U.S. government debt ETFs focused on the middle of the Treasury curve experienced notable trading volume and outflows Monday, suggesting institutional investors may be unwinding or rebalancing a large bond bet.
Last month, IndexUniverse flagged two mammoth creations in ProShares Ultra 7-10 Year Treasury ETF (NYSEArca: UST), a leveraged fund, and iShares 3-7 Year Treasury Bond Fund (NYSEArca: IEI).
The outsized inflows looked like a bet on falling yields in intermediate-duration Treasury bonds, according to the report.
However, IEI and UST have fallen in price since early May on rising Treasury yields. [Treasury ETF Investors Wrong-Footed as Yields Rise]
IEI saw trading volume surge to more than 12 million shares on Monday, compared with average daily volume of less than 600,000 shares the past three months. It was the second-highest volume day ever for IEI.
Meanwhile, UST saw trading volume spike to more than 20 million shares on Monday, versus a daily average of about 760,000 shares.
Additionally, iShares 7-10 Year Treasury Bond Fund (NYSEArca: IEF) experienced elevated volume yesterday.
“The volume in the 7-10 year products was extraordinary,” said Chris Hempstead, director of ETF execution services at WallachBeth.
The Treasury ETFs saw hundreds of millions of dollars of redemptions, so he speculated the activity could be a monthly rebalance trade on the first trading session of June.
ProShares Ultra 7-10 Year Treasury ETF
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