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.

Date Treasury Exposures-Long Treasury Exposures-Long Phys. (est.) Treasury Exposures-Long Deriv. (est.) Treasury Exposures-Short Treasury Exposures-Short Phys. (est.) Treasury Exposures-Short Deriv. (est.) Repo cash borrowing Repo securities borrowing Treasury Market Turnover
2013-01-31 572 436 115 264 105 153 546 323 1485
2013-02-28 656 484 150 297 127 162 610 356 1453
2013-03-31 652 496 135 296 124 168 617 380 1427
2013-04-30 650 525 101 286 115 167 709 415 1444
2013-05-31 608 452 134 320 156 159 707 445 1849
2013-06-30 623 426 178 273 141 129 706 465 1730
2013-07-31 636 474 145 289 127 158 615 449 1371
2013-08-31 619 454 150 263 134 125 601 452 1436
2013-09-30 641 467 158 246 116 127 602 419 1487
2013-10-31 705 510 178 239 97 137 584 402 1511
2013-11-30 733 528 193 271 109 158 559 391 1337
2013-12-31 628 490 127 273 95 174 516 393 1407
2014-01-31 629 410 209 295 108 180 463 442 1644
2014-02-28 689 446 234 305 98 199 515 463 1587
2014-03-31 696 456 226 299 116 173 503 471 1640
2014-04-30 663 418 226 259 126 121 523 472 1663
2014-05-31 622 422 181 266 90 162 547 447 1502
2014-06-30 608 422 164 263 105 145 553 484 1513
2014-07-31 610 418 174 306 125 169 546 506 1448
2014-08-31 691 441 234 338 118 208 585 501 1475
2014-09-30 727 470 239 360 137 211 568 506 1536
2014-10-31 681 417 250 307 97 199 546 464 1869
2014-11-30 695 445 236 323 83 232 555 457 1268
2014-12-31 630 438 179 309 90 212 546 452 1473
2015-01-31 722 490 216 329 106 215 595 494 1482
2015-02-28 686 451 219 324 129 187 611 509 1697
2015-03-31 734 468 251 297 106 186 644 479 1663
2015-04-30 733 461 259 278 96 180 656 466 1714
2015-05-31 733 459 259 282 82 197 622 445 1938
2015-06-30 757 480 261 283 111 166 616 440 1951
2015-07-31 817 491 308 294 131 155 657 467 1449
2015-08-31 797 505 274 288 97 186 688 445 1734
2015-09-30 762 491 251 283 106 169 686 449 1610
2015-10-31 700 454 231 302 125 172 655 453 1438
2015-11-30 679 441 224 311 108 198 644 474 1701
2015-12-31 685 467 205 272 83 185 605 423 1475
2016-01-31 756 494 246 274 88 181 663 384 1614
2016-02-29 759 507 241 315 99 214 691 431 1809
2016-03-31 709 509 187 306 120 183 696 446 1474
2016-04-30 688 482 181 311 141 157 649 486 1426
2016-05-31 705 509 166 318 121 184 668 473 1686
2016-06-30 734 521 184 364 123 227 690 458 1781
2016-07-31 723 520 186 362 135 224 677 485 1569
2016-08-31 764 537 211 376 143 229 689 495 1968
2016-09-30 759 554 190 375 143 229 728 504 1622
2016-10-31 771 608 151 374 149 223 691 530 1602
2016-11-30 747 585 149 358 160 196 716 593 2185
2016-12-31 787 554 221 365 142 222 674 562 1675
2017-01-31 803 591 200 373 154 214 767 628 1765
2017-02-28 825 586 227 385 152 232 755 670 1819
2017-03-31 759 566 181 400 159 239 739 657 1736
2017-04-30 772 557 198 387 156 228 763 656 1367
2017-05-31 765 576 170 399 154 242 795 673 1801
2017-06-30 718 552 149 411 185 224 795 691 1847
2017-07-31 688 519 153 411 165 244 749 704 1498
2017-08-31 775 556 203 444 188 254 782 727 1802
2017-09-30 736 532 189 439 190 247 720 709 1552
2017-10-31 778 563 199 437 171 263 714 737 1672
2017-11-30 782 528 240 445 198 245 753 756 1854
2017-12-31 742 532 196 431 168 262 685 676 1460
2018-01-31 745 541 188 510 193 315 754 844 1805
2018-02-28 760 576 169 515 196 317 802 829 2147
2018-03-31 740 543 182 476 183 291 780 765 1669
2018-04-30 752 568 165 513 173 336 816 738 1740
2018-05-31 818 610 189 500 157 339 880 749 2187
2018-06-30 863 642 202 504 151 350 894 732 1805
2018-07-31 875 650 205 517 118 396 898 740 1776
2018-08-31 943 663 260 523 101 415 914 767 2095
2018-09-30 963 691 247 559 132 416 862 754 1736
2018-10-31 1064 747 292 613 129 474 966 766 2014
2018-11-30 1148 806 317 655 144 499 1040 771 2066
2018-12-31 1184 853 305 657 167 478 1081 766 1973
2019-01-31 1227 907 296 728 168 548 1200 815 2188
2019-02-28 1211 915 273 747 180 555 1246 826 2576
2019-03-31 1244 969 260 719 153 562 1221 810 2406
2019-04-30 1313 1052 246 853 181 667 1291 744 2237
2019-05-31 1337 1102 220 875 118 750 1313 759 2777
2019-06-30 1329 1090 224 880 185 692 1291 721 2488
2019-07-31 1329 1089 225 843 181 656 1364 701 2336
2019-08-31 1321 1068 239 815 179 632 1325 719 3256
2019-09-30 1314 1020 280 828 171 654 1330 667 2705
2019-10-31 1379 1053 312 888 182 702 1371 696 2548
2019-11-30 1363 1046 303 868 189 674 1313 719 2876
2019-12-31 1341 1035 292 870 185 678 1303 694 2425
2020-01-31 1398 1067 318 968 214 747 1404 764 2634
2020-02-29 1458 1104 342 941 156 780 1464 783 3492
2020-03-31 1205 961 232 764 254 508 1372 748 4813
2020-04-30 1117 845 261 694 181 511 1179 632 3102
2020-05-31 1154 883 261 725 180 543 1124 631 2922
2020-06-30 1096 855 231 683 183 500 1169 691 2561
2020-07-31 1096 858 225 712 146 563 1245 731 2157
2020-08-31 1081 868 201 691 147 540 1248 749 2718
2020-09-30 1094 868 213 660 168 489 1331 788 2239
2020-10-31 1035 848 177 619 130 486 1196 732 2942
2020-11-30 1017 825 180 611 143 465 1282 748 3309
2020-12-31 980 793 178 628 119 504 1202 734 3224
2021-01-31 1001 775 215 697 148 544 1101 769 3030
2021-02-28 977 730 235 760 172 583 1040 818 3790
2021-03-31 936 706 219 753 251 496 1066 852 3688
2021-04-30 952 748 197 745 245 490 1090 894 3047
2021-05-31 1022 777 238 804 246 548 1063 971 3264
2021-06-30 984 813 165 760 236 512 1113 963 3640
2021-07-31 1047 769 272 767 221 532 1124 981 3593
2021-08-31 1011 796 208 732 236 481 1232 996 4032
2021-09-30 1004 778 215 755 318 424 1205 1063 3721
2021-10-31 987 786 193 789 383 394 1145 1155 3907
2021-11-30 985 785 190 766 431 323 1185 1152 4281
2021-12-31 1011 823 179 770 353 406 1151 1080 3385
2022-01-31 1062 838 216 772 427 330 1076 1138 3374
2022-02-28 1044 844 192 746 421 311 1135 1190 4068
2022-03-31 1006 793 207 701 407 283 1090 1078 4108
2022-04-30 1060 759 294 699 453 234 1011 1148 3063
2022-05-31 1052 786 258 663 413 237 1170 1161 3483
2022-06-30 966 795 162 575 351 215 1150 1050 2981
2022-07-31 997 819 168 576 333 235 1116 1012 2771
2022-08-31 936 775 152 635 353 277 1123 1031 3588
2022-09-30 905 763 133 601 332 266 1150 986 3101
2022-10-31 932 780 146 652 325 323 1178 971 2925
2022-11-30 1008 856 144 668 334 331 1316 1025 3513
2022-12-31 1014 849 157 699 326 368 1227 994 3096
2023-01-31 1056 849 202 707 322 379 1358 1010 3429
2023-02-28 1046 841 202 739 347 386 1372 1079 4613
2023-03-31 1155 930 218 737 342 390 1442 1014 5179
2023-04-30 1167 1031 132 805 338 462 1427 986 4110
2023-05-31 1208 1083 121 884 337 541 1611 1014 5503
2023-06-30 1273 1133 133 995 345 644 1637 1007 5096
2023-07-31 1408 1283 118 1225 346 874 1883 1074 5014
2023-08-31 1464 1324 130 1167 383 777 1954 1200 6494
2023-09-30 1449 1294 144 1213 428 779 1822 1061 5491
2023-10-31 1498 1317 171 1210 415 790 1896 1071 5872
2023-11-30 1513 1341 157 1194 410 779 2105 1164 6469
2023-12-31 1624 1472 140 1265 393 866 2009 1039 5921
2024-01-31 1663 1471 186 1389 452 929 2195 1126 5875
2024-02-29 1611 1431 174 1366 477 882 2177 1161 5921
2024-03-31 1648 1487 156 1369 476 884 2071 1130 5374
2024-04-30 1548 1365 179 1292 453 831 2110 1148 6530
2024-05-31 1627 1442 180 1359 478 873 2221 1171 7332
2024-06-30 1737 1552 180 1390 466 915 2215 1083 7352
2024-07-31 1952 1672 272 1614 498 1106 2439 1119 7404
2024-08-31 2026 1733 281 1650 499 1135 2511 1146 8121
2024-09-30 2078 1786 277 1691 518 1154 2738 1150 5846
2024-10-31 1996 1803 180 1720 510 1193 2580 1143 7097
2024-11-30 2022 1809 198 1629 484 1124 2462 1138 6951
2024-12-31 2032 1867 150 1610 479 1108 2432 1077 6137
2025-01-31 2123 1890 222 1607 479 1107 2539 1069 6695
2025-02-28 2241 1998 229 1607 497 1084 2649 1126 8318
2025-03-31 2277 2058 203 1577 510 1041 2783 1132 8040
2025-04-30 2275 2057 201 1550 543 982 3033 1237 9053
2025-05-31 2209 2005 189 1529 533 972 2906 1275 9158
2025-06-30 2312 2095 201 1648 549 1073 3122 1269 8024
2025-07-31 2285 2084 185 1660 547 1086 3021 1265 8047
2025-08-31 2353 2122 214 1654 545 1079 2991 1289 8051
2025-09-30 2394 2154 222 1645 555 1057 3119 1325 7920

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.

Return to text

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.

Date Estimated Treasury Holdings Relative to Outstanding Treasuries (%)
2013-01-31 4.19
2013-02-28 4.55
2013-03-31 4.64
2013-04-30 4.9
2013-05-31 4.32
2013-06-30 4.15
2013-07-31 4.64
2013-08-31 4.47
2013-09-30 4.59
2013-10-31 4.93
2013-11-30 5.09
2013-12-31 4.76
2014-01-31 3.97
2014-02-28 4.26
2014-03-31 4.33
2014-04-30 4.01
2014-05-31 4.02
2014-06-30 4.03
2014-07-31 3.98
2014-08-31 4.15
2014-09-30 4.44
2014-10-31 3.9
2014-11-30 4.11
2014-12-31 4.02
2015-01-31 4.42
2015-02-28 4.09
2015-03-31 4.23
2015-04-30 4.2
2015-05-31 4.2
2015-06-30 4.41
2015-07-31 4.47
2015-08-31 4.63
2015-09-30 4.47
2015-10-31 4.17
2015-11-30 3.88
2015-12-31 4.08
2016-01-31 4.27
2016-02-29 4.3
2016-03-31 4.26
2016-04-30 4.07
2016-05-31 4.3
2016-06-30 4.32
2016-07-31 4.28
2016-08-31 4.42
2016-09-30 4.53
2016-10-31 4.97
2016-11-30 4.82
2016-12-31 4.57
2017-01-31 4.9
2017-02-28 4.84
2017-03-31 4.69
2017-04-30 4.63
2017-05-31 4.78
2017-06-30 4.56
2017-07-31 4.29
2017-08-31 4.56
2017-09-30 4.29
2017-10-31 4.52
2017-11-30 4.19
2017-12-31 4.25
2018-01-31 4.37
2018-02-28 4.55
2018-03-31 4.17
2018-04-30 4.42
2018-05-31 4.68
2018-06-30 4.91
2018-07-31 4.95
2018-08-31 4.94
2018-09-30 5.19
2018-10-31 5.6
2018-11-30 5.9
2018-12-31 6.15
2019-01-31 6.5
2019-02-28 6.49
2019-03-31 6.81
2019-04-30 7.4
2019-05-31 7.62
2019-06-30 7.51
2019-07-31 7.5
2019-08-31 7.01
2019-09-30 6.66
2019-10-31 6.83
2019-11-30 6.78
2019-12-31 6.76
2020-01-31 6.85
2020-02-29 6.92
2020-03-31 6.02
2020-04-30 5.19
2020-05-31 5.23
2020-06-30 4.88
2020-07-31 4.86
2020-08-31 4.93
2020-09-30 4.91
2020-10-31 4.82
2020-11-30 4.63
2020-12-31 4.41
2021-01-31 4.35
2021-02-28 4.14
2021-03-31 4.03
2021-04-30 4.24
2021-05-31 4.42
2021-06-30 4.58
2021-07-31 4.31
2021-08-31 4.5
2021-09-30 4.45
2021-10-31 4.43
2021-11-30 4.42
2021-12-31 4.54
2022-01-31 4.62
2022-02-28 4.52
2022-03-31 4.4
2022-04-30 4.33
2022-05-31 4.46
2022-06-30 4.55
2022-07-31 4.62
2022-08-31 4.38
2022-09-30 4.41
2022-10-31 4.52
2022-11-30 4.8
2022-12-31 4.79
2023-01-31 4.68
2023-02-28 4.68
2023-03-31 5.05
2023-04-30 5.6
2023-05-31 5.88
2023-06-30 5.91
2023-07-31 6.61
2023-08-31 6.75
2023-09-30 6.58
2023-10-31 6.65
2023-11-30 6.53
2023-12-31 7
2024-01-31 6.93
2024-02-29 6.69
2024-03-31 6.88
2024-04-30 6.4
2024-05-31 6.65
2024-06-30 7.13
2024-07-31 7.46
2024-08-31 7.59
2024-09-30 7.72
2024-10-31 7.82
2024-11-30 7.74
2024-12-31 8.06
2025-01-31 8.09
2025-02-28 8.44
2025-03-31 8.69
2025-04-30 8.7
2025-05-31 8.5
2025-06-30 8.82
2025-07-31 8.61
2025-08-31 8.56
2025-09-30 8.55

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.

Return to text

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.

Date Cash-futures basis trade Swap spread arbitrage trade Unencumbered cash Maturity-matched trades Steepener-like trades Flattener-like trades Long-only investments
2013-01-31 45 33 173 102 126 54 40
2013-02-28 52 40 174 111 162 84 32
2013-03-31 53 32 184 110 168 58 46
2013-04-30 56 41 192 120 148 46 48
2013-05-31 45 44 178 129 132 41 40
2013-06-30 29 30 161 137 169 51 47
2013-07-31 27 29 185 160 119 57 60
2013-08-31 33 28 188 135 106 73 56
2013-09-30 33 34 183 114 117 94 67
2013-10-31 35 51 187 128 104 96 104
2013-11-30 37 49 194 139 127 96 91
2013-12-31 26 39 197 98 102 87 79
2014-01-31 28 25 185 80 124 115 73
2014-02-28 31 29 199 117 83 107 122
2014-03-31 30 35 198 95 117 81 140
2014-04-30 28 33 204 49 138 70 142
2014-05-31 30 43 193 47 117 86 107
2014-06-30 26 65 172 42 119 95 89
2014-07-31 24 45 183 53 142 90 73
2014-08-31 32 54 180 110 155 101 59
2014-09-30 33 38 200 77 177 128 73
2014-10-31 47 27 185 80 139 129 75
2014-11-30 63 22 196 68 131 124 90
2014-12-31 41 22 187 85 110 104 81
2015-01-31 38 30 187 175 115 99 78
2015-02-28 45 28 199 99 120 120 75
2015-03-31 56 42 212 87 135 109 93
2015-04-30 59 44 197 46 198 114 75
2015-05-31 58 32 202 92 206 65 77
2015-06-30 48 42 215 95 184 95 78
2015-07-31 35 39 222 132 199 97 94
2015-08-31 67 52 206 76 181 84 132
2015-09-30 68 61 206 75 161 81 110
2015-10-31 64 44 202 54 136 106 95
2015-11-30 75 37 192 80 139 83 73
2015-12-31 62 40 201 55 156 90 81
2016-01-31 87 52 195 52 176 91 103
2016-02-29 96 60 196 55 168 95 88
2016-03-31 87 44 198 59 122 112 86
2016-04-30 62 27 199 60 150 118 72
2016-05-31 75 36 200 79 138 100 78
2016-06-30 87 41 202 81 136 109 78
2016-07-31 74 46 204 100 115 100 84
2016-08-31 64 55 199 147 131 69 98
2016-09-30 73 57 186 98 129 114 102
2016-10-31 58 36 197 105 205 94 77
2016-11-30 57 28 192 175 155 46 93
2016-12-31 56 18 201 194 173 55 90
2017-01-31 62 23 193 156 168 126 75
2017-02-28 59 23 191 172 162 152 65
2017-03-31 45 25 187 135 138 166 64
2017-04-30 40 29 184 114 170 159 74
2017-05-31 52 32 184 164 120 120 92
2017-06-30 48 37 186 83 103 176 86
2017-07-31 58 16 171 96 117 152 78
2017-08-31 61 16 171 120 121 198 88
2017-09-30 54 18 174 93 119 206 73
2017-10-31 47 23 173 154 117 185 78
2017-11-30 30 22 164 228 85 169 83
2017-12-31 46 18 171 139 119 172 77
2018-01-31 38 14 173 174 134 147 66
2018-02-28 47 11 174 212 110 124 82
2018-03-31 50 18 175 187 111 122 77
2018-04-30 62 21 173 197 130 95 74
2018-05-31 80 17 173 252 144 73 80
2018-06-30 90 35 181 210 150 123 75
2018-07-31 103 42 178 161 147 155 88
2018-08-31 108 29 183 226 165 123 109
2018-09-30 107 22 186 232 206 124 85
2018-10-31 150 39 205 238 194 151 89
2018-11-30 181 52 202 269 158 205 81
2018-12-31 218 51 200 229 207 152 127
2019-01-31 264 80 183 202 150 212 137
2019-02-28 289 75 176 155 176 201 140
2019-03-31 325 68 186 181 163 193 128
2019-04-30 340 107 192 138 199 218 119
2019-05-31 367 94 182 199 193 189 115
2019-06-30 376 83 187 231 171 173 107
2019-07-31 389 93 181 144 239 168 114
2019-08-31 368 74 182 215 218 135 130
2019-09-30 363 91 193 70 265 205 126
2019-10-31 377 88 185 163 249 163 152
2019-11-30 367 72 189 204 287 138 106
2019-12-31 363 78 187 163 251 163 137
2020-01-31 409 87 179 141 227 199 155
2020-02-29 429 90 177 134 267 212 149
2020-03-31 312 86 182 205 134 219 68
2020-04-30 266 99 181 123 184 195 69
2020-05-31 267 76 177 156 195 180 103
2020-06-30 293 82 181 151 143 127 121
2020-07-31 325 77 178 136 123 134 122
2020-08-31 297 52 178 123 195 120 116
2020-09-30 326 55 180 136 169 125 103
2020-10-31 272 40 183 131 208 117 84
2020-11-30 262 29 167 185 197 105 72
2020-12-31 271 30 174 170 156 110 70
2021-01-31 183 29 165 215 211 143 55
2021-02-28 143 8 170 303 198 110 43
2021-03-31 146 11 183 240 224 89 43
2021-04-30 150 9 192 216 248 90 47
2021-05-31 94 10 189 291 293 91 53
2021-06-30 100 11 194 269 273 63 75
2021-07-31 105 17 191 302 239 115 80
2021-08-31 162 20 199 206 181 155 86
2021-09-30 103 28 200 279 182 150 62
2021-10-31 56 23 201 322 169 160 57
2021-11-30 71 5 199 307 148 184 71
2021-12-31 81 6 219 314 147 175 70
2022-01-31 85 8 223 304 211 173 57
2022-02-28 76 8 216 317 186 193 49
2022-03-31 59 11 219 327 202 138 49
2022-04-30 50 7 231 413 186 128 44
2022-05-31 90 15 227 338 187 148 48
2022-06-30 84 16 235 231 213 134 54
2022-07-31 88 30 234 269 227 101 47
2022-08-31 109 28 230 263 139 115 51
2022-09-30 104 36 240 233 149 100 44
2022-10-31 142 30 243 234 133 105 47
2022-11-30 181 36 252 222 149 124 42
2022-12-31 173 31 236 231 156 138 48
2023-01-31 213 42 207 239 196 117 42
2023-02-28 201 49 209 263 149 131 42
2023-03-31 235 63 221 196 181 212 47
2023-04-30 279 65 218 180 208 173 45
2023-05-31 328 87 199 200 217 135 42
2023-06-30 368 69 206 214 209 128 79
2023-07-31 448 76 260 221 161 165 76
2023-08-31 391 96 268 319 191 148 52
2023-09-30 427 90 277 242 220 140 53
2023-10-31 468 82 244 344 186 124 51
2023-11-30 471 87 220 363 191 128 53
2023-12-31 509 110 218 435 158 138 57
2024-01-31 587 119 206 374 169 161 47
2024-02-29 541 101 208 426 152 133 50
2024-03-31 524 95 240 441 162 131 55
2024-04-30 514 79 229 377 178 140 56
2024-05-31 536 109 239 368 181 164 48
2024-06-30 628 140 232 308 249 159 47
2024-07-31 733 111 209 466 254 121 59
2024-08-31 732 91 230 463 293 146 71
2024-09-30 814 109 222 455 247 154 76
2024-10-31 832 153 232 384 190 123 82
2024-11-30 753 151 257 443 211 138 68
2024-12-31 754 158 245 483 206 111 76
2025-01-31 780 183 229 479 261 137 54
2025-02-28 735 253 244 499 289 139 82
2025-03-31 725 295 239 492 298 137 92
2025-04-30 829 237 290 327 378 130 85
2025-05-31 798 192 291 394 316 137 81
2025-06-30 894 266 289 341 300 158 65
2025-07-31 848 232 266 441 265 178 55
2025-08-31 822 224 262 535 311 140 60
2025-09-30 832 305 245 397 373 176 67

Note: The key identifies areas in order from bottom to top.

Source: SEC Form PF, author’s analysis.

Return to text

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.

Date Basis trade (left axis) % of outstanding Treasuries (right axis)
2013-01-31 45 0.43
2013-02-28 52 0.49
2013-03-31 53 0.5
2013-04-30 56 0.52
2013-05-31 45 0.43
2013-06-30 29 0.28
2013-07-31 27 0.26
2013-08-31 33 0.33
2013-09-30 33 0.32
2013-10-31 35 0.34
2013-11-30 37 0.36
2013-12-31 26 0.25
2014-01-31 28 0.27
2014-02-28 31 0.3
2014-03-31 30 0.29
2014-04-30 28 0.26
2014-05-31 30 0.28
2014-06-30 26 0.25
2014-07-31 24 0.23
2014-08-31 32 0.3
2014-09-30 33 0.32
2014-10-31 47 0.44
2014-11-30 63 0.58
2014-12-31 41 0.38
2015-01-31 38 0.34
2015-02-28 45 0.41
2015-03-31 56 0.5
2015-04-30 59 0.53
2015-05-31 58 0.53
2015-06-30 48 0.45
2015-07-31 35 0.32
2015-08-31 67 0.61
2015-09-30 68 0.62
2015-10-31 64 0.59
2015-11-30 75 0.66
2015-12-31 62 0.54
2016-01-31 87 0.75
2016-02-29 96 0.82
2016-03-31 87 0.72
2016-04-30 62 0.52
2016-05-31 75 0.63
2016-06-30 87 0.72
2016-07-31 74 0.61
2016-08-31 64 0.53
2016-09-30 73 0.6
2016-10-31 58 0.47
2016-11-30 57 0.47
2016-12-31 56 0.46
2017-01-31 62 0.52
2017-02-28 59 0.49
2017-03-31 45 0.38
2017-04-30 40 0.33
2017-05-31 52 0.43
2017-06-30 48 0.4
2017-07-31 58 0.48
2017-08-31 61 0.5
2017-09-30 54 0.43
2017-10-31 47 0.38
2017-11-30 30 0.24
2017-12-31 46 0.36
2018-01-31 38 0.3
2018-02-28 47 0.37
2018-03-31 50 0.38
2018-04-30 62 0.48
2018-05-31 80 0.61
2018-06-30 90 0.68
2018-07-31 103 0.78
2018-08-31 108 0.8
2018-09-30 107 0.8
2018-10-31 150 1.12
2018-11-30 181 1.32
2018-12-31 218 1.57
2019-01-31 264 1.89
2019-02-28 289 2.05
2019-03-31 325 2.29
2019-04-30 340 2.39
2019-05-31 367 2.54
2019-06-30 376 2.59
2019-07-31 389 2.68
2019-08-31 368 2.41
2019-09-30 363 2.37
2019-10-31 377 2.44
2019-11-30 367 2.38
2019-12-31 363 2.37
2020-01-31 409 2.63
2020-02-29 429 2.69
2020-03-31 312 1.95
2020-04-30 266 1.63
2020-05-31 267 1.58
2020-06-30 293 1.67
2020-07-31 325 1.84
2020-08-31 297 1.68
2020-09-30 326 1.84
2020-10-31 272 1.54
2020-11-30 262 1.47
2020-12-31 271 1.51
2021-01-31 183 1.02
2021-02-28 143 0.81
2021-03-31 146 0.83
2021-04-30 150 0.85
2021-05-31 94 0.54
2021-06-30 100 0.56
2021-07-31 105 0.59
2021-08-31 162 0.92
2021-09-30 103 0.59
2021-10-31 56 0.32
2021-11-30 71 0.4
2021-12-31 81 0.44
2022-01-31 85 0.47
2022-02-28 76 0.41
2022-03-31 59 0.33
2022-04-30 50 0.29
2022-05-31 90 0.51
2022-06-30 84 0.48
2022-07-31 88 0.49
2022-08-31 109 0.61
2022-09-30 104 0.6
2022-10-31 142 0.82
2022-11-30 181 1.02
2022-12-31 173 0.98
2023-01-31 213 1.17
2023-02-28 201 1.12
2023-03-31 235 1.28
2023-04-30 279 1.52
2023-05-31 328 1.78
2023-06-30 368 1.92
2023-07-31 448 2.31
2023-08-31 391 1.99
2023-09-30 427 2.17
2023-10-31 468 2.36
2023-11-30 471 2.29
2023-12-31 509 2.42
2024-01-31 587 2.76
2024-02-29 541 2.53
2024-03-31 524 2.43
2024-04-30 514 2.41
2024-05-31 536 2.48
2024-06-30 628 2.88
2024-07-31 733 3.27
2024-08-31 732 3.21
2024-09-30 814 3.52
2024-10-31 832 3.61
2024-11-30 753 3.22
2024-12-31 754 3.25
2025-01-31 780 3.34
2025-02-28 735 3.11
2025-03-31 725 3.06
2025-04-30 829 3.5
2025-05-31 798 3.38
2025-06-30 894 3.76
2025-07-31 848 3.5
2025-08-31 822 3.32
2025-09-30 832 3.3

Source: SEC Form PF, U.S. Department of the Treasury Fiscal Service via FRED, author’s analysis.

Return to text

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.

Date Estimated Swap Spread Trade Positions
2013-01-31 33
2013-02-28 40
2013-03-31 32
2013-04-30 41
2013-05-31 44
2013-06-30 30
2013-07-31 29
2013-08-31 28
2013-09-30 34
2013-10-31 51
2013-11-30 49
2013-12-31 39
2014-01-31 25
2014-02-28 29
2014-03-31 35
2014-04-30 33
2014-05-31 43
2014-06-30 65
2014-07-31 45
2014-08-31 54
2014-09-30 38
2014-10-31 27
2014-11-30 22
2014-12-31 22
2015-01-31 30
2015-02-28 28
2015-03-31 42
2015-04-30 44
2015-05-31 32
2015-06-30 42
2015-07-31 39
2015-08-31 52
2015-09-30 61
2015-10-31 44
2015-11-30 37
2015-12-31 40
2016-01-31 52
2016-02-29 60
2016-03-31 44
2016-04-30 27
2016-05-31 36
2016-06-30 41
2016-07-31 46
2016-08-31 55
2016-09-30 57
2016-10-31 36
2016-11-30 28
2016-12-31 18
2017-01-31 23
2017-02-28 23
2017-03-31 25
2017-04-30 29
2017-05-31 32
2017-06-30 37
2017-07-31 16
2017-08-31 16
2017-09-30 18
2017-10-31 23
2017-11-30 22
2017-12-31 18
2018-01-31 14
2018-02-28 11
2018-03-31 18
2018-04-30 21
2018-05-31 17
2018-06-30 35
2018-07-31 42
2018-08-31 29
2018-09-30 22
2018-10-31 39
2018-11-30 52
2018-12-31 51
2019-01-31 80
2019-02-28 75
2019-03-31 68
2019-04-30 107
2019-05-31 94
2019-06-30 83
2019-07-31 93
2019-08-31 74
2019-09-30 91
2019-10-31 88
2019-11-30 72
2019-12-31 78
2020-01-31 87
2020-02-29 90
2020-03-31 86
2020-04-30 99
2020-05-31 76
2020-06-30 82
2020-07-31 77
2020-08-31 52
2020-09-30 55
2020-10-31 40
2020-11-30 29
2020-12-31 30
2021-01-31 29
2021-02-28 8
2021-03-31 11
2021-04-30 9
2021-05-31 10
2021-06-30 11
2021-07-31 17
2021-08-31 20
2021-09-30 28
2021-10-31 23
2021-11-30 5
2021-12-31 6
2022-01-31 8
2022-02-28 8
2022-03-31 11
2022-04-30 7
2022-05-31 15
2022-06-30 16
2022-07-31 30
2022-08-31 28
2022-09-30 36
2022-10-31 30
2022-11-30 36
2022-12-31 31
2023-01-31 42
2023-02-28 49
2023-03-31 63
2023-04-30 65
2023-05-31 87
2023-06-30 69
2023-07-31 76
2023-08-31 96
2023-09-30 90
2023-10-31 82
2023-11-30 87
2023-12-31 110
2024-01-31 119
2024-02-29 101
2024-03-31 95
2024-04-30 79
2024-05-31 109
2024-06-30 140
2024-07-31 111
2024-08-31 91
2024-09-30 109
2024-10-31 153
2024-11-30 151
2024-12-31 158
2025-01-31 183
2025-02-28 253
2025-03-31 295
2025-04-30 237
2025-05-31 192
2025-06-30 266
2025-07-31 232
2025-08-31 224
2025-09-30 305

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.

Return to text

Last Update: July 16, 2026