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UPDATE 1-Speculators trim U.S. Treasury two-year futures' net shorts - CFTC

·2 min read

(Adds details, table) NEW YORK, July 22 (Reuters) - Speculators trimmed bearish bets on benchmark U.S. Treasury two-year note futures to their smallest since May, Commodity Futures Trading Commission data showed on Friday. U.S. two-year note futures' net shorts, which are often sensitive to interest rate move expectations, hit 63,053 contracts in the week ended July 19. A week earlier, speculators held net short contracts in two-year futures of 64,569 contracts. The decline in net shorts comes ahead of the U.S. Federal Reserve's policy meeting next week, where the central bank is expected to increase interest rates by 75 basis points. That would be smaller than a 100 basis points increase that the market had priced in as more likely following a high inflation reading earlier this month. Speculators, on the other hand, increased net shorts on U.S. T-bond futures to 42,102 contracts, up from 23,218 the prior week and the highest since January. U.S. 10-year note futures' net shorts were almost unchanged at 108,704 contracts from 108,371 the prior week, CFTC data showed. 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) 19 Jul 2022 Prior week week Long 279,480 278,448 Short 342,533 343,017 Net -63,053 -64,569 U.S. 5-year T-notes (Contracts of $100,000) 19 Jul 2022 Prior week week Long 284,416 274,551 Short 542,431 565,674 Net -258,015 -291,123 U.S. 10-year T-notes (Contracts of $100,000) 19 Jul 2022 Prior week week Long 351,679 360,163 Short 460,383 468,534 Net -108,704 -108,371 U.S. T-bonds (Contracts of $100,000) 19 Jul 2022 Prior week week Long 90,183 97,335 Short 132,285 120,553 Net -42,102 -23,218 U.S. Ultra T-bonds (Contracts of $100,000) 19 Jul 2022 Prior week week Long 49,387 52,766 Short 395,169 381,061 Net -345,782 -328,295 Eurodollar (Contracts of $1,000,000) 19 Jul 2022 Prior week week Long 455,567 456,666 Short 3,099,472 3,181,232 Net -2,643,905 -2,724,566 Fed funds (Contracts of $1,000,000) 19 Jul 2022 Prior week week Long 248,072 189,815 Short 134,494 108,760 Net 113,578 81,055 (Reporting by Davide Barbuscia; Editing by Diane Craft and Andrea Ricci)