UPDATE 1-Speculators cut U.S. Treasury 2-year, 5-year futures' net shorts -CFTC

Reuters
·2 min read

(Adds details, table) NEW YORK, Sept 30 (Reuters) - Speculators pared bearish bets on U.S. Treasury two-year note and five-year note futures in the latest week, Commodity Futures Trading Commission data showed on Friday. Net shorts on U.S. two-year note futures, which are sensitive to rate move expectations, surged to 319,877 contracts in the week ended Sept. 27, the smallest since early August. U.S. Treasury five-year net shorts declined as well to 441,966 contracts, the lowest since early August, CFTC data showed. Over the last two weeks, U.S. Treasury yields have surged across the board as the Federal Reserve remained committed to tightening aggressively to stamp out inflation. Last week, U.S. two-year yields soared to a 15-year high of 2.36%. U.S. five-year yields also touched a 15-year peak. Data also showed that U.S. 10-year net short positioning rose in the latest week to 365,192, the largest in three weeks. U.S. 10-year yields surged to more than 12-year highs above 4% as aggressive Fed tightening combined with the ructions in the British gilts shook global bond markets. 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) 27 Sep 2022 Prior week week Long 154,887 139,358 Short 474,764 481,773 Net -319,877 -342,415 U.S. 5-year T-notes (Contracts of $100,000) 27 Sep 2022 Prior week week Long 286,492 266,452 Short 728,458 760,256 Net -441,966 -493,804 U.S. 10-year T-notes (Contracts of $100,000) 27 Sep 2022 Prior week week Long 316,478 397,050 Short 681,670 626,640 Net -365,192 -229,590 U.S. T-bonds (Contracts of $100,000) 27 Sep 2022 Prior week week Long 71,317 76,399 Short 167,869 175,938 Net -96,552 -99,539 U.S. Ultra T-bonds (Contracts of $100,000) 27 Sep 2022 Prior week week Long 73,402 71,306 Short 455,309 437,219 Net -381,907 -365,913 Eurodollar (Contracts of $1,000,000) 27 Sep 2022 Prior week week Long 622,892 556,537 Short 2,782,667 2,780,308 Net -2,159,775 -2,223,771 Fed funds (Contracts of $1,000,000) 27 Sep 2022 Prior week week Long 265,540 217,631 Short 163,057 193,467 Net 102,483 24,164 (Reporting by Gertrude Chavez-Dreyfuss Editing by Chris Reese and David Gregorio)

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