February 23, 2018 / 9:57 PM / 3 months ago

UPDATE 1-Speculative Eurodollar net shorts hit record high -CFTC

    * Speculative 10-year T-note net shorts lowest in a month
    * Speculators pared net shorts in fed funds futures

 (New throughout, adds background and details)
    Feb 23 (Reuters) - Speculators ramped up their bets on
further increases in short-term interest rates as
stronger-than-forecast U.S. inflation data stoked the view the
Federal Reserve may embark on a faster pace of rate hikes,
Commodity Futures Trading Commission data released on Friday
showed.
    The amount of speculative net bearish, or short, positions
in Eurodollar futures rose a record high of 3.65 million
contracts in the week ended Feb. 20, according to the CFTC's
Commitments of Traders data.
    Last week, the U.S. consumer price index, the government's
broadest inflation gauge, rose 0.5 percent in January, exceeding
forecasts. The CPI core rate, which excludes volatile food and
energy prices, grew 0.3 percent, the biggest monthly increase in
a year.
    On the other hand, speculators dialed back net shorts in
federal funds futures, a much smaller market than their
Eurodollar counterparts. Net shorts in fed funds fell by 60,514
contracts to 19,245 on Tuesday.
    Late Friday, fed funds futures implied traders expected the
U.S. central bank would raise interest rates three times in 2018
with the next increase likely at its March 20-21 policy meeting
, CME Group's FedWatch program showed.
    Among Treasury futures, speculators reduced net short
positions in 10-year T-notes to 214,480 contracts on Tuesday,
the lowest in a month. 
    A week ago, net shorts in 10-year T-notes were 296,935 ,
according to the CFTC's latest Commitments of Traders data
.
    Benchmark 10-year Treasury yield fell to 2.866
percent late Friday after reaching a four-year peak of 2.957
percent on Wednesday.
    Below is a table of 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) 
        20 Feb 2018       Prior week
        week           
 Long         395,533        411,175
 Short        552,485        545,161
 Net         -156,952       -133,986
 
U.S. 5-year T-notes (Contracts of $100,000) 
        20 Feb 2018       Prior week
        week           
 Long         636,080        628,595
 Short      1,063,663        981,102
 Net         -427,583       -352,507
 
U.S. 10-year T-notes (Contracts of $100,000) 
        20 Feb 2018       Prior week
        week           
 Long         681,539        658,659
 Short        896,019        955,594
 Net         -214,480       -296,935
 
U.S. T-bonds (Contracts of $100,000) 
        20 Feb 2018       Prior week
        week           
 Long         174,434        160,245
 Short        157,043        156,396
 Net           17,391          3,849
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        20 Feb 2018       Prior week
        week           
 Long          47,382         45,143
 Short        208,420        209,662
 Net         -161,038       -164,519
 Eurodollar (Contracts of $1,000,000) 
        20 Feb 2018       Prior week
        week           
 Long         911,935        954,880
 Short      4,562,507      4,359,865
 Net       -3,650,572     -3,404,985
 Fed funds (Contracts of $1,000,000) 
        20 Feb 2018       Prior week
        week           
 Long         299,285        263,239
 Short        318,530        342,999
 Net          -19,245        -79,760
 
 (Reporting by Richard Leong; Editing by Chris Reese and David
Gregorio)
  
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