Credit: REUTERS/DADO RUVICBy Gertrude Chavez-Dreyfuss
NEW YORK, Jan 28 (Reuters) - Speculators' bearish bets on U.S. Treasury 5-year note futures, that part of the curve that reflects the market's interest rate outlook, declined to their lowest level since mid-September last year, Commodity Futures Trading Commission data showed on Friday.
U.S. 5-year note shorts fell to 140,457 contracts 1044601NNET in the week ended Jan. 25, from 217,174 the previous week.
Net shorts on U.S. 10-year note futures also fell to 264,656 contracts 1043602NNET, the lowest since late December, compared 271,442 contracts the prior week.
Investors overall trimmed their net short positions ahead of the Federal Reserve decision last Wednesday, with Chair Jerome Powell sending hawkish signals that implied several rate hikes this year, starting at the March meeting.
The U.S. 5-year note futures price FVc1 on Friday fell to the lowest level since January 2020, implying a yield of 1.647%.
U.S. 10-year note futures TYc1 on the other hand, rose on Friday, with an implied yield 1.775%.
U.S. 2-year futures' net longs slid to 31,877 contracts 1042601NNET, the lowest since early December, compared with 38,636 contracts the previous week. U.S. 2-year notes also reflect market expectations on interest rates.
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)
25 Jan 2022 week
Prior week
Long
391,570
402,602
Short
359,693
363,966
Net
31,877
38,636
U.S. 5-year T-notes (Contracts of $100,000)
25 Jan 2022 week
Prior week
Long
429,836
352,444
Short
570,293
569,618
Net
-140,457
-217,174
U.S. 10-year T-notes (Contracts of $100,000)
25 Jan 2022 week
Prior week
Long
406,213
461,290
Short
670,869
732,732
Net
-264,656
-271,442
U.S. T-bonds (Contracts of $100,000)
25 Jan 2022 week
Prior week
Long
104,960
133,654
Short
169,055
181,150
Net
-64,095
-47,496
U.S. Ultra T-bonds (Contracts of $100,000)
25 Jan 2022 week
Prior week
Long
69,036
66,240
Short
412,281
404,590
Net
-343,245
-338,350
Eurodollar (Contracts of $1,000,000)
25 Jan 2022 week
Prior week
Long
756,358
773,690
Short
2,877,662
2,600,983
Net
-2,121,304
-1,827,293
Fed funds (Contracts of $1,000,000)
25 Jan 2022 week
Prior week
Long
127,925
97,755
Short
78,488
110,029
Net
49,437
-12,274
(Reporting by Gertrude Chavez-Dreyfuss; Editing by Leslie Adler and Marguerita Choy)
((gertrude.chavez@thomsonreuters.com; 646-301-4124; Reuters Messaging: gertrude.chavez.reuters.com@reuters.net))
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