May 24, 2019 / 8:07 PM / 2 months ago

UPDATE 1-Speculative U.S. 10-year T-note net shorts hit over six-month peak -CFTC

 (Adds background, details)
    May 24 (Reuters) - Speculators' net bearish bets on U.S.
10-year Treasury note futures rose to their highest in more than
six months earlier this week, 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
423,351 contracts on May 21, according to the CFTC's latest
Commitments of Traders data.
    This was biggest amount of net shorts in 10-year T-notes
since Nov. 6.
    A week earlier, speculators held 352,817 net short positions
in 10-year T-note futures.
    Treasury futures prices jumped on Wednesday and Thursday as
fears of a trade war between China and the United States spurred
a safe-haven stampede into U.S. government bonds from stocks and
other risky assets. Ten-year T-notes hit their highest price
levels since September 2017.
    U.S. benchmark 10-year Treasury note yields fell
to 2.386% on Thursday, the lowest since December 2017. 
    Ten-year yields also fell below three-month bill rates
 on Thursday as their discount over three-month rates
grew to almost seven basis points, a level not seen since late
March.
    The persistent inversion of this part of the U.S. yield
curve preceded every recession in the past 50 years.
    Among interest rates futures, speculators built net longs in
Eurodollar futures to 582,350 contracts, their highest level
since May 2013, amid expectations the Federal Reserve would
lower key borrowing costs to counter a slowing economy.
    The following 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 21, 2019      Prior week
        week           
 Long       1,098,146      1,163,038
 Short      1,131,961      1,196,343
 Net          -33,815        -33,305
 
U.S. 5-year T-notes (Contracts of $100,000) 
        May 21, 2019      Prior week
        week           
 Long         784,242        811,771
 Short        952,918        949,674
 Net         -168,676       -137,903
 
U.S. 10-year T-notes (Contracts of $100,000) 
        May 21, 2019      Prior week
        week           
 Long         619,494        616,402
 Short      1,042,845        969,219
 Net         -423,351       -352,817
 
U.S. T-bonds (Contracts of $100,000) 
        May 21, 2019      Prior week
        week           
 Long         146,880        147,150
 Short        190,890        193,093
 Net          -44,010        -45,943
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        May 21, 2019      Prior week
        week           
 Long          88,758         84,555
 Short        416,104        418,064
 Net         -327,346       -333,509
 Eurodollar (Contracts of $1,000,000) 
        May 21, 2019      Prior week
        week           
 Long       1,847,850      1,769,489
 Short      1,265,500      1,249,259
 Net          582,350        520,230
 Fed funds (Contracts of $1,000,000) 
        May 21, 2019      Prior week
        week           
 Long         225,360        228,346
 Short        377,889        341,814
 Net         -152,529       -113,468
 
 (Reporting by Richard Leong
Editing by Susan Thomas and Diane Craft)
  
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