The latest JPMorgan Chase & Co Treasury client survey has revealed that hedge funds were net buyers of Treasury futures exposed most to interest-rate risk in the week ending 11 October, according to a report by Bloomberg, acquiring a total of 25,000 10-year note futures equivalents.
Having added to short bets in the two previous weeks, asset managers added to net long duration bias for the third week in a row, by around 18,000 10-year note futures equivalents.
Most hedge fund activity was seen across long-bond and ultra-long bond futures, with net short positions being cut by a combined $5.8 million per basis point risk. Asset managers added to net long position in 10-year note futures by $3m/DV01, where they are now most net long since January 2020.
