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
Eng oxirgi yangiliklar
Javobgarlikdan voz kechish: XM Group korxonalari har biri faqat ijro xizmatlarini koʻrsatadi va onlayn savdo platformamizdan foydalanish huquqini beradi, bu odamga veb-saytda yoki veb-sayt orqali mavjud boʻlgan kontentni koʻrish va/yoki undan foydalanishga ruxsat beradi hamda uni oʻzgartirishga moʻljallanmagan va uni oʻzgartirmaydi yoki kengaytirmaydi. Bunday kirish va foydalanish huquqi doimo quyidagilarga boʻysunadi: (i) Shartlar va qoidalar; (ii) Risklar haqida ogohlantirish; va (iii) Javobgarlikni toʻliq rad etish. Shuning uchun bunday kontent umumiy maʼlumot sifatida taqdim etiladi. Xususan, shuni esda tutingki, bizning onlayn savdo platformamiz mazmuni moliyaviy bozorlarda biror bitimni amalga oshirishga oid maslahat yoki taklif emas. Har qanday moliyaviy bozorda savdo qilish sizning kapitalingiz uchun jiddiy risk darajasini oʻz ichiga oladi.
Onlayn savdo platformamizda chop etilgan barcha materiallar faqat taʼlim/axborot maqsadlari uchun moʻljallangan va unda moliyaviy, investitsiya soligʻi yoki savdo maslahatlari va tavsiyalar; yoki bizning savdo narxlarimizning qaydlari; yoki har qanday moliyaviy vositalar bilan bitim tuzish maslahati yoki taklifi; yoki sizga kerak boʻlmagan moliyaviy reklama aksiyalari hisoblanmaydi
Har qanday uchinchi tomon kontenti, shuningdek XM tomonidan tayyorlangan kontent, masalan: fikrlar, yangiliklar, tadqiqotlar, tahlillar, narxlar va boshqa maʼlumotlar yoki bu veb-saytda joylashgan uchinchi tomon saytlariga havolalar umumiy bozor sharhi sifatida "boricha" taqdim etiladi va investitsiya maslahatini tashkil etmaydi. Har qanday kontent investitsiya tadqiqoti sifatida talqin qilinsa, siz bunday kontentni investitsiya tadqiqotlarining mustaqilligini ragʻbatlantirish uchun moʻljallangan qonun talablariga muvofiq moʻljallanmagan va tayyorlanmaganligini eʼtiborga olishingiz va qabul qilishingiz kerak, shuning uchun unga tegishli qonunlar va qoidalarga muvofiq marketing kommunikatsiyasi sifatida qaraladi. Mustaqil boʻlmagan investitsiya tadqiqoti va yuqoridagi maʼlumotlarga oid risk haqida ogohlantirishimizni oʻqib chiqqaningizga va tushunganingizga ishonch hosil qiling, unga bu yerdan kirish mumkin.