U.S. Treasury 10-year note futures' net shorts surge to largest since Feb 2020 -CFTC

BY Reuters | TREASURY | 01/14/22 04:57 PM EST
    NEW YORK, Jan 14 (Reuters) - Speculators' net bearish bets
on benchmark U.S. 10-year Treasury note futures swelled to their
largest since February 2020, just before the onset of the
pandemic, according to Commodity Futures Trading Commission data
released on Friday.
    The surge in 10-year futures' net shorts came amid hawkish
signals from the Federal Reserve last week that bolstered
expectations for a March policy tightening. It also reflects the
growing possibility that the Fed may have to shrink its balance
sheet soon after the rate hike.
    Futures on U.S. 10-year notes showed net shorts of 349,839
contracts in the week ended Jan. 11, compared with
276,923 contracts the previous week.
    The price on U.S. 10-year note futures dropped to
their lowest since late July 2019 on Jan. 10, coinciding with
the surge in 10-year-yields of 1.8%, the highest since
mid-January 2020.
    Futures on U.S. 5-year notes, meanwhile, that part of the
curve that reflects the market's interest rate outlook, showed a
lower net short of 299,657 contracts this week,
the smallest since roughly late November 2021. Net short
contracts last week were at 402,875.
    Speculators also increased net longs on U.S. 2-year note
futures to 51,817 contracts from 41,999 the
previous week.
    Short-term investors added to bearish bets last week heading
to an ultra-hawkish Federal Open Market Committee minutes and a
good-enough U.S. non-farm payrolls report that kept the Federal
Reserves on track to hike rates in March. And those bets have
paid off and speculators have trimmed their positions.
    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)
        11 Jan 2022       Prior week
        week
 Long         396,495        380,295
 Short        344,678        338,296
 Net           51,817         41,999

U.S. 5-year T-notes (Contracts of $100,000)
        11 Jan 2022       Prior week
        week
 Long         314,572        255,298
 Short        614,229        658,173
 Net         -299,657       -402,875

U.S. 10-year T-notes (Contracts of $100,000)
        11 Jan 2022       Prior week
        week
 Long         413,462        491,806
 Short        757,301        768,729
 Net         -343,839       -276,923

U.S. T-bonds (Contracts of $100,000)
        11 Jan 2022       Prior week
        week
 Long         147,857        144,496
 Short        212,895        194,046
 Net          -65,038        -49,550

U.S. Ultra T-bonds (Contracts of $100,000)
        11 Jan 2022       Prior week
        week
 Long          76,368         78,495
 Short        385,899        368,096
 Net         -309,531       -289,601
 Eurodollar (Contracts of $1,000,000)
        11 Jan 2022       Prior week
        week
 Long         815,291        778,014
 Short      2,595,620      2,587,070
 Net       -1,780,329     -1,809,056
 Fed funds (Contracts of $1,000,000)
        11 Jan 2022       Prior week
        week
 Long          57,362         42,380
 Short        124,916        127,671
 Net          -67,554        -85,291

 (Reporting by Gertrude Chavez-Dreyfuss; Editing by Leslie
Adler)

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