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At Any Rate
U.S. Rates - The March – June Treasury futures roll
Feb 12, 2025
Srini Ramaswamy, Global Head of Rates Derivatives Strategy at J.P. Morgan, and Ipek Ozil, Senior Derivative Strategist, delve into the dynamics of upcoming UST futures contracts. They explore how Federal Reserve policies can shape investment strategies and affect financing rates. The conversation covers the implications of forward rates on market behavior and discusses wildcard optionality in ultra-long bond contracts. Their insights into bullish and bearish perspectives on bond calendar spreads offer a compelling look at evolving market conditions.
14:43
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Quick takeaways
- Treasury futures allow investors to manage exposure to U.S. government securities, necessitating careful contract rolling strategies for optimal returns.
- Monetary policy and Federal Reserve expectations significantly impact calendar spreads, with potential shifts affecting Treasury futures valuations and pricing dynamics.
Deep dives
Understanding Treasury Futures
Treasury futures allow investors to gain exposure to U.S. Treasury securities through contracts that require physical delivery of bonds upon expiration. These contracts are available in various maturities, such as twos, fives, and tens, and they expire quarterly. Investors looking to maintain their positions must roll their contracts forward, creating opportunities through calendar spreads. By analyzing these spreads, investors can potentially add alpha based on their expectations of future price movements.
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Discover
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Listen to the best highlights from the podcasts you love and dive into the full episode