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US Rates: Treasury futures roll
Aug 14, 2024
Srini Ramaswamy, Managing Director and Co-Head of US Rates Strategy, joins Ipek Ozil, Executive Director in U.S. Fixed Income Derivatives Research, to delve into the Treasury futures roll cycle. They break down the mechanics of rolling positions and discuss the rising expectations of Fed rate cuts. The conversation also highlights optimal delivery timing for Treasury futures and the implications of the upcoming Jackson Hole symposium. Additionally, they analyze market behaviors and the impact of commercial account positioning on calendar spreads.
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Quick takeaways
- Understanding the Treasury futures roll cycle is crucial for managing exposure and capitalizing on calendar spreads for alpha generation.
- Recent shifts in Federal Reserve policy expectations significantly impact investor sentiment and pricing dynamics in the treasury futures market.
Deep dives
Understanding Futures Roll and Its Importance
The discussion centers around the concept of futures roll in the treasury futures market, which allows investors to manage their exposure to US Treasuries through contracts that expire quarterly. As contracts near expiration, investors must 'roll' their positions from the expiring front contracts to the upcoming back contracts to maintain their exposure without taking delivery. This rolling process is crucial as any forced market activity can create opportunities for price differences, known as calendar spreads, which can be analyzed for potential alpha generation. Understanding the dynamics of these contracts and their expiration is essential for investors looking to navigate the treasury futures market effectively.
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Discover
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