Mission Statement
The mission of the Office of the Chief Economist (OCE) of the Commodity Futures Trading Commission (CFTC) is to conduct rigorous economic and econometric analysis of derivatives markets; to foster market transparency by disseminating its research to market participants and the general public; and to partner with other CFTC divisions and offices to integrate economic reasoning and data analysis into Commission policy and cost-benefit considerations.
A list of the current members of the Office of the Chief Economists can be found on our Biographies page, which includes backgrounds as well as research interests. The office is led by Scott Mixon (Acting Chief Economist).
Featured Research
Observations on the Treasury Cash-Futures Basis Trade (Scott Mixon, Alexei Orlov)
- Key basis traders: We examine the aggregate portfolio of 20 large Commodity Pools (“Select Funds”) likely to account for much of the “long cash-short futures” activity in recent years.
- Treasury futures: Our Select Funds were predominantly short futures, with a notional market value of $1.1 trillion at the end of December 2023. They comprised the bulk of the $1.4 trillion short positions held by the leveraged funds in the sample.
- Treasury securities: The aggregate portfolio is long Treasury securities around $1 trillion, but also short about $200 billion; the net position totals $800 billion at the end of 2023. Net Treasury cash positions are at the high end or above several prior estimates of likely basis trader positions.
- How we got here: We confirm and quantify suspected peaks and valleys of the activity. Net Treasury cash positions increased $400 billion in the two years prior to December 2019, fell off sharply through 2021, and then ramped up $700 billion through 2022 and 2023.
- More than just Treasury traders: We also observe significant non-U.S. G-10 sovereign bond positions with a gross value of $1 trillion; the net short position was just over $100 billion at the end of 2023.
For older research projects, please visit our Research Papers website.