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  • Highest-Ever Treasury Short Positioning by Hedge Funds into Last Week Was “Accident Waiting to Happen,” Massive Short-Covering Ensued, Pushed Down Yields. “Basis Trade” at it Again

Highest-Ever Treasury Short Positioning by Hedge Funds into Last Week Was “Accident Waiting to Happen,” Massive Short-Covering Ensued, Pushed Down Yields. “Basis Trade” at it Again

November 07, 2023

by Wolf Richter Wolf Street

But now, the 10-year yield jumps 15 basis points from Friday. Short-covering has run its course?

The fireworks over the past few weeks in the US Treasury market involved, as you’d expect, hedge funds creating and then covering massive highly leveraged short positions.

According to an aggregate of Commodity Futures Trading Commission figures going back to 2006, cited by Bloomberg this morning, hedge funds had taken on the most ever leveraged net short positions in Treasury futures trades by October 31.