U.S. Treasury 10-year note futures' net shorts hit largest in 21 months -CFTC

BY Reuters | TREASURY | 11/19/21 04:28 PM EST
    NEW YORK, Nov 19 (Reuters) - Speculators' net bearish bets
on U.S. 10-year Treasury note futures rose to their largest
since February 2020, according to Commodity Futures Trading
Commission data released on Friday.
    Futures on U.S. 10 year notes showed net shorts of 294,141
contracts, based on CFTC data in the week ended
Nov. 16. A week earlier, speculators held 267,332 net short
positions in 10-year T-note futures.
    Meanwhile, futures on U.S. 5-year notes, that part of the
curve that has come to reflect Federal Reserve interest rate
expectations along with 2-year notes, showed a smaller net short
positioning of -344,595 contracts, CFTC data
showed, the lowest since late October.
    Net shorts on U.S. two-year notes continued to decline to
-5,445 contracts in the latest week, the smallest
net short since mid-August.
    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)
        16 Nov 2021       Prior week
 Long         345,245        345,187
 Short        350,690        361,924
 Net           -5,445        -16,737

U.S. 5-year T-notes (Contracts of $100,000)
        16 Nov 2021       Prior week
 Long         300,750        258,018
 Short        645,345        665,503
 Net         -344,595       -407,485

U.S. 10-year T-notes (Contracts of $100,000)
        16 Nov 2021       Prior week
 Long         486,980        491,821
 Short        781,121        759,153
 Net         -294,141       -267,332

U.S. T-bonds (Contracts of $100,000)
        16 Nov 2021       Prior week
 Long         144,973        132,694
 Short        161,341        160,766
 Net          -16,368        -28,072

U.S. Ultra T-bonds (Contracts of $100,000)
        16 Nov 2021       Prior week
 Long          74,179         58,213
 Short        373,058        358,995
 Net         -298,879       -300,782

Eurodollar (Contracts of $1,000,000)
        16 Nov 2021       Prior week
 Long       1,477,552      1,581,479
 Short      2,596,835      2,553,389
 Net       -1,119,283       -971,910

Fed funds (Contracts of $1,000,000)
        16 Nov 2021       Prior week
 Long          58,782         48,886
 Short        123,988        116,835
 Net          -65,206        -67,949

 (Reporting by Gertrude Chavez-Dreyfuss
Editing by Chris Reese and Jonathan Oatis)

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