Board of Governors of the Federal Reserve System

Figure 1. Asset Managers' Net Position in Treasury Futures

Figure 1 plots total net notional Treasury futures positions of asset managers broken down by futures contract tenor. The x-axis of the chart starts at the beginning of 2017 and ends in March 2024. The chart is split into four different colors stacked on top of each other in the same order as the key. The combined volume increases from around 300 billion USD in 2017 to around 650 billion USD in 2019 before decreasing again to roughly 200 billion by the end of 2021. Starting in mid-2022 notional positions by asset managers increases rapidly and reach 800 billion USD by the end of 2023. Positions of the 2-, 5-, 10, and long treasury futures contracts make up roughly 35 percent, 22 percent, 20 percent and 23 percent of the total volume when positions are elevated.

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Figure 2. Asset Manager Long Futures Exposures vs. Underlying Yields by Tenor

Figure 2 plots asset manager long 2-year (left panel) and 5-year (right panel) futures exposures against the respective yield of the underlying Treasury note between 2017 and the present. Asset manager long futures exposures typically increase as yields of the underlying note increase. As yields rose from around 1 percent in early 2017 to 3 percent by late 2018, asset manager positions in 2- and 5-year Treasury futures contracts rose from around 60 billion and 200 billion dollars to around 220 and 250 billion dollars respectively. Between 2019 and 2021, as yields fell, positions fell to a low of around 120 billion for each tenor. Then, as yields started climbing in 2021 and 2022, futures positions rose in turn, reaching highs of 400 billion and 300 billion in the 2- and 5-year contracts respectively.

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Figure 3. Mutual Funds’ Share of Asset Manager Treasury Futures Exposure

Figure 3 shows asset manager long Treasury futures exposure split by asset manager type and tenors. Exposures are split by mutual fund futures exposure and other asset manager exposure. The left chart shows asset manager positions in 2 and 5-year Treasury futures and the right chart shows the 10 and 30-year futures. In the left chart, mutual fund futures exposures in 2 and 5-year futures grow from around $170 billion at the end of 2020 to around $370 billion at the end of 2023, while holdings of other asset managers grew from around $150 billion to $270 billion. In the right chart, mutual fund futures exposures in the 10 and 30-year Treasury futures stay around $100 billion for the whole period, while holdings of other asset managers increase from around $190 billion to $400 billion. Figure 3 shows that mutual funds are responsible for growth in the exposures of the shorter tenor futures while other asset managers are responsible for the growth of exposures to longer tenor futures.

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Figure 4. Mutual Fund Treasury Exposure and Futures Share

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Figure 5. Mutual Funds' Net DV01 and Notional Exposure

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