October 12, 2018 / 8:42 PM / 7 months ago

UPDATE 1-Speculators cut U.S. 10-year T-note net shorts -CFTC

    * U.S. 10-year hits 7-year peak before bond market reversal
    * Hedge funds cut 10-year T-note net shorts to six-week low
    * Speculators raise net T-bond shorts to highest since 2007
    * Speculative Eurodollar net shorts hit lowest since

 (Adds background, details on latest data)
    By Richard Leong
    Oct 12 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures fell earlier this week following
last week's bond market rout, 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
622,422 contracts on Oct. 9, which was its lowest level in six
weeks, according to the CFTC's latest Commitments of Traders
    A week earlier, speculators held 740,192 net short positions
in 10-year T-note futures.
    Surprisingly strong economic data spurred worries about
rising inflation and a faster pace of interest rate increase
from the Federal Reserve. They touched off a bond market selloff
that propelled 10-year Treasury yield to a 7-1/2
year peak at 3.261 percent on Tuesday. 
    Bond yields fell the remainder of this holiday-shortened
trading week due to solid demand for $74 billion of Treasury
supply, safe-haven bids stemming from a dramatic selloff in
global equities and disappointing data on consumer prices. 
    The 10-year yield finished at 3.161 percent on Friday, down
over 6 basis points on the week.
    By investor groups, asset managers pared their net longs in
10-year T-notes for a second week to 935,325 contracts, while
hedge funds dialed back their net 10-year T-note shorts to their
lowest in six weeks at 780,551 contracts.
    Bond dealers increased their 10-year net shorts to 232,818,
the highest level since late August, CFTC data showed.
    Among other bond contracts, speculative net shorts in ultra
bonds fell from a record peak by 14,582 contracts to 226,155 on
    Speculators reduced their net shorts in two-year T-notes to
243,564 contracts, down from 293,018, which was the most since
    On the other hand, they increased their T-bond net shorts to
138,382 contracts, which was the highest since June 2007. 

    Speculative net five-year T-note shorts grew by 33,981
contracts to 859,940, which was not far from the record high of
867,556 contracts set in early August.
    Among interest rates futures, speculators slashed their net
shorts in Eurodollar to 2.47 million contracts,
the fewest since late December. They also rolled back their net
shorts in federal funds for a third straight week to 12,850
    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) 
        09 Oct 2018       Prior week
 Long         486,355        455,017
 Short        729,919        748,035
 Net         -243,564       -293,018
U.S. 5-year T-notes (Contracts of $100,000) 
        09 Oct 2018       Prior week
 Long         556,118        559,743
 Short      1,416,058      1,385,702
 Net         -859,940       -825,959
U.S. 10-year T-notes (Contracts of $100,000) 
        09 Oct 2018       Prior week
 Long         544,866        426,259
 Short      1,167,288      1,166,451
 Net         -622,422       -740,192
U.S. T-bonds (Contracts of $100,000) 
        09 Oct 2018       Prior week
 Long         136,538        117,374
 Short        274,920        237,182
 Net         -138,382       -119,808
U.S. Ultra T-bonds (Contracts of $100,000) 
        09 Oct 2018       Prior week
 Long         107,208         92,041
 Short        333,363        332,778
 Net         -226,155       -240,737
 Eurodollar (Contracts of $1,000,000) 
        09 Oct 2018       Prior week
 Long       1,013,511        925,237
 Short      3,484,493      3,650,038
 Net       -2,470,982     -2,724,801
 Fed funds (Contracts of $1,000,000) 
        09 Oct 2018       Prior week
 Long         206,728        170,079
 Short        219,578        202,662
 Net          -12,850        -32,583
 (Reporting by Richard Leong; Editing by Cynthia Osterman and
Rosalba O'Brien)
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