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Market News Topics
June 08, 2018 19:43 GMT
US Tsy Futures: CFTC/COT, Scale Back Most Positions, 5s Extend
CHICAGO - Commodity Futures Trading Commission/Commitment of Traders data
for the period ending June 5 details.
Large speculative accounts mostly pared back existing positions across the
curve except for 5s where the group extended shorts.
In the short end, large specs unwound a large portion of net longs in Fed
funds by -137,420 to finish +45,863, and continued to pare net shorts in
Eurodollars by +66,036 to -3,457,388.
In notes, the group scaled back most of net longs in the 2-year note,
-59,402 to +3,490, and extended net shorts in the 5-year note by -97,148 to
-570,005.
In the 10-year note, the group moved off prior record shorts by +73,521 to
-397,546.
In the long end, the group pared net shorts in the 30-year Bond by +15,545
to -18,169, and pared net shorts in the Ultra-bond by +5,341 to finish -184,425.
Jun 5 May 29 Rec Long Rec Short
Fut Only 2Y Notes 3,490 62,892 234,808 7/31/12 -329,066 1/30/18
Combined 2Y Notes 16,333 67,767 235,621 5/03/11 -310,549 10/17/17
Fut Only 5Y Notes -570,005 -472,857 402,448 5/06/08 -656,908 5/08/18
Combined 5Y Notes -534,726 -423,412 387,383 5/06/08 -630,199 5/08/18
Fut Only 10Y Note -397,546 -471,067* 608,492 8/14/07 -471,067 5/29/18
Combined 10Y Note -258,386 -305,897 668,018 8/7/07 -429,387 4/24/18
Fut Only 30Y Bond -18,169 -33,714 106,002 -178,500
Combined 30Y Bond -11,973 -30,857 122,839 12/19/17 -172,009
Fut Only Ultra Bd -184,425 -189,766 28,763 6/05/12 -194,423 5/22/18
Combined Ultra Bd -184,318 -189,564 28,763 6/05/12 -194,949 5/22/18
Fut Only 3m Euro$ -3,457,388 -3,523,424 1,822,601 3/4/08 -4,051,527 4/17/18
Combined 3m Euro$ -2,554,756 -2,344,177 1,501,690 4/20/10 -3,110,209 5/08/18
Fut Only 30d Fed Fd 45,863 183,283 332,320 6/24/08 -286,041 8/8/17
Combined 30d Fed Fd 44,823 183,661 333,657 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]
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