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Market News Topics
May 11, 2018 19:50 GMT
US Tsy Futures: CFTC/COT, New Rec Short 5s, 5s30s Flatter Add
CHICAGO - Commodity Futures Trading Commission/Commitment of Traders data
for the period ending May 8 details.
On an otherwise mixed positioning in the latest report, large speculative
accounts added to 5s30s flatteners as they extended net shorts in 5s to a new
record and reversed mild shorts in 30s to long.
In the short end, large specs pared net longs in Fed funds for the second
consecutive period: -62,354 to finish +46,688, and added to net shorts in
Eurodollars by -88,212 to -4,040,294 (just off record short of -4,051,527 from
April 17, 2018).
In notes, the group pared net shorts in the 2-year note by 6,980 to
-54,256, while extending net shorts in the 5-year note by -55,382 to a new
record short of -656,908.
In the 10-year note, the group scaled back net shorts +37,049 to finish the
latest period -408,629.
In the long end, the group reversed prior net short in the 30-year Bond of
-6,709 to +6,235 (+12,944 net), and extended net shorts in the Ultra-bond by
-5,837 to a new record short of -177,437.
May 8 May 1 Rec Long Rec Short
Fut Only 2Y Notes -54,256 -61,236 234,808 7/31/12 -329,066 1/30/18
Combined 2Y Notes -52,194 -59,627 235,621 5/03/11 -310,549 10/17/17
Fut Only 5Y Notes -656,908* -601,526 402,448 5/06/08 -656,908 5/08/18
Combined 5Y Notes -630,199* -577,580 387,383 5/06/08 -630,199 5/08/18
Fut Only 10Y Note -408,629 -445,678 608,492 8/14/07 -462,133 4/24/18
Combined 10Y Note -371,967 -410,513 668,018 8/7/07 -429,387 4/24/18
Fut Only 30Y Bond 6,235 -6,709 106,002 -178,500
Combined 30Y Bond 5,916 -4,708 122,839 12/19/17 -172,009
Fut Only Ultra Bd -177,437* -171,600 28,763 6/05/12 -177,437 5/08/18
Combined Ultra Bd -177,681* -171,887 28,763 6/05/12 -177,681 5/08/18
Fut Only 3m Euro$ -4,040,294 -3,952,082 1,822,601 3/4/08 -4,051,527 4/17/18
Combined 3m Euro$ -3,110,209*-3,017,648 1,501,690 4/20/10 -3,110,209 5/08/18
Fut Only 30d Fed Fd 46,688 109,042 332,320 6/24/08 -286,041 8/8/17
Combined 30d Fed Fd 46,433 108,786 333,657 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]
To read the full story
Close
Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
Sign up now for free trial access to this content.
Please enter your details below.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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