August 3, 2018 / 8:27 PM / 14 days ago

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

 (Adds background)
    Aug 3 (Reuters) - Speculators' net bearish bets on U.S.
five-year and 10-year Treasury note futures rose to a record
high earlier this week, according to Commodity Futures Trading
Commission data released on Friday.
    The record net short positions came on the first day of the
Federal Reserve's two-day policy meeting, the Treasury
Department's announcement of its August refunding details on
Wednesday and the government's July payrolls report on Friday.
    The amount of speculators' bearish, or short, positions in
10-year Treasury futures exceeded bullish, or long, positions by
590,128 contracts on July 31, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 509,498 net short positions
in 10-year T-note futures.
    Speculative net shorts in five-year T-notes grew by 125,078
contracts to 841,043, an all-time high on Tuesday.
    Hedge funds increased their net shorts in five-year T-notes
to a record high at 1.147 million contracts on Tuesday.
    The Treasury said on Wednesday it will increase the monthly
auction sizes of two-year, three-year and five-year notes by $1
billion per month over the next three months. It will increase
the auction sizes of seven-year, 10-year and 30-year auctions in
August and hold them steady at that level through
October.
    Benchmark 10-year Treasury yield rose to 3.016
percent on Wednesday, the highest since May 23, in the aftermath
of the refunding details.
    On Friday, it retreated further from the two-month plus peak
following a mixed payrolls report in July.
    Traders did not alter their view that the Federal Reserve
would raise overnight borrowing costs twice more in 2018, with
the next hike seen at its Sept. 25 to 26 policy meeting.
    On Wednesday, Fed policy-makers left key interest rates
unchanged in a range of 1.75 to 2.00 percent and characterized
the economy as strong, remaining on track for a rate increase
next month.
    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) 
        31 Jul 2018       Prior week
        week           
 Long         435,834        474,314
 Short        534,893        523,371
 Net          -99,059        -49,057
 
U.S. 5-year T-notes (Contracts of $100,000) 
        31 Jul 2018       Prior week
        week           
 Long         513,568        543,916
 Short      1,354,611      1,259,881
 Net         -841,043       -715,965
 
U.S. 10-year T-notes (Contracts of $100,000) 
        31 Jul 2018       Prior week
        week           
 Long         471,702        526,182
 Short      1,061,830      1,035,680
 Net         -590,128       -509,498
 
U.S. T-bonds (Contracts of $100,000) 
        31 Jul 2018       Prior week
        week           
 Long         124,484        146,040
 Short        145,107        143,635
 Net          -20,623          2,405
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        31 Jul 2018       Prior week
        week           
 Long          96,514         88,725
 Short        319,050        301,399
 Net         -222,536       -212,674
 Eurodollar (Contracts of $1,000,000) 
        31 Jul 2018       Prior week
        week           
 Long         839,318        844,905
 Short      3,946,824      4,012,838
 Net       -3,107,506     -3,167,933
 Fed funds (Contracts of $1,000,000) 
        31 Jul 2018       Prior week
        week           
 Long         288,849        295,085
 Short        129,782        140,034
 Net          159,067        155,051
 
 (Reporting by Richard Leong; editing by Diane Craft and Susan
Thomas)
  
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