July 27, 2018 / 8:53 PM / 2 months ago

UPDATE 1-Speculative U.S. 5-year, 10-year T-note net shorts hit record highs -CFTC

    * Hedge funds' 10-year T-note net shorts hit record high
    * Players worry about BOJ cutting back monetary stimulus

 (Adds details on latest data)
    July 27 (Reuters) - Speculators' net bearish bets on U.S.
5-year and 10-year Treasury note futures rose to record highs
this week following reports the Bank of Japan may reduce its
easy monetary policy, 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
509,498 contracts on July 24, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 469,138 net short positions
in 10-year T-note futures.
    Moreover, speculative net shorts in five-year T-notes rose
to an all-time peak of 715,965 on Tuesday.
    Benchmark 10-year Treasury yield increased this week,
touching 2.988 percent on Friday, which was its
highest level in more than six weeks.
    By investor class, hedge funds built their net shorts in
10-year T-notes to a record peak at 718,962 contracts on Tuesday
from 691,901 a week earlier, the CFTC data showed.
    Asset managers pared their net longs to 825,422 contracts,
the lowest in four weeks, from 877,314 the week before.
    Bond dealers scaled back their net shorts to 123,186
contracts, the lowest in 11 weeks, from 188,136 a week ago.
    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) 
        24 Jul 2018       Prior week
        week           
 Long         474,314        472,761
 Short        523,371        491,904
 Net          -49,057        -19,143
 
U.S. 5-year T-notes (Contracts of $100,000) 
        24 Jul 2018       Prior week
        week           
 Long         543,916        551,727
 Short      1,259,881      1,250,682
 Net         -715,965       -698,955
 
U.S. 10-year T-notes (Contracts of $100,000) 
        24 Jul 2018       Prior week
        week           
 Long         526,182        518,429
 Short      1,035,680        987,567
 Net         -509,498       -469,138
 
U.S. T-bonds (Contracts of $100,000) 
        24 Jul 2018       Prior week
        week           
 Long         146,040        158,309
 Short        143,635        141,331
 Net            2,405         16,978
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        24 Jul 2018       Prior week
        week           
 Long          88,725         82,919
 Short        301,399        292,828
 Net         -212,674       -209,909
 Eurodollar (Contracts of $1,000,000) 
        24 Jul 2018       Prior week
        week           
 Long         844,905        835,721
 Short      4,012,838      4,123,386
 Net       -3,167,933     -3,287,665
 Fed funds (Contracts of $1,000,000) 
        24 Jul 2018       Prior week
        week           
 Long         295,085        281,734
 Short        140,034        154,587
 Net          155,051        127,147
 
 (Reporting by Richard Leong
Editing by Susan Thomas and Will Dunham)
  
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