurodollar futures decreased for a third straight week to 2.725
million contracts.
    Speculators also scaled back their federal funds net shorts
to 32,583 contracts.
    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) 
        02 Oct 2018       Prior week
 Long         455,017        470,953
 Short        748,035        760,785
 Net         -293,018       -289,832
U.S. 5-year T-notes (Contracts of $100,000) 
        02 Oct 2018       Prior week
 Long         559,743        586,882
 Short      1,385,702      1,413,449
 Net         -825,959       -826,567
U.S. 10-year T-notes (Contracts of $100,000) 
        02 Oct 2018       Prior week
 Long         426,259        483,500
 Short      1,166,451      1,239,816
 Net         -740,192       -756,316
U.S. T-bonds (Contracts of $100,000) 
        02 Oct 2018       Prior week
 Long         117,374        119,394
 Short        237,182        222,368
 Net         -119,808       -102,974
U.S. Ultra T-bonds (Contracts of $100,000) 
        02 Oct 2018       Prior week
 Long          92,041         91,393
 Short        332,778        325,727
 Net         -240,737       -234,334
 Eurodollar (Contracts of $1,000,000) 
        02 Oct 2018       Prior week
 Long         925,237        974,367
 Short      3,650,038      3,725,520
 Net       -2,724,801     -2,751,153
 Fed funds (Contracts of $1,000,000) 
        02 Oct 2018       Prior week
 Long         170,079        182,553
 Short        202,662        220,945
 Net          -32,583        -38,392
 (Reporting by Richard Leong
Editing by Phil Berlowitz)
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