The Great Asset Management Deleveraging: Ultra-Long Treasury Futures Hit by Seven Straight Days of Selling, Technical Pressure Emerges

Deep News
6小时前

Asset managers are offloading long-duration U.S. Treasury futures contracts, a sign that passive selling is underway as cash yields hover near multi-year highs.

According to data from the U.S. Commodity Futures Trading Commission (CFTC), over the two weeks ending October 6, money managers reduced their long positions in ultra-long bond futures, cutting exposure by roughly $27 million per basis point — a scale roughly equivalent to $38 billion of existing 10-year cash notes.

Over the same period, as the 30-year yield climbed to a 24-year peak of 5.68%, futures contract prices fell sharply.

This is part of a months-long selling wave driven by concerns over the inflationary impact of a U.S.-Israel war against Iran, deteriorating fiscal conditions across governments worldwide, and an AI boom that is adding fuel to an economy the Federal Reserve is already trying to cool.

The latest CFTC data released on Friday also provided fresh evidence that technical factors are contributing to the recent decline in long-end bonds.

The data showed signs of passive selling by asset managers, whose portfolio durations have been stretched by underlying securities mechanisms involving the cheapest-to-deliver bond.

When the basket of deliverable securities shifts and the cheapest-to-deliver (CTD) security begins migrating toward longer-maturity bonds, so-called "switch risk" dynamics are triggered. This can lead to passive selling.

Open interest — the additional risk exposure held by traders — also confirms the deleveraging trend in ultra-long bond futures.

Data shows that open interest in ultra-long bonds has declined for seven consecutive trading days, reducing aggregate exposure by roughly $20 million per basis point.

Rising yields over the same period also indicate that long positions are being closed out.

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