Accessible Version
Decomposing Hedge Funds’ U.S. Treasury Exposures, Accessible Data
Figure 1. Treasury Exposures, Repo Exposures, and Turnover
This figure consists of four panels showing monthly data from January 2013 through September 2025. Each panel measures different variables related to large hedge funds’ Treasury exposures in billions of U.S. dollars (USD). The sources for the panels are SEC Form PF and the author’s analysis.
The top-left panel titled “Long Treasury Exposures” shows three data series with the y-axis ranging from 0 to 2500 billion USD. The total long exposure (labeled “Long”), which includes both physical and derivatives exposures, is relatively flat at approximately 600 billion USD until 2018 when it increases to about 1400 billion USD. After a steep decrease during and after March 2020, it holds steady at about 1000 USD until 2023, and then it increases rapidly to 2400 billion USD by September 2025. Long exposure is broken down into estimated physical exposures (shown in lighter color) and estimated derivatives exposures (shown in darkest color), with physical exposures representing the far larger portion throughout the period. Physical and derivatives exposures are estimated as in Banegas et al. (2021).
The top-right panel titled “Short Treasury Exposures” displays three series with the y-axis ranging from 0 to 2500 billion USD. Total short exposures (labeled “Short”) range between about 400 billion USD and 1700 billion USD and show similar time series characteristics to total long exposures but at about two-thirds the level of long exposures. The short positions are similarly broken down into estimated physical and derivatives components. Unlike long exposures, the derivatives component of short exposures is greater than the physical component in most months.
The bottom-left panel titled “Repo Exposures” shows two series with the y-axis ranging from 0 to 3000 billion USD. “Repo cash borrowing” (lighter color) increases from about 500 billion USD in 2013 to approximately 3000 billion USD by 2025. Like long Treasury exposures, repo cash borrowing increases significantly between 2018 and 2020, decreases following March 2020, and then increases rapidly starting in 2023. In contrast, “Repo securities borrowing” (darker color) shows less variation over time, increasing moderately from about 500 billion USD to just over 1000 billion USD.
The bottom-right panel titled “Treasury Market Turnover” displays a single series with the y-axis ranging from 1000 to 9000 billion USD. The turnover, which includes Treasury cash securities and Treasury-linked derivatives, increases throughout the period from 1500 billion USD in 2013 to 8000 billion USD in September 2025 amid significant volatility. A spike in March 2020 and a rapid increase between 2023 and 2025 are notable.
Note: Data are monthly through September 2025. Physical and derivatives exposures estimated as in Banegas et al. (2021). Treasury market turnover includes cash securities and Treasury-linked derivatives.
Sources: SEC Form PF, author’s analysis.
Figure 2. Hedge Funds’ Estimated Treasury Holdings Relative to Outstanding Treasuries
This is a line chart showing monthly data from January 2013 through September 2025. The y-axis displays percent, ranging from 0 to 10 percent. The chart tracks a single line representing hedge funds’ estimated Treasury holdings as a percentage of outstanding privately held Treasuries by market value. The line begins at approximately 4 percent in 2013 and shows moderate fluctuations between 4 and 5 percent until 2018, after which it increases rapidly to about 7 percent by early 2020. Following March 2020, the line decreases abruptly to about 4.5 percent, where it remains with little variation until 2023. Starting in early 2023, there is a significant upward trend, with the percentage rising from about 4.5 percent to approximately 8.5 percent by September 2025.
Note: Data are monthly through September 2025. Physical Treasury holdings estimated as in Banegas et al. (2021).
Sources: SEC Form PF, U.S. Department of the Treasury Fiscal Service via FRED, author’s analysis.
Figure 3. Hedge Funds’ Estimated Uses for Long Treasury Exposure
This is a stacked bar chart showing monthly data from January 2013 to September 2025. The y-axis measures billions of USD, ranging from 0 to 2500 billion. The chart displays seven categories of hedge funds’ long Treasury exposure: Cash-futures basis trade, Swap spread arbitrage trade, Unencumbered cash, Maturity-matched trades, Steepener-like trades, Flattener-like trades, and Long-only investments. In recent years, the cash-futures basis trade and swap spread arbitrage trade have grown significantly and together account for nearly half of the total exposure by September 2025. The remaining exposure is distributed across the other five categories, with varying proportions throughout the period.
Note: The key identifies areas in order from bottom to top.
Source: SEC Form PF, author’s analysis.
Figure 4. Hedge Funds’ Estimated Basis Trade Positions
This is a dual-axis line chart showing monthly data from January 2013 to September 2025. The left y-axis measures billions of USD ranging from 0 to 1000, while the right y-axis shows percent ranging from 0.0 to 4.0. The chart displays two variables: “Basis trade” (represented by a solid line corresponding to the left axis) and “% of outstanding Treasuries” (represented by a dotted line corresponding to the right axis). Both measures show little variation until 2018 when they increase rapidly until March 2020, at which point they decrease until increasing rapidly between 2023 and 2025. The basis trade starts near zero in 2013, reaches approximately 400 billion USD in early 2020, then declines before rising significantly from 2023 onward, reaching approximately 830 billion USD by September 2025. The percentage of outstanding Treasuries in basis trade positions follows a similar pattern, starting near zero in 2013, reaching about 2.5 percent in early 2020, declining, and then increasing to approximately 3.5 percent by September 2025.
Source: SEC Form PF, U.S. Department of the Treasury Fiscal Service via FRED, author’s analysis.
Figure 5. Hedge Funds’ Estimated Swap Spread Trade Positions
This is a line chart showing monthly data from January 2013 to September 2025. The y-axis shows billions of USD, ranging from 0 to 300 billion. The chart displays a single line representing hedge funds’ estimated long swap spread trade positions. The positions remain relatively flat and low (below 50 billion USD) from 2013 to approximately 2018. Around 2019, there is a notable increase to about 100 billion USD, followed by a decline. Beginning in late 2022, the line shows a steady upward trend that accelerates sharply between 2024 and early 2025, reaching approximately 295 billion USD. A significant drop occurs in mid-2025, decreasing to about 200 billion USD in April and May 2025, before rebounding to around 305 billion USD by September 2025.
Note: Plots estimates of aggregate long swap spread arbitrage positions, in which a repo-financed Treasury security is paired with a pay-fixed interest rate swap.
Sources: SEC Form PF, author’s analysis.