Trading volumes of US 10-year Treasury futures surged around 3:00 pm New York time, often reaching their highest levels of the day. After that, it decreases sharply.
This pattern is common at the end of the month, but has happened almost every business day for the past month. The time zone for the settlement of US Treasury futures suggests that asset managers are rebalancing their portfolios.
Despite the highest inflation rates since the 1980s, investor demand for long-term bonds is strong and this pattern is drawing attention. Since the pension fund secures profits with the rise in stock prices in the United States and the ratio of pension assets to pension debt has reached almost 100% for the first time since 2008, the theory that the profits obtained from stock investment are used to buy government bonds is predominant. is.
U.S. 30-year Treasury yields and stock prices have fallen “quite significantly” over the past year between 3:30 pm and 4 pm New York time, when trading closes, according to a Morgan Stanley survey released on Wednesday. .. Strategists such as Matthew Hornback conclude that the pension fund is believed to be balancing, which has led to a flattening of the yield curve.
Source: Morgan Stanley
These moves on the verge of closing “support our view that pension debt-asset ratios have begun to improve over the past year, and pension funds are selling stocks to buy long-term bonds and rebalancing. There seems to be. ” “Demand from defined-benefit pension funds has had a significant impact on yields on long-term government bonds, putting pressure on the yield curve to flatten,” he said.
It’s puzzling that low long-term bond yields continue as inflation soars. The 10-year bond yield was about 1.44% as of the 14th, the consumer price index (CPI) in November.The rate of increase is far below 6.8% (compared to the same month of the previous year). Yields on 30-year bonds fell below 1.7% earlier this month, hitting a low for the first time in 11 months and then recovering to 1.82%.
According to Milliman, the debt-asset ratio of pension funds has risen to 99% this year due to the renewal of the highest price of US stocks, which is close to the highest in more than 10 years.
Priya Misra, Head of Global Interest Rate Strategy at TD Securities, said in an interview about pension demand as a “structural bid for the long end” of the yield curve. In a report last week, he analyzed that the reason for the decline in long-term bond yields was purchases by banks, pension funds and Chinese.
Even if the Federal Open Market Committee (FOMC), chaired by the Federal Reserve Board (FRB), tightens monetary policy, pension demand could put downward pressure on long-term bond yields. It reminds me of what the then Fed Chairman Greenspan called a “mystery” in 2004. The FOMC, which began on the 14th and lasts for two days, is expected to accelerate the reduction of asset purchases as it paves the way for next year’s rate hikes.
Original title:At 3 p.m., Trading in U.S. Bond Futures Jumps Like Clockwork (1) （抜粋）
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