February 9, 2018 / 10:12 PM / 6 months ago

UPDATE 1-Speculative U.S. 10-year T-note net shorts hit highest in a year -CFTC

    * Speculative 2-year T-note net shorts fall from record high
    * Speculators build record net shorts in ultra bonds
    * Speculative Eurodollar net shorts highest in nine months

 (Adds background, details, graphic)
    Feb 9 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures rose this week to their highest in
almost a year after 10-year bond yields hit a three-year high on
inflation worries, 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
327,540 contracts on Feb. 6, according to the CFTC's latest
Commitments of Traders data.
    This was the most speculative net shorts in 10-year T-note
futures since 409,659 in the week of Feb. 28, 2017.
    A week earlier, speculators held 215,600 net short positions
in 10-year T-note futures.
    On Monday, the 10-year Treasury yield rose to
2.885 percent, the highest since December 2014, after a strong
payrolls report released a week ago showed the biggest annual
wage increase in more than 8-1/2 years in January.
    Among other bond contracts, speculators dialed back the
record level of net shorts on two-year T-note futures to 210,758
contracts on Tuesday.              
    Speculative net shorts in ultra bond futures hit a record
amount at 145,544 contracts earlier this week.              
    Net shorts among speculators on Eurodollar futures grew to
3.16 million contracts, the most since the week of May 14.
             
    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) 
        Feb. 6, 2018      Prior week
        week           
 Long         424,408        405,884
 Short        635,166        734,950
 Net         -210,758       -329,066
 
U.S. 5-year T-notes (Contracts of $100,000) 
        Feb. 6, 2018      Prior week
        week           
 Long         617,039        631,711
 Short      1,070,644      1,025,158
 Net         -453,605       -393,447
 
U.S. 10-year T-notes (Contracts of $100,000) 
        Feb. 6, 2018      Prior week
        week           
 Long         611,811        671,251
 Short        939,351        886,851
 Net         -327,540       -215,600
 
U.S. T-bonds (Contracts of $100,000) 
        Feb. 6, 2018      Prior week
        week           
 Long         173,733        188,026
 Short        150,585        134,627
 Net           23,148         53,399
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        Feb. 6, 2018      Prior week
        week           
 Long          57,891         49,120
 Short        203,435        187,171
 Net         -145,544       -138,051
 Eurodollar (Contracts of $1,000,000) 
        Feb. 6, 2018      Prior week
        week           
 Long         820,650        792,333
 Short      3,975,659      3,717,236
 Net       -3,155,009     -2,924,903
 Fed funds (Contracts of $1,000,000) 
        Feb. 6, 2018      Prior week
        week           
 Long         132,765        202,361
 Short        251,400        182,566
 Net         -118,635         19,795
 
    
 (Reporting by Richard Leong; Editing by James Dalgleish and
Jonathan Oatis)
  
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