Net shorts on 10-year US Treasury futures rise to biggest on record, CFTC data shows
Adds details, table
By Davide Barbuscia
NEW YORK, Oct 4 (Reuters) -Speculators' net bearish bets on U.S. 10-year Treasury note futures rose to a record highin the week ended on Oct. 1, according to Commodity Futures Trading Commission data released on Friday.
Net short bets on the benchmark 10-year note futures 1043602NNET rose to 1,143,889 contracts from 1,025,278 a week earlier, the CFTC's latest Commitments of Traders data showed.
Net short positions on two-year Treasury futures also rose significantly to their largest levels since July. Net bearish bets rose to 1,178,219 contracts 1042601NNET from 1,046,560 a week earlier. Net shorts on other Treasury futures declined.
Speculators made bets after the Federal Reserve in mid-September cut interest rates for the first time in over four years amid rising concerns over the health of the U.S. economy.
Since then, long-term Treasury yields, which move inversely to prices, have climbed as U.S. economic data showed continued resilience, while two-year yields moved roughly in range.
That changed on Friday, when labor market data far above expectations boosted yields across the curve, pushing investors to bet for a more moderate pace of monetary policy easing than the one that may have been suggested by the central bank's 50 basis point rate cut last month.
Two-year yields, which closely reflect bets on monetary policy changes, surged on Friday to 3.92% from 3.71% Thursday.
"Today's report further reduces some of the near-term downside risks to the economy, and should take some of the urgency out of rate cuts," Tiffany Wilding, an economist at PIMCO, said in a note.
Rates futures traders on Friday priced out the chance of another 50 basis point cut at the next Fed policy-setting meeting in November, while they assigned a nearly 100% possibility to a 25 basis point rate cut, up from 68% on Thursday, CME Group data showed.
"The overall idea of the Fed easing rate has not changed today," said Jason Granet, chief investment officer at BNY. "What today's numbers have left the market believing is a question on the pace of rates normalization, rather than calling it into question."
Below is a table of the speculative positions in Treasury futures on the Chicago Board of Trade in the latest week:
U.S. 2-year T-notes (Contracts of $200,000)
01 Oct 2024 week | Prior week | |
Long | 692,556 | 730,128 |
Short | 1,870,775 | 1,776,688 |
Net | -1,178,219 | -1,046,560 |
U.S. 5-year T-notes (Contracts of $100,000)
01 Oct 2024 week | Prior week | |
Long | 550,762 | 587,823 |
Short | 2,101,552 | 2,142,255 |
Net | -1,550,790 | -1,554,432 |
U.S. 10-year T-notes (Contracts of $100,000)
01 Oct 2024 week | Prior week | |
Long | 454,080 | 467,828 |
Short | 1,597,969 | 1,493,106 |
Net | -1,143,889 | -1,025,278 |
U.S. T-bonds (Contracts of $100,000)
01 Oct 2024 week | Prior week | |
Long | 358,613 | 353,820 |
Short | 455,191 | 506,402 |
Net | -96,578 | -152,582 |
U.S. Long T-bonds (Contracts of $100,000)
01 Oct 2024 week | Prior week | |
Long | 173,963 | 178,425 |
Short | 437,181 | 444,804 |
Net | -263,218 | -266,379 |
Fed funds (Contracts of $1,000,000)
01 Oct 2024 week | Prior week | |
Long | 479,536 | 506,691 |
Short | 233,843 | 290,831 |
Net | 245,693 | 215,860 |
Reporting by Davide Barbuscia; Editing by Leslie Adler and Richard Chang
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