Accessible Version
Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: is the Basis Trade “Back"? Accessible Data
Figure 1. Hedge Fund Outstanding Volume in DVP Sponsored Trades
This is a line chart titled “Hedge Fund Outstanding Volume in DVP Sponsored Trades.” The x axis ranges from October 2019 to May 2023. The Y axis ranges from 0 to 350 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “Borrowing”; is designated by a dark blue line. This variable begins at about 150, and generally falls to about 75 by January 2021, after which it fluctuates between 75 and 100 until July 2022 when it begins to generally rise to about 250 by May 2023. The second variable is labelled “Lending”; is designated by a light blue dashed line. This variable begins at roughly 0, generally rising to about 75 by January 2021, and then generally falling to 50 by May 2023.
Source: OFR Cleared Repo Collection
Figure 2. Hedge Fund Borrowing Against Deliverables in DVP Sponsored
This is a line chart titled “Hedge Fund Borrowing Against Deliverables in DVP Sponsored.” The x axis ranges from October 2019 to May 2023. The Y axis ranges from 0 to 60 in billions of dollars. The data is daily. There is one variable charted on the plot. This variable is labelled “2-, 5-, 10-year futures deliverables”; is designated by a dark blue line. This variable begins at about 30, and generally falls to about 10 by January 2021, after which it generally fluctuates between 5 and 20 with a few spikes at month ends where values climb to between 20 and 40. It continues to fluctuate until July 2022 when it begins to generally rise to about 40 by May 2023.
Note: Series includes total borrowing in the 1st-3rd CTD Treasuries for the 1st and 2nd to deliver contracts.
Source: OFR Cleared Repo Collection.
Figure 3. Leveraged Fund Short Treasury Futures
This is a line chart titled “Leveraged Fund Short Treasury Futures.” The x axis ranges from January 2006 to May 2023. The Y axis ranges from 0 to 800 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “2/5/10 Year”; is designated by a light blue dashed line. This variable begins at about 100 and fluctuates between 100 and 200 up to about the beginning of 2018, after which it rises sharply to almost 800 by January 2019, staying between 700 and 800 through early 2020, after which it falls sharply to 200 by January 2021, fluctuating around that value through January 2022 and then rising sharply to 700 by May 2023. The second variable is labelled “10-Ultra/Bond/Ultra-Bond”; is designated by a dashed red line. This variable begins at roughly 0, and generally gradually rises to 100 by May 2023.
Source: CFTC Traders in Financial Futures data.
Figure 4. The Rise in Hedge Fund Short Futures
This figure contains four panels.
The top-left panel is titled “2-year Contract”. The x axis ranges from January 2006 to May 2023. The Y axis ranges from 0 to 500 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “Asset Manager Longs”; is designated by a light blue dashed line. This variable begins at about 50 and fluctuates between 50 and 100 up to about the beginning of 2018, after which it rises sharply to roughly 400 by January 2019, staying around 400 through early 2020, after which it falls sharply to 200 by January 2021, fluctuating around that value through January 2022 and then rising to 250 by May 2023. The second line is labeled “Leveraged Funds Shorts”; is designated by a red line. This variable begins at about 50 and fluctuates between 50 and 100 up to about the beginning of 2018, after which it rises sharply to roughly 450 by January 2019, staying around 450 through early 2020, after which it falls to almost 0 by January 2022, and then rises to roughly 300 by May 2023.
The top-right panel is titled “5-year Contract”. The x axis ranges from January 2006 to May 2023. The Y axis ranges from 0 to 300 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “Asset Manager Longs”; is designated by a light blue dashed line. This variable begins at about 50 and fluctuates between 50 and 100 up to about January 2015, after which it rises to roughly 250 by January 2018, fluctuating around that value through May 2023. The second line is labeled “Leveraged Funds Shorts”; is designated by a red line. This variable begins at about 25 and fluctuates between 25 and 50 up to about January 2015, after which it rises to roughly 200 by January 2018, then falls to 100 by January 2021 and stays int until January 2022, then rises to roughly 250 by May 2023.
The bottom-left panel is titled “10-year Contract”. The x axis ranges from January 2006 to May 2023. The Y axis ranges from 0 to 300 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “Asset Manager Longs”; is designated by a light blue dashed line. This variable begins at about 50 and fluctuates between 50 and 100 up to about January 2014, after which it generally rises to roughly 225 by May 2023. The second line is labeled “Leveraged Funds Shorts”; is designated by a red line. This variable begins at about 25 and fluctuates between 25 and 50 up to about January 2014, after which it rises to roughly 125 by January 2019, and then falls to roughly 50 between January 2020 and January 2021, finally rising again to 150 between January 2022 and May 2023.
The bottom-right panel is titled “Total of 2-year/5-year/10-year Contracts”. The x axis ranges from January 2006 to May 2023. The Y axis ranges from 0 to 800 in billions of dollars. The data is daily. There are two variables charted on the plot. The first line is labeled “Asset Manager Longs”; is designated by a light blue dashed line. This variable begins at about 150 and fluctuates between 150 and 200 up to about the beginning of 2015, after which it rises to almost 800 by January 2019, staying between 700 and 800 through early 2020, after which it falls sharply to 400 by January 2021, fluctuating around that value through January 2022 and then rising to 700 by May 2023. The second line is labeled “Leveraged Funds Shorts”; is designated by a red line. This variable begins at about 100 and fluctuates between 100 and 200 up to about the beginning of 2018, after which it rises sharply to almost 800 by January 2019, staying between 700 and 800 through early 2020, after which it falls sharply to 200 by January 2021, fluctuating around that value through January 2022 and then rising sharply to 700 by May 2023.
Source: CFTC Traders in Financial Futures data.