Why Do Mutual Funds Invest in Treasury Futures?

Benjamin Iorio, Dan Li and Lubomir Petrasek
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Lubomir Petrasek: https://www.federalreserve.gov/econres/lubomir-petrasek.htm

No 2024-05-10-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Asset managers’ net long positions in Treasury futures have reached their historical highs in recent months, driven in part by mutual funds’ demand for short- and medium-term Treasury futures. Analyzing mutual fund portfolio holdings reports on SEC Form N-PORT, we find that the increase in mutual funds’ futures holdings since 2020 can be attributed to both increased demand for Treasury exposures during a higher interest rate environment and mutual funds’ preference for sourcing these exposures through futures rather than securities.

Date: 2024-05-10
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2024-05-10-1

DOI: 10.17016/2380-7172.3488

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