December 23, 2016 / 9:34 PM / 8 months ago

UPDATE 1-Speculative Eurodollar net shorts fall from record high -CFTC

(Recasts lead, adds background)
    Dec 23 (Reuters) - Speculators dialed back their net bearish
bets on Eurodollar futures from record highs after the Federal
Reserve as expected raised interest rates last week, according
to Commodity Futures Trading Commission data released on Friday.
    Speculators also pared their net bearish or short bets on
U.S. 10-year Treasury note futures from their highest levels
since April 2010.
    On the other hand, speculative net shorts in two-year and
five-year Treasury futures rose as the U.S. central bank
surprised traders by hinting it might raise interest rates at a
faster pace than had previously thought. 
    The amount of speculators' bearish, or short, positions in
Eurodollar futures exceeded bullish, or long, positions by 2.008
million contracts on Dec. 20, down from a record 2.358 million
net shorts in the prior week, according to the CFTC's latest
Commitments of Traders data.
    Speculative net shorts in 10-year T-notes fell to
221,058 contracts, down from 268,395 which was the most net
shorts since the week of April 13, 2010, the latest Commitments
of Traders data showed.
    On Dec. 15 the day after the Fed meeting, U.S. 10-year
Treasury yields rose to 2.641 percent on Dec. 15,
which was the highest since September 2014, while two-year
yields touched 1.304 percent, which was last seen in
August 2009, Reuters data showed.
    By investor groups, bond dealers reduced their net longs in
Eurodollar futures to 3.666 million contracts and raised their
net shorts in 10-year T-notes to 125,268 contracts.
    Asset managers added to their net Eurodollar shorts
to 1.67 million and their net 10-year T-note longs to 192,014,
which was the most since March.
    Leveraged funds raised their net Eurodollar shorts to 1.707
million but reduced their net 10-year T-note sborts to 89,995.
    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 Dec 2016       Prior week
        week           
 Long         205,529        196,729
 Short        230,651        209,079
 Net          -25,122        -12,350
 
U.S. 5-year T-notes (Contracts of $100,000) 
        20 Dec 2016       Prior week
        week           
 Long         337,732        329,761
 Short        661,197        619,919
 Net         -323,465       -290,158
 
U.S. 10-year T-notes (Contracts of $100,000) 
        20 Dec 2016       Prior week
        week           
 Long         509,504        451,989
 Short        730,562        720,384
 Net         -221,058       -268,395
 
U.S. T-bonds (Contracts of $100,000) 
        20 Dec 2016       Prior week
        week           
 Long          95,259         92,750
 Short        106,582        108,284
 Net          -11,323        -15,534
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        20 Dec 2016       Prior week
        week           
 Long          66,490         63,580
 Short        133,014        128,073
 Net          -66,524        -64,493
 Eurodollar (Contracts of $1,000,000) 
        20 Dec 2016       Prior week
        week           
 Long         419,914        453,392
 Short      2,427,778      2,811,876
 Net       -2,007,864     -2,358,484
 Fed funds 
        20 Dec 2016       Prior week
        week           
 Long          86,278        101,157
 Short        147,700        179,150
 Net          -61,422        -77,993
 
 (Reporting by Richard Leong; editing by Diane Craft and Cynthia
Osterman)

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