US TSY FUTURES:CFTC COT Lg Specs Record Long 2Y Pd End 7/31/12
03-Aug-2012
CHICAGO (MNI) - Large speculative accounts dramatically added to
long positions in the front-end of the curve in the period ended July
31, according to the weekly Commodity Futures Trading Commission
Committment of Traders report release Friday.
The report was highlighted by a new record long in the 2-year note
as large specs added 173,783 new positions to a new record net long of
234,808. Meanwhile in Eurodollar futures, large specs added a whopping
318,259 positions for a new net long of 785,773.
The clamour to the front-end came as many looked for the curve to
bull steepen as a result of this week's FOMC and ECB announcements on
Wednesday and Thursday, respecitvely, and ahead of next week's long-end
Treasury supply.
Meanwhile, in the 5-year contract, large specs added 68,441 new
longs for a new net long of 154,541 while in the 10-year note large
specs flipped from a net short of -36,583 to a new net long of +2,055 as
a net 38,638 new longs were established.
In the 30-year bond, large specs reduced longs by -10,850 for a new
net long of +29,707.
Ultra bond positioning was lengthened by +331 for a new net long of
+26,452.
In Fed funds, large specs reduced shorts by +4,090 for a new net
short of -37,838.
July 31 July 24 Rec Long Rec Short
Fut Only 2yr Notes 234,808* 193,035 234,808 7/31/12 -259,019 05/8/07
Combined 2yr Notes 221,471 187,432 235,621 5/03/11 -263,396 05/8/07
Fut Only 5yr Notes 154,541 128,464 402,448 5/06/08 -253,398
Combined 5yr Notes 144,144 129,149 387,383 5/06/08 -284,813
Fut Only 10yr Note 2,055 -77,414 608,492 8/14/07 -274,741 4/13/10
Combined 10yr Note 26,684 -19,127 668,018 8/7/07 -269,879 4/13/10
Fut Only 30yr Bond 29,707 30,487 106,002 -178,500
Combined 30yr Bond 25,278 27,098 101,649 -172,009
Fut Only Ultra Bond 26,542 21,371 28,763 06/05/12 -29,153 5/04/10
Combined Ultra Bond 26,452 21,321 28,763 06/05/12 -29,153 5/04/10
Fut Only 3m Euro$ 785,773 692,093 1,822,601 3/4/08 -806,865
Combined 3m Euro$ 896,576 814,364 1,501,690 4/20/10 -731,523
Fut Only 30d Fed Fd -37,838 -35,581 332,320 6/24/08 -133,955 8/07/07
Combined 30d Fed Fd -39,954 -35,639 333,657 6/24/08 -143,204 8/07/07
*Denotes new record
** MNI Chicago Bureau: 708-784-1849 ** |
