Data from JPMorgan Delta-One shows that investors significantly reduced the duration of US Treasuries last week. ETF funds withdrew from medium- and full-term government bonds, with inflows into medium-term government bonds at approximately -3.5 standard deviations and full-term government bonds at approximately -3.8 standard deviations; short-term government bonds, however, saw inflows as high as +6.3 standard deviations. The futures market exhibited a similar structure. Overall, US interest rate futures saw net buying of approximately $37.5 billion, or 1.9 standard deviations, but 2-year and 5-year contracts contributed about two-thirds of the notional amount. Meanwhile, asset managers significantly reduced their long positions in US Treasuries, with position changes reaching -2.1 standard deviations. Funds remain willing to hold fixed income, but prefer shorter-term holdings, actively reducing long-term interest rate risk.
