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Market News Topics
April 27, 2018 19:53 GMT
US Tsy Futures: CFTC/COT, Specs Pare Flatteners/Add Steepeners
CHICAGO - Commodity Futures Trading Commission/Commitment of Traders data
for the period ending April 24 details.
The latest report showed large speculative accounts added to longs/pared
shorts in the front end, while adding to shorts (new records in 5s and
10s)/paring longs in 5s on out the curve -- ergo reflecting the steepener
interest since last week Wednesday.
In the short end, large spec added to net longs in Fed funds by +23,952 to
finish +216,504, and scaled back from prior record shorts in Eurodollars last
period by +170,331 to -3,881,196.
In notes, the group pared net shorts in the 2-year note by +187,484 to
-69,264, while adding to net shorts in the 5-year note by -18,350 to to a new
record short of -591,849.
In the 10-year note, the group extended new net record shorts by -90,444 to
-462,133.
In the long end, the group pared net longs in the 30-year Bond by -26,976
to +18,321, and added net shorts in the Ultra-bond by -3,294 to finish latest
period -159,975.
Apr 24 Apr 17 Rec Long Rec Short
Fut Only 2Y Notes -69,264 -86,748 234,808 7/31/12 -329,066 1/30/18
Combined 2Y Notes -66,108 -77,878 235,621 5/03/11 -310,549 10/17/17
Fut Only 5Y Notes -591,849* -573,499 402,448 5/06/08 -591,849 4/24/18
Combined 5Y Notes -560,798 -557,711 387,383 5/06/08 -576,570 4/3/18
Fut Only 10Y Note -462,166* -371,689 608,492 8/14/07 -462,133 4/24/18
Combined 10Y Note -429,387* -344,961 668,018 8/7/07 -429,387 4/24/18
Fut Only 30Y Bond 18,321 42,297 106,002 -178,500
Combined 30Y Bond 17,175 36,491 122,839 12/19/17 -172,009
Fut Only Ultra Bd -159,975 -156,681 28,763 6/05/12 -170,410 3/6/18
Combined Ultra Bd -160,159 -156,659 28,763 6/05/12 -170,357 3/6/18
Fut Only 3m Euro$ -3,881,196 -4,051,527*1,822,601 3/4/08 -4,051,527 4/17/18
Combined 3m Euro$ -2,883,503 -3,079,702*1,501,690 4/20/10 -3,079,702 4/17/18
Fut Only 30d Fed Fd 216,504 192,552 332,320 6/24/08 -286,041 8/8/17
Combined 30d Fed Fd 216,156 192,488 333,657 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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