Dr. Alexei Orlov Discusses Observations on the Treasury Cash-Futures Basis Trade in New Article

In a recent article published in The Journal of Fixed Income, Senior Associate Dr. Alexei Orlov and his coauthor, Dr. Scott Mixon of the Commodity Futures Trading Commission (CFTC), use regulatory data to examine the aggregate portfolio of 20 large commodity pools (“select funds”) likely to account for much of the “long cash-short futures” activity in recent years.

Key findings include:

• The select funds are predominantly short futures with a notional market value of $1.1 trillion at the end of 2023, accounting for 75% of the short Treasury futures held by all leveraged funds.
• The aggregate portfolio is long Treasury securities around $1 trillion, but also short about $200 billion; the net position ($800 billion) is above several prior estimates for likely basis traders.
• The select funds also hold over $1 trillion in gross positions of non-US G-10 sovereign bonds.

The full article, “Observations on the Treasury Cash-Futures Basis Trade,” is available below.