US Tsy Futures: CFTC/COT, Flattener Unwinds, Record Short 10s

     CHICAGO - Commodity Futures Trading Commission/Commitment of Traders data

for the period ending May 29 details.

     Large speculative accounts primarily added to longs/pared shorts in the

short end through 5Y notes, adding to shorts in 10s (new record) and 30s --

reflecting flattener unwind interest over the last reporting period; exception

was the Ultra-bond where the group pared back record shorts in futures and

combined futures/options.

     In the short end, large specs added to net longs in Fed funds by +103,478

to finish +183,283, and continued to pare net shorts in Eurodollars by a

whopping +257,896 to -3,523,424.

     In notes, the group added to net longs in the 2-year note by +58,368 to

+62,892, pared back shorts in the 5-year note by +156,972 to -472,857.

     In the 10-year note, the group extend net shorts by -112,440 to a new

record short of -471,067.

     In the long end, the group added to net shorts in the 30-year Bond by

-28,423 to -33,714, and pared net shorts in the Ultra-bond by +4,657 to finish

-189,766.

                      May 29     May 22      Rec Long          Rec Short

Fut Only 2Y Notes     62,892      4,524   234,808 7/31/12   -329,066 1/30/18

Combined 2Y Notes     67,767      3,974   235,621 5/03/11   -310,549 10/17/17

Fut Only 5Y Notes   -472,857   -629,829   402,448 5/06/08   -656,908 5/08/18

Combined 5Y Notes   -423,412   -606,825   387,383 5/06/08   -630,199 5/08/18

Fut Only 10Y Note   -471,067*  -358,627   608,492 8/14/07   -471,067 5/29/18

Combined 10Y Note   -305,897   -359,810   668,018 8/7/07    -429,387 4/24/18

Fut Only 30Y Bond    -33,714     -5,291   106,002           -178,500

Combined 30Y Bond    -30,857     -1,632   122,839 12/19/17  -172,009

Fut Only Ultra Bd   -189,766   -194,423*   28,763 6/05/12   -194,423 5/22/18

Combined Ultra Bd   -189,564   -194,949*   28,763 6/05/12   -194,949 5/22/18

Fut Only 3m Euro$ -3,523,424 -3,781,320 1,822,601 3/4/08  -4,051,527 4/17/18

Combined 3m Euro$ -2,344,177 -2,782,408 1,501,690 4/20/10 -3,110,209 5/08/18

Fut Only 30d Fed Fd  183,283     79,805   332,320 6/24/08   -286,041 8/8/17

Combined 30d Fed Fd  183,661     79,535   333,657 6/24/08   -286,025 8/8/17

*Denotes new record

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE]