May 4, 2018 / 8:09 PM / a year ago

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

    * Spec net shorts in 5-year T-notes, ultra bonds hit record
    * Speculators trim 2-year T-note net shorts to lowest since
    * Speculative fed funds net longs fall from August 2008 peak

 (Adds background, details)
    By Richard Leong
    May 4 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures fell from their record high
earlier this week as the 10-year yield held below 3 percent,
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
445,678 contracts on May 1, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, speculators held 462,133 net short positions
in 10-year T-note futures.
    On April 25, the 10-year yield rose to 3.035
percent, which was the highest since January 2014, due to
concerns about rising inflation and government debt, according
to Reuters data.
    The 10-year yield has since stayed below the 3 percent mark
in the wake of weaker-than-expected data on construction
spending and manufacturing and services activity this week.
    Still the Federal Reserve on Wednesday said the U.S. economy
is growing enough to lift inflation to its 2-percent goal,
leaving the door open for further rate increases this year.

    Speculators rebuilt their net shorts in Eurodollar futures
to 3.95 million contracts, not far from the record high amount
of 4.05 million set two weeks ago.
    They halved their net longs in federal funds futures to
108,786 contracts on Tuesday. A week earlier, fed funds net
shorts totaled 216,156 contracts, the highest since August 2008,
the latest Commitment of Traders data showed.
    On the other hand, speculators pared their net shorts in
two-year T-notes to 61,236 contracts, the lowest since June
    Meanwhile, speculative net short positions in five-year
Treasury futures grew by 9,677 contracts to a record high of
601,526 on Tuesday.
    Speculators turned net short on T-bond futures for the first
time in almost a year.
    Speculative net shorts in ultra bond contracts reached a
record high earlier this week at 171,600 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) 
        May 1, 2018       Prior week
 Long         409,605        392,342
 Short        470,841        461,606
 Net          -61,236        -69,264
U.S. 5-year T-notes (Contracts of $100,000) 
        May 1, 2018       Prior week
 Long         570,120        573,116
 Short      1,171,646      1,164,965
 Net         -601,526       -591,849
U.S. 10-year T-notes (Contracts of $100,000) 
        May 1, 2018       Prior week
 Long         631,024        606,022
 Short      1,076,702      1,068,155
 Net         -445,678       -462,133
U.S. T-bonds (Contracts of $100,000) 
        May 1, 2018       Prior week
 Long         138,869        143,243
 Short        145,578        124,922
 Net           -6,709         18,321
U.S. Ultra T-bonds (Contracts of $100,000) 
        May 1, 2018       Prior week
 Long          64,893         56,844
 Short        236,493        216,819
 Net         -171,600       -159,975
 Eurodollar (Contracts of $1,000,000) 
        May 1, 2018       Prior week
 Long       1,067,371      1,040,724
 Short      5,019,453      4,921,920
 Net       -3,952,082     -3,881,196
 Fed funds (Contracts of $1,000,000) 
        May 1, 2018       Prior week
 Long         274,739        421,552
 Short        165,953        205,396
 Net          108,786        216,156
 (Reporting by Richard Leong; editing by Jonathan Oatis and
James Dalgleish)
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