2024-06-23-美联储-达到国债市场的持续时间和杠杆率（英）_86页_678kb

报告摘要

Reaching for Duration and Leverage in the Treasury Market Summary

This paper investigates how mutual funds use Treasury futures to achieve their investment objectives, focusing on the dynamics of long positions in these derivatives. The analysis shows that mutual funds significantly contribute to the growth in Treasury futures positions, with roughly 53% of all asset manager long positions in Treasury futures held by mutual funds as of 2023. This has led to substantial time-series and cross-sectional variation in their futures holdings.

Key Findings:

Motivation: Mutual funds use Treasury futures as substitutes for cash Treasury securities, primarily to manage duration and track benchmark indexes (such as the Bloomberg U.S. Aggregate Index). This occurs when funds tilt their portfolios toward higher-yielding assets like agency mortgage-backed securities (MBS).
Duration Management: Long positions in Treasury futures allow funds to increase their overall portfolio duration, closer to their benchmarks, while reducing holdings in lower-yielding cash Treasuries.
Cross-Sectional Variation: Funds with investment objectives focused on total return rather than income, higher turnover, and the explicit mention of duration targets are more likely to hold long Treasury futures.
Market Impact: This behavior introduces additional leverage into Treasury markets, both directly through mutual funds' long positions and indirectly by enabling hedge funds to take corresponding short positions in the cash-futures basis trade.

Data and Methods:

Data were sourced from mutual fund regulatory filings (Form N-PORT), CFTC’s Traders in Financial Futures data, and various pricing sources (J.P. Morgan, ICE).
Regressions and decomposition techniques were used to isolate the effects of futures use on portfolio allocation and duration.

Conclusion:
Mutual funds leverage Treasury futures to efficiently manage their portfolios while pursuing higher returns, resulting in significant concentrations of leverage in the Treasury market. This activity raises questions about market stability during periods of high leverage.

Table: Mutual Fund Holdings of Treasury Futures (2019, 2021, 2023)