U.S. Treasury 2-year futures net shorts hit largest in more than a year -CFTC

NEW YORK, Aug 12 (Reuters) - Speculators increased bearish bets on U.S. Treasury two-year note futures in the latest week, with net shorts hitting their largest in 13 months, ahead of a crucial U.S. inflation report for July, Commodity Futures Trading Commission data showed on Friday.

Net shorts on U.S. two-year note futures, which are often sensitive to rate move expectations, surged to 172,221 contracts in the week ended Aug. 9, the biggest since early July 2021.

U.S. Treasury five-year net shorts rose as well to a nearly three-month high of 351,003 contracts in the week ended Aug. 9, CFTC data showed.

Bond investors increased their bearish positions on the shorter end of the curve, expecting a spike in the U.S. consumer price index for July that should keep the Federal Reserve hiking interest rates.

But July's annual CPI came in lower than expected at 8.5%, after a 9.1% rise in June.

Fed funds futures on Friday have priced in a 58% chance of a 50 basis-point hike at the Fed's September policy meeting . Before Wednesday's CPI report, the rate futures market factored in a more than an even chance of a 75-bps tightening next month.

In other maturities, speculators reduced U.S. 10-year note futures' net shorts to 286,478 contracts in the week ended Aug. 9. A week earlier, speculators held 295,490 net short 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)

09 Aug 2022       Prior week
week 
Long         208,434        236,803 
Short        380,655        336,271 
Net         -172,221        -99,468 
 
U.S. 5-year T-notes (Contracts of $100,000) 
09 Aug 2022       Prior week 
week 
Long         298,631        327,896 
Short        649,634        663,841 
Net         -351,003       -335,945 
 
U.S. 10-year T-notes (Contracts of $100,000) 
09 Aug 2022       Prior week 
week 
Long         269,699        239,438 
Short        556,177        534,928 
Net         -286,478       -295,490 
 
U.S. T-bonds (Contracts of $100,000) 
09 Aug 2022       Prior week 
week 
Long          87,700         83,261 
Short        135,286        139,314 
Net          -47,586        -56,053 
 
U.S. Ultra T-bonds (Contracts of $100,000) 
09 Aug 2022       Prior week 
week 
Long          47,821         48,880 
Short        409,137        400,995 
Net         -361,316       -352,115 
Eurodollar (Contracts of $1,000,000) 
09 Aug 2022       Prior week 
week 
Long         447,560        391,755 
Short      3,333,539      3,178,438
Net       -2,885,979     -2,786,683 Fed funds (Contracts of $1,000,000) 
09 Aug 2022       Prior week 
week 
Long         172,597        153,948 
Short        171,636        156,673 
Net              961         -2,725