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At Any Rate
At Any Rate: Treasury futures quarterly roll
Nov 12, 2024
Srini Ramaswamy, Global Head of Derivative Strategy at J.P. Morgan, shares insights on the upcoming Treasury futures roll cycle. He discusses the effects of policy uncertainty on bond futures, shedding light on how investor positioning impacts market expectations. The conversation dives into the implications of recent macroeconomic developments, including the Federal Reserve's actions and the U.S. presidential elections, and how these factors influence calendar spreads and delivery risks in Treasury futures.
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Quick takeaways
- The recent U.S. elections and FOMC rate cuts have led to heightened volatility in short-term Treasury rates amid policy uncertainties.
- Investor positioning during Treasury futures rollovers significantly influences market dynamics, with commercial accounts avoiding delivery risks through strategic rolling.
Deep dives
Impact of Recent Economic Events
The recent U.S. elections and the Federal Open Market Committee (FOMC) meeting have significantly influenced the economic landscape. The election resulted in a likely Republican control of the House, while the FOMC decided to cut rates by 25 basis points, continuing a trend of easing that began three months prior. This combination of political and monetary developments has led to revisions in Federal Reserve expectations, which are now more cautious concerning a shallow easing cycle. Consequently, short-term rates have traded with considerable volatility, reflecting ongoing policy uncertainties in the market.
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