Hedge funds, non-commercial traders cut net shorts in US Treasury 10-year futures
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NEW YORK, Oct 11 (Reuters) -Net shorts on U.S. Treasury 10-year note futures, or bets their price will fall, from both leveraged funds and non-commercial accounts declined in the latest week, according to data from the Commodity Futures Trading Commission on Friday.
Leveraged funds' nets shorts on 10-year note futures fell to 2,035,131 contracts 1043602LNET, the smallest level since the week of Sept. 10, according to the CFTC's latest Commitments of Traders data in the week ended Oct. 8.
Their net shorts hit record levels on Aug. 20 as so-called "basis trades", a trading strategy which takes advantage of the difference in price between cash Treasuries and futures, re-emerged in full force. Their record net shorts came as asset manager's net long positioning on 10-year notes hit all-time peaks as well.
In the latest week, asset managers' longs declined to 1,719,545 contracts 1043602ANET, after hitting another record long the previous week. Asset managers have used long contracts in Treasuries to fulfill portfolio needs, therefore the persistently long positioning.
In a basis trade, hedge funds would typically buy so-called cash Treasuries and, at the same time, bet against Treasury futures, buying shorts and promising the underlying bond's delivery on a specific date at a pre-set price. They would normally borrow funds from the repo market to buy cash Treasuries
Data also showed nets shorts on the 10-year note from non-commercial traders, which take a speculative market position on the assets, fell to 960,129 1043602NNET, the lowest since late August.
Non-commercial net short positioning on two-year notes increased to 1,225,036 contracts 1042601NNET, the largest since the week of July.
Below is a table of the speculative positions in Treasury futures on the Chicago Board of Trade on the Chicago Mercantile Exchange in the latest week. They represent non-commercial accounts.
U.S. 2-year T-notes (Contracts of $200,000)
08 Oct 2024 week | Prior week | |
Long | 635,254 | 692,556 |
Short | 1,860,290 | 1,870,775 |
Net | -1,225,036 | -1,178,219 |
U.S. 5-year T-notes (Contracts of $100,000)
08 Oct 2024 week | Prior week | |
Long | 488,596 | 550,762 |
Short | 2,088,921 | 2,101,552 |
Net | -1,600,325 | -1,550,790 |
U.S. 10-year T-notes (Contracts of $100,000)
08 Oct 2024 week | Prior week | |
Long | 489,605 | 454,080 |
Short | 1,449,734 | 1,597,969 |
Net | -960,129 | -1,143,889 |
U.S. T-bonds (Contracts of $100,000)
08 Oct 2024 week | Prior week | |
Long | 362,540 | 358,613 |
Short | 438,715 | 455,191 |
Net | -76,175 | -96,578 |
U.S. Long T-bonds (Contracts of $100,000)
08 Oct 2024 week | Prior week | |
Long | 172,856 | 173,963 |
Short | 455,107 | 437,181 |
Net | -282,251 | -263,218 |
Fed funds (Contracts of $1,000,000)
08 Oct 2024 week | Prior week | |
Long | 481,131 | 479,536 |
Short | 289,660 | 233,843 |
Net | 191,471 | 245,693 |
Reporting by Gertrude Chavez-Dreyfuss
Editing by Chris Reese and David Gregorio
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