July 26, 2019 / 8:36 PM / 2 months ago

UPDATE 1-Speculative Eurdollar net longs fall from 11-year high -CFTC

 (Recasts lead paragraph, adds graphics)
    July 26 (Reuters) - Speculators scaled back their bullish
bets on short-term U.S. interest rates futures from their
highest level in over 11 years earlier this week as they
considered a possible rate decrease from the Federal Reserve,
government data released on Friday showed.
    Their net longs on Eurodollar futures fell to 1.447 million
contracts on Tuesday, down from 1.514 million a week earlier
which was the highest since April 2008, according to Commodity
Futures Trading Commission data. 
    On July 18, New York Fed President John Williams, an
influential member at the central bank, said the Fed may need to
take steps to combat downside risks even if the economy is doing
well. His remarks triggered a rally in U.S. rates futures as
traders thought the Fed might lower key lending rates by an
aggressive half a point at its July 30-31 policy meeting.
    However, those bets faded after the New York Fed later that
day said the comments were not about upcoming policy action.

    In addition to paring their net longs in Eurodollars,
speculators piled on bearish bets in federal funds futures.
    Their net shorts in fed funds grew by 109,490 contracts, the
most since June 2018, to 144,020 on Tuesday.
    As of late Friday, fed funds contracts implied traders fully
expect a rate-cut from the Fed next Wednesday. They suggested
traders expect only a 19% chance of a half-point cut, according
to CME Group's FedWatch program.
    At one point last Thursday, traders had priced in a 71%
chance of a half-point rate decrease following Williams'
remarks.
    Among Treasury futures, speculators net shorts in 10-year
Treasury futures rose to 380,169 contracts on July 23, the
highest in five weeks, according to the CFTC's latest
Commitments of Traders data.
    A week earlier, their net shorts in 10-year T-notes were
347,222.
    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) 
        23 Jul 2019       Prior week
        week           
 Long         957,802        873,887
 Short      1,218,448      1,180,727
 Net         -260,646       -306,840
 
U.S. 5-year T-notes (Contracts of $100,000) 
        23 Jul 2019       Prior week
        week           
 Long         858,376        864,608
 Short        957,171        965,196
 Net          -98,795       -100,588
 
U.S. 10-year T-notes (Contracts of $100,000) 
        23 Jul 2019       Prior week
        week           
 Long         678,489        680,971
 Short      1,058,658      1,028,193
 Net         -380,169       -347,222
 
U.S. T-bonds (Contracts of $100,000) 
        23 Jul 2019       Prior week
        week           
 Long         138,262        146,509
 Short        179,908        168,256
 Net          -41,646        -21,747
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        23 Jul 2019       Prior week
        week           
 Long          92,208         95,711
 Short        381,180        389,953
 Net         -288,972       -294,242
 Eurodollar (Contracts of $1,000,000) 
        23 Jul 2019       Prior week
        week           
 Long       2,772,692      2,757,994
 Short      1,325,969      1,244,230
 Net        1,446,723      1,513,764
 Fed funds (Contracts of $1,000,000) 
        23 Jul 2019       Prior week
        week           
 Long         331,323        354,705
 Short        475,343        389,235
 Net         -144,020        -34,530
 
    
 (Reporting by Richard Leong; editing by Jonathan Oatis and Tom
Brown)
  
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