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UPDATE 1-U.S. Treasury two-year futures net shorts highest since April 2021 -CFTC

·2 min read

(Adds details, table) NEW YORK, Sept 16 (Reuters) - Speculators increased bearish bets on U.S. Treasury two-year note futures to their highest level since April 2021 in the latest week, according to Commodity Futures Trading Commission data. U.S. two-year note futures' net shorts hit 358,181 contracts in the week ended Sept. 13, CFTC data showed on Friday. They stood at 326,742 contracts the prior week. The short end of the Treasury yield curve is sensitive to changes in interest rates, with yields - which move inversely to bond prices - tending to rise with rate-hike expectations. The rise in net short positioning comes ahead of an expected supersized interest rate hike by the Federal Reserve at its policy-making meeting next week, as the U.S. central bank seeks to tame stubbornly high inflation. Speculators have also increased net short positions on longer-dated U.S. T-bond futures to 94,971 contracts, the largest since October 2021, CFTC data showed. Bearish bets on U.S. 10-year note futures were instead trimmed slightly in the week ending Sept. 13 to 352,889 contracts from 376,277 contracts the previous week. 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) 13 Sep 2022 Prior week week Long 100,196 89,223 Short 458,377 415,965 Net -358,181 -326,742 U.S. 5-year T-notes (Contracts of $100,000) 13 Sep 2022 Prior week week Long 276,668 264,384 Short 798,127 770,275 Net -521,459 -505,891 U.S. 10-year T-notes (Contracts of $100,000) 13 Sep 2022 Prior week week Long 297,034 279,865 Short 649,923 656,142 Net -352,889 -376,277 U.S. T-bonds (Contracts of $100,000) 13 Sep 2022 Prior week week Long 73,918 72,558 Short 168,889 157,775 Net -94,971 -85,217 U.S. Ultra T-bonds (Contracts of $100,000) 13 Sep 2022 Prior week week Long 79,375 70,713 Short 425,972 428,128 Net -346,597 -357,415 Eurodollar (Contracts of $1,000,000) 13 Sep 2022 Prior week week Long 612,295 661,773 Short 3,489,617 3,444,427 Net -2,877,322 -2,782,654 Fed funds (Contracts of $1,000,000) 13 Sep 2022 Prior week week Long 228,568 178,764 Short 180,607 160,114 Net 47,961 18,650 (Reporting by Davide Barbuscia; Editing by Leslie Adler and Jonathan Oatis)