February 24, 2017 / 9:26 PM / a year ago

UPDATE 1-Speculative net shorts in Eurodollar futures hit record -CFTC

 (Recasts with Eurodollar bets, adds details throughout)
    Feb 24 (Reuters) - Speculators' net bearish bets on
Eurodollar futures reached a record peak on Tuesday, signaling
increased expectations the Federal Reserve will step up its pace
of interest rate increases on signs of an improving U.S.
economy, Commodity Futures Trading Commission data released on
Friday showed.
    The margin of speculators' bearish bets over "long" bets
grew to 2.587 million contracts on Tuesday from 2.438 million a
week earlier, according to the CFTC's latest Commitments of
Traders data. Eurodollar futures are a measure of
expectations for interbank borrowing costs.
    This latest snapshot of speculators' net shorts in
Eurodollar came as some Federal Reserve officials including
Chair Janet Yellen have raised the possibility of a faster pace
of rate hikes in 2017 than what traders overall have priced in.
    On Wednesday, however, the Federal Reserve's minutes on its
Jan. 31-Feb. 1 policy meeting reduced traders' expectations the
central bank will raise rates when it meets next month.

    "Many participants expressed the view that it might be
appropriate to raise the federal funds rate again fairly soon if
incoming information on the labor market and inflation was in
line with or stronger than their current expectations," the Fed
said in the minutes.
    Speculators ramped up their net shorts in futures contracts
on the fed funds rates a day before the release of the Fed
minutes. Their net shorts on fed funds futures grew to 159,076
contracts, the most since July 2015 and up from 140,197 a week
    The following tables show the speculative positions in
Treasury futures on the Chicago Board of Trade and in Eurodollar
futures on the Chicago Mercantile Exchange in the latest week:
 U.S. 2-year T-notes (Contracts of $200,000) 
        Feb. 21, 2017     Prior week
 Long         317,140        306,050
 Short        269,039        276,089
 Net           48,101         29,961
U.S. 5-year T-notes (Contracts of $100,000) 
        Feb. 21, 2017     Prior week
 Long         372,861        339,962
 Short        677,810        696,097
 Net         -304,949       -356,135
U.S. 10-year T-notes (Contracts of $100,000) 
        Feb. 21, 2017     Prior week
 Long         528,284        525,758
 Short        830,583        867,282
 Net         -302,299       -341,524
U.S. T-bonds (Contracts of $100,000) 
        Feb. 21, 2017     Prior week
 Long          95,313         94,366
 Short        119,037        120,611
 Net          -23,724        -26,245
U.S. Ultra T-bonds (Contracts of $100,000) 
        Feb. 21, 2017     Prior week
 Long          54,873         52,045
 Short        123,848        121,400
 Net          -68,975        -69,355
 Eurodollar (Contracts of $1,000,000) 
        Feb. 21, 2017     Prior week
 Long         464,527        469,994
 Short      3,051,633      2,907,557
 Net       -2,587,106     -2,437,563
 Fed funds 
        Feb. 21, 2017     Prior week
 Long         128,077        136,199
 Short        287,153        276,396
 Net         -159,076       -140,197
 (Reporting by Richard Leong; Editing by Leslie Adler)
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