芝加哥商品交易所集团（CME Group Inc.）的数据和彭博社的分析显示，上周，美国国债期货的未平仓合约，即可能做多或做空的交易员承担的风险，达到了相当于近2300万份10年期美国国债期货的创纪录水平。也就是说，相关现金债券Prior to the Jackson Hole central bank annual meeting, the leverage position of US Treasury futures reached an all-time high.
Bond traders are facing record-breaking risks as they bet on a rebound in US Treasuries, anticipating the first rate cut by the Federal Reserve in over four years.
The Federal Reserve will begin its annual economic symposium in Jackson Hole, Wyoming on Thursday. The leveraged positions in US Treasury futures have already reached a historic high. Fed Chairman Powell will give a speech and provide more insights on the monetary policy path for the remainder of the year.
Data from CME Group Inc. and analysis from Bloomberg show that the open interest in US Treasury futures, which represents the risk undertaken by traders who may go long or short, reached a record level equivalent to nearly 23 million 10-year US Treasury futures contracts last week. This means that for every one basis point change in the related cash bond, the risk is approximately $1.5 billion.
Meanwhile, there has been an increasing number of bullish bets in the past few weeks, with calls for significant rate cuts this year and in 2025. Data from the Commodity Futures Trading Commission (CFTC) for the week ending August 13th shows that asset management firms have added a net long position of approximately 0.12 million 10-year US Treasury futures contracts.
While most of the leverage positions are a result of asset management firms going long on US Treasury futures, there are also some attributable to a popular hedge fund strategy called basis trading, where traders profit from the spread between cash and futures in US Treasuries. As this strategy involves borrowing in the repo market, traders may be forced to unwind their positions to repay loans if borrowing conditions tighten. This rapid unwinding could cause volatility in the Treasury market.
Traders have been anxious about the timing and scale of the Fed's interest rate cuts, and they have been betting on various scenarios that may occur this year.
Just two weeks ago, the forward market still believed that the Fed would cut rates by 50 basis points at the September meeting, and there is a possibility of an emergency rate cut during the meeting. Currently, the expected rate cut next month is about 30 basis points.
Ahead of the Jackson Hole meeting, the U.S. Treasury bond spot market had shown signs of easing bullish bets. A client survey released by JPMorgan on Tuesday showed that the bank's clients' net long positions in bonds have decreased to the lowest level in a month.
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