Before the announcement of the expanded U.S. Treasury buyback program, asset management firms increased their long positions in 5-year and 10-year futures.

According to data from the U.S. Commodity Futures Trading Commission (CFTC), before the U.S. Treasury unexpectedly announced an expansion of long-term Treasury repurchase operations, asset management companies had increased their net long positions in some U.S. Treasury futures, while speculators reduced their exposure.

CFTC data for the week ending August 18 shows that asset management companies increased their net long positions in both 5-year and 10-year Treasury futures. In particular, net longs in 10-year Treasury futures rose by about 31,000 contracts, while 5-year contracts increased by approximately 43,000 contracts.

However, asset management companies reduced their net long positions in 2-year Treasury futures by about 60,000 contracts, meaning the changes in their positions did not show an across-the-board increase for all maturities.

Compared to the asset management companies' positioning, speculative funds such as leveraged funds further shifted their net positions to the short side in certain long-dated Treasury futures.

Overall, before the Treasury announced the expansion of repurchase operations, the Treasury market had already seen a divergence in positioning, with long-term funds adding to some long-end contracts and speculative funds leaning bearish.

On August 19, the U.S. Treasury announced that it would at least double the size of liquidity-support repurchase operations for nominal Treasury securities with maturities of 10 to 30 years, raising the cap of each operation from $200 million to at least $400 million, with the program scheduled for implementation between September 9 and November 4.

The backdrop to this unexpected expansion of repurchases by the Treasury is the continued rise in long-term Treasury yields. Before August 19, the yield on 30-year Treasuries had climbed as high as 5.34%, the highest level since 2007. After the Treasury announced the expansion of repurchase operations, long-end yields briefly dropped noticeably but then resumed their climb, indicating that markets remain doubtful about whether the repurchase measures can sustainably ease the supply-demand pressure in the Treasury market.