Hedge funds' net shorts on US 2-year, 10-year note futures hit record high
Adds analyst comment, table, details
By Gertrude Chavez-Dreyfuss
NEW YORK, Aug 23 (Reuters) -Bearish bets on U.S. two-year and 10-year note futures from leveraged or hedge funds hit their largest level on record in the latest week, data showed on Friday, as market participants engaged in so-called basis trades.
Hedge funds are the major players in basis trades which take advantage of the difference in price between Treasury futures and the underlying bonds. It's a three-legged trade, which involves the cash Treasury, Treasury futures and repurchase or repo markets.
Leveraged funds' net shorts on U.S. two-year note futures surged to 2.34 million contracts 1042601LNET, according to the CFTC's latest Commitments of Traders data in the week ended Aug. 20.
Their net shorts on the benchmark 10-year note futures also hit a record high of 2.18 millioncontracts 1043602LNET.
Hedge funds, primarily relative value funds, would typically buy Treasuries and, at the same time, bet against Treasury futures by selling these contracts promising the underlying bond's delivery on a specific date at a pre-set price. They would normally borrow funds from the repo market to buy Treasuries.
The trade seeks to capitalize on the difference in the prices of the futures and the Treasury security underlying it. It is profitable if the price difference is bigger than the cost of buying Treasuries with short-term repo funding.
"These are largely basis trades," said Jan Nevruzi, interest rates strategist, at TD Securities in New York.
"Almost all of these positions on the leveraged side have a long cash bond positions on the other side. They're not doing this to capture a durational view, but it's a relative value trade. It's not a directional trade."
The predominance of basis trades can be gleaned from the increase in the repo volumes, according to data from money market research firm Wrightson, suggesting increased demand from hedge funds to borrow funds.
The CFTC data also showed that asset managers or institutional investors showed record long positioning in U.S. 10-year notes of 1.73 million contracts 1043602ANET.
"The long side of the futures are used by real money to get their duration exposure," Nevruzi said.
Real money investors such as pension funds, which are less interest rate-sensitive, are natural buyers of U.S. long-term Treasuries.
Below is a table of the speculative positions in Treasury futures on the Chicago Board of Trade on the Chicago Mercantile Exchange in the latest week. They represent non-commercial accounts, which take a speculative market position on the assets.
U.S. 2-year T-notes (Contracts of $200,000)
20 Aug 2024 week | Prior week | |
Long | 648,767 | 708,892 |
Short | 1,801,347 | 1,813,498 |
Net | -1,152,580 | -1,104,606 |
U.S. 5-year T-notes (Contracts of $100,000)
20 Aug 2024 week | Prior week | |
Long | 586,030 | 599,507 |
Short | 2,322,840 | 2,294,579 |
Net | -1,736,810 | -1,695,072 |
U.S. 10-year T-notes (Contracts of $100,000)
20 Aug 2024 week | Prior week | |
Long | 411,629 | 458,121 |
Short | 1,449,741 | 1,318,364 |
Net | -1,038,112 | -860,243 |
U.S. T-bonds (Contracts of $100,000)
20 Aug 2024 week | Prior week | |
Long | 349,758 | 347,997 |
Short | 383,253 | 374,327 |
Net | -33,495 | -26,330 |
U.S. Long T-bonds (Contracts of $100,000)
20 Aug 2024 week | Prior week | |
Long | 150,286 | 156,813 |
Short | 475,900 | 505,946 |
Net | -325,614 | -349,133 |
Fed funds (Contracts of $1,000,000)
20 Aug 2024 week | Prior week | |
Long | 147,009 | 188,069 |
Short | 283,521 | 279,360 |
Net | -136,512 | -91,291 |
Reporting by Gertrude Chavez-Dreyfuss
免責聲明: XM Group提供線上交易平台的登入和執行服務，允許個人查看和/或使用網站所提供的內容，但不進行任何更改或擴展其服務和訪問權限，並受以下條款與條例約束：（i）條款與條例；（ii）風險提示；（iii）完全免責聲明。網站內部所提供的所有資訊，僅限於一般資訊用途。請注意，我們所有的線上交易平台內容並不構成，也不被視為進入金融市場交易的邀約或邀請 。金融市場交易會對您的投資帶來重大風險。
所有缐上交易平台所發佈的資料，僅適用於教育/資訊類用途，不包含也不應被視爲適用於金融、投資稅或交易相關諮詢和建議，或是交易價格紀錄，或是任何金融商品或非應邀途徑的金融相關優惠的交易邀約或邀請。
本網站的所有XM和第三方所提供的内容，包括意見、新聞、研究、分析、價格其他資訊和第三方網站鏈接，皆爲‘按原狀’，並作爲一般市場評論所提供，而非投資建議。請理解和接受，所有被歸類為投資研究範圍的相關内容，並非爲了促進投資研究獨立性，而根據法律要求所編寫，而是被視爲符合營銷傳播相關法律與法規所編寫的内容。請確保您已詳讀並完全理解我們的非獨立投資研究提示和風險提示資訊，相關詳情請點擊 這裡查看。
