September 20, 2019 / 8:21 PM / a month ago

UPDATE 1-Speculative Eurodollar net longs post biggest drop since 2016 -CFTC

 (Adds details on latest data)
    Sept 20 (Reuters) - Speculators slashed their net bullish
positions in Eurodollar rates futures by the biggest total in
over three years following a dramatic bond market sell-off and
before the Federal Reserve's policy meeting this week,
government data released on Friday showed.
    Speculative longs in Eurodollar futures exceeded speculative
shorts in them by 1.891 million contracts on Sept. 17, down by
370,345 from the prior week, according to figures from the
Commodity Futures Trading Commission.
    The drop marked the biggest weekly decline since a 412,380
fall in May 2016.
    Last week, the Treasuries market suffered its worst week in
more than six years amid hopes for a U.S.-China trade deal and
encouraging domestic data.
    Traders also dialed back their bets on an aggressive pace of
rate decreases from the Fed, although they were convinced
policymakers would deliver on a quarter point rate cut, which
they did.
    The amount of speculators' bearish, or short positions, in
10-year Treasury futures exceeded bullish, or long positions, by
229,963 contracts on Sept 17. .
    A week earlier, speculators held 300,433 net short positions
in 10-year T-note futures.
    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) 
        17 Sep 2019       Prior week
        week           
 Long       1,045,467        986,770
 Short      1,205,002      1,130,029
 Net         -159,535       -143,259
 
U.S. 5-year T-notes (Contracts of $100,000) 
        17 Sep 2019       Prior week
        week           
 Long         691,419        734,459
 Short        856,796        832,345
 Net         -165,377        -97,886
 
U.S. 10-year T-notes (Contracts of $100,000) 
        17 Sep 2019       Prior week
        week           
 Long         623,614        623,170
 Short        853,577        923,603
 Net         -229,963       -300,433
 
U.S. T-bonds (Contracts of $100,000) 
        17 Sep 2019       Prior week
        week           
 Long         132,120        138,103
 Short        178,360        189,846
 Net          -46,240        -51,743
 
U.S. Ultra T-bonds (Contracts of $100,000) 
        17 Sep 2019       Prior week
        week           
 Long         118,359        114,611
 Short        412,068        415,887
 Net         -293,709       -301,276
 Eurodollar (Contracts of $1,000,000) 
        17 Sep 2019       Prior week
        week           
 Long       2,645,460      3,407,108
 Short        754,611      1,145,914
 Net        1,890,849      2,261,194
 Fed funds (Contracts of $1,000,000) 
        17 Sep 2019       Prior week
        week           
 Long         511,819        389,826
 Short        318,824        273,954
 Net          192,995        115,872
 
 (Reporting by Richard Leong
Editing by Tom Brown)
  
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